Sökning: "Fama French Three Factor model"

Visar resultat 6 - 10 av 160 uppsatser innehållade orden Fama French Three Factor model.

1. 6. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :David Böckling; Jurgis Druktenis; [2023]
   Nyckelord :Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

   Sammanfattning : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. LÄS MER

3. 7. 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

4. 8. Value investing and the interpretation of performance and risk

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Nils Andersch; Nils Wallgren; [2023]
   Nyckelord :Value Investing; Efficient Market Hypothesis; Behavioural Finance; Investor Biases; Time Varying Risk;

   Sammanfattning : Historically, value investing strategies have been generally accepted by scholars to generate returns significantly above the market. However, if the risk-adjusted returns of these strategies are above the market remains an intense debate. LÄS MER

5. 9. How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

   Författare :Daniel Björck; [2023]
   Nyckelord :Three-factor model; stock returns; Swedish stocks; CAPM; Business and Economics;

   Sammanfattning : In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. LÄS MER

7. 10. ESG-markandens palats eller luftslott? : En kvantitativ studie om ESG och dess påverkan på aktieavkastning

   Magister-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Emil Johansson; Hugo Söderberg; [2023]
   Nyckelord :;

   Sammanfattning : In recent years, the world's leaders have placed an increasing focus on sustainability, this has resulted in an increased interest in sustainable investments. In this thesis, we have studied the relationship between companies' ESG ratings and their returns, as well as comparing whether ESG ́s three pillars Environmental, Social and Governance have different relationships to companies' returns. LÄS MER