Sökning: "Fama French 3-factor model"

Visar resultat 16 - 17 av 17 uppsatser innehållade orden Fama French 3-factor model.

  1. 16. Performance Persistence, Fund characteristics and Initial Fund Performance in Swedish Mutual Funds

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

    Författare :Philip Emtemark; Danny Liu; [2009]
    Nyckelord :Mutual Fund Performance; Mutual Fund Persistence; Initial Fund Performance; Fund Characteristics; Fama French Carhart;

    Sammanfattning : Abstract We examine performance persistence of 75 actively managed Swedish mutual funds during the period 1998 to 2008, employing the following three econometric models: CAPM, Fama-French 3-factor model and Carhart 4-factor model. We find neither outperformance of the market index net of fees nor evidence of performance persistence. LÄS MER

  3. 17. Book-to-Market Effect and Fama French Model in Bear – Bull Markets

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

    Författare :Oguz Ersan; [2008]
    Nyckelord :Asset Pricing Models; Bear - Bull Markets; Fama French Three Factor Model; Book-to-Market Effect;

    Sammanfattning : Book-to-market Effect is one of the facts that cannot be explained by market factor in CAPM. The premium between the returns on high and low B/M portfolios is asserted to be the compensation for the associated risk, therefore HML risk factor was formed in order to capture the risk premium in the studies of Fama and French (1992, 1993, 1996). LÄS MER