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B-Values: Risk Calculation for Axfood and Volvo Bottom up beta approach vs. CAPM beta
University of Skövde, School of Technology and Society.
2007 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The aim of this thesis is to study the risk for two Swedish companies, Axfood and Volvo. To test the required return on equity, a bottom-up beta approach and a CAPM regression beta are used. This thesis concludes that the bottom-up beta gives a truer reflection and a more updated beta value than a CAPM regression beta on the firm’s current business mix, the CAPM beta takes only the past stock prices into consideration. The empirical results for Volvo conclude that the levered bottom-up beta is 1.09 and the CAPM β is 0.52 for Volvo. The empirical results for Axfood which is categorized as consumer goods sector implies that the levered bottom-up beta is 0.87 while the CAPM regression beta is 0.29.

Place, publisher, year, edition, pages
Skövde: Institutionen för teknik och samhälle , 2007. , 35 p.
Keyword [en]
CAPM, Jensen’s measure alpha, Security market line, Bottom-up Betas, Levered Beta, Unlevered Beta, Required return on Equity, Debt Equity ratio.
National Category
Economics
Identifiers
URN: urn:nbn:se:his:diva-141OAI: oai:DiVA.org:his-141DiVA: diva2:2489
Presentation
(English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2007-10-01 Created: 2007-10-01 Last updated: 2009-11-18

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf