Sökning: "Carhart"

Visar resultat 11 - 15 av 114 uppsatser innehållade ordet Carhart.

  1. 11. Predicting Equity Fund Returns: The Impact of the Momentum-Factor on Performance

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Pontus Hovberger; Hugo Brunlid; [2023]
    Nyckelord :Equity Funds; Value; Growth; Momentum; Carhart Four-Factor Model; Multifactor Model; Momentum Crashes; Aktiefonder; Värdeaktier; Tillväxtaktier; Momentum; Carhart Four-Factor Model; Multifaktormodell; Momentumkrascher;

    Sammanfattning : Momentum has been a persistent and robust factor in explaining excess future returns, generating great interest from investors and financial analysts. Following the financial crisis of 2008 and the Covid-19 pandemic, there have been instances of significant momentum crashes. LÄS MER

  3. 12. Sin Stocks: An Analysis of the Sin Premium in the US, European, and Asia-Pacific Markets

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Tizian Widmer; Tim Scholl; [2023]
    Nyckelord :Sin Stocks; Factor Models; USA; Europe; Asia-Pacific; Business and Economics;

    Sammanfattning : This thesis aims to explain the return of so-called sin stocks, which include businesses operating in the alcohol, tobacco, gambling, weapon, and oil & gas industries. Due to their negative public perception, these stocks are anticipated to yield a sin premium. LÄS MER

  4. 13. 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

  5. 14. Is there a trade-off between economic return and ESG rating? 

    Kandidat-uppsats,

    Författare :Anton Bornlid; Eriksson Alexander; [2022-07-01]
    Nyckelord :Carhart s Four Factor Model; ESG; Risk-adjusted return; Sweden;

    Sammanfattning : ESG scores have during the last 15 years been used to categorize firms by rating according to environmental, social and governance aspects. Earlier research looking at performance and ESG indicates various results for different markets, publishing dates and time frames. LÄS MER

  7. 15. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Carl Helldén; Julia Lamers; [2022-06-29]
    Nyckelord :ESG; Environmental; asset pricing models; screening strategies;

    Sammanfattning : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. LÄS MER