Sökning: "Carhart 4-factor model"

Visar resultat 1 - 5 av 12 uppsatser innehållade orden Carhart 4-factor model.

1. 1. There Is Nothing Certain But The Uncertain

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Hannes Thorstensson; Carl Tjernberg; [2023]
   Nyckelord :Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

   Sammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER

3. 2. Mispricing of Climate Risk

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Lovisa Dahlquist; Lena Maria Tschanhenz; [2022]
   Nyckelord :Bloomberg GHG estimates; Risk premium for climate risk; ESG reporting; Sustainable investing; Stock market equilibrium; Business and Economics;

   Sammanfattning : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. LÄS MER

4. 3. The Effects of ESG Scores onStock Performance : A study of the risk-adjusted performance on European stocks

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Katarina Ovuk; Angelica Grahovac; [2022]
   Nyckelord :ESG; environmental; social; governance; sustainability; abnormal returns; risk-adjusted performance; sustainable investing.;

   Sammanfattning : This thesis aims to examine the relationship between ESG (Environmental, Social and Governance) ratings and the performance of European stocks. The purpose of this study is to examine the existing evidence pertaining to this relationship and the contradictory results that have been offered by previous scholars. LÄS MER

5. 4. Value funds - is price what you pay and value actually what you get?

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Herman Ohlsson; Patrik Nilsson; [2022]
   Nyckelord :Asset Pricing; Factor Model; HML Factor; Value Investing; U.S Mutual Funds;

   Sammanfattning : This paper examines the consistency in exposure to the value factor of U.S. value funds in relation to their performance. We use data from the WRDS database from 2000 to 2021 and apply the Carhart 4-factor model on 71 funds. LÄS MER

7. 5. Does it pay to score high on ESG: An event study on the Swedish Stock Market

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Gauri Aggarwal; Liliana Barbaneagra; [2022]
   Nyckelord :Stock market performance; ESG rating; Sweden; COVID-19; Russia-Ukraine War;

   Sammanfattning : Using daily stock returns of publicly traded Swedish companies, this paper aims to evaluate the difference in return performance between high-rated and low-rated ESG stocks in light of two events - COVID-19 and the Russia-Ukraine War. The overall study is conducted using an event study analysis, wherein the Carhart 4-Factor Model is employed to predict expected returns throughout the event window. LÄS MER