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A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market: Modern Portfolio Theory
Linköping University, Department of Management and Engineering, Economics. Linköping University, Department of Science and Technology, Physics and Electronics.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Department of Science and Technology, Physics and Electronics.
2017 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. We also investigate if the Capital Asset Pricing Model is valid by doing a test similar to Fama and Macbeth’s of 1973.

Based on earlier studies in the field and our own study we come to the conclusion that high beta stocks does not outperform low beta stocks in the Swedish stock market 1999-2016. We believe that this relationship arises from inefficiencies in the market and irrational investing. By doing this study we observe that, the use of beta as the only risk factor for explaining expected returns on stocks or portfolios is not correct.

Place, publisher, year, edition, pages
2017. , p. 29
Keywords [en]
Fama and Macbeth, Fama and French, Low Volatility Anomaly, Stock, Market, Portfolio Theory, CAPM, Econometrics, Expected return forecasting
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-145323ISRN: LIU-IEI-FIL-G--16/01632--SEOAI: oai:DiVA.org:liu-145323DiVA, id: diva2:1185086
Subject / course
Bachelor Thesis in Economics
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Available from: 2018-02-26 Created: 2018-02-23 Last updated: 2018-02-27Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf