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Dissertations / Theses on the topic 'Capital market model'

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Published: 3 June 2025

Last updated: 31 July 2025

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1

Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.

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"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-

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2

Pötzelberger, Klaus, and Leopold Sögner. "Sample autocorrelation learning in a capital market model." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1999. http://epub.wu.ac.at/532/1/document.pdf.

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Adaptive agent models are supposed to result in the same limit behavior as models with perfectly rational agents. In this article we show that this claim cannot by accepted in general, even in a simple capital market model, where the agents apply sample autocorrelation learning to perform their forecasts. By applying this learning algorithm, the agents use sample means, the sample autocorrelation coefficient, and the sample variances of prices to predict the future prices, and to determine the demand for the risky asset. Therefore, even if the agents are not perfectly rational, we require that

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3

Fredholm, Johan, and Benjamin Taghavi-Awal. "Capital markets in developing countries : A model for capital market diagnostics, with a field study implementation in Georgia." Thesis, Stockholm University, School of Business, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6430.

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<p>This thesis starts with a research overview of the relationship between financial system development, capital markets and economic growth. The general consensus among economists is that financial system development contributes to economic growth and that both banks and capital markets are important in that development. These findings justify the interest that aid agencies and international organisations show for assisting financial development in developing countries. The authors go on to create a model for Capital Market Diagnostics (CMD) that could be used by such organisations to evaluat

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4

Elshqirat, Mohammad Kamel. "Multifactor Capital Asset Pricing Model in the Jordanian Stock Market." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5186.

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A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jorda

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5

Zhao, Huimin, and 趙慧敏. "Two essays on asset pricing and options market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B41508397.

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6

Zhao, Huimin. "Two essays on asset pricing and options market." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B41508397.

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7

Sufar, Saiful Bahri. "Risk factors in the UK stock market." Thesis, Loughborough University, 2000. https://dspace.lboro.ac.uk/2134/7346.

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This thesis examines risk factors in the UK Stock Market. This objective is achieved by testing the validity of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The models were tested using data for the period between 1972 to 1993. Test of the CAPM was conducted by examining the relationship between stocks returns and systematic risk as measured by beta. By regressing returns against estimates of beta, the results showed that for the overall period the relationship was negative and the estimated risk premium is smaller than the observed risk premium. The results i

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8

Pang, Chung-kit, and 彭仲傑. "Financial market and Hong Kong economy." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31265066.

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9

Jordan-Wagner, James M. (James Michael). "Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330578/.

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Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market.

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10

Fung, James Cheuk Lun. "An agent-based model of the interbank market : reserve and capital adequacy requirements." Thesis, University of Leeds, 2014. http://etheses.whiterose.ac.uk/8242/.

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11

Zhuang, Yuchen. "Risk, return and market condition: a new functional-beta capital asset pricing model." Thesis, Curtin University, 2009. http://hdl.handle.net/20.500.11937/78.

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In this research, we will focus on investigating the relationship between risk and return. We will propose a new model which leads to a more sensible approach to modelling the relationship between risk and return under different market conditions. It is an extension of the traditional single-index capital asset pricing model (CAPM) which reads as: The return R[subscript]i on individual Security i can be decomposed into the specific return α[subscript]I + ε[subscript]i (expected specific return α[subscript]i and random specific return ε[subscript]i) and the systematic return β[subscript]iR[subs

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12

Van, der Berg Gerhardus Johannes. "The relationship between the future outlook of market risk and capital asset pricing." Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/26386.

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The most widely used Cost of Capital model is the Capital Asset Pricing Model. The Beta, Which is a key input into the model has proven to be unreliable and provides no correlation with systematic risk. As risk increases, so should the cost of capital of the firm. The Beta is a historic measure of risk and does not capture the future outlook of risk. The future of an organisation and its risk may look very different to the past and therefore the need to calculate the Cost of Capital of a firm based on the future outlook of the firm. The aim of this research was to analyse the different methodo

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13

Katona, Gabriella. "Procyclical nature of the proposed FRTB market risk capital regime." Thesis, Queensland University of Technology, 2022. https://eprints.qut.edu.au/230387/1/Gabriella_Katona_Thesis.pdf.

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The recent capital market shock events have drawn increased regulatory attention to the procyclical nature of the forthcoming Basel market risk regime, the Fundamental Review of Trading Book (FRTB). The overall objective of this research is to evaluate whether the quantitative improvements made in FRTB can mitigate the Basel market risk capital framework’s impact on business cycles. The research found no strong evidence that FRTB would reduce the overall procyclicality of the framework. This study also confirmed that banks can reduce their market risk charge via their modelling choices without

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14

Garg, Vivek, University of Western Sydney, and School of Economics and Finance. "The Capital Asset Pricing Model : a test on the Stock Exchange of Singapore." THESIS_XXX_EFI_Garg_V.xml, 1999. http://handle.uws.edu.au:8081/1959.7/459.

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Of the many analytical methods collectively referred to as Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM) is the most familiar to today’s generation of students of finance. The popularity of the CAPM arises from its success in expressing a powerful theoretical insight in a simple, usable form. The primary use of the CAPM is to determine minimum required rates of return from investment in risky assets. The variable in the CAPM is called ‘beta’, a statistical measure of risk which has become familiar to all finance professionals. Over the past decade, beta has become the m

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15

Cândido, Maria Teresa. "Financial market liquidity, asset pricing, and financial crises /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9914068.

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16

Czekierda, Bartosz. "The Capital Asset Pricing ModelTest of the model on the Warsaw Stock Exchange." Thesis, Örebro universitet, Institutionen för ekonomi, statistik och informatik, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-4814.

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Since 1994 when the Warsaw Stock Exchange has been acknowledged as a full member of World Federation of Exchanges and became one of the fastest developing security markets in the region, it has been hard to find any studies relating to the assets price performance on this exchange. That is why I decided to write this paper in which the Nobel price winning theory namely the Capital Asset Pricing Model has been tested. The Capital Asset Pricing Model (or CAPM) is an equilibrium model which relates asset’s risk measured by beta to its returns. It states that in a competitive market the expected r

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17

Yuen, Moon-chuen. "An empirical test of the arbitrage pricing theory in the Hong Kong stock market /." [Hong Kong : University of Hong Kong], 1985. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12317664.

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18

Johnson, Calum. "Multi-Factor Extensions of the Capital Asset Pricing Model: An Empirical Study of the UK Market." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-29829.

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The point of this thesis is to compare classic asset pricing models using historic UK data. It looks at three of the most commonly used asset pricing models in Finance and tests the suitability of each for the UK market. The models considered are the Capital Asset Pricing Model (1964, 65 and 66) (CAPM), the Fama-French 3-Factor Model (1993) (FF3F) and the Carhart 4-Factor Model (1997) (C4F). The models are analysed using a 34 year sample period (1980-2014). The sample data follows the structure explained in Gregory et al (2013) and is compiled of stocks from the London Stock Exchange (LSE). Th

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19

Yuen, Moon-chuen, and 袁滿泉. "An empirical test of the arbitrage pricing theory in the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B31263513.

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20

Tsang, Yat-ming, and 曾日明. "Risk and return in financial markets: a studyof the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31976736.

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21

Ozbideciler, Umut Devrim. "Social Market Economy: An Inquiry Into The Theoretical Bases Of German Model Of Capitalism." Master's thesis, METU, 2003. http://etd.lib.metu.edu.tr/upload/1041896/index.pdf.

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In this study, the concept of &lsquo<br>Social Market Economy&rsquo<br>which was the leading idea in the post-Second World War economic order of Germany will be analysed. This analysis will also take into consideration the Economic School of Ordoliberalism which emerged in the inter-war period and greatly influenced the construction of the idea of &lsquo<br>Social Market Economy&rsquo<br>with its theoretical principles. Some politicians and theoreticians in the post-war period also contributed to the development of the concept. Within this theoretical framework, the post-war economic policies

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22

Nakhjavani, Arya. "Geo-Political Risk-Augmented Capital Asset Pricing Model and the Effect on Long-Term Stock Market Returns." Scholarship @ Claremont, 2018. http://scholarship.claremont.edu/cmc_theses/1764.

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This paper examines the capital - asset pricing model (CAPM) which has been extended with a factor for geo-political risk. I use monthly stock return data for all stocks listed on a major US exchange from January 1990 to December 2016 and utilize a Fama-Macbeth Regression with Newey-West standard errors to test the geo-political augmented Sharpe-Lintner CAPM. The paper first determines if increased sensitivity to geopolitical risk lead s to lower average returns and second assesses if geo-political risk as an explanatory variable is a significant enough to expose a failure of the CAPM to captu

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23

Fratus, Brian J. "Rational asset pricing : book-to-market equity as a proxy for risk in utility stocks /." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-11242009-020322/.

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24

Höge, Christin. "Kapitalkosten zur Investitionsbewertung in der Energiewirtschaft." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2014. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-152278.

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Die Wahl risikoadäquater Kapitalkosten ist Voraussetzung für eine Investitionsentscheidung im Interesse der Investoren. In der Energiewirtschaft wird die Ermittlung der Eigenkapitalkosten mit Hilfe des Capital Asset Pricing Models (CAPM) infolge fehlender Kapitalmarktdaten für Investitionen in regenerative Energien sowie durch die Existenz neuer Marktakteure mit eingeschränkter Risikostreuung allerdings mehr und mehr erschwert. Der vorliegende Beitrag beschreibt ein Forschungsvorhaben zur Entwicklung eines modellbasierten Ansatzes, der die veränderten Bedingungen durch den Wandel in der Energi

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25

Kuklik, Robert G. "Capital Asset Prices Modelling - Concept VAPM." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-196945.

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The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors -- the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation r

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26

Joos, Oscar, and Johanna Öhlin. "Capital structure's influence on volatility on in times of financial distress : An investigation on capital structure as a volatility influencer before, during and after the European debt crisis on the Stockholm Stock Exchange." Thesis, Umeå universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137227.

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The financial crisisand the European debt crisis wreaked havoc on many European economies and stock markets. Previous studies have shown that crises are associated with high debt and linked with lower growth. Studies also suggest that politicians underestimate the risks associated with high debt during economic upturn and that economic crises are usually connected with high volatility. Volatility is used as a measurement of risk since high volatility indicates larger market uncertainty of the valuation of the underlying asset. Previous studies have shown that volatility can be a good indicatio

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27

Manhica, Hélio. "Labor market participation of African immigrants in Sweden, 1995-2008." Thesis, Stockholms universitet, Sociologiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-72138.

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This study examines the pattern of unemployment duration of African immigrants in Sweden as well as the effect of emigration origin, age, gender, level of education and family characteristics on the probability of getting a job upon arrival. The study is based on PLACE-database; the dataset is restricted to individuals born in Africa who immigrated to Sweden during the period of 1994-2008. Results from the Kaplan–Meier estimators and Proportional Hazard Models indicate that unemployment duration and the relative risk of getting a job upon arrival vary according to emigration origin and gender

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28

Rey, David. "Stock market predictability and tactical asset allocation /." [S.l. : s.n.], 2004. http://www.gbv.de/dms/zbw/470721448.pdf.

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29

Aldaarmi, Abdulaziz Adel Abdulaziz. "An electronic financial system adviser for investors : the case of Saudi Arabia." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/11239.

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Financial markets, particularly capital and stock markets, play an important role in mobilizing and canalising the idle savings of individuals and institutions to the investment options where they are really required for productive purposes. The prediction of stock prices and returns is carried out in order to enhance the quality of investment decisions in stock markets, but it is considered to be tricky and complicates tasks as these prices behave in a random fashion and vary with time. Owing to the potential of returns and inherent risk factors in stock market returns. Various stock market p

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30

Čechová, Lenka. "Modely kapitálového trhu a jejich testování." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-192604.

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This thesis deals with the description and testing of the capital market models. It consists of an analysis of the most famous models such as the CAPM, the three-factor Fama-French model, the four-factor Fama-French-Carhart model and an alternative multi-factor model that includes the current relevant risk factors. In the first part, one can find the introduction to the capital market theory that is essential for the definition of model assumptions. The second part is dedicated to the description and construction of the models in reference to the relevant research papers. The last part of this

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31

Garg, Vivek. "The Capital Asset Pricing Model : a test on the Stock Exchange of Singapore." Thesis, View thesis, 1999. http://handle.uws.edu.au:8081/1959.7/459.

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Of the many analytical methods collectively referred to as Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM) is the most familiar to today’s generation of students of finance. The popularity of the CAPM arises from its success in expressing a powerful theoretical insight in a simple, usable form. The primary use of the CAPM is to determine minimum required rates of return from investment in risky assets. The variable in the CAPM is called ‘beta’, a statistical measure of risk which has become familiar to all finance professionals. Over the past decade, beta has become the m

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32

Zheng, Xin. "Stock Market, Investment and Sentiment in the Framework of Bayesian DSGE Models." Thesis, The University of Sydney, 2019. http://hdl.handle.net/2123/20348.

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We investigate the interactions among consumer preference, firm investment, stock market activity, investor sentiment and monetary policy in Bayesian Dynamic Stochastic General Equilibrium (DSGE) models for the U.S. economy. We design a framework in which household turnovers, firm turnovers, equity risk premiums, investment, preference and sentiment jointly influence stock price misalignments and macroeconomic fluctuations. These are not only due to households’ interactions with the stock market through financial wealth, consumer preference and investor sentiment, but also induced by firms’ in

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33

Lagnado, Leonardo Mathiazzi. "Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17047.

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Submitted by Leonardo Mathiazzi Lagnado (lagnado@gvmail.br) on 2016-09-09T00:28:36Z No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 7778858 bytes, checksum: 16803ed7c2489aa7863aa44717c8719a (MD5)<br>Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Leonardo, boa tarde Para que possamos aceitar seu trabalho, deverá realizar algumas alterações conforme as normas da ABNT. Segue abaixo: - Na capa: o nome da Escola deve estar em Português. - Na contra capa e na folha de assinaturas, todas as informações também deverão estar em português; exceto o título. - I

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34

Fazenda, Ana Rita da Silva Ribeiro Nobre. "Análise do sistema de supervisão em matéria de suspensões e interrupções de nogociação no mercado de capitais português." Master's thesis, Instituto Superior de Economia e Gestão, 2002. http://hdl.handle.net/10400.5/4071.

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Mestrado em Economia Monetária e Financeira<br>Esta dissertação tem como objecto de estudo a análise das suspensões de negociação de acções do mercado de capitais português com o objectivo de averiguar da bondade das suspensões impostas pelas autoridades supervisoras do mercado, ou seja, avaliar o timing da sua intervenção quanto ao momento da interrupção e do seu "levantamento". E utilizada uma amostra de 54 acções cuja negociação foi suspensa, durante algumas horas ou mesmo dias, no período compreendido entre 1992 e 1999. Para comparar as diferenças existentes entre o pré e pós-suspensão da

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35

Adolfsson, Teodor, and Henrik Domellöf. "Factor Investing on the Swedish Stock Market : A Quantitative Study of a Model Based on Quality and Value." Thesis, Umeå universitet, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149715.

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Investors and fund managers have, since the start of financial markets, always been on the lookout for new ways of beating the market. However, researchers of the Efficient Market Hypothesis have shown that markets are usually highly efficient, implying that there are few possibilities of earning returns that are higher than the market returns, on a risk adjusted basis. Prevailing theories, such as the Capital Asset Pricing Model, has shown that increased return must stem from taking on higher risk. Though, this model’s explanatory power has been challenged by numerous researchers who propose

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36

Rehnby, Nicklas. "Does the Fama-French three-factor model and Carhart four-factor model explain portfolio returns better than CAPM? : - A study performed on the Swedish stock market." Thesis, Karlstads universitet, Handelshögskolan, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-43784.

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This essay will compare the capital asset pricing model (CAPM), Fama and French threefactor model and Carhart´s four-factor model, to see which of these models that can explain portfolio excess returns best on the Swedish stock market. This thesis will tempt to validate the three and four-factor models because of the limited amount of research done on the Swedish stock market. The results indicate that the three-factor model improves explanatory power for portfolio returns in comparison to the CAPM, and the four-factor model gives a small improvement in the explanatory power compared to the th

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SILVA, FABRICIO MELLO RODRIGUES DA. "A STOCHASTIC MODEL FOR THE NUMBER OF TRANSACTIONS IN THE BRAZILIAN CAPITAL MARKET: WITH APPLICATION IN SIMULATING DAILY RETURNS OF STOCK IN THE FRAMEWORK OF A TIME DEFORMATION MODEL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2000. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=14595@1.

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Este trabalho propõe um novo modelo estocástico para o número diário de negócios com ações do mercado de capitais brasileiro. O modelo, que denominamos ZINB-HF (Zero-Inflated Negative Binomial Harvey-Fernandes), é uma extensão do modelo de uma escala local para dados de contagem. Nesse modelo, o número diário de negócios segue uma distribuição binomial negativa com relação serial. A distribuição binomial negativa é gerada através de três modelos microestruturais independentes do processo de negociação. O principal deles baseia-se no conceito de rupturas aleatórias no processo gerador dos retor

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38

Birchwood, Anthony. "Implementation of taylor type rules in nascent money and capital markets under managed exchange rates." Thesis, Brunel University, 2011. http://bura.brunel.ac.uk/handle/2438/6447.

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We investigate the practical use of Taylor-type rules in Trinidad and Tobago, which is in the process of implementing market based monetary policy and seeks to implement flexible inflation targeting in the presence of a managed exchange rate. This is motivated by the idea that normative Taylor rules can be shaped by the practical experience of developing countries. We find that the inflation – exchange rate nexus is strong, hence the country may be unwilling to allow the exchange rate to float freely. We contend that despite weak market development the Taylor rule can still be applied as the c

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39

Ribeiro, Paulo César Alcântara. "Espaço social e práticas de saúde bucal na estratégia de Saúde da Família, em uma capital do nordeste do Brasil." Programa de pós-graduação em Saúde Coletiva, 2009. http://www.repositorio.ufba.br/ri/handle/ri/10698.

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p. 1-86<br>Submitted by Santiago Fabio (fabio.ssantiago@hotmail.com) on 2013-05-07T18:35:06Z No. of bitstreams: 1 11111d.pdf: 645344 bytes, checksum: c256e7cf1604abe9b73036c18e808756 (MD5)<br>Approved for entry into archive by Rodrigo Meirelles(rodrigomei@ufba.br) on 2013-05-09T17:19:07Z (GMT) No. of bitstreams: 1 11111d.pdf: 645344 bytes, checksum: c256e7cf1604abe9b73036c18e808756 (MD5)<br>Made available in DSpace on 2013-05-09T17:19:07Z (GMT). No. of bitstreams: 1 11111d.pdf: 645344 bytes, checksum: c256e7cf1604abe9b73036c18e808756 (MD5) Previous issue date: 2009<br>Introdução: A Estratégi

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Omerovic, Rijad, and Arda Kucukyavuz. "Discrimination in the German Labor Market : The migration crisis 2015 and its effect on discrimination." Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-105077.

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This paper analyzes how the explained and unexplained part of the Oaxaca-Blinder decomposition has changed due to a shift in attitudes towards immigrants in Germany. We use the migration crisis in 2015 as an exogenous source of variation in attitudes towards immigrants. As many studies analyze labor market discrimination, there are very few studies examining discrimination in the German labor market by conducting a natural experiment. In contrast to previous empirics, this paper sets out to explain and decompose the differences between immigrants and natives using a rather unique method. This

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41

Roux, Karla Christelle. "Developing of a model to determine the default bond spreads of African countries in the absence of active bond markets." Thesis, Stellenbosch : Stellenbosch University, 2010. http://hdl.handle.net/10019.1/19799.

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Thesis (MBA) -- Stellenbosch University, 2010.<br>As major corporate entities are investing into Sub-Saharan Africa and other African countries at a fast pace, percentages like the weighted average cost of capital (WACC) and the impairment discount rate, are becoming important measurements of assessing current investments for impairment and/or proposals of future capital investments. One of the important constituents of these percentages is the country/equity risk premium. The country risk premium can be defined as the price for taking risk for investing in that specific country. A widely

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Malmquist, Hampus, and Anton Hansson. "Januarieffekten inom large cap och mid cap bolag : En studie på svenska börsmarknaden." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-95572.

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The stock market have received a fair amount of attention in the media recently as a result of the ongoing covid-19 pandemic. The question arouse if there is one month in the year that outperforms all other months in the stock market. A well known anomaly in the world of finance referred to as, the January effect, came up to discussion. Earlier studies of this subject have achieved different results and conclusions. Therefore, this study aims to examine if the January effect exists on mid cap and large cap companies on the Swedish stock market. To achieve this, one large cap portfolio and one

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Lima, Aline Nast de. "Evidências empíricas do modelo de Ohlson (1995) para o Brasil." Universidade do Vale do Rio do Sinos, 2008. http://www.repositorio.jesuita.org.br/handle/UNISINOS/2825.

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Made available in DSpace on 2015-03-05T19:13:43Z (GMT). No. of bitstreams: 0 Previous issue date: 18<br>Nenhuma<br>A proposta deste estudo é testar empiricamente se o modelo de avaliação da firma proposto por Ohlson, em 1995, produz estimativas adequadas para os dados das principais empresas brasileiras listadas na Bolsa de Valores de São Paulo (Bovespa) no período de 2002 a 2005. Destaca-se que a aplicação empírica de todas as premissas desse modelo ainda é relativamente escassa e controversa para mercados emergentes. Foram testadas as funções de preço e retorno de Ohlson (1995), cada qua

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Basazinew, Serkalem Tilahun, and Aliaksandra Vashkevich. "RELATIONSHIP BETWEEN SOVEREIGN CREDIT DEFAULT SWAP AND STOCK MARKETS- The Case of East Asia." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-80844.

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When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. Discrepancies from the theoretical relationship can be exploited by capital structure arbitrageurs. In our thesis we study the intertemporal relationship between sovereign CDS and stock index markets in East Asia during the period of 2007 – 2011. We detect a negative (by and large positive) relationship between the Asian CDS spreads and st

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Schanzer-Larsen, Arnold. "The effects of immigration on the income of native born workers: Evidence from Sweden." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54685.

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Abstract Course: NAA305 Bachelor Thesis in Economics 15 ECTS University: Mälardalen University, School of Business, Society and Engineering, Västerås Title: The effects of immigration on the income of native-born workers: Evidence from Sweden Author: Arnold Schanzer-Larsen Supervisor: Johan Lindén Problem: Sweden has experienced a lot of immigration, and the phenomenon has received a great deal of attention in the public and political debate. There is, among other things, fear that immigration could be harmful for the labor market outcome of the receiving country. Researchers from a vari

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Yan, Zheng. "The Econometrics of Piecewise Linear Budget Constraints With Skewed Error Distributons: An Application To Housing Demand In The Presence Of Capital Gains Taxation." Diss., Virginia Tech, 1999. http://hdl.handle.net/10919/28606.

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This paper examines the extent to which thin markets in conjunction with tax induced kinks in the budget constraint cause consumer demand to be skewed. To illustrate the principles I focus on the demand for owner-occupied housing. Housing units are indivisible and heterogeneous while tastes for housing are at least partly idiosyncratic, causing housing markets to be thin. In addition, prior to 1998, capital gains tax provisions introduced a sharp kink in the budget constraint of existing owner-occupiers in search of a new home: previous homeowners under age 55 paid no capital gains tax if they

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Priestley, Richard. "Approximate factor structures, macroeconomic and financial factors, unique and stable return generating processes and market anomalies : an empirical investigation of the robustness of the arbitrage pricing theory." Thesis, Brunel University, 1994. http://bura.brunel.ac.uk/handle/2438/5448.

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This thesis presents an empirical investigation into the Arbitrage Pricing Theory (APT). At the onset of the thesis it is recognised that tests of the APT are conditional on a number of preconditions and assumptions. The first line of investigation examines the effect of the assumed nature of the form of the return generating process of stocks. It is found that stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate facto

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Garaba, Masimba. "The current role of modern portfolio theory in asset management practice in South Africa." Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1002699.

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This research examines the role that modern portfolio theory (MPT) plays in current South Africa asset management practice in comparison to other portfolio management techniques and security evaluation methods. The purpose of asset management is to pool complementary financial market expertise, in order to generate returns in excess of the market return on the investments of the owners of financial resources that are entrusted to the firm, since the owners of financial resources might not be able to make superior investment decisions on their own. The research presents and discusses the litera

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Karlsson, Viktor, and Emil Nygren. "Beating the Swedish Market : A dynamic approach to Value Investing using Modern Portfolio Theory." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16465.

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Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. The investment strategy implemented use Market-to-Book-Value to screen for both entry and exit signals and Modern Portfolio Theory, using the minimum-variance portfolio w

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Jonasson, Jesper, and Tobias Rosén. "The influence of real estate price fluctuations on real estate stocks : An analysis of Swedish asset classes." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-44330.

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With background to recent price growth in Swedish real estate and consequently real estate stocks, our aim is to examine the relationship between real estate price development and real estate stock price development. To test our hypothesis, that real estate price development have had an impact on the return of real estate stocks, we built a capital asset pricing model. We divide the return of real estate stocks into two parts, the return in relation to the Swedish market premium and the excess return that is given for the exposure of the real estate market. We found that real estate exposure w

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