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Val av avkastningsmodell under en finansiell kris: En studie på den svenska aktiemarknaden före och under Covid-19 krisen
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
2020 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper analyzes stock returns in Sweden during the time periods January 2010 to December 2018 and January to March 2020. The method we use is OLS regressions. The regressions are performed on two different indexes. The purpose of the thesis is to find out which return model of CAPM, Fama-French Three Factor Model and Fama-French Five Factor Model that is the most optimal application in a crisis market for large and small companies respectively. The topicality comes from the crisis of the COVID-19 pandemic, that influenced the Swedish Stock market during the first quarter of 2020. The results of the regressions indicate that regardless of the market conditions, the five-factor model should be applied to both small and large companies at the Swedish stock market. This is despite the fact that the five-factor model variables do not consistently show significance.

Abstract [sv]

Denna uppsats analyserar aktieavkastningen i Sverige under tidsperioderna januari 2011 till december 2018 och januari till mars 2020. Vi använder OLS regressioner som metod. Regressionerna utförs på två olika index. Syftet med uppsatsen är att ta reda på vilken avkastningsmodell av CAPM, Fama-French Trefaktormodell och FamaFrench Femfaktormodell som är mest optimal att applicera under en krismarknad för stora respektive små företag. Aktualiteten i frågan uppstod genom COVID-19 krisen, som influerat den svenska aktiemarknaden under första kvartalet 2020. Resultaten av regressionerna indikerar på att oavsett marknadsförhållande bör femfaktormodellen appliceras för både små och stora företag på den svenska aktiemarknaden. Detta trots att femfaktormodellens variabler inte konsekvent uppvisar signifikans.

Place, publisher, year, edition, pages
2020. , p. 35
Keywords [en]
CAPM, Fama-French three-factor model, Fama-French five-factor model, equity return, Covid-19
Keywords [sv]
CAPM, Fama-French trefaktormodell, Fama-French femfaktormodell, aktieavkastning, Covid-19
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-15546Local ID: EXC513OAI: oai:DiVA.org:hv-15546DiVA, id: diva2:1455277
Subject / course
Nationalekonomi
Educational program
Mäklarekonomprogrammet, fastighet och finans
Supervisors
Examiners
Available from: 2020-07-24 Created: 2020-07-23 Last updated: 2020-07-24Bibliographically approved

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Citation style
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