Sökning: "Fama-French factors"
Visar resultat 21 - 25 av 85 uppsatser innehållade orden Fama-French factors.
21. Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : There exist over 300 firm characteristics that provide significant information about average asset return. John Cochrane refers to this as a “factor zoo” and challenges researchers to find the independent characteristics which can explain average return. LÄS MER
22. Feeling the Heat of Climate Change - How Sensitive Could It Be?
Kandidat-uppsats,Sammanfattning : This thesis examines if climate sensitivity predicts stock returns and how well this measurement performs. The sample consists of the S&P 500 and the monthly stock return for the period between 1979 to 2019. The method is first to estimate the climate sensitivity for stock returns from temperature anomaly. LÄS MER
23. Mutual Fund Performance : An analysis of determinants of risk-adjusted performance for mutual equity funds available for Swedish investors
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/FöretagsekonomiSammanfattning : The mutual fund industry in Sweden has grown rapidly over the past years. Research has been made on the topic for over 50 years, however there are still uncertainties about the determinants of fund performance. LÄS MER
24. Is it really worth it?
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Previous research shows that there exists a procyclicality premium in some large economies like the U.S. However, this study investigates if a procyclicality premium is present in a small open economy like Sweden as well as in some developed countries around the world due to the size of the Swedish economy. LÄS MER
25. Post-Earnings Announcement Drift on the Swedish Stock Market : The Effect of Corporate Governance Quality
Master-uppsats, Uppsala universitet/Företagsekonomiska institutionenSammanfattning : This study examines the post-earnings announcement drift (PEAD) anomaly on the Swedish stock market. By constructing a corporate governance index based on share structure, board independence and board gender diversity, we test how the quality of firms’ corporate governance affects the drift – a link which is previously unexplored. LÄS MER