Sökning: "Fama French Three Factor model"

Visar resultat 21 - 25 av 160 uppsatser innehållade orden Fama French Three Factor model.

  1. 21. The ESG-Risk Relationship - A study of the relationship between ESG and firm-specific risk of publicly traded firms in Sweden

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jonathan Bark; Melker Lundberg; [2022]
    Nyckelord :Idiosyncratic Volatility; ESG; Fama-French three-factor model; ESG-risk relationship; Business and Economics;

    Sammanfattning : Non-financial metrics have come to play a larger role in financial markets as years pass, impacting decisions made by businesses, investors and policy makers alike. A significant non-financial metric captured by the term ESG or Environmental, Social and Governance. LÄS MER

  3. 22. Negative Screening : an analysis of the cost or benefit related to screening on industries

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Elin Kristoffersson; Noël Klarberg; [2022]
    Nyckelord :Sustainable finance; ESG; negative screening; industries; risk-adjusted return; cost; benefit; portfolio performance; CAPM; Fama-French; Carhart; Sharpe ratio;

    Sammanfattning : This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. LÄS MER

  4. 23. ESG: The Relationship Between “Ethical” Investing and Abnormal Returns

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Per Malm; [2022]
    Nyckelord :ESG; Abnormal Returns; High Minus Low; Asset Pricing Model; Business and Economics;

    Sammanfattning : This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. LÄS MER

  5. 24. Does ESG pay off? : A quantitative study of how ESG-scores affect Swedish Large-cap Firms Performance and Stock returns

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Nebil Esmail; Andreas Mattsson; [2022]
    Nyckelord :Firm performance; Stock returns; ESG-scores; Sweden; Large-cap; Stakeholder theory; Shareholder theory; Efficient Market Hypothesis; CAPM; Fama- French Three-Factor Model;

    Sammanfattning : Previous scholars have viewed expenditures on ESG (environmental, social, governance) in two distinct ways. In one way, it has been viewed as wasteful if it does not directly contribute to the business. The other perspective being that by addressing ESG-issues, one can improve businesses by improving society. LÄS MER

  7. 25. A New Value Premium : Value Creation in the Swedish stock market

    Kandidat-uppsats, Stockholms universitet/Företagsekonomiska institutionen

    Författare :Lemar Jalili; Samuel Höög; Simon Blank; [2022]
    Nyckelord :ROIC; WACC; ROIC-WACC Spread; Fama and French three-factor model; Asset-pricing models; Value Premium; Factor models; Value creation.;

    Sammanfattning : Value creation in any stock market is a highly discussed topic with an abundant amount of generalized models aiming to predict future returns. Although no such tool exists yet there are, however, acknowledged models from peer-reviewed journals that have received a lot of attention over the years in examining company performance. LÄS MER