Sökning: "Carhart four-factor"

Visar resultat 1 - 5 av 82 uppsatser innehållade orden Carhart four-factor.

  1. 1. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

    Kandidat-uppsats,

    Författare :Alexander Olsson; Jonathan Taimory; [2023-07-06]
    Nyckelord :Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

    Sammanfattning : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. LÄS MER

  3. 2. ESG and Fund Performance Comparing Funds with Different Strategic Benchmarks

    Kandidat-uppsats,

    Författare :Jesper Carlsson; Erik Olofsson; [2023-07-03]
    Nyckelord :ESG; Efficient Market Hypothesis; Risk-Adjusted Return; Strategic Benchmarks;

    Sammanfattning : This thesis aims to identify if there is a positive relationship between ESG and fund performance, and if this relationship is different depending on the strategic benchmark of the funds and how they differ between the given strategic benchmark. Four groups of funds connected to a specific strategic benchmark are divided based on their ESG score into a high ESG score group and low ESG score group. LÄS MER

  4. 3. The Impact of ESG-Scores on Portfolio Performance - A quantitative study on sustainable investments.

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Max Ehrnström; Yacob Nehmé; [2023-06-29]
    Nyckelord :ESG investing; Abnormal returns; Sustainable investing and Financial performance;

    Sammanfattning : This report examines the relationship between ESG-scores and portfolio returns using the Fama-French five-factor and Carhart four-factor models. The data is collected from Refinitiv (2023) between 2003 and 2021 and consists of firms listed on the NYSE and NASDAQ stock exchange. LÄS MER

  5. 4. There Is Nothing Certain But The Uncertain

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Thorstensson; Carl Tjernberg; [2023]
    Nyckelord :Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

    Sammanfattning : 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

  7. 5. 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