Sökning: "Fama French Three Factor Model"
Visar resultat 1 - 5 av 160 uppsatser innehållade orden Fama French Three Factor Model.
1. ESG Balancing the Books and the Planet: A Quantitative Analysis of Risk-Adjusted Returns in ESG and Traditional Funds
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : The demand for sustainable investment has increased in the last decade. “Environmental, Social and Governance” (ESG) are characteristics within sustainable investment and are commonly considered in private investing. LÄS MER
2. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. LÄS MER
3. A valuation of Swedish hedge fund performance
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. LÄS MER
4. To Sin or Not to Sin? A Study of Traditional and New Sin Stocks on the American Stock Market
Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : This study aims to investigate the difference in stock return between traditional sin stocks, new sin stocks, and their respective peer stocks. The purpose was to expand the scarcely researched area of new sin stocks by being the first one to focus on new sin stocks on the American stock market (United States NYSE, AMEX, and NASDAQ stock exchanges), as this area has only been researched in Europe before. LÄS MER
5. The Challenges of Sustainable Investing
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Over the past decades, investment preferences towards portfolio construction have changed from focusing solely on profit maximization, into a combination of good financial perfor- mance as well as a responsible sustainability outcome. The purpose of this paper is three- fold: first, to investigate whether a sustainable portfolio based on a high environmental, social and governance (ESG) score contributes to positive returns or affects financial per- formance negatively. LÄS MER