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The Capital Asset Pricing Model : a test on the Stock Exchange of SingaporeGarg, Vivek, University of Western Sydney, School of Economics and Finance January 1999 (has links)
Of the many analytical methods collectively referred to as Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM) is the most familiar to today’s generation of students of finance. The popularity of the CAPM arises from its success in expressing a powerful theoretical insight in a simple, usable form. The primary use of the CAPM is to determine minimum required rates of return from investment in risky assets. The variable in the CAPM is called ‘beta’, a statistical measure of risk which has become familiar to all finance professionals. Over the past decade, beta has become the most widely recognised and applied measure of risk in the investment community. The model has been extensively tested in the developed capital markets, mainly in the United States of America. But the model has not been extensively tested in other developed and developing countries, often due to the size of the capital market and the lack of the data in these countries. This study attempts to fill this vacuum and tries to update the earlier tests done on the Stock Exchange of Singapore. On addition, a review of the validity of the CAPM over time, as proxied by the stationarity of the beta, is performed. Also, tests regarding heteroskedasticity and its implications have been undertaken. / Master of Commerce (Hons)
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International stock market returns and systematic risk factors : an empirical investigation into the APT using macroeconomic factors and multivariate estimationAl-Saiaari, Mohsen Naser Khamis January 1991 (has links)
This thesis examines the relationship between stock market returns and systematic risk factors in twelve industrial countries. Using the APT framework, the thesis investigates the notion of international stock market integration versus segmentation in terms of pricing risk, international stock market efficiency in terms of eliminating arbitrage opportunities across domestic markets, and the validity of the international version of the APT according to a model that specifies purely domestic factors. Starting with ordinary least squares estimation the thesis investigates the responses of investors in their national stock markets to systematic shocks. By employing iterative non-linear multivariate seemingly unrelated regression estimation, this work avoids the statistical problems encountered in the second-pass test of the two-stage procedure. This study found that the international stock market was neither integrated nor efficient and that the IAPT was not supported by the results during the period investigated. It was demonstrated that partial and regional integration, regional efficiency, and regional IAPT validity cannot be ruled out. Moreover, the alternative model proved to be practically valid.
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Millennials köpbeteende och risktagande på aktiemarknaden : En mer våghalsig generation med annat tänk?Rosendal, Jens January 2021 (has links)
Millennials har ett starkt avvikande köpbeteende på börsen jämfört med äldre generationer. De har högre riskbenägenhet och är benägna att ta betydligt större risker vid köp av aktier och fonder. Oväntade kursrörelser och en mer oberäknelig börs blir konsekvenser av Millennials oberäkneliga och nyckfulla beteende. Syftet med denna studie var att undersöka Millennials köpbeteende när det kommer till aktier och fonder med fokus på deras risktagande. Studien hade en kvalitativ och deduktiv ansats och ett deskriptivt forskningssyfte. Data samlades in genom fallstudier och semistrukturerade intervjuer på ett selektivt urval av Millennials där frågor baserat på portföljsammansättning, informationsinhämtning, urvalskriterier och riskbenägenhet besvarades. Studiens resultat visade att Millennials sparar på lång sikt, gärna i framtidsbranscher inom teknologi eller medicin. Millennials är vinstsökande och högre risk med potentiellt bättre avkastning föredras över att investera med lägre risk och potentiellt lägre avkastning. Teknologiska framsteg i from av internet och nätmäklare är verktyg Millennials använde sig av vid köp av aktier och fonder. Studien bidrar med kvalitativa data och en djupare förståelse om Millennials och hur samspelet mellan informationsinhämtning, urvalskriterier och risk påverkar Millennials portföljsammansättning. Millennials använder sig av peer reviews och word-of-mouth i stor utsträckning vid köp av aktier men har samtidigt en hög grad av källkritik.
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