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  Is there a positive relation between risk and return?
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 Ophav:
Olsson, Kasper Emil Schmidt1, Forfatter
Bay, Hans2, Vejleder
Tilknytninger:
1Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7001              
2Økonomisk Institut, Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7014              
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Indhold

Ukontrollerede emneord: Volatilitet, CAPM, Fama-French Model
 Abstract: This thesis is about the relationship between risk and return. CAPM predicts a positive relation between volatility and expected returns, but new literature have shown that the relationship is rather negative than positive and that low volatility stocks outperform high volatility stocks. More authors have joined the discussion and some studies also show, that the relationship is actually positive and the differences between the findings, are down to different data and general methods.
In this thesis a test of the relationship between risk and return is tested in the S&P 500 index. The author tries different measures of volatility, portfolio weighting, mean types and portfolio timespan. The author also estimates Jensen’s αs to compare the risk-adjusted returns from the different portfolios.
In this study the relationship between risk and return is shown to be positive for total returns in the S&P 500 index, in the period 1990 to 2013, both years included. The results are robust for all the methods tried, even though there is quite a lot of difference between the different spreads. In general the market-cap weighted portfolios show a much larger growth in high volatilty stocks than an equal weighted portfolios. The conclusions remains the same though. The spreads between highest and lowest volatilty portfolios are 19,74 percent points and 5,2 percent points, for geometric averaged yearly portfolio returns. The big differences is caused by the choice of volatility timespan and portfolio weighting.
Estimation of risk-adjusted returns, the αs, show that low volatility stocks outperforms high volatility stocks. This conclusion is not robust though. Market Cap- weighted portfolios estimates are insignificant and therefore show no difference in the αs. The equal-weighted portfolios show significant results though.
More effects might drive the results of the findings. Since the author only considers large cap stocks the default probability might be a lot lower in this data, than for other data sources, including both small-cap and middle-cap. This could drive the result towards higher returns for high volatilty stocks, since they in general have less chance to default than shares in data including middle – and small-cap stocks. More effects are explained in the thesis.
The author ends up concluding, that the search for the relation between risk and returns requires more research and that a lot of different approaches can result in different outcomes, therefore it becomes very hard to make strong and robust analysis that satisfies all perspectives on the subject.
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Kasper_Olsson_Speciale.pdf (Hovedtekst)
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Offentlig
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Copyright dato:
2014-07-28
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Basal

Bogmærk denne post: https://diskurs.kb.dk/item/diskurs:59895:1
 Type: Speciale
Alternativ titel: - An analysis of shares in S&P 500
Alternativ titel: Er der en positiv sammenhæng mellem volatilitet og afkast?
Alternativ titel: - En undersøgelse af aktier i S&P 500
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Detaljer

Sprog: Danish - dan
 Datoer: 2014-04-14
 Sider: -
 Publiceringsinfo: København : Københavns Universitet
 Indholdsfortegnelse: 1 Introduktion, motivation og problemformulering . 6
1.1 Problemformulering . 6
1.2 Motivation 6
1.3 Introduktion 6
2 S&P 500 indekset 8
3 Metode og teori . 10
3.1 Beskrivelse af metode og modeller . 11
3.1.1 Inddeling baseret på volatilitet. 11
3.1.2 Værdivægtet portefølje vs. Ligevægtet portefølje . 13
3.1.3 Aritmetisk gennemsnit vs. Geometrisk gennemsnit 14
3.1.4 Rå Afkast og Sharpe Ratio . 15
3.1.5 Capital Asset Pricing Model 17
3.1.6 Fama-French Three-Factor model 23
3.1.7 Idiosynkratisk volatilitet . 25
3.2 Kritik af CAPM, Fama French Three-Factor Model og Sharpe Ratio . 26
3.2.1 Roll’s Kritik fra 1977 26
3.2.2 Sharpe Ratio og generelt finansiel modellering. 27
3.3 Alternativer til den valgte metode 29
4 Data . 30
4.1 Dataindsamling 31
4.1.1 Survivorship Bias 32
4.1.2 Den Risikofrie Rente . 33
4.2 Præsentation, indhentning - og bearbejdning af den indhentede data 35
4.3 Resultater og fortolkning 42
4.4 Nøgletal og opsamling . 61
4.5 Kommentarer til resultaterne . 64
Side 2 af 79
5 Perspektivering 66
6 Konklusion . 74
7 Litteraturliste 76
8 Bilag 1
 Note: -
 Type: Speciale
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