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.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hj-40360 |
| Date | January 2018 |
| Creators | Jämtander, Jämtander |
| Publisher | Högskolan i Jönköping, Internationella Handelshögskolan |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0024 seconds