How Has The Recession Affected Bank Share Prices? An Empirical Test Of Capital Asset Pricing Model During The Recession

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How has the recession affected bank share prices? An empirical test of Capital Asset Pricing Model during the recession



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I, [type your full first names and surname here], declare that the contents of this dissertation/thesis represent my own unaided work, and that the dissertation/thesis has not previously been submitted for academic examination towards any qualification. Furthermore, it represents my own opinions and not necessarily those of the University.

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Table of Contents



Market Capital6

A Theory of Exchange Rate Preferences7


Exchange Rate Pass-through8

Return 48 month prior the base date9

Price to Equity ratio (P/E)11

EV/EBIT ratio12

Return on Equity (ROE)15

Price/Book Value (P/BV)16

Price/Cash Flow (P/CF)17

Dividend yield18

Debt Level19

Multiple factor test20

Recession's Impact on Currencies21


Unsatisfying variables25

Secondary parameters to look at26

The main statistical “winners”27


Further studies34

Assessing our study34



The international reaction to China's management of the yuan highlights the political salience of currency manipulation in an age of tightly integrated economies. Governments that manage their exchange rate for competitive ends are often accused of using a beggar-thy-neighbor policy, i.e. a policy that is intended to help a government reach a domestic goal (in this case, an increase in domestic output) by shifting the costs of policy adjustment to another country. The problem of beggar-thy-neighbor policies is most clear when we consider competitive devaluations.

In this situation, a government attempts to gain a short term competitive advantage by devaluing its currency, which makes its domestically-produced goods more competitive on the world market. Seeing this, other governments respond by devaluing their own currencies. In this way, an initial devaluation by one country can set off a wave of retaliatory devaluations by other governments, each of which seeks to stay a step ahead its competitors. This is essentially what occurred during the Great Depression, when after taking their currencies off the Gold Standard, countries attempted undercut their main trade competitors through Devaluation.

The purpose with this chapter is to look through all the data that we have received in our study. Some common sense adjustments have been made as described in the practical method in the “Common sense importance” chapter. This chapter shows the data that has been received but no analysis are made. We will discuss deeper the results in the following chapter.

We earlier explained we have carried out a simple regression analysis for the collected data and conducted an ANOVA table for each test. However we are not planning to discuss the results or carry out any deeper discussion around the results. We will take up the data discussion in the following chapters. Here we are focusing on two main aspects in the ANOVA table:

F - statistics: We conduct our study on the 95% interval. Therefore the test is statistically relevant/representative if F - statistic result is below 0,05. However we look on this limit as on a guideline.

R - square: This number shows to what percentage ...
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