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Models explaining the average return on the Stockholm Stock Exchange
Jönköping University, Jönköping International Business School.
2018 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2018. , p. 30
Keywords [en]
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
National Category
Social Sciences Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-40360ISRN: JU-IHH-NAA-1-20180122OAI: oai:DiVA.org:hj-40360DiVA, id: diva2:1218036
Subject / course
JIBS, Business Administration
Presentation
2018-05-31, B3052, Jönköping International Business School, Jönköping, 15:10 (English)
Supervisors
Examiners
Available from: 2018-06-26 Created: 2018-06-14 Last updated: 2018-06-26Bibliographically approved

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CiteExportLink to record
Permanent link

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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
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