Sökning: "Fama and French three-factor model"
Visar resultat 1 - 5 av 98 uppsatser innehållade orden Fama and French three-factor model.
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
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
- Master-uppsats, KTH/Matematisk statistik
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
- Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen
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
- C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
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
- Master-uppsats, Jönköping University/IHH, Företagsekonomi; Jönköping University/IHH, Företagsekonomi
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