Change search
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
Factor Analysis of a Low Market Beta Portfolio in the Nordics
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Faktoranalys av en portfölj med låg marknadsbeta i Norden (Swedish)
Abstract [en]

The return of publicly traded assets has been studied by both academia and commercial institutions, using models with different sets of factors. Building on the work of previous results in this field, such as the CAPM-model, the three-factor model by Fama and French, and the four-factor model by Carhart, this thesis studies the return of a low market beta portfolio in the Nordic stock market. This is done using multiple linear regression on different risk factors that take into account volatility, company size, book-to-market ratio, and momentum. The choice of factors represents different risks in the market. Results of the thesis find that half of the variation of returns is explained by the chosen model.

Abstract [sv]

Avkastningen från börsnoterade tillgångar har studerats av både akademiska och kommersiella institutioner genom modeller med olika faktorer. Genom att bygga vidare på tidigare resultat inom detta område, så som CAPM-modellen, tre-faktormodellen av Fama och French och fyra-faktormodellen av Carhart, avser denna rapport att studera avkastningen av en portfölj med låg marknadsbeta på den nordiska aktiemarknaden. Detta görs genom multipel linjär regression med olika riskfaktorer som tar hänsyn till volatilitet, bolagets börsvärde, book-to-market-ratio och momentum. Valet av faktorer representerar olika risker på marknaden. Studiens resultat visar att hälften av variationen i avkastningen kan beskrivas av den valda modellen.

Place, publisher, year, edition, pages
2019.
Series
TRITA-SCI-GRU ; 2019:163
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-254294OAI: oai:DiVA.org:kth-254294DiVA, id: diva2:1334706
External cooperation
Nordnet AB
Subject / course
Applied Mathematics and Industrial Economics
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2019-07-03 Created: 2019-07-03 Last updated: 2019-07-03Bibliographically approved

Open Access in DiVA

fulltext(1545 kB)10 downloads
File information
File name FULLTEXT01.pdfFile size 1545 kBChecksum SHA-512
99f9c4f2ac884d5ade3547fee5b2b5438085df64800e5cdf798900e7332cedfeaed698b29feb6e8d905398133ee310dc68a069e994f507a874b75bf651d1037c
Type fulltextMimetype application/pdf

By organisation
Mathematical Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 10 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 22 hits
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