Sökning: "Fama and French three-factor model"

Visar resultat 1 - 5 av 98 uppsatser innehållade orden Fama and French three-factor model.

  1. 1. Size and Seasonality : Using Enterprise Value and the January effect to Investigate the Size effect on the Swedish stock market 2000-2019 .

    Master-uppsats, Jönköping University; Jönköping University

    Författare :Martin Djerf; August Lundgren; [2020]
    Nyckelord :Size effect; January effect; Enterprise Value; Market anomalies; Efficient Market Hypothesis; Fama and French three-factor model;

    Sammanfattning : In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. LÄS MER

  2. 2. Distributional Dynamics of Fama-French Factors in European Markets

    Master-uppsats, KTH/Matematisk statistik

    Författare :Wilmer Löfgren; [2020]
    Nyckelord :Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Sammanfattning : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. LÄS MER

  3. 3. Is Sustainability Profitable?

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Nils Betsholtz; Anton Lindström; Edvard Wennerberg; [2020]
    Nyckelord :ESG; STOXX 600; Fama-French multifactor factor model; CAPM; Carhart four-factor model; Panel data fixed effect; Business and Economics;

    Sammanfattning : This paper examines the relationship between the ESG-score, including its pillars Environment, Social and Governance and market return from July 2002 through June 2018 by using the Stoxx Europe 600 index. The comparison is done by applying a portfolio approach and panel data fixed effect approach. LÄS MER

  4. 4. A Comparison of Asset Pricing Models on Nordic Markets

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

    Författare :Felix Gardtman; Alexander Käll; [2020]
    Nyckelord :Asset pricing model; Five-factor model; Three-factor model; Market-premium; Size-premium;

    Sammanfattning : This paper applies the Fama and French five-factor model to Nordic stock markets, comparing its performance to the Fama and French three-factor model and CAPM. The five-factor model is not found to outperform the three-factor model or CAPM. LÄS MER

  5. 5. Active Versus Passive Investing : A Comparative Analysis

    Master-uppsats, Jönköping University/IHH, Företagsekonomi; Jönköping University/IHH, Företagsekonomi

    Författare :Jonathan Molander; Lennart van Loo; [2020]
    Nyckelord :Active investing; Passive investing; Market timing ability; investor alpha; Fama French 3 factor;

    Sammanfattning : The increasing popularity of passive investment strategies causes the long-term feasibility of active investing to be questioned more often. Therefore, this research aimed to uncover whether active investors' influence on fund performance is positive and significant enough to offset the cost involved, thereby providing reasoning for active rather than passive investing. LÄS MER