Sökning: "Beta-sorted Portfolios"
Hittade 1 uppsats innehållade orden Beta-sorted Portfolios.
1. Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015
Magister-uppsats, Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. LÄS MER
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