Sökning: "Fama French Five Factor model"
Visar resultat 1 - 5 av 34 uppsatser innehållade orden Fama French Five Factor model.
Sammanfattning : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. LÄS MER
2. “Cheap" property holding stocks: Opportunity of a lifetime or too good to be true? - An empirical test of investment strategies based on stock price / EPRA NAV multiples for Swedish property holding stocks.Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Accounting and Financial Management.... LÄS MER
3. Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : There exist over 300 firm characteristics that provide significant information about average asset return. John Cochrane refers to this as a “factor zoo” and challenges researchers to find the independent characteristics which can explain average return. LÄS MER
Sammanfattning : This thesis examines if climate sensitivity predicts stock returns and how well this measurement performs. The sample consists of the S&P 500 and the monthly stock return for the period between 1979 to 2019. The method is first to estimate the climate sensitivity for stock returns from temperature anomaly. LÄS MER
5. How is ESG Affecting Stock Returns? A Portfolio- and Panel Data Analysis of US Firms in the S&P 500Master-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : The last two decades, socially responsible investing has emerged such that there is a value in itself to invest responsibly. This paper analyzes the relationship between Environmental, Social, Governance (ESG) and stock returns, and investigate if any of these three individual pillars have a more significant impact during the period 2005 – 2018. LÄS MER