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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.
Pełny tekst źródłaPlate, Mike. "CAPM-basierte Optionsbewertung". [S.l. : s.n.], 2000. http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB9394040.
Pełny tekst źródłaMilosinschi, Marian Alexandru <1991>. "An improved CAPM". Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10772.
Pełny tekst źródłaSidestål, Jesper, i 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.
Pełny tekst źródłaGrek, Åsa, i 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.
Pełny tekst źródłaAllergren, Fredrik, i 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.
Pełny tekst źródłaCapital 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.
För att undersöka om den över 40 år gamla modellen fortfarande visar någorlunda rättvisande beskrivningar av verkligheten har vi ställt oss frågan: Går det att med hjälp av historiska data förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden?
Vid besvarade av denna fråga har studien syftet Att med hjälp av portföljer studera huruvida sambandet mellan risk och avkastning, vilket postuleras av CAPM, stämmer på den nutida svenska aktiemarknaden.
Vi har utifrån vår kunskapssyn kritisk rationalism använt oss av en kvantitativ metod för att försöka ge svar på problemställningen, vilken angreps med ett deduktivt tillvägagångssätt. Den teoretiska referensramen behandlar teorier som portföljval, den effektiva marknadshypotesen och CAPM. Det empiriska materialet består av historiska aktiekurser vilka bearbetades och användes till att komponera flertalet portföljer. Dessa portföljer har sedan analyserats genom regressionsanalys och jämförts med ett aktiemarknadsindex i syfte att besvara vår problemställning.
Det som framkommit genom studien är att det till viss del med hjälp av historiska data går att förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden. Även om vi delvis kan ge stöd åt den testade modellen anser vi inte att betavärdet, som ensamt förklarande variabel och mått på risk, bör tillämpas vid beslutsfattande av investeringar, något som CAPM förutsätter att det ska göra. Det linjära samband som CAPM postulerar bedömer vi vara bristande i tillämpbarhet på dagens komplicerade aktiemarknad eftersom fler variabler än historiska data påverkar aktiekurserna.
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.
Pełny tekst źródłaEm 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” (financial economics) representado pelo modelo C-CAPM. E, a partir de então, este problema não resolvido ficou conhecido como o “Equity Premium Puzzle” (EPP) ou o “Enigma do Prêmio (de risco) das Ações”. Este enigma estimulou a produção de uma série de artigos, dissertações e teses que tentaram ajustar os modelos intertemporais de utilidade esperada aos dados dos mercados financeiros. Dentro deste contexto, esta tese busca (i) revisar a evolução histórica da teoria dos modelos de maximização da utilidade intertemporal dos agentes, (ii) analisar os pressupostos e conceitos chaves desses modelos, (iii) propor um novo modelo que seja capaz de solucionar o EPP, (iv) aplicar este modelo proposto aos dados históricos anuais entre 1929 e 2004 e (v) validar a lógica deste modelo através das metodologias Mehra-Prescott e Hansen-Jagannathan. Esta tese faz uma crítica de que os estudos até aqui desenvolvidos tentaram explicar a dinâmica de um mercado financeiro altamente sofisticado, através de um modelo de economia não-monetária e de subsistência. Assim, a sua contribuição consiste na alteração desse pressuposto de uma economia de subsistência, considerando que a renda disponível do setor privado não seja integralmente consumida, mas que também possa ser poupada. Assumindo que as pessoas obtêm satisfação (utilidade) tanto pelo consumo atual como pela poupança atual (que será o consumo futuro), será deduzido que a utilidade marginal de consumir é igual à de poupar, em todo e qualquer período. Com base nisso, a utilidade marginal a consumir é substituída pela utilidade marginal de poupar dentro do modelo básico do C-CAPM. Para reforçar a idéia de que o modelo desta tese usa dados de poupança em vez de consumo, ao longo do trabalho ele será chamado de Sanving-CAPM, ou S-CAPM. Este novo modelo mostrou-se capaz de solucionar o EPP quando submetidas às abordagens Mehra-Prescott e Hansen-Jagannathan.
In 1985 Mehra and Prescott raised a question that has not been answered satisfactorily: the equity premium of American shares is much higher than it could be explained by the "neoclassical paradigm of financial economics" represented by CCAPM models. And, since then, this non-solved issue is known as the Equity Premium Puzzle (EPP). This puzzle has stimulated the production of a series of articles, theses and dissertations that tried to adjust the intertemporal expected utility models to the financial markets' data. In this context, this doctoral dissertation aims to (a) revise the historical evolution of model theory of maximization of intertemporal expected utility, (b) analyze the key assumptions and concepts of these models, (c) propose a new model that can solve the EPP, (d) apply the proposed model to the historical data between 1929 and 2004, and (e) validate the logic of this model through the MehraPrescott and Hansen-Jagannathan methodologies. This doctoral dissertation criticizes that the studies so far formulated have tried to explain the dynamics of highly sophisticated financial markets through a model of non-monetary exchange economy. Hence, its contribution consists of the changing of this assumption of a exchange economy considering that the available income of the private sector is not fully consumed, but rather also saved. Taking into account that people can obtain satisfaction (utility) with the present consumption as well as with the present savings (that will be the future consumption), it will be deduced that the marginal utility of consuming is replaced by the marginal utility of saving within the basic C-CAPM model. To reinforce this idea that the model of this doctoral dissertation uses data of savings rather than consumption, throughout the study it will be called Saving-CAPM or S-CAPM. This new model has proved to be capable of solving the EPP when submitted to the Mehra-Prescott and HansenJagannathan approaches.
Hadjieftychiou, Aristarchos. "The CAPM approach to materiality". Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12172008-063723/.
Pełny tekst źródłaTrevisin, Davide <1993>. "CAPM e modelli alternativi: confronto". Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/11875.
Pełny tekst źródłaBruno, 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.
Pełny tekst źródłaVendrame, V. "Some extensions of the conditional CAPM". Thesis, University of the West of England, Bristol, 2014. http://eprints.uwe.ac.uk/23403/.
Pełny tekst źródłaLázaro, 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.
Pełny tekst źródłaEste 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 métodos: um utilizando um beta estimado mensalmente (beta mensal) e outro um beta estimado em relação ao período todo (beta inicial).O período temporal considerado é de janeiro de 2000 a junho de 2012, existindo uma subdivisão em dois períodos (antes crise e crise). A metodologia utilizada centra-se em testes de diferenças de médias, quer através de testes paramétricos ou não paramétricos. Com este estudo verificou-se que aplicando o CAPM ao índice Eurostoxx 50 a maioria das rendibilidades de equilíbrio são iguais às rendibilidades observadas. Neste índice o método de cálculo do beta que permite a igualdade de rendibilidades é o beta mensal, ocorrendo a igualdade no período da crise. Em relação ao índice PSI20, tal já não é tão evidente existindo um grande número de diferenças entre as rendibilidades observadas e as rendibilidades de equilíbrio, sendo o método de cálculo do beta que minimiza as diferenças de rendibilidade o beta inicial e continua a ser o período da crise em que ocorre.
This paper has the objective empirical study of one the largest models in the field of Finance: CAPM- Capital Assets Pricing Model. This is a model of balance between supply and demand of traded assets and establishes a relationship between risk and return. In practical application we compare observed returns with the returns obtained from the CAPM for two index representative of the European and Portuguese stock market- Eurostoxx 50. The returns obtained with the equilibrium model are calculated by two methods: one beta estimated monthly (monthly beta) and the other beta estimated over the whole period (initial beta). The time period considered is from January 2000 to June 2012, there is a subdivision into two periods (before crise and crisis). The methodology focuses on testing differences in means, parametric and nonparametric tests. With this study it was found that when applying the CAPM to the index Eurostoxx most return equilibrium is equal to the observed return. In this index the method of calculating the beta that allows equal returns is beta monthly, equality occurring during the crisis. Regarding the PSI 20 index, this is no longer so apparent large number of differences exists between the yield obtained and effective, and the method for calculating the beta that minimizes the differences of returns is the initial beta and continues to be the period of crisis in which checks.
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/.
Pełny tekst źródłaThis year Anatel began to adopt a new model to the interconnection tariffs to the several telecommunication areas of Brazil. According to this model, the WACC and the CAPM have a central role on determining the remuneration of the investment on each sector. However, there are much controversy about the applicability of CAPM to the emergent countries. For example, Estrada (2002, 2003) found more reasonable results to these countries using the D-CAPM, a variation of CAPM based on the Downside risk. It is also known that the CAPM is an average composition between the Donwside and Upside risks. The purpose of this work is to propose a generalization of the CAPM (Gw-CAPM), based on the weight of the Downside and Upside risks and analyse the existence of intermediate models that can evaluate more precisely the return of the brazilian local market of fixed telephony, aiming the new cost orientation adopted. Other objective is to build a specific methodology to the fixed telephony and apply the Gw-CAPM on the determination of the own capital cost, verifying whether there are significant differences on the final result of the sector capital cost. In the evaluation of the valuation power of the models, the Jensen index and the REQM were used. It is shown, therefore, that there is really a certain combination between the Downside and the Upside risks that evaluates more accurately the return of the sector operating companies and the fixed telephony market as a whole. In addition to this, we conclude that there are significant differences on determining the cost of capital when the model used is the Gw-CAPM.
Zhou, Jie. "Portfolio Optimization, CAPM & Factor Modeling Project". Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/286.
Pełny tekst źródłaZhao, Zhen. "Portfolio Optimization, CAPM & Factor Modeling Project". Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/287.
Pełny tekst źródłaComun, Tamariz Lizett Paola, i 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.
Pełny tekst źródłaThe following research analyzes the state of the art of the adjustments and adaptations imposed on the Capital Asset Pricing Model (CAPM) in order to enable its applicability on emerging markets, with the aim to value properly financial assets as well as estimate the expected profitability depending on the risk, It is fair to mention that, since the publication of the model, there has been severe criticism on its effectiveness for emerging markets, based on the fact that, the model displays the risk through a single variable that is measured by the systematic risk and that was originally designed for developed markets; in this sense, several proposals have been introduced by specialists suggesting wiht his theories to either adjust the Beta or weighted it, and other proposals suggest including variables such as credit spread, country risk and lambda, with which they maintain that it would be of the utmost importance to adapt the model to emerging markets, particularly characterized for being risky and have feature high volatility due to the constant fluctuations both in their economic and financial variables.
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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/.
Pełny tekst źródłaThis work intends to estimate an intertemporal capital asset pricing model, by using the innovations of two state variables: maximum Sharpe index and real interest rate. These variables are supposed created by a mean reverting diffusion process: Ornstein-Uhlenbeck. The complete estimation of ICAPM is made in a cross-section approach and it is compared with Fama-French three factors model, as in monthly return as weekly return. ICAPM model does not have a better goodness of fit than Fama-French Model.
Xu, Chenghao. "Portfolio Optimization, CAPM & Factor Modeling Project Report". Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/243.
Pełny tekst źródłaDong, Yijun. "Portfolio Optimization, CAPM & Factor Modeling Project Report". Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/244.
Pełny tekst źródłaMatos, 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.
Pełny tekst źródłaO 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 favorÃveis ao modelo CAPM uma vez que confirmaram a linearidade da linha de mercado de tÃtulos e que o risco nÃo sistemÃtico nÃo exerce influÃncia nos retornos esperados dos ativos ou carteiras. Confirmaram tambÃm, a relaÃÃo forte e linear entre os retornos das carteiras e o risco sistemÃtico, medido pelo beta dos ativos ou carteiras. Utilizando-se dados de retornos mensais de ativos que compÃem a Bolsa de Valores de SÃo Paulo (BOVESPA), compreendidos entre 1987 e 2004 foi testado o modelo CAPM para a economia Brasileira utilizando-se da mesma metodologia de Fama e MacBeth. Os resultados obtidos para a economia brasileira nÃo sÃo favorÃveis ao CAPM. Os resultados indicam que nÃo hà a exigÃncia de retornos adicionais por maior exposiÃÃo ao risco sistemÃtico, segundo premissa do modelo CAPM. Contudo, os resultados confirmam a linearidade da linha de mercado de tÃtulos e que o risco nÃo sistemÃtico nÃo exerce influÃncia nos retornos esperados dos ativos ou carteiras, para carteiras formadas por ativos da BOVESPA.
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.
Pełny tekst źródłaThis 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 six portfolios were formed based on financial literature assumptions in order to calculate the excess of return in each case. Following the procedure an econometric model was tested and adjusted to be possible its application apply the CAPM conditional version into Brazilian stocks market. Finally, the process was validated given the metrics presented in econometric results being robust and corroborating with the literature
Este trabalho tem por objetivo testar empiricamente o modelo do CAPM condicional no mercado acionário brasileiro. A análise é desenvolvida através da exposição teórica das principais causas que proporcionaram o surgimento do modelo de precificação de ativos financeiros e as condições nas quais ele foi testado e desenvolvido. Para tal, foi utilizada uma amostra de ativos financeiros extraídas do sistema Economática e com base na literatura foram formadas carteiras a fim de calcular o excesso de retorno das composições.Com base em testes econométricos e ajuste da modelagem foi possível aplicar o CAPM condicional no mercado acionário brasileiro e validar sua aplicação uma vez que as métricas apresentadas nos resultados econométricos mostraram-se robustas corroborando com a literatura
Zhou, Taoyuan, i 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.
Pełny tekst źródłaMatos, 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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O objetivo deste trabalho é 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 relação linear entre o retorno esperado, o risco sistemático (beta dos portfólios) e a insignificância estatística da variância residual (medida de risco não sistemático), para carteiras de ativos registradas na New York Stock Exchange (NYSE) no período de 1935 a 1968. Os resultados obtidos por Fama e MacBeth foram favoráveis ao modelo CAPM uma vez que confirmaram a linearidade da linha de mercado de títulos e que o risco não sistemático não exerce influência nos retornos esperados dos ativos ou carteiras. Confirmaram também, a relação forte e linear entre os retornos das carteiras e o risco sistemático, medido pelo beta dos ativos ou carteiras. Utilizando-se dados de retornos mensais de ativos que compõem a Bolsa de Valores de São Paulo (BOVESPA), compreendidos entre 1987 e 2004 foi testado o modelo CAPM para a economia Brasileira utilizando-se da mesma metodologia de Fama e MacBeth. Os resultados obtidos para a economia brasileira não são favoráveis ao CAPM. Os resultados indicam que não há a exigência de retornos adicionais por maior exposição ao risco sistemático, segundo premissa do modelo CAPM. Contudo, os resultados confirmam a linearidade da linha de mercado de títulos e que o risco não sistemático não exerce influência nos retornos esperados dos ativos ou carteiras, para carteiras formadas por ativos da BOVESPA.
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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The inclusion of higher moments in CAPM has been discussed in recent decades. This work performs an empirical test of the model extended to the third and fourth moments, in which the skewness and kurtosis are also priced. This test was based on Generalized Method of Moments (GMM) procedures, in which all the moment conditions derived from the theoretical model. The data used were the daily returns of the most liquid Brazilian stocks between 2004 and 2006.
A inclusão de momentos superiores no apreçamento de ativos do modelo CAPM vem sendo bastante discutido nas últimas décadas. Esse trabalho realiza um teste empírico para o modelo CAPM estendido para os 3o e 4o momentos, no qual as assimetrias e curtoses dos ativos também são apreçadas. O teste foi realizado utilizando o Método Generalizado dos Momentos (MGM), em que todas as condições de momento derivam do modelo teórico. Os dados utilizados foram os retornos diários das ações mais negociadas na Bovespa entre 2004 e 2006.
Zhang, Lina, i 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.
Pełny tekst źródłaSu, F. "Catastrophe bonds as innovations in an agent-based CAPM". Thesis, University of Liverpool, 2018. http://livrepository.liverpool.ac.uk/3022860/.
Pełny tekst źródłaHackl, Harald [Verfasser]. "CAPM und Behavioral Finance - Versuch einer Synthese / Harald Hackl". Kassel : Universitätsbibliothek Kassel, 2013. http://d-nb.info/1045950661/34.
Pełny tekst źródłaPereira, 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/.
Pełny tekst źródłaCorrelations among stock price variations and stock market indices variations are important in understanding the relationship between return and risk involved in the allocation of resources (investments). According to the risk involved there exists an appropriate return. This issue is addressed by the CAPM Capital Asset Pricing Model , based on the premise that the systematic risk of an asset can be measured by its sensitivity to market movements and it is assumed that the returns are linearly related to the fluctuations of a market index with a known degree of sensitivity. However, nonlinear relationships may occur. Thus, the present study analyzes a global measure of correlation of information coming from theory, which measures any type of relationship between two variables, i.e. linear and nonlinear. The goal here is to show the presence of nonlinear correlations in the Brazilian capital market. The overall correlation obtained is expressive and greater than the linear correlation across the sample of 33 stock assets from the theoretical portfolio of São Paulo Exchange Index (IBOVESPA), from May 2001 to April 2008, totaling 84 months (7 years).
Koci, Eni. "The stochastic discount factor and the generalized method of moments". Digital WPI, 2006. https://digitalcommons.wpi.edu/etd-theses/873.
Pełny tekst źródłaGao, Panwen. "The Portfolio Optimization Project". Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/1171.
Pełny tekst źródłaVäkiparta, 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.
Pełny tekst źródłaI denna uppsats 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 med de makroekonomiska variablerna, som jag har använt, ger både CAPM och APT likvärdiga resultat. Slutsatsen av min studie är att APT med de rätta variablerna är en bättre modell att skatta priset på aktier än CAPM.
In this essay, I examine whether CAPM or APT models give results on the Swedish stock market between 1998 and 2007. I examine if either CAMP or APT or both of these models fits in on the Swedish stock market and what the result is. What makes this essay interesting is that I use both models in one and the same study and compare the result of my estimates with these two models. As market index, I have used the OMXS30 index and as macroeconomic variables in APT model, I have used inflation, oil price, industry production index and interest. The result of the study is that with the macroeconomic variables, that I have used with APT and CAPM, gives CAPM and APT equivalent results. The conclusion of the study is that APT, with the correct variables, is better model for estimating the stock prices than CAPM.
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.
Pełny tekst źródłaIn this bachelor thesis analysis of stocks, which were traded in Vilnius stock market (NASDAQ OMX Vilnius) from 2000 till 2012, and market liquidity risk is carried out. Theoretical part accumulates, systemizes, and summarizes scientific literature about the importance of stock markets, their influence to the country’s economic development and the importance of the market liquidity to the stock markets. In the empirical part capital asset pricing model (CAPM) is chosen as a basic model for stock pricing. While using the trading data from NASDAQ OMX Vilnius from 2000 till 2012 the influence of the market liquidity, which is estimated using various measurements, on the stock returns, which are predicted by CAPM, is analyzed. In addition, through the construction of portfolios with different sensitivity to the market liquidity risk NASDAQ OMX Vilnius liquidity risk premium (compensation to the investors who hold illiquid stocks) is calculated.
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.
Pełny tekst źródłaO 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 ZERO-BETA, proposto por Black, Jensen e Scholes (1972), considera que o investidor não pode emprestar nem tomar emprestado à taxa livre de risco. Nesse modelo o retorno esperado do ativo livre de risco é substituído pelo retorno esperado de uma carteira (carteira zero-beta) que possui mínima variância e covariância zero com o retorno esperado da carteira de mercado. É também conhecido como CAPM de dois parâmetros, pois tanto o beta do ativo como o retorno da carteira zero-beta necessitam ser estimados, já que não podem ser diretamente observados. Este trabalho testa o CAPM zero- beta no mercado de capitais brasileiro. Utiliza a metodologia de regressão multivariada (MVRM), proposta por Gibbons (1982). Esta metodologia executa uma SUR (Seemingly Unrelated Regression) e estima conjuntamente o beta dos ativos e o retorno da carteira zero-beta. Além de dispensar a escolha do ativo livre de risco, a MVRM evita o erro de variáveis que ocorre na metodologia de regressão cross- section. Utilizando os ativos negociados na Bolsa de Valores do Estado de São Paulo (BOVESPA) no período de 1986 a 2001, o teste não rejeita o CAPM zero-beta para os períodos de 1991 a 1996 e 1996 a 2001. Os resultados indicam um aumento recente na eficiência do mercado de capitais brasileiro.
The standard CAPM (Capital Asset Pricing Model), proposed by Sharpe, Lintner and Mossin, is one of the most important paradigms of finance theory. It states that the expected mean return on an asset is a linear function of its non- diversifiable risk or systematic risk. The expected market risk premium is the slope of this function, and the risk- free return is the intercept. One of its main assumptions is that investors can lend and borrow at the risk-free rate.The Zero-Beta CAPM, proposed by Black, Jensen and Scholes (1972), states that investors cannot lend nor borrow at the risk-free rate. In this model, the expected return of the risk-free asset is substituted by the expected mean return on a portfolio with minimum variance and no covariance with the market portfolio. This model is also known as the two-parameter CAPM, as both the beta and the zero-beta expected mean return need to be estimated. This work tests the Zero-Beta CAPM in the Brazilian stock market. It uses a >multivariate regression methodology (MVRM), proposed by Gibbons (1982). This methodology runs a SUR (Seemingly Unrelated Regression), proposed by Zellner (1962) and both the beta and the zero-beta mean return are estimated jointly. This methodology doesn`t need a risk- free asset, and eliminates the errors-in-variables problem present in the cross-section regression model. By using the stocks negociated at the São Paulo Stock Exchange (BOVESPA), in the period from 1986 to 2001, it doesn`t reject the zero-beta CAPM in the period from 1996 to 2001.
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.
Pełny tekst źródłaCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
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, onde foram utilizados fatores macroeconômicos além do fator de mercado. Em todos os modelos o prêmio de risco se mostrou relevante. O Modelo de Três Fatores apresentou melhor capacidade explicativa em relação ao CAPM. Todavia, este modelo apresentou uma anomalia do mercado brasileiro, tendo as empresas de pequeno porte apresentado retornos menores que as empresas grandes. A utilização deste modelo implicaria na crença que esta anomalia irá perdurar no futuro. No modelo APT Unificado ao CAPM não foi possível rejeitar a hipótese da inexistêcia de prêmio de risco de todos fatores simultaneamente. Além disso, o ganho de poder explicativo do modelo quando comparado ao CAPM foi insignificante.
This study analyses the Brazilian stock market after the stabilization of the local economy using the APT and CAPM models to evaluate which of them better reflect stock performance. The CAPM was compared to two different APT models: Fama and French Three Factor Model, and An Asset Pricing Theory Unifying the CAPM and APT as proposed by John Wei based on macroeconomic factors and the market premium. For all models the market premium was a relevant variable. The Fama and French Three Factor Model was superior in explaining stock returns than the CAPM, although the size factor for the Brazilian market had an anomaly behavior: large companies outperformed small companies. The use of this model implies that this anomaly will continue in the future which is against the risk-return theory. For model Unifying the CAPM and APT it was not possible to reject the hypothesis that all variables are statically different than zero simultaneously. The increase in explaining power of the model was marginal compared to the CAPM.
Westbom, Emelie, Evelyn Seteánszki i 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.
Pełny tekst źródłaJohansen, Christoffer, i 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.
Pełny tekst źródłaHower, Sascha. "Unternehmensbewertung mit dem Tax-CAPM: Fortschritt oder nicht pragmatische Komplexitätssteigerung? /". Aachen : Shaker, 2008. http://d-nb.info/99025903X/04.
Pełny tekst źródłaBergmann, 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/.
Pełny tekst źródłaThe GMM method have been chosen in order to test non-conditional CAPM (Sharpe-Lintner and zero-beta) model in Brazilian security market, because the daily log-returns series of the analyzed shares did not showed itselves as normal and IID. This dissertation will be pioneer in testing the validity of the CAPM zero-beta model by GMM. We have realized that the SL CAPM model, either in terms of SELIC rate as of CDI rate (risk-free assets), can not be rejected at 5% level for the period from 2/1/00 until 31/12/04. For the periods from 2/1/95 until 31/12/99 and from 2/1/95 until 31/12/04, the given model was rejected at the 5% level. This way, for the SL CAPM model, either in terms of SELIC rate as of CDI rate, the BOVESPA index has behaved as an efficient portfolio only on the period from 2/1/00 until 31/12/04. For the zero-beta CAPM model, it can be verified that we cannot reject it at the 5% level in none of the three periods analyzed above.
Booson, Alexander, i 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.
Pełny tekst źródłaBackground: Over the past few decades it has been generally accepted that market premiums come with an associated level of risk. Even the most widely used pricing model today, CAPM, leans on this assumption. In an article written by Ibbotson and Idzorek (2014) this assumption is challenged as the main driver of market premiums and returns. The article contains evidence that relatively high returns have been earned through buying less popular stocks on the U.S. stock market. Surprisingly the risk-return dimension exhibited an inverse relationship. This evidence from the U.S. stock market motivates us to investigate to what extent this effect can also be seen on the Swedish stock market. Aim: The aim of this thesis is to identify and analyze the effect of a stock`s popularity on the risk and return. Completion: In this quantitative study, share turnover and market capitalization have been used as approximations for popularity. The effects of stocks popularity on risk and return have been are examined by evaluating the performance of portfolios when categorizing the stocks by share turnover and market capitalization. The statistical relationship between popularity and return is analyzed using regression analysis. This study has both studied the effect of last year's popularity, as well as the effect of the popularity of the same year. Conclusion: When various approximations for the popularity dimension are studied and compared, this study shows no marked effect of stock`s popularity from the previous year on risk and return. The study finds no statistically significant relationship between the previous year ́s popularity and return. However, there is a positive statistically correlation between popularity and return when measured during the same year as when the popularity was measured. In addition, the results establish evidence for the stock turnover as a good measure of popularity.
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.
Pełny tekst źródłaDiversos 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, não se detectando evidência favorável a esta hipótese.
Several studies have tried to answer the question: “How relevant is the dividend policy to determine the valuation of firms?”. This work includes both a theoretical and an empirical approach. In the theoretical approach, we present the conclusions of the most representative and influential international studies. In the empirical approach, based on an expanded CAPM model applied to Portuguese firms quoted in the stock market, we test the relevance of dividend policy for the valuation of these firms, and we do not find evidence confirming this hypothesis.
Altebro, Kristina, i 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.
Pełny tekst źródłaA company's value can be of utmost importance in a variety of situations and many are those (shareholders, government agencies, analysts, investors and others) who may be in need of the information. Business Valuation is a perennially topical subject and stock analyzers evaluate current listed companies to identify overvalued or undervalued stocks. The purpose of this study is to investigate and compare the results in terms of business value from the analyzed valuation models and the quoted market value. The theoretical framework is based on two bases: Based on future performance and the value of assets and liabilities. These two theories are usually called yield and net asset valuation. This study is based on the quantitative method. Calculations were made by using the numeric data in terms of external information from the selected company’s financial statements. This essay is characterized by a deductive approach, theories and models were tested against the empirical basis. The result of the evaluation, developed with yield valuation, differs sharply in comparison with those of the company’s listed stock prices. Same pattern is found in the net asset value, where an obtained result shows large differences in market capitalizations. One must take into account a variety of factors such as the nature of the assets of the company, its liabilities and capital structure. Or is it so that the company settled and assets can be sold? The difference in valuation arises not only because the models value the factors in different ways, the differences can also be traced to who carries out the valuation. It requires a solid understanding of both the company itself and the market in which it operates.
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.
Pełny tekst źródłaTabiš, Peter. "Dynamické modely oceňovania aktiv". Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199290.
Pełny tekst źródłaScherle, 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.
Pełny tekst źródłaXu, Donghui, i 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.
Pełny tekst źródłaThere 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.
We found that the excepted returns and betas are linear related with each other during the entire period of 2000.1.1 to 2005.12.31, which implies a strong support of the CAPM hypothesis.
On the other hand, as the CAPM hypothesizes for the intercept, is it should equal zero and the slope should equal to the average risk premium. However, the results from the test refute the above hypothesizes and offer evidence against the CAPM.
According to the findings of the empirical test, we conclude that the Capital Asset Pricing Model does not give a valid description of the Chinese Stock Market during 2000.1.1 to 2005.12.31.
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.
Pełny tekst źródłaHo, Yiu Wah. "The pricing of Hong Kong equity stocks in a CAPM framework". Thesis, King's College London (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324674.
Pełny tekst źródłaLam, Kenneth. "Is the Fama-French three-factor model better than the CAPM? /". Burnaby B.C. : Simon Fraser University, 2005. http://ir.lib.sfu.ca/handle/1892/2094.
Pełny tekst źródłaChague, Fernando Daniel. "The Capm and Fama-French models in Brazil: a comparative study". reponame:Repositório Institucional do FGV, 2007. http://hdl.handle.net/10438/1786.
Pełny tekst źródłaThis paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as a benchmark for comparative purposes. We use two competing econometric methods, the Generalized Method of Moments (GMM) by (Hansen, 1982) and the Iterative Nonlinear Seemingly Unrelated Regression Estimation (ITNLSUR) by Burmeister and McElroy (1988). Both methods nest other options based on the procedure by Fama-MacBeth (1973). The estimations show that the FF model fits the Brazilian data better than CAPM, however it is imprecise compared with the US analog. We argue that this is a consequence of an absence of clear-cut anomalies in Brazilian data, specially those related to firm size. The tests on the efficiency of the models - nullity of intercepts and fitting of the cross-sectional regressions - presented mixed conclusions. The tests on intercept failed to rejected the CAPM when Brazilian value-premium-wise portfolios were used, contrasting with US data, a very well documented conclusion. The ITNLSUR has estimated an economically reasonable and statistically significant market risk premium for Brazil around 6.5% per year without resorting to any particular data set aggregation. However, we could not find the same for the US data during identical period or even using a larger data set. Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são Infrontados, os modelos Capital Asset Pricing Model (CAPM)e de 3 fatores de Fama-French. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ao ano.
Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são confrontados, os modelos Capital Asset Pricing Model (CAPM) e de 3 fatores de FamaFrench. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ano.
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.
Pełny tekst źródłaThe 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 research confirms that the single factor CAPM performs better before October 1987 and also found evidences that support the same hypothesis of Black Monday effect on the predictive power of the Fama French three factor model.