Sökning: "3-faktors CAPM"

Hittade 1 uppsats innehållade orden 3-faktors CAPM.

  1. 1. Piotroski ur ett riskperspektiv : En empirisk studie av 3- samt 4-faktors CAPM

    Kandidat-uppsats, Företagsekonomiska institutionen

    Författare :Mattias Sandén; Lars Gräns; [2010]
    Nyckelord :Fundamental analys; 3-faktors CAPM; 4-faktors CAPM; risk; överavkastning;

    Sammanfattning : An efficient market implies that the use of fundamental analysis should not result in excess return, and that any return exceeding the market average can be explained by compensation for risk, accord-ing to The Capital Asset Pricing Model (CAPM). The focus of this study is to test whether the suc-cessful investment strategy developed by Piotroski (2000) generates excess return on American data, after risk adjustment by using Fama & French’s (1993) 3-factor and Carhart’s (1997) 4-factor CAPM. LÄS MER