Essays about: "the CAPM"

Showing result 21 - 25 of 237 essays containing the words the CAPM.

  1. 21. Value creation in sponsored and non-sponsored spin-offs

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : André Sjögren; [2022]
    Keywords : Spin-offs; Ownership; Sponsors; Excess Returns; CAPM;

    Abstract : I examine whether spin-offs create value and if there is a difference between sponsored and non-sponsored firms by examining announcement-day share price performance, long-term share price performance, and long-term change in operational performance. The measures used were calculated on an unadjusted basis, in line with prior research, and on a risk-adjusted basis, using the Capital Asset Pricing Model. READ MORE

  3. 22. ESG scores´ effect on investment strategies : How does Dogs of Dow and The Magic Formula´s performance get effected when weighted according to their ESG score? 

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Oscar Johnsson; Elias Henriksson; [2022]
    Keywords : Dogs of Dow; the Magic Formula; ESG score; Investment strategy; Asset Allocation; Socially responsible investing; Stockholm large cap; CAPM; Stock market;

    Abstract : This thesis investigates the two investment strategies Dogs of Dow and The Magic Formula. We test how the strategies perform when getting weighted to ESG scores and also if they outperform OMXSPI during the years 2012-2022. READ MORE

  4. 23. Negative Screening : an analysis of the cost or benefit related to screening on industries

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Elin Kristoffersson; Noël Klarberg; [2022]
    Keywords : Sustainable finance; ESG; negative screening; industries; risk-adjusted return; cost; benefit; portfolio performance; CAPM; Fama-French; Carhart; Sharpe ratio;

    Abstract : This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. READ MORE

  5. 24. ESG: The Relationship Between “Ethical” Investing and Abnormal Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Per Malm; [2022]
    Keywords : ESG; Abnormal Returns; High Minus Low; Asset Pricing Model; Business and Economics;

    Abstract : This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. READ MORE

  6. 25. How the Stock Market Rewards Green Bond Issuers : A Comparison of the Issuers’ Environmental Profiles

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Eric Rahmberg; Zakrisson Jesper; [2022]
    Keywords : Green bonds; Event study; ESG; Europe; Sustainability; Abnormal Return;

    Abstract : As global warming is becoming a bigger problem, sustainable investments and the issuance of green bonds have increased. In this article, we study the announcement returns of green bond issuers based on the environmental firm effort and the environmental appearance of the sector to see how the European market reacts to different types of issuers. READ MORE