Sökning: "Fama French 3-factor model"

Visar resultat 11 - 15 av 17 uppsatser innehållade orden Fama French 3-factor model.

1. 11. Multi-Factor Extensions of the Capital Asset Pricing Model: An Empirical Study of the UK Market

   Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Calum Johnson; [2015]
   Nyckelord :Asset Pricing Models; Portfolio Theory; Applied Mathematics; Finance; CAPM; Equities; UK;

   Sammanfattning : The point of this thesis is to compare classic asset pricing models using historic UK data. It looks at three of the most commonly used asset pricing models in Finance and tests the suitability of each for the UK market. LÄS MER

3. 12. Risk Factors in the Returns for Banks in the European Union

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

   Författare :Helena Sjöberg; Yeni Yuqin Li Helgesson; [2014]
   Nyckelord :Risk factors; Stock returns; Fama French 3-factor model; Banks;

   Sammanfattning : The thesis applies and extends the Fama French 3-factor model on public banks in the European Union by using data from 2007 to 2013. Market excess return has similar significance as it does in Fama and French (1993), while SMB and HML perform less well than expected, particularly for smaller banks, suggesting that additional factors might be needed to fully explain the returns, particularly for the smaller banks. LÄS MER

4. 13. A search for abnormal returns in the Swedish equity market during 2002-2012

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Författare :Yining Wang; Fredrik Sundelin; [2012]
   Nyckelord :Abnormal returns; Residual income valuation; Price-to-book ratio; Historical accounting information; Stock price prediction;

   Sammanfattning : This study investigates the ability to generate abnormal returns using only historical accounting information in the Swedish equity market during 2002-2012. We have used the residual income valuation framework in two approaches to predict price-to-book ratios. First, a direct approach where each company is valued individually. LÄS MER

5. 14. Pricing of Idiosyncratic Risk in the Nordics

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

   Författare :Nicolas Mcbeath; Christoffer Ask; [2012]
   Nyckelord :Idiosyncratic risk; Volatility; CAPM; Fama-French three factor model; Nordic equity markets;

   Sammanfattning : We examine the Nordic equity markets during 1992-2011 for the pricing of idiosyncratic risk relative to the CAPM and the Fama-French three factor model. Classical financial theory predicts irrelevance of idiosyncratic volatility (IVOL) for expected returns, while contending theories of undiversified investors and theories from the field of behavioural finance predict a positive relationship. LÄS MER

7. 15. Piotroski ur ett riskperspektiv : En empirisk studie av 3- samt 4-faktors CAPM

   Kandidat-uppsats, Företagsekonomiska institutionen

   Författare :Mattias Sandén; Lars Gräns; [2010]
   Nyckelord :Fundamental analys; 3-faktors CAPM; 4-faktors CAPM; risk; överavkastning;

   Sammanfattning : An efficient market implies that the use of fundamental analysis should not result in excess return, and that any return exceeding the market average can be explained by compensation for risk, accord-ing to The Capital Asset Pricing Model (CAPM). The focus of this study is to test whether the suc-cessful investment strategy developed by Piotroski (2000) generates excess return on American data, after risk adjustment by using Fama & French’s (1993) 3-factor and Carhart’s (1997) 4-factor CAPM. LÄS MER