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1	An empirical investigation into the validity of the security market line Song, Li, 1983- 16 November 2010 (has links) The well-known CAPM (capital asset pricing model) model in finance states that return is a function of risk. The more risky a stock is, the higher the return is expected to be. One way of modeling this relationship between stock return and stock risk is with the Security Market Line. The Security Market Line is the regression line between the returns of stocks in the market and their risks, as measured by the Beta Coefficient. However, in our empirical research, this model does not fit as well as it should. This report uses historical data to examine when this financial theory does not fit the historical data and the possible factors that might affect the validity of this model from a statistical perspective. / text CAPM Security market line Beta coefficient P-value
2	Institutional investor sentiment, beta, and stock returns Wang, Wenzhao 09 March 2020 (has links) Yes / This paper examines the role of institutional investor sentiment in determination of the beta-return relation. Empirical evidence documents a positive (negative) beta-return relation over bearish (bullish) periods, implying that institutional investors can also be sentiment traders. Institutional investor sentiment Beta-return relation Capital asset pricing model (CAPM) Risk-return tradeoff Security market line (SML)
3	B-Values : Risk Calculation for Axfood and Volvo Bottom up beta approach vs. CAPM beta Ljungström, Divesh January 2007 (has links) The aim of this thesis is to study the risk for two Swedish companies, Axfood and Volvo. To test the required return on equity, a bottom-up beta approach and a CAPM regression beta are used. This thesis concludes that the bottom-up beta gives a truer reflection and a more updated beta value than a CAPM regression beta on the firm’s current business mix, the CAPM beta takes only the past stock prices into consideration. The empirical results for Volvo conclude that the levered bottom-up beta is 1.09 and the CAPM β is 0.52 for Volvo. The empirical results for Axfood which is categorized as consumer goods sector implies that the levered bottom-up beta is 0.87 while the CAPM regression beta is 0.29. CAPM Jensen’s measure alpha Security market line Bottom-up Betas Levered Beta Unlevered Beta Required return on Equity Debt Equity ratio. Economics Nationalekonomi
4	B-Values : Risk Calculation for Axfood and Volvo Bottom up beta approach vs. CAPM beta Ljungström, Divesh January 2007 (has links) <p>The aim of this thesis is to study the risk for two Swedish companies, Axfood and Volvo. To test the required return on equity, a bottom-up beta approach and a CAPM regression beta are used. This thesis concludes that the bottom-up beta gives a truer reflection and a more updated beta value than a CAPM regression beta on the firm’s current business mix, the CAPM beta takes only the past stock prices into consideration. The empirical results for Volvo conclude that the levered bottom-up beta is 1.09 and the CAPM β is 0.52 for Volvo. The empirical results for Axfood which is categorized as consumer goods sector implies that the levered bottom-up beta is 0.87 while the CAPM regression beta is 0.29.</p> CAPM Jensen’s measure alpha Security market line Bottom-up Betas Levered Beta Unlevered Beta Required return on Equity Debt Equity ratio. Economics Nationalekonomi

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