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Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market


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Title: Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market
Other Titles: Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market
Authors: Carlsson, Andreas
Hulth, Erik
Issue Date: 20-Feb-2019
Degree: Student essay
Series/Report no.: 201902:201
Uppsats
Keywords: Performance Evaluation
Asset pricing
Size Effect
Sharpe Ratio
Treynor ratio
Jensen´s alpha
Risk-Adjusted Returns
Fama-French Three-Factor Model
Carhart Four-Factor Model
Multi-factor models
Single-factor model
Abstract: This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. Moreover, equity returns have been suggested to, at least partially, be influenc... more
URI: http://hdl.handle.net/2077/59315
Appears in Collections:Kandidatuppsatser / Institutionen för nationalekonomi och statistik

 

 

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