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Dissertations / Theses on the topic 'CAPM'

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Published: 4 June 2021
Last updated: 25 July 2025

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1

Aleksienė, Sandra. "CAPM modelio testavimas." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2004. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2004~D_20040604_210631-10316.

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The results of empirical tests of the capital asset pricing model (CAPM) are discussed in this paper. A formidable problem here involves setting up an effective method for testing or test methodology. Many conceptual and statistical problems are inherent in tests of capital asset pricing model. It always has to be concerned the possible contaminating effects of the inevitable real-world violations of the model’s assumption. The tests reported in this paper are tests of how well the model fits history. The purpose of this work is to determine whether the CAPM fits the real world and, if it does
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2

Plate, Mike. "CAPM-basierte Optionsbewertung." [S.l. : s.n.], 2000. http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB9394040.

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Milosinschi, Marian Alexandru <1991&gt. "An improved CAPM." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10772.

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Sidestål, Jesper, and Johnny Sjöholm. "IT - Bubblan och CAPM." Thesis, Södertörn University College, School of Social Sciences, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-359.

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5

Grek, Åsa, and Abdi Jimaale. "Testing CAPM for the Swedish Stock Market In Order to Capture the Price Expectations - A Comparison Between Conditional CAPM, and Unconditional CAPM." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-47697.

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6

Allergren, Fredrik, and Alvin Wendelius. "CAPM - i tid och otid : En portföljbaserad studie av CAPM på den svenska aktiemarknaden." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1081.

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<p>Capital Asset Pricing Model (CAPM) är den prissättningsmodell som mest frekvent används av aktörer på den finansiella marknaden samt i litteratur för att förklara sambandet mellan risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik eftersom nya empiriska undersökningar demonstrerat att modellen inte längre verkar visa en rättvisande avkastning i förhållande till risk.
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Cia, Josilmar Cordenonssi. "Saving-capm: uma proposta de solução para o equity premium puzzle do consumption-capm." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/2587.

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Made available in DSpace on 2010-04-20T20:48:06Z (GMT). No. of bitstreams: 3 74624.pdf.jpg: 19349 bytes, checksum: 269d46a30ce837e14a6d82e093455394 (MD5) 74624.pdf.txt: 205193 bytes, checksum: b18c9208c0b10a39e465247465127a9f (MD5) 74624.pdf: 777454 bytes, checksum: 76804656674cf7d08c7a3f917d0c9c05 (MD5) Previous issue date: 2006-08-08T00:00:00Z<br>Em 1985, Mehra e Prescott levantaram uma questão que até hoje não foi respondida de forma satisfatória: o prêmio de risco das ações americanas é muito maior do que poderia ser explicado pelo “paradigma neoclássico de finanças econômicas” (fina
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8

Hadjieftychiou, Aristarchos. "The CAPM approach to materiality." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12172008-063723/.

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9

Trevisin, Davide <1993&gt. "CAPM e modelli alternativi: confronto." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/11875.

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10

Bruno, Marlene Sofia Falcão. "Aplicação e análise do modelo CAPM condicional na bolsa de valores portuguesa." Master's thesis, Universidade de Évora, 2014. http://hdl.handle.net/10174/11506.

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O CAPM estático é o modelo mais utilizado para avaliar o trade-off entre rentabilidade esperada e risco, baseando-se apenas num único período de tempo. No entanto, numa economia dinâmica deve-se admitir que o risco e o prémio de risco variam ao longo do tempo. Com o intuito de testar aquela variabilidade, Jagannathan e Wang (1996) desenvolveram o modelo CAPM condicional, na qual incluíram as variáveis: prémio de risco de mercado, rentabilidade do capital humano e tamanho das empresas. O objetivo principal desta dissertação é aplicar este modelo ao mercado acionista português. Estimou-se o mode
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11

Vendrame, V. "Some extensions of the conditional CAPM." Thesis, University of the West of England, Bristol, 2014. http://eprints.uwe.ac.uk/23403/.

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The objective of this thesis is to consider some extensions of the CAPM and to investigate whether such extensions can offer a better explanation for the US average equity returns. This thesis focuses on four main extensions: (i) time-varying factor loadings; (ii) higher moments (coskewness and cokurtosis); (iii) time-varying risk premia,; and (iv) conditional versions of the CAPM using individual assets. Time-series and cross-sectional tests, conducted on portfolios sorted on market capitalization and/or the book-to-market ratio, show no evidence in support of CAPM. While the standard CAPM pr
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12

Lázaro, Joana Inês Botelho. "CAPM nos mercados Europeu e Português." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10767.

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Mestrado em Finanças<br>Este trabalho tem como objetivo fazer um estudo empírico de um dos maiores modelos no campo das Finanças: CAPM. Trata-se de um modelo de equilíbrio entre oferta e procura dos ativos transacionados e estabelece uma relação entre risco e rendibilidade. Na aplicação prática, procede-se à comparação das rendibilidades observadas com as rendibilidades de equilíbrio obtidas com o CAPM e para tal recorre-se a dois índices representativos dos mercados europeu e português -Eurostoxx 50 e PSI20. As rendibilidades obtidas com o modelo de equilíbrio são calculadas por dois método
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13

Reis, Caimi Franco. "Generalização do CAPM aplicada ao cálculo do custo de capital do setor de telefonia fixa do Brasil." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-22042007-120807/.

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Neste ano a Anatel começou a adotar um novo modelo para as tarifas de interconexão das diversas áreas de telecomunicações do Brasil. Nesse modelo o WACC e o CAPM têm um papel central no cálculo da remuneração do capital empregado em cada setor. No caso do CAPM, entretanto, há muitas controvérsias sobre a sua aplicabilidade a países emergentes. ESTRADA (2002, 2003), por exemplo, encontrou resultados mais plausíves para esses países utilizando o modelo D-CAPM, uma variação do CAPM baseada no risco Downside. Sabe-se, por outro lado, que o CAPM é uma composição média entre os riscos Downside e Ups
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14

Zhou, Jie. "Portfolio Optimization, CAPM & Factor Modeling Project." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/286.

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In this project, we implement portfolio theory to construct our portfolio, applying the theory to real practice. There are 3 parts in this project, including portfolio optimization, Capital Asset Pricing Model (CAPM) analysis and Factor Model analysis. We implement portfolio theory in the portfolio optimization part. In the second part, we use the CAPM to analyze and improve our portfolio. In the third part we extend our CAPM to factor models to get a deeper analysis of our portfolio.
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Zhao, Zhen. "Portfolio Optimization, CAPM & Factor Modeling Project." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/287.

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In this project, we implement portfolio theory to construct our portfolio, applying the theory to real practice. There are 3 parts in this project, including portfolio optimization, Capital Asset Pricing Model (CAPM) analysis and Factor Model analysis. We implement portfolio theory in the portfolio optimization part. In the second part, we use the CAPM to analyze and improve our portfolio. In the third part we extend our CAPM to factor models to get a deeper analysis of our portfolio.
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Comun, Tamariz Lizett Paola, and Ojeda Paula Mercedes Huaman. "Adaptación del modelo CAPM en mercados emergentes." Bachelor's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2019. http://hdl.handle.net/10757/626342.

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El presente trabajo de investigación analiza el estado del arte de los ajustes y adaptaciones que se han impuesto al modelo Capital Asset Pricing Model (CAPM) para habilitar su aplicabilidad en mercados emergentes, con el fin de valorar correctamente los activos financieros y estimar la rentabilidad esperada en función del riesgo, es justo mencionar que, desde la publicación del modelo han surgido constantes críticas que lo califican de ineficaz en mercados emergentes, basándose particularmente en que, el modelo representa el riesgo a través de una sola variable que es medida por el riesgo si
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17

Almeida, Leandro de Oliveira. "Estimação do CAPM intertemporal com ações da BOVESPA." Universidade de São Paulo, 2010. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-12052010-084724/.

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Esse trabalho se propõe a estimar um modelo de apreçamento de ativos de capital financeiro intertemporal, em inglês, intertemporal capital asset pricing model ICAPM, utilizando as inovações produzidas de duas variáveis de estado: o índice máximo de Sharpe e a taxa real de juros. Tais variáveis são supostas formadas a partir de um processo de difusão de reversão à média: Ornstein-Uhlenbeck. A estimação do modelo completo, ICAPM, é feita no arcabouço de cross-section e comparada com a estimação do modelo de três fatores de Fama-French, tanto em retornos mensais quanto semanais. O modelo ICAPM n
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18

Xu, Chenghao. "Portfolio Optimization, CAPM & Factor Modeling Project Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/243.

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In this Portfolio Optimization Project, we used Markowitz¡¯s modern portfolio theory for portfolio optimization. We selected fifteen stocks traded on the New York Stock Exchange and gathered these stocks¡¯ historical data from Yahoo Finance [1]. Then we used Markowitz¡¯s theory to analyze this data in order to obtain the optimal weights of our initial portfolio. To maintain our investment in a current tangency portfolio, we recalculated the optimal weights and rebalanced the positions every week. In the CAPM project, we used the security characteristic line to calculate the stocks¡¯ daily retu
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Dong, Yijun. "Portfolio Optimization, CAPM & Factor Modeling Project Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/244.

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In this Portfolio Optimization Project, we used Markowitz¡¯s modern portfolio theory for portfolio optimization. We selected fifteen stocks traded on the New York Stock Exchange and gathered these stocks¡¯ historical data from Yahoo Finance [1]. Then we used Markowitz¡¯s theory to analyze this data in order to obtain the optimal weights of our initial portfolio. To maintain our investment in a current tangency portfolio, we recalculated the optimal weights and rebalanced the positions every week. In the CAPM project, we used the security characteristic line to calculate the stocks¡¯ daily retu
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20

Matos, Fabrini Oliveira. "EvidÃncia empÃrica do modelo Capm para o Brasil." Universidade Federal do CearÃ, 2006. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1482.

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nÃo hÃ<br>O objetivo deste trabalho à testar o modelo CAPM (Capital Asset Pricing Model) utilizando-se da metodologia desenvolvida por Fama e MacBeth (1973) para a economia Americana. Fama e MacBeth testaram o CAPM utilizando-se de dados em cross-section. Seu estudo testou a relaÃÃo linear entre o retorno esperado, o risco sistemÃtico (beta dos portfÃlios) e a insignificÃncia estatÃstica da variÃncia residual (medida de risco nÃo sistemÃtico), para carteiras de ativos registradas na New York Stock Exchange (NYSE) no perÃodo de 1935 a 1968. Os resultados obtidos por Fama e MacBeth foram favorÃv
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21

Garcia, Paulo Renato Marchese. "Aplicação do CAPM condicional ao mercado acionário brasileiro." Pontifícia Universidade Católica de São Paulo, 2015. https://tede2.pucsp.br/handle/handle/1151.

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Made available in DSpace on 2016-04-25T16:44:46Z (GMT). No. of bitstreams: 1 Paulo Renato Marchese Garcia.pdf: 1597436 bytes, checksum: b8aeae0fcbfaf4d72d7899cc1060414d (MD5) Previous issue date: 2015-02-26<br>This study aims to empirically test the model of the conditional CAPM in the Brazilian stock market. The analysis is developed through theoretical exposition of the main causes that built the capital asset pricing model and the conditions under which it has been tested and developed. For this purpose, we used a sample of financial assets extracted from Economática system. After that si
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Zhou, Taoyuan, and Huarong Liu. "Empirical study on CAPM on China stock market." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40481.

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Matos, Fabrini Oliveira. "Evidência empírica do modelo CAPM para o Brasil." reponame:Repositório Institucional da UFC, 2006. http://www.repositorio.ufc.br/handle/riufc/5576.

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MATOS, Fabrini Oliveira. Evidência empírica do modelo CAPM para o Brasil. 2006. 48f. : Dissertação (mestrado profissional) - Programa de Pós-Graduação em Economia, CAEN, Universidade Federal do Ceará, Fortaleza-CE, 2006.<br>Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2013-08-06T18:28:46Z No. of bitstreams: 1 2006_dissert_fomatos.pdf: 1004884 bytes, checksum: ac031bdd73214d6f7b7964d12c3cafc4 (MD5)<br>Approved for entry into archive by Mônica Correia Aquino(monicacorreiaaquino@gmail.com) on 2013-08-06T18:29:00Z (GMT) No. of bitstreams: 1 2006_dissert_fomatos.pdf: 100488
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Guedes, Ricardo Brito. "CAPM estendido para momentos superiores : um teste empírico." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/10444.

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Pereira, José Rafael. "Estudo de correlações não lineares entre variações do Índice da Bolsa de Valores de São Paulo (IBOVESPA) e variações de preço de ações." Universidade de São Paulo, 2010. http://www.teses.usp.br/teses/disponiveis/96/96133/tde-10122010-165934/.

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Estudos de correlação entre variações de preços de ações e variação de índices de mercado são importantes na compreensão da relação entre o retorno e o risco envolvido na alocação de recursos (investimentos). De acordo com o risco envolvido, deve haver um adequado retorno. Esta questão é abordada pelo modelo CAPM Capital Asset Pricing Model , que parte da premissa de que o risco sistemático de um ativo pode ser mensurado pela sua sensibilidade aos movimentos do mercado, e para isso se supõe que os retornos dos títulos são linearmente relacionados às flutuações de um índice de mercado amplo co
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Zhang, Lina, and Qian Li. "Comparing CAPM and APT in the Chinese Stock Market." Thesis, Umeå universitet, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-76699.

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As the stock market plays an important role in the global economy and Chinese economy become progressively significant part of the world economy, we are interested in the Chinese stock market. After we compared the methods on the stock market, we choose to use the CAPM and the APT model on Chinese stock market. As a lot papers study on the Main Board of Chinese stock market, we pay our attention on the SME Board and the ChiNext Board of Chinese stock market. We put the samples from the SME Board and the ChiNext Board into the regression models which are based on the CAPM and the APT model, and
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Su, F. "Catastrophe bonds as innovations in an agent-based CAPM." Thesis, University of Liverpool, 2018. http://livrepository.liverpool.ac.uk/3022860/.

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This thesis studies the effect of catastrophe (CAT) bonds as innovations in a financial market. It provides a new and alternative approach to the description of CAT bonds, by utilizing an agent-based CAPM to analyse the behaviour of CAT bonds in a financial-market setting that comprises key features of an insurance industry. First, a model of CAT bonds as new assets in the single-period CAPM is developed. In this model, a CAT bond price is determined by a market clearing condition. The effects of CAT bonds on the financial market are discussed. Conditions under which investors include new asse
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Hackl, Harald [Verfasser]. "CAPM und Behavioral Finance - Versuch einer Synthese / Harald Hackl." Kassel : Universitätsbibliothek Kassel, 2013. http://d-nb.info/1045950661/34.

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Koci, Eni. "The stochastic discount factor and the generalized method of moments." Digital WPI, 2006. https://digitalcommons.wpi.edu/etd-theses/873.

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"The fundamental theorem of asset pricing in finance states that the price of any asset is its expected discounted payoff. Ideally, the payoff is discounted by a factor, which depends on parameters present in the market, and it should be unique, in the sense that financial derivatives should be able to be priced using the same discount factor. In theory, risk neutral valuation implies the existence of a positive random variable, which is called the stochastic discount factor and is used to discount the payoffs of any asset. Apart from asset pricing another use of stochastic discount factor is
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Gao, Panwen. "The Portfolio Optimization Project." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/1171.

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This project has three parts. The first part is to use the efficient frontier and find the tangency portfolio to form our optimal portfolio. We built our portfolio using the Interactive Brokers software and rebalanced every week for 4 holding periods to see the relationship between our projected returns and actual market returns. In the second part we considered the Capital Asset Pricing Model (CAPM) and ran linear regressions on the stocks we chose in the first part of the project. This process is based on our idea of finding the systematic risk in each stock to improve our stock choosing abi
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Väkiparta, Janne. "Finns det fler än en faktor som påverkar pribildningen av aktier - en studie inom den svenska aktiemarknaden." Thesis, University of Gävle, Department of Business Administration and Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-4573.

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<p>I denna uppsats<strong> </strong>undersöker jag huruvida CAPM eller APT modellerna ger resultat på den svenska aktiemarknaden mellan 1998 och 2007. Jag undersöker om någon av dessa modeller passar in i den svenska aktiemarknaden och hurdan är resultatet. Det som gör uppsatsen intressant är att jag använder båda modellerna i en och samma studie och jämför resultatet av uppskattningar av modellerna. Som markandsindex har jag använt OMXS30 index och som makroekonomiska variabler i APT-modellen har jag använt inflation, oljepris, industriproduktionsindex och ränta. Resultatet av studien är att
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Urniežius, Tomas. "NASDAQ OMX Vilnius likvidumo rizikos ir laukiamos akcijų grąžos sąveikos vertinimas." Bachelor's thesis, Lithuanian Academic Libraries Network (LABT), 2013. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2013~D_20130731_142451-90494.

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Bakalauro baigiamajame darbe artlikta akcijų, kuriomis prekiauta Vilniaus vertybinių popierių biržoje (NASDAQ OMX Vilnius) 2000-2012 metais, ir rinkos likvidumo analizė. Teorinėje dalyje sukaupta, susisteminta ir apibendrinta mokslinė literatūra apie vertybinių popierių biržų svarbą, jų įtaką šalies ekonomikos augimui ir rinkos likvidumo svarbą vertybinių popierių biržoms. Tiriamojoje dalyje baziniu akcijų įkainojimo modeliu pasirinktas kapitalinių aktyvių įkainojimo modelis (CAPM). Naudojant NASDAQ OMX Vilnius akcijų prekybos duomenis 2000-2012 metais, vertinama rinkos likvidumo, taikant skir
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SILVA, FLAVIO FORMOSO DA. "TEST OF CAPM ZERO-BETA IN THE BRAZILIAN CAPITAL MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2001. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2257@1.

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BANCO NACIONAL DE DESENVOLVIMENTO ECONÔMICO E SOCIAL<br>O CAPM (Capital Asset Pricing Model) padrão, proposto por Sharpe, Lintner e Mossin, é um dos principais paradigmas da teoria de finanças. Especifica que o retorno médio esperado de um ativo é função linear apenas do seu risco não diversificável ou risco sistemático. O prêmio de risco esperado do mercado é a inclinação desta função, e o retorno esperado do ativo livre de risco é o intercepto. Possui como uma de suas premissas básicas a de que os investidores podem emprestar e tomar emprestado à taxa livre de risco. O modelo CAPM ZE
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BRANDAO, CAROLINA SANTOS. "PERFORMANCE OF APT AND CAPM IN THE BRAZILIAN STOCK MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=23347@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO<br>A intenção do presente estudo é avaliar o desempenho do mercado acionário brasileiro, no período pós-estabilização econômica, através da utilização dos modelos financeiros APT e CAPM a fim de verificar qual deles é melhor capaz de retratar o desempenho das ações. O modelo CAPM foi comparado a dois modelos APT distintos: o Modelo de Três Fatores de Fama e French, e o Modelo APT Unificado ao CAPM proposto por John Wei, on
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Westbom, Emelie, Evelyn Seteánszki, and Sahanna Harish. "Performance analysis of the Swedish Pension Fund Market using CAPM." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-39972.

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The Capital Asset Pricing Model (CAPM) is frequently used in the world of finance to predict the price of various securities. In this thesis, the model will be examined on the Swedish pension fund market to evaluate three main questions. If CAPM holds on the Swedish pension fund market, to examine selected funds with various performance measurements and to predict the values for a smaller selection of funds and make a comparison to the actual returns. To achieve the aims, historical data has been used for the period of 2009-2017 selecting fifteen Swedish based pension funds from the four large
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Johansen, Christoffer, and Albin Hulme. "CAPM och den Effektiva marknadshypotesens påverkan av Covid-19 pandemin." Thesis, Uppsala universitet, Statistiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-445380.

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Hower, Sascha. "Unternehmensbewertung mit dem Tax-CAPM: Fortschritt oder nicht pragmatische Komplexitätssteigerung? /." Aachen : Shaker, 2008. http://d-nb.info/99025903X/04.

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Bergmann, Daniel Reed. "Avaliação empírica do modelo CAPM no mercado de capitais brasileiro via método dos momentos generalizados." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-08122006-112616/.

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Escolheu-se o método GMM a fim de testar os modelos CAPM não-condicionais (Sharpe-Litner e zero-beta) no mercado de capitais brasileiro, pois as séries dos log-retornos diários de ações analisadas não se mostraram normais e IID. Este trabalho é pioneiro em testar a validade do modelo CAPM zero-beta via GMM no mercado brasileiro. Constatamos que o modelo CAPM de SL, tanto em termos da SELIC como do CDI, não pode ser rejeitado ao nível de 5% para o período de 2/1/00 até 31/12/04. Já para os períodos de 2/1/95 até 31/12/99 e de 2/1/95 até 31/12/04, tal modelo foi rejeitado ao nível de 5%. Dessa
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39

Booson, Alexander, and Lowe Swahn. "Popularitet på aktiemarknaden : En undersökning av aktiers popularitets effekt på risk och avkastning." Thesis, Linköpings universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120185.

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Bakgrund: Under lång tid har den traditionella tolkningen varit att marknadspremier och högre avkastning på aktiemarknaden är kopplat till risk. Även den mest använda prissättningsmodellen idag, Capital Asset Pricing Model, bygger på detta antagande. I en artikel skriven av Ibbotson och Idzorek (2014) utmanas dock risk som den viktigaste faktorn bakom premier och avkastning. Artikeln innehåller stöd för att relativt hög avkastning har kunnat uppnås på den amerikanska marknaden genom att investera i portföljer med aktier som föregående år varit relativt opopulära. Den höga avkastningen generera
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Sarrasqueiro, Francisco Amável. "Pagamento de dividendos e o seu impacto no valor das empresas: uma aplicação ao psi 20." Master's thesis, Instituto Superior de Economia e Gestão, 2007. http://hdl.handle.net/10400.5/632.

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Mestrado em Economia Monetária e Financeira<br>Diversos estudos têm procurado resposta para a questão: “Qual a relevância da política de dividendos na determinação do valor de mercado das empresas?”. Este trabalho inclui uma abordagem teórica e uma abordagem empírica. Na abordagem teórica, apresentam-se as conclusões dos estudos internacionais mais representativos e influentes sobre este tema. Na abordagem empírica, baseada numa aplicação de um modelo CAPM expandido, a empresas Portuguesas cotadas em bolsa, testa-se a relevância da política de dividendos para o valor de mercado destas empresas
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Altebro, Kristina, and Rima Esmailiyan. "Företagsvärdering : En studie av två värderingsmodeller och deras harmonisering med noterade börsvärden." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-9530.

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Ett företags värde kan vara av yttersta vikt i en mängd situationer och många är de (aktieägare, myndigheter, analytiker, investerare m.fl.) som kan vara i behov av den informationen. Företagsvärdering är ett ständigt aktuellt ämne och aktieanalytiker värderar löpande börsföretagen för att identifiera övervärderade eller undervärderade aktier. Syftet med studien är att undersöka och jämföra resultatet i form av företagsvärdet från de analyserade värderingsmodellerna och det noterade börsvärdet. Den teoretiska referensramen har sin utgångspunkt i två grundval: utifrån framtida avkastning samt u
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Messner, Bryce Jaden. "Investing in United States Farmland: A Capital Asset Pricing Model Analysis." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/31635.

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This study examines the risk and returns to owning United States farmland. State, regional, and national farmland returns from 1998 to 2018 are analyzed via the capital asset pricing model. Results show that farmland may be an effective route of investment portfolio diversification due to its favorable returns and low correlation with other commonly held assets. This study’s findings are generally consistent with similar research conducted in the past.
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Tabiš, Peter. "Dynamické modely oceňovania aktiv." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199290.

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Field of examination is theoretical and empirical review of dynamic CAPM models that assume non constant volatility and correlation. In other words time evolution is considered in estimation process. As theoretical basement is recommended to be R. Engle's (Dynamic Conditional Beta) research and other sources.
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Iordanova, Tzveta. "Evaluation of single and three factor CAPM based on Monte Carlo Simulation." Thesis, University of Skövde, School of Technology and Society, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-104.

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<p>The aim of this master thesis was to examine whether the noticed effect of Black Monday October 1987 on stock market volatility has also influenced the predictive power of the single factor CAPM and the Fama French three factor CAPM, in order to conclude whether the models are less effective after the stock market crash. I have used an OLS regression analysis and a Monte Carlo Simulation technique. I have applied these techniques on 12 industry portfolios with US data to draw a conclusion whether the predictability of the single and three factor model has changed after October 1987. My rese
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Sandén, Mattias, and Lars Gräns. "Piotroski ur ett riskperspektiv : En empirisk studie av 3- samt 4-faktors CAPM." Thesis, Uppsala University, Department of Business Studies, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-129692.

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<p>An efficient market implies that the use of fundamental analysis should not result in excess return, and that any return exceeding the market average can be explained by compensation for risk, accord-ing to The Capital Asset Pricing Model (CAPM). The focus of this study is to test whether the suc-cessful investment strategy developed by Piotroski (2000) generates excess return on American data, after risk adjustment by using Fama & French’s (1993) 3-factor and Carhart’s (1997) 4-factor CAPM. Initially we form stock portfolios based on companies characterized by high book-to-market values, a
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Wang, Jingya. "Empirical studies on stock return predictability." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/empirical-studies-on-stock-return-predictability(682e59f0-6a33-4c0e-b0ca-a7f1128b1f7d).html.

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This thesis includes three essays on topics related to the predictability of market returns. I investigate i) the predictability of market returns from an adjusted version of cay ratio (cayadj), ii) the explanatory power of a conditional version of the consumption-CAPM which uses predictor variables to scale the pricing kernel, and iii) whether information about future market returns can be extracted from a large set of commodity data. The first essay studies the predictive ability of cayadj . In Campbell and Mankiw (1989), the consumption-wealth ratio is represented as a linear function of ex
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Řeháčková, Miroslava. "Návrh investičního portfolia na českém kapitálovém trhu pro malou rodinnou firmu." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-234719.

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This thesis describes the design of portfolio for the small family business in the Czech capital market conditions. It works with data from the Prague Stock Exchange and specifically from the Prime Market. The proposed based on Markowitz's portfolio theory and the CAPM model. From the historical data is created several portfolios, which are then compared with each other and have selected the one best suited to profitability and risk. Finally, the selected portfolio is tested under the conditions of the Czech capital market.
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Scherle, Fabian. "Untersuchung realer Renditen durch das CAPM Ein Vergleich der wichtigsten Märkte /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01653690002/$FILE/01653690002.pdf.

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Xu, Donghui, and Xi Yang. "Testing the CAPM Model : A study of the Chinese Stock Market." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1011.

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<p>There have been countless empirical studies conducted to test the validity of the Capital Asset Pricing Model（CAPM）since its naissance. However, few have considered the Chinese Stock Market. The purpose of this paper is to test the CAPM to see if it holds true in the Shanghai Stock Exchange (SSE). We use weekly stock returns from 100 companies listed on the SSE during 2000.1.1 to 2005.12.31. Black, Jensen and Scholes (1972) (time-series test) and Fama and MacBeth (1973) (cross-sectional test) methods were used to test the CAPM.</p><p>We found that the excepted returns and betas are linear r
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Wüsten, Nicolai. "Active Portfolio Management in the German Stock Market : A CAPM Approach." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18324.

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An investor can generate higher returns on the German stock market if he is using an active portfolio management strategy rather than its passive counterpart. This is possible because the market is not efficient and the DAX, namely the market portfolio, can be outperformed in regard to the average annual return and its variance. Therefore, the CAPM does not hold for the German stock market. The investor has to use the 10 weeks old changes of the ifo business climate index to forecast the DAX movement in the upcoming month. Even though this forecasting method only gave the correct trading signa
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