Sökning: "Fama-French factors"
Visar resultat 1 - 5 av 56 uppsatser innehållade orden Fama-French factors.
- 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. 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
4. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessorsKandidat-uppsats, Lunds universitet/Statistiska institutionen
Sammanfattning : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. LÄS MER
- C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : This thesis presents evidence that the phenomenon of sin stocks yielding abnormal returns persists until the present day. In contrast to results by Blitz and Fabozzi (2017), we find these abnormal returns to be robust to controlling for the Fama-French factors for profitability and investment. LÄS MER