Sökning: "Carhart four-factor alpha"
Visar resultat 1 - 5 av 22 uppsatser innehållade orden Carhart four-factor alpha.
1. There Is Nothing Certain But The Uncertain
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER
2. Asset Pricing in Different Periods of Stock Market Volatility : The Varied Effectiveness of Carhart's Four-Factor Model in the Swedish Market
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/FöretagsekonomiSammanfattning : Investing in the Swedish stock market has over time proven to be an effective way to increase wealth. Nationally speaking, Sweden’s population is also one of the best in the world at investing their savings. Four out of five swedes invest at least some part of their private savings into mutual funds which approximately amounts to 8. LÄS MER
3. How to choose green?
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : 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
4. Negative Screening : an analysis of the cost or benefit related to screening on industries
Master-uppsats, Uppsala universitet/Företagsekonomiska institutionenSammanfattning : 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
5. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : 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