Sökning: "Fama French Three Factor Models"

Visar resultat 1 - 5 av 78 uppsatser innehållade orden Fama French Three Factor Models.

  1. 1. 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

  3. 2. The Challenges of Sustainable Investing

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Herman Rönnberg; Filip Björkholm; [2023]
    Nyckelord :ESG; sin stocks; Sustainable investing; Russell 3000; Portfolio Construction; Business and Economics;

    Sammanfattning : Over the past decades, investment preferences towards portfolio construction have changed from focusing solely on profit maximization, into a combination of good financial perfor- mance as well as a responsible sustainability outcome. The purpose of this paper is three- fold: first, to investigate whether a sustainable portfolio based on a high environmental, social and governance (ESG) score contributes to positive returns or affects financial per- formance negatively. LÄS MER

  4. 3. Economic Policy Uncertainty and Stock Market Performance: The Role of CSR

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Albin Hammarberg; Victor Möller; [2023]
    Nyckelord :Economic Policy Uncertainty; Corporate Social Responsibility; Capital Asset Pricing Model; Fama French Three Factor Model; Stock Market Returns;

    Sammanfattning : This research study aims to examine the association between economic policy uncertainty (EPU) and stock market performance, and to investigate whether corporate social responsibility (CSR) has an impact on this relationship. The dataset used in this study comprises firms listed on the S&P 500 index from 2013 to 2022 and is applied on two models, the Capital Asset Pricing Model and Fama French Three Factor Model. LÄS MER

  5. 4. How Do Unexpected Changes in Interest Rates Explain the Variation of Excess Return: Testing an Extended Fama–French Five-Factor Model on the Swedish Stock Market

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Telo Johar; [2023]
    Nyckelord :Fama-French five-factor model; excess return; Swedish stock market; Fama-French five-factor model; överavkastning; svenska aktiemarknaden;

    Sammanfattning : In the realm of asset pricing models, the Fama-French five-factor model has become a foundational framework for explaining the variation of excess stock returns. However, as financial markets continue to evolve, there arises a need to explore potential extensions to capture additional sources of risk and return. LÄS MER

  7. 5. 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