Sökning: "Carhart´s four factor model"

Visar resultat 1 - 5 av 19 uppsatser innehållade orden Carhart´s four factor model.

1. 1. To Sin or Not to Sin? A Study of Traditional and New Sin Stocks on the American Stock Market

   Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Filip Eriksson; Herman Ljungberg; Oliver Lönegård; [2023]
   Nyckelord :Sin Stocks; New Sin Stocks; Sustainable Investments; Social Norms; Socially Responsible Investing; Business and Economics;

   Sammanfattning : This study aims to investigate the difference in stock return between traditional sin stocks, new sin stocks, and their respective peer stocks. The purpose was to expand the scarcely researched area of new sin stocks by being the first one to focus on new sin stocks on the American stock market (United States NYSE, AMEX, and NASDAQ stock exchanges), as this area has only been researched in Europe before. LÄS MER

3. 2. Do ESG investors pay a price for doing good - A matched pair analysis of the Swedish fund market.

   Kandidat-uppsats,

   Författare :Edvin Andersson; Albin Dahlin; Morgan Thisted; [2022-07-11]
   Nyckelord :ESG; sustainability; Sweden; ESG funds; conventional funds; financial performance; matched pair analysis;

   Sammanfattning : In this thesis we examine the financial performance of Swedish mutual equity funds. We look at differences between sustainable, defined as ESG, and conventional funds. The financial performance is examined using the Capital Asset Pricing Model, the Fama-French three-factor model and Carhart’s four-factor model. LÄS MER

4. 3. How to choose green?

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

   Författare :Adrian Thureborn; Jakob Ödman; [2022-02-28]
   Nyckelord :;

   Sammanfattning : This paper investigates if there is any difference between active managed funds and passive managed funds in regard to their risk-adjusted return. The thesis focuses on Swedish sustainable funds that invest in accordance with the ESG (environmental, governance and social) criteria during the time period 2011-2021. LÄS MER

5. 4. Negative Screening : an analysis of the cost or benefit related to screening on industries

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Elin Kristoffersson; Noël Klarberg; [2022]
   Nyckelord :Sustainable finance; ESG; negative screening; industries; risk-adjusted return; cost; benefit; portfolio performance; CAPM; Fama-French; Carhart; Sharpe ratio;

   Sammanfattning : This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. LÄS MER

7. 5. Skillnader i riskaversion utifrån kön och olika storlek på sparkapital

   Kandidat-uppsats,

   Författare :Emma Fredriksson; Andrea Matsson; [2021-06-30]
   Nyckelord :Risk Aversion; Carhart s Four-Factor model; Regression analysis; Beta; Average Return; Risk Adjusted Return; Fictive portfolios; Overconfidence;

   Sammanfattning : The purpose of this thesis is to investigate whether females are more risk averse than men on the Swedish stock market and to determine if the level of risk aversion decreases or increases for individuals with a large amount of investments, defined as >1 MSEK. The datasets on which this thesis has used is collected from Avanza, a Swedish financial institution, and the time period that the data will be implemented from is 2019-02-15 to 2021-02-15. LÄS MER