Search for dissertations about: "CAPM"

Showing result 1 - 5 of 10 swedish dissertations containing the word CAPM.

  2. 1. Financial Volatility and Time-Varying Risk Premia

    Author : Peter Hördahl; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    Abstract : This thesis consists of four empirical essays, all dealing with return volatility of financial assets and/or time-varying risk premia. In the first essay, Changing Risk Premia: Evidence from a Small Open Economy, the relation between risk and return is investigated for Swedish stocks. READ MORE

  4. 2. Essays on Mergers and Acquisitions and Event Studies

    Author : Mohammad Irani; Lars Nordén; Rickard Sandberg; Neslihan Ozkan; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; mergers and acquisitions; event study; prediction; payment method; conditional CAPM; time-varying parameters; structural change methodology; variance; covariance; företagsekonomi; Business Administration;

    Abstract : This dissertation consists of three studies on the anticipation of mergers and acquisitions (M&As) and its impact on takeover event studies. Article I investigates whether the market can anticipate both takeovers and their payment forms prior to their announcement dates. READ MORE

  5. 3. Evaluate Consumptionbased CAPM: Testing volatility restriction on intertemporal marginal rate of substitution

    Author : Fadi Zaher; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : [abstract missing].... READ MORE

  6. 4. Essays in empirical asset pricing

    Author : Johan Parmler; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : Capital Asset Pricing Model (CAPM) is the most widely used model in asset pricing. This model evaluates the asset return in relation to the market return and the sensitivity of the security to the market. However, the evidence supporting the CAPM is mixed. READ MORE

  7. 5. Designing for Automated Digital Preservation : Model, Pre-Ingest, and Error Handling

    Author : Parvaneh Westerlund; Tero Päivärinta; Jörgen Nilsson; Julie McLeod; Luleå tekniska universitet; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Long-term Digital Preservation; Design Science Research; Information System; Information systems; Informationssystem;

    Abstract : With the rapid increase in the amount and complexity of data that is needed to be preserved, manual preservation activities produce complex, lengthy, and costly processes. Therefore, automation of preservation processes, together with modeling of workflows and streamlining, can help reduce costs and enhance the focus on preservation processes. READ MORE