Sökning: "Carhart Four-Factor Model"

Visar resultat 16 - 20 av 76 uppsatser innehållade orden Carhart Four-Factor Model.

1. 16. Are ESG investments a sustainable investing strategy?

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sofia Hallberg; Hanna Johnsson; [2021-06-30]
   Nyckelord :ESG investing; Sustainable performance; Sustainability; Financial performance;

   Sammanfattning : Sustainable investments are rapidly growing, and screening of Environmental, Social, and Governance (ESG) scores is a popular method to assess sustainable companies. With the increased usage of this method, the question arises; is screening of ESG scores a sufficient method to allocate investments to companies with top sustainable performance? This study investigates the relation between ESG scores and sustainable performance in the S&P 500 over five years from January 2015 to December 2019. LÄS MER

3. 17. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Erik Hulth; [2021-06-30]
   Nyckelord :Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Sammanfattning : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. LÄS MER

4. 18. 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

5. 19. The Performance of Socially Responsible Investments : Are Swedish mutual funds forced to pay a price for doing good?

   Magister-uppsats, Jönköping University

   Författare :Gordon Molander; Carl Jönsson Asp; [2021]
   Nyckelord :SRI; ESG; Mutual Equity Funds; Conventional; Fund Performance; Portfolio Analysis;

   Sammanfattning : The financial performance of Socially Responsible Investing (SRI) strategies is heavily debated in the modern age. Due to lack of evidence on Swedish SRI performance, Swedish investors are uncertain about placing their financial assets in these strategies as they are afraid expected to sacrifice their financial return for doing good. LÄS MER

7. 20. ÄR SLÄKTEN ALLTID VÄRST?

   Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Evelina Ingmarsdotter; Henning Kvillerud; Adam Ring; [2021]
   Nyckelord :Familjebolag; Fama-French-Carharts fyrfaktormodell; Jensens alfa; Effektiva marknadshypotesen; Finanskrisen; Business and Economics;

   Sammanfattning : SAMMANFATTNING Titel: Är släkten alltid värst? Seminariedatum: 2021-01-15 Kurs: FEKH89, Examensarbete i finansiering på kandidatnivå, 15 HP Författare: Ingmarsdotter, Evelina; Kvillerud, Henning & Ring, Adam Handledare: Anderson, Göran Nyckelord: Familjebolag, Fama-French-Carharts fyrfaktormodell, Jensens alfa, Effektiva marknadshypotesen, Finanskrisen. Syfte: Syftet med studien är att undersöka om det råder ett signifikant samband mellan en investering i svenska familjeföretag och en riskjusterad överavkastning jämfört med marknadsindex. LÄS MER