Sökning: "Fama and French"

Visar resultat 1 - 5 av 292 uppsatser innehållade orden Fama and French.

1. 1. Combining Value Investing with Quality Investing: Empirical Evidence from the European and Nordic Stock Markets

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

   Författare :Oleksii Chepil; [2024]
   Nyckelord :value investing; quality investing;

   Sammanfattning : The aim of this thesis is to explore whether stock selection based on five value metrics and six quality metrics can generate superior returns compared to the overall market. The selected markets are the Nordic one (Nasdaq OMX Nordic 120 being the benchmark) and the European one (STOXX Europe 600 being the benchmark), while the selected time period is 2001-2023 for Europe and 2010-2023 for the Nordics. LÄS MER

3. 2. 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 statistik

   Författare :Benjamin Javidi; Malin Larsson; [2023-08-25]
   Nyckelord :Capital Asset Pricing Model CAPM ; Fama-French three-factor model; ESG; Sharpe ratio; OLS Regression Analysis; Modern Portfolio Theory;

   Sammanfattning : 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

4. 3. The Sustainable Era - The Excess Return on Swedish Sustainable Global Equity Funds

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Kristoffer Holmgren; Måns Hurtigh; [2023-07-03]
   Nyckelord :Fama-French; ESG; Morningstar; Morningstar Globe Rating; funds; global equity funds; sustainability; excess return;

   Sammanfattning : This thesis explores the relationship between the performance of Swedish global equity funds and the level of sustainability, as measured by the Morningstar Globe Rating, using a Fama-French six-factor model, globe rating categories, and time effects. Treating the Morningstar Globe Rating as a time-invariant variable, a sample of 80 Swedish global equity funds are divided into two sustainability groups, ‘Low’ and ‘High’, grouping funds with 1-3 globes into a reference group. LÄS MER

5. 4. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Anton Ahlqvist; Walter Uong; [2023-06-29]
   Nyckelord :;

   Sammanfattning : 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

7. 5. EXPLORING THE RELATIONSHIP BETWEEN ESG DISAGREEMENT AND STOCK RETURNS - AN EMPIRICAL ANALYSIS

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Andrea Pasquali; [2023-06-29]
   Nyckelord :;

   Sammanfattning : During the recent years investors shifted their preferences towards sustainable stocks and funds, increasing the importance of Environmental, Social and Governance ratings. At a similar pace the related literature started to develop shedding light on some crucial aspects of the ESG ratings, such as the disagreement between rating agencies and the lack of common methodologies to assess the ratings. LÄS MER