Sökning: "Fama French Three Factor model"
Visar resultat 16 - 20 av 160 uppsatser innehållade orden Fama French Three Factor model.
16. Liquidity and its effect on asset returns
Master-uppsats, Uppsala universitet/Företagsekonomiska institutionenSammanfattning : 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
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 samhällsvetenskaperSammanfattning : 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
18. Exploring the relationship between ESG and portfolio performance during times of crisis : a study of the Russia-Ukraine war
Kandidat-uppsats, Stockholms universitet/FinansieringSammanfattning : 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
19. ESG - Värdedrivare eller reglering
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
20. Mispricing of Climate Risk
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : 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