Sökning: "Fama-French multifactor factor model"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Fama-French multifactor factor model.

  1. 1. 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

  3. 2. Femte faktorn gillt? : En kvantitativ studie av Fama och Frenchs femfaktormodell på den svenska aktiemarknaden

    Kandidat-uppsats, Södertörns högskola/Företagsekonomi

    Författare :Niklas Lindqvist; Sebastian Löthner; [2021]
    Nyckelord :Fama-French Five Factor Model; Swedish stock market; Portfolio management; Asset pricing; Multifactor models; Fama-French femfaktormodell; Svenska aktiemarknaden; Portföljförvaltning; Prissättning av tillgångar; Multifaktormodeller;

    Sammanfattning : Syfte: Syftet är att testa Fama och Frenchs femfaktormodell på den svenska aktiemarknaden. Detta genom att undersöka huruvida modellen kan statistiskt förklara portföljers genomsnittliga avkastning samt ifall specifika faktorer har statistisk signifikans. Metod: En kvantitativ studie med ett deduktivt förhållningssätt. LÄS MER

  4. 3. Is Sustainability Profitable?

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Nils Betsholtz; Anton Lindström; Edvard Wennerberg; [2020]
    Nyckelord :ESG; STOXX 600; Fama-French multifactor factor model; CAPM; Carhart four-factor model; Panel data fixed effect; Business and Economics;

    Sammanfattning : This paper examines the relationship between the ESG-score, including its pillars Environment, Social and Governance and market return from July 2002 through June 2018 by using the Stoxx Europe 600 index. The comparison is done by applying a portfolio approach and panel data fixed effect approach. LÄS MER

  5. 4. Do ESG scores matter in the market?: Environmental, Social and Governance performance in relation to stock returns and profitability in European Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Yea Eun Jang; [2019]
    Nyckelord :Sustainability · ESG score · Profitability · Fama-French risk factors · Multifactor model · European stock market; Business and Economics;

    Sammanfattning : This paper examines the effect of European corporates’ sustainability performance on their economic and financial performance. The sustainability performance is represented by ESG scores in this paper. ESG evaluates the sustainability performance in environmental, social and governance aspects. LÄS MER

  7. 5. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Daniil Bargman; [2012]
    Nyckelord :downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Sammanfattning : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. LÄS MER