Sökning: "Carhart"

Visar resultat 1 - 5 av 99 uppsatser innehållade ordet Carhart.

  1. 1. 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

  2. 2. Har Carharts fyrfaktormodell en högre förklaringsgrad än Fama-Frenchs trefaktormodell? : En kvantitativ studie som utvärderar Carharts fyrfaktormodell och Fama-Frenchs trefaktormodell på den svenska aktiemarknaden.

    Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

    Författare :Marsa Teklay Zeray; [2022]
    Nyckelord :Carhart four-factor model; Fama-French three-factor model; Swedish stock market; Degree of explanation; Adjusted R-square; Portfolio return; Risk; Carhart fyrfaktormodell; Fama-French trefaktormodell; Svenska aktiemarknaden; Förklaringsgrad; Justerad R-kvadrat; Portföljavkastning; Risk;

    Sammanfattning : Syfte: Syftet med studien är att analysera och utvärdera Carharts fyrfaktormodells och Fama- Frenchs trefaktormodells prestanda vid portföljavkastning på den svenska aktiemarknaden, under perioden 2011–2020. Teori: Denna studie grundar sig i den effektiva marknadshypotesen, Fama och Frenchs trefaktormodell samt Carharts fyrfaktormodell. LÄS MER

  3. 3. Mispricing of Climate Risk

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Lovisa Dahlquist; Lena Maria Tschanhenz; [2022]
    Nyckelord :Bloomberg GHG estimates; Risk premium for climate risk; ESG reporting; Sustainable investing; Stock market equilibrium; Business and Economics;

    Sammanfattning : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. LÄS MER

  4. 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

  5. 5. The Effects of ESG Scores onStock Performance : A study of the risk-adjusted performance on European stocks

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Katarina Ovuk; Angelica Grahovac; [2022]
    Nyckelord :ESG; environmental; social; governance; sustainability; abnormal returns; risk-adjusted performance; sustainable investing.;

    Sammanfattning : This thesis aims to examine the relationship between ESG (Environmental, Social and Governance) ratings and the performance of European stocks. The purpose of this study is to examine the existing evidence pertaining to this relationship and the contradictory results that have been offered by previous scholars. LÄS MER