Sökning: "FACTOR MIMICKING PORTFOLIO TECHNIQUE."

Hittade 2 uppsatser innehållade orden FACTOR MIMICKING PORTFOLIO TECHNIQUE..

1. 1. Is Default Risk Systematic? An Augmentation of the Fama and French Three-Factor Model with Credit-Default Swap Spreads

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Philip Hagander; Karl Egervall; [2013]
   Nyckelord :DEFAULT RISK; FAMA AND MACBETH; EQUITY PRICING; SYSTEMATIC RISK; FACTOR MIMICKING PORTFOLIO TECHNIQUE.; Business and Economics;

   Sammanfattning : The purpose of the study is to quantitatively verify the systematic property of default risk and to statistically test if adding a default risk factor to the Fama and French Three-Factor Model can enhance its performance. The applied method is derived from the Fama and French Three- factor methodology and enhancing it with an additional default risk factor. LÄS MER

3. 2. Default Risk in Equity Returns

   Master-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Aracelly Del Carmen Holst; Olena Martynenko; [2010]
   Nyckelord :FACTOR RISK PREMIUM; FACTOR MIMICKING PORTFOLIO; ASSET PRICING; DEFAULT RISK; Management of enterprises; Företagsledning; management; Business and Economics;

   Sammanfattning : Purpose: The current thesis assignment aims to quantitatively verify systematic character of default risk and the statistical quality of the competing three- and four-factor asset pricing models. Method: The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. LÄS MER