Sökning: "Fama-French three factors"

Visar resultat 1 - 5 av 51 uppsatser innehållade orden Fama-French three factors.

1. 1. A valuation of Swedish hedge fund performance

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

   Författare :Elis Grönqvist; Johan Wennerström; [2023-02-09]
   Nyckelord :;

   Sammanfattning : 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

3. 2. The Challenges of Sustainable Investing

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Herman Rönnberg; Filip Björkholm; [2023]
   Nyckelord :ESG; sin stocks; Sustainable investing; Russell 3000; Portfolio Construction; Business and Economics;

   Sammanfattning : 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

4. 3. How Do Unexpected Changes in Interest Rates Explain the Variation of Excess Return: Testing an Extended Fama–French Five-Factor Model on the Swedish Stock Market

   Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

   Författare :Telo Johar; [2023]
   Nyckelord :Fama-French five-factor model; excess return; Swedish stock market; Fama-French five-factor model; överavkastning; svenska aktiemarknaden;

   Sammanfattning : In the realm of asset pricing models, the Fama-French five-factor model has become a foundational framework for explaining the variation of excess stock returns. However, as financial markets continue to evolve, there arises a need to explore potential extensions to capture additional sources of risk and return. LÄS MER

5. 4. ESG: The Relationship Between “Ethical” Investing and Abnormal Returns

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Per Malm; [2022]
   Nyckelord :ESG; Abnormal Returns; High Minus Low; Asset Pricing Model; Business and Economics;

   Sammanfattning : This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. LÄS MER

7. 5. EMPIRICAL ANALYSIS OF FACTORS AFFECTING THE EXPECTED RATE OF RETURN FOR ALL-ELECTRIC-VEHICLE MAKERS : USING REGRESSION ANALYSIS TO TEST THE SIGNIFICANCE OF THE CAPM AND FAMA FRENCH FACTORS ON THE CALCULATION OF THE EXPECTED RATE OF RETURN FOR 9 OF THE BIGGEST ALL-ELECTRIC VEHICLE MAKERS.

   Magister-uppsats, Blekinge Tekniska Högskola

   Författare :Dimitrios Felekidis; Sylwia Buczek; [2022]
   Nyckelord :Electric vehicles; All-electric vehicles; Expected return rate; Fama French Three-Factor Model; Fama French Five-Factor Model; CAPM model; Stock;

   Sammanfattning : The All-Electric Vehicle (AEV) industry development has intensified and is connected to governmentefforts to minimize greenhouse gas emissions and encourage people to buy electric vehicles. This hasled to all the lights turning on newly established all-electric vehicle makers and some older players. LÄS MER