Sökning: "Fama and MacBeth"

Visar resultat 1 - 5 av 42 uppsatser innehållade orden Fama and MacBeth.

1. 1. Impact of Inflation on Return and Pricing of Swedish Bank Stocks : A Fama-French Analysis on Monthly Stock Returns and Pricing of Handelsbanken, Swedbank, SEB and Nordea

   Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

   Författare :Carl Westerberg; Elvin Rolder; [2023]
   Nyckelord :Asset Pricing Theory; CAPM; Carhart; Fama-French; Fama-Macbeth; Inflation; NII;

   Sammanfattning : This study explores the influence of inflation on the monthly total stock returns and stock pricing of Swedish banks. The research question is systematically examined througha cross sectional and time series analysis, utilizing Fama-French, Carhart, and Fama-Macbeth metodologies. LÄS MER

3. 2. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022

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

   Författare :Jean-Philippe Chakbazof; Amitesh Raghav; [2023]
   Nyckelord :ESG Factor; Nordic Compass; Fama Macbeth; Volatility Management; ESG Portfolio;

   Sammanfattning : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. LÄS MER

4. 3. Is there a carbon emission-return relation? Exploring the existence of a carbon emission return relation in the Swedish stock market

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

   Författare :Gustaf Kaddik; William Lundell; [2023]
   Nyckelord :emission premium; emission alpha; carbon emissions; emission intensity; stock returns;

   Sammanfattning : We use portfolio sorting and Fama-Macbeth regressions to investigate the potential relation between carbon emissions and stock returns in the Swedish stock market, a country with stringent carbon regulations and taxes. We research the Swedish stock market between 2010-2019 and do not find evidence of such a relationship. LÄS MER

5. 4. Navigating in the ESG score jungle- A cross-sectional approach to determine the ESG risk factor

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Gustav Pettersson; Mattias Öhrn; [2022-06-29]
   Nyckelord :Asset Pricing; ESG Investing; ESG Risk Score; Factor Models; Fama-MacBeth Regressions; Time-Series Regressions;

   Sammanfattning : This thesis examines the relationship between ESG scores and yearly excess return between 2010 and 2020 on the S&P 500 Index. With a solid theoretical background regarding investor preferences, we ask whether investors accept lower returns for holding greener assets. LÄS MER

7. 5. Principal Component Analysis and the Cross-Sectional Variation of Returns

   Kandidat-uppsats,

   Författare :Armin Ramovic; Mikael Åkerman; [2021-06-23]
   Nyckelord :Principal Component Analysis; PCA; principal components; cross-sectional variation of returns; risk premia; asset pricing; demensionality reduction; risk factors; machine learning;

   Sammanfattning : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. LÄS MER