Sökning: "Fama-French Four Factor Model"

Visar resultat 1 - 5 av 46 uppsatser innehållade orden Fama-French Four Factor Model.

1. 1. A valuation of Swedish hedge fund performance

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Elis Grönqvist; Johan Wennerström; [2023-02-09]
   Nyckelord :;

   Sammanfattning : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. LÄS MER

3. 2. To Sin or Not to Sin? A Study of Traditional and New Sin Stocks on the American Stock Market

   Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Filip Eriksson; Herman Ljungberg; Oliver Lönegård; [2023]
   Nyckelord :Sin Stocks; New Sin Stocks; Sustainable Investments; Social Norms; Socially Responsible Investing; Business and Economics;

   Sammanfattning : This study aims to investigate the difference in stock return between traditional sin stocks, new sin stocks, and their respective peer stocks. The purpose was to expand the scarcely researched area of new sin stocks by being the first one to focus on new sin stocks on the American stock market (United States NYSE, AMEX, and NASDAQ stock exchanges), as this area has only been researched in Europe before. LÄS MER

4. 3. The Challenges of Sustainable Investing

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Herman Rönnberg; Filip Björkholm; [2023]
   Nyckelord :ESG; sin stocks; Sustainable investing; Russell 3000; Portfolio Construction; Business and Economics;

   Sammanfattning : Over the past decades, investment preferences towards portfolio construction have changed from focusing solely on profit maximization, into a combination of good financial perfor- mance as well as a responsible sustainability outcome. The purpose of this paper is three- fold: first, to investigate whether a sustainable portfolio based on a high environmental, social and governance (ESG) score contributes to positive returns or affects financial per- formance negatively. LÄS MER

5. 4. Do ESG investors pay a price for doing good - A matched pair analysis of the Swedish fund market.

   Kandidat-uppsats,

   Författare :Edvin Andersson; Albin Dahlin; Morgan Thisted; [2022-07-11]
   Nyckelord :ESG; sustainability; Sweden; ESG funds; conventional funds; financial performance; matched pair analysis;

   Sammanfattning : In this thesis we examine the financial performance of Swedish mutual equity funds. We look at differences between sustainable, defined as ESG, and conventional funds. The financial performance is examined using the Capital Asset Pricing Model, the Fama-French three-factor model and Carhart’s four-factor model. LÄS MER

7. 5. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Carl Helldén; Julia Lamers; [2022-06-29]
   Nyckelord :ESG; Environmental; asset pricing models; screening strategies;

   Sammanfattning : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. LÄS MER