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Finns det fler än en faktor som påverkar pribildningen av aktier - en studie inom den svenska aktiemarknaden
University of Gävle, Department of Business Administration and Economics.
2009 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Is there more than one factor that influences the pricing of stocks - a study within the Swedish stock market (English)
Abstract [sv]

I denna uppsats undersöker jag huruvida CAPM eller APT modellerna ger resultat på den svenska aktiemarknaden mellan 1998 och 2007. Jag undersöker om någon av dessa modeller passar in i den svenska aktiemarknaden och hurdan är resultatet. Det som gör uppsatsen intressant är att jag använder båda modellerna i en och samma studie och jämför resultatet av uppskattningar av modellerna. Som markandsindex har jag använt OMXS30 index och som makroekonomiska variabler i APT-modellen har jag använt inflation, oljepris, industriproduktionsindex och ränta. Resultatet av studien är att med de makroekonomiska variablerna, som jag har använt, ger både CAPM och APT likvärdiga resultat. Slutsatsen av min studie är att APT med de rätta variablerna är en bättre modell att skatta priset på aktier än CAPM.

Abstract [en]

In this essay, I examine whether CAPM or APT models give results on the Swedish stock market between 1998 and 2007. I examine if either CAMP or APT or both of these models fits in on the Swedish stock market and what the result is. What makes this essay interesting is that I use both models in one and the same study and compare the result of my estimates with these two models. As market index, I have used the OMXS30 index and as macroeconomic variables in APT model, I have used inflation, oil price, industry production index and interest. The result of the study is that with the macroeconomic variables, that I have used with APT and CAPM, gives CAPM and APT equivalent results. The conclusion of the study is that APT, with the correct variables, is better model for estimating the stock prices than CAPM.

Place, publisher, year, edition, pages
2009. , p. 35
Keywords [en]
CAPM, APT, stock, stock market
Keywords [sv]
CAPM, APT, Aktie, Aktiemarknad
National Category
Economics
Identifiers
URN: urn:nbn:se:hig:diva-4573Archive number: E3BA: DiVA 053/09OAI: oai:DiVA.org:hig-4573DiVA, id: diva2:222169
Presentation
(English)
Uppsok
samhälle/juridik
Supervisors
Examiners
Available from: 2009-06-11 Created: 2009-06-07 Last updated: 2009-06-11Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
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Citation style
  • apa
  • harvard-cite-them-right
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • sv-SE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • de-DE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf