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1	Which Factors Explain Stock Returns on the Shanghai Stock Exchange Market? : A Panel Data Analysis of a Young Stock Market Pan, Lijin January 2012 (has links) This paper studies factors that influence the stock return on the Shanghai Stock Exchange (SSE) market. To achieve this goal, a stock-fixed effects model is estimated using a panel data sample comprising 100 companies listed on the SSE market during the 72-month period from January 2002 to December 2007. I find that number of trades and book-to-market value in both up and down markets have a significant and positive impact on stock returns during the studied period, whereas stock returns were negatively affected by systematic risk in both up and down markets although less so in up markets. Price to earnings ratio did not show any significant effect on stock returns on the SSE. My overall results indicate that SSE did not satisfy the efficient market hypothesis 1 during the studied period from January 2002 to December 2007. Panel data analysis CAPM Shanghai Stock Exchange market stock return systematic risk book-to-market value number of trades Economics and Business Ekonomi och näringsliv
2	Models explaining the average return on the Stockholm Stock Exchange Jämtander, Jämtander January 2018 (has links) Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used. Asset Pricing Model P/E ratio CAPM; Market Efficiency Market return risk-free rate Anomaly Behavioral finance Fama-French Three Factor Model Fama-French Four Factor Model Stockholm Stock Exchange Market value Book-to-market value Portfolio OLS-regression Social Sciences Samhällsvetenskap Business Administration Företagsekonomi

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Which Factors Explain Stock Returns on the Shanghai Stock Exchange Market? : A Panel Data Analysis of a Young Stock Market

Models explaining the average return on the Stockholm Stock Exchange