Sökning: "Fama-French Three-Factor Model"

Visar resultat 6 - 10 av 116 uppsatser innehållade orden Fama-French Three-Factor Model.

  1. 6. 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

  3. 7. 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

  4. 8. Does purchased goodwill create shareholder value?

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Philip Eriksson; Edith Wolff; [2023]
    Nyckelord :purchased goodwill; mergers and acquisitions; long-term performance; industries;

    Sammanfattning : In this paper we examine the relationship between the purchased goodwill proportion (PGP) and the long-term stock performance of US acquirers and how this relationship is moderated by industry classification. Our final sample consists of 676 M&As in the period 2007-2017. LÄS MER

  5. 9. 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. 10. 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