Sökning: "Fama-French Three-Factor Model"
Visar resultat 1 - 5 av 72 uppsatser innehållade orden Fama-French Three-Factor Model.
- 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
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
3. Testing the Performance of the Capital Asset Pricing Model and the Fama-French Three-Factor Model - A study on the Swedish Stock Market between 2014-2019Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : The returns of potential investments are interesting for every investor. In this thesis we compared two financial models that are often used to predict expected returns of portfolios with different financial instruments. LÄS MER
4. An Empirical Study of CAPM, the Fama-French three-factor and the Fama-French five-factor Model - A Study Performed on the Swedish Stock Market.Kandidat-uppsats,
Sammanfattning : This thesis aims to add further research about the Fama-French five-factor model and its ability to explain average returns on the Swedish Stock Market. Additionally, the study also investigates and compares the performance of CAPM, the Fama-French three-factor model and the Fama-French five-factor model. LÄS MER
5. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity marketKandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. LÄS MER