Sökning: "Fama French Three Factor model"

Visar resultat 16 - 20 av 160 uppsatser innehållade orden Fama French Three Factor model.

1. 16. Liquidity and its effect on asset returns

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Philip Mafi; Linnéa Wilhelmsson; [2022]
   Nyckelord :Asset-pricing; illiquidity premium; liquidity factor;

   Sammanfattning : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. LÄS MER

3. 17. 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

4. 18. Exploring the relationship between ESG and portfolio performance during times of crisis : a study of the Russia-Ukraine war

   Kandidat-uppsats, Stockholms universitet/Finansiering

   Författare :Saraj Huq; Tiia Erika Jutila; Oscar Sameland; [2022]
   Nyckelord :ESG Portfolios; Abnormal Returns; Europe; Fama-French three-factor model; CAPM; ESG; Socially Responsible Investing; CSR; Refinitiv Eikon; Russia-Ukraine war; Russian-Ukrainian war; Russo-Ukrainian war; Crisis;

   Sammanfattning : This thesis explores the relationship between Environmental, Social, and Governance (ESG) ratings and portfolio performance in terms of risk-adjusted returns and volatility during times of crisis. A sample of 761 European public companies with a market capitalisation of at least 300 million euros are divided into high and low ESG portfolios based on their ratings. LÄS MER

5. 19. ESG - Värdedrivare eller reglering

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Fredrik Stenberg; Filip Stenberg; [2022]
   Nyckelord :ESG; Portfolio performance; Sharpe ratio; Treynor s ratio; Asset Pricing models; Business and Economics;

   Sammanfattning : This thesis aim to evaluate how sustainability in terms of ESG-ratings affect portfolio performance. A portfolio strategy sorting stocks solely on ESG-ratings from MSCI will be evaluated with financial performance measures and regression analysis. Furthermore, the authors will use a quantitative method and incorporate stocks from the S&P 500. LÄS MER

7. 20. 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