Sökning: "Asset Pricing Models"

Visar resultat 1 - 5 av 93 uppsatser innehållade orden Asset Pricing Models.

  1. 1. Distributional Dynamics of Fama-French Factors in European Markets

    Master-uppsats, KTH/Matematisk statistik

    Författare :Wilmer Löfgren; [2020]
    Nyckelord :Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Sammanfattning : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. LÄS MER

  2. 2. Does the sinner beat the saint? An empirical study of the Nordic stock market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jonathan Winberg; [2019-11-27]
    Nyckelord :Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

    Sammanfattning : MSc in Finance.... LÄS MER

  3. 3. Testing the Performance of the Capital Asset Pricing Model and the Fama-French Three-Factor Model - A study on the Swedish Stock Market between 2014-2019

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

    Författare :Frida Gustafsson; Robert Gustavsson; [2019-07-12]
    Nyckelord :;

    Sammanfattning : The returns of potential investments are interesting for every investor. In this thesis we compared two financial models that are often used to predict expected returns of portfolios with different financial instruments. LÄS MER

  4. 4. Performance of Asset Pricing Models in the Nordic Stock Markets

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jonas Olsson; [2019-07-02]
    Nyckelord :;

    Sammanfattning : MSc in Finance.... LÄS MER

  5. 5. An Empirical Study of CAPM, the Fama-French three-factor and the Fama-French five-factor Model - A Study Performed on the Swedish Stock Market.

    Kandidat-uppsats,

    Författare :Felix Ljungström; Sebastian Nilsson; [2019-06-26]
    Nyckelord :CAPM; Fama-French; Asset pricing; Swedish Stock Market;

    Sammanfattning : This thesis aims to add further research about the Fama-French five-factor model and its ability to explain average returns on the Swedish Stock Market. Additionally, the study also investigates and compares the performance of CAPM, the Fama-French three-factor model and the Fama-French five-factor model. LÄS MER