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Det förbryllande sambandet mellan risk och avkastning: En studie av de nordiska finansiella marknaderna
Södertörn University, School of Social Sciences.
Södertörn University, School of Social Sciences.
2015 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
The baffling relationship between risk and return : A study on the Nordic financial markets (English)
Abstract [en]

Purpose: The purpose of the study is to in a comparative and causal way explore whether there is a relationship between risk and return and also how it is perceived on the Nordic financial markets.

Theory: The theoretical frame of reference applied in the thesis is considered relevant inthe perspective of the study’s purpose and research questions. We have among other theories used The Capital Asset Pricing Model, The Efficient Market Hypothesis and various Behavioural finance theories.

Method: The study has its starting point in a quantitative approach with a quantitative data analysis supported by secondary data extracted from Thomson Reuters.

Empirics: The empirics contains regression analyses made from calculated secondary data of 240 randomly chosen companies from Nasdaq OMX Stockholm, NasdaqOMX Copenhagen, Nasdaq OMX Helsinki and Oslo Bors.

Conclusion: The study conclusions show that there are both a negative and positive relationship between volatility and actual return on the investigated markets. Considering this prior statement we can conclude that the Capital Asset Pricing Model can’t correctly describe the actual relationship between the parameters investigated on the current sample. The Capital Asset Pricing Model’s unclear compatibility regarding the relationship makes it impossible to make conclusions about the Efficient Market Hypothesis on any other ground than the observed abnormal return.

Abstract [sv]

Syfte: Syftet med arbetet är att på ett komparativt och kausalt sätt ta reda på om ett samband mellan risk och avkastning existerar samt hur det i sådana fall urskiljs på de nordiska marknaderna.

Teorier: Den teoretiska referensramen som appliceras i uppsatsen finner vi vara relevantför studiens syfte och frågeställningar. Vi har bland annat använt oss av teorier som Capital Asset Pricing Model, den Effektiva marknadshypotesen samt olika Behavioural finance teorier.

Metod: Studien har sin utgångspunkt i en kvantitativ ansats med en kvantitativ dataanalys stödd av sekundärdata från Thomson Reuters.

Empiri: Empirin innefattar regressionsanalyser med kalkylerad sekundärdata från 240 slumpmässigt valda bolag från Nasdaq OMX Stockholm, Nasdaq OMX Köpenhamn, Nasdaq OMX Helsingfors samt Oslo Börs.

Slutsatser: Studiens slutsatser visar på både ett negativt och positivt samband mellan volatilitet och faktisk avkastning på de undersökta marknaderna. Med detta som grund dras slutsatsen att Capital Asset Pricing Model inte förmår korrekt beskriva det samband som råder på urvalet. Capital Asset Pricing Model:s otydliga kompatibilitet gör det omöjligt att dra slutsatser kring den Effektiva marknadshypotesens giltighet på andra grunder än observerade tillgångars överavkastning.

Place, publisher, year, edition, pages
2015. , 53 p.
Keyword [en]
Volatility, Return, Sharpe, Capital Asset Pricing Model, Stock market, Nasdaq OMX Stockholm, Nasdaq OMX Copenhagen, Nasdaq OMX Helsinki, Oslo Bors
Keyword [sv]
Volatilitet, avkastning, Sharpe, Capital Asset Pricing Model, aktiemarknad, Nasdaq OMX Stockholm, Nasdaq OMX Köpenhamn, Nasdaq OMX Helsingfors, Oslo Börs
National Category
Business Administration
Identifiers
URN: urn:nbn:se:sh:diva-27806OAI: oai:DiVA.org:sh-27806DiVA: diva2:823920
Subject / course
Business Studies
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2015-06-22 Created: 2015-06-18 Last updated: 2015-06-22Bibliographically approved

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CiteExportLink to record
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  • apa
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