Sökning: "Fama-Macbeth Regression"

Visar resultat 1 - 5 av 20 uppsatser innehållade orden Fama-Macbeth Regression.

  1. 1. Impact of Inflation on Return and Pricing of Swedish Bank Stocks : A Fama-French Analysis on Monthly Stock Returns and Pricing of Handelsbanken, Swedbank, SEB and Nordea

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Carl Westerberg; Elvin Rolder; [2023]
    Nyckelord :Asset Pricing Theory; CAPM; Carhart; Fama-French; Fama-Macbeth; Inflation; NII;

    Sammanfattning : This study explores the influence of inflation on the monthly total stock returns and stock pricing of Swedish banks. The research question is systematically examined througha cross sectional and time series analysis, utilizing Fama-French, Carhart, and Fama-Macbeth metodologies. LÄS MER

  3. 2. Is it really worth it?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Adam Grönvall; Kivanç Kiray; [2020]
    Nyckelord :Procyclicality premium; Industrial production; Fama Macbeth 2-stage regression; Fama French risk factors; IPI.; Business and Economics;

    Sammanfattning : 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

  4. 3. Does Quality Matter?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Lovisa Jalrup; Sawan Patel; [2020]
    Nyckelord :Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

    Sammanfattning : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. LÄS MER

  5. 4. A Comparative Analysis of the Performance of Euro-Denominated Green and Conventional Bonds

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Liina-Johanna Leeve; Lois Anum; [2019]
    Nyckelord :Green Bonds; Conventional Bonds; Sustainable Investments; Corporate Bonds; Fama-Macbeth Regression; Fama-French Model; Matching Principle; Merton Model; Business and Economics;

    Sammanfattning : The green bond market has seen exponential growth since its boom in 2013 but literature on this topic is considered woefully inadequate. This research paper therefore seeks to compare the performance of European green bonds against its conventional counterparts. LÄS MER

  7. 5. The Default Risk Puzzle - Evidence from the Swedish market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Mia-Melina Söderlind; Sara Selin; [2019]
    Nyckelord :Default risk; Altman s Z -score; Systematic risk; Fama-MacBeth two-step regression; Stockholm Exchange; Business and Economics;

    Sammanfattning : Default risk is a major source of potential losses to equity investors and the effect of default risk on stock returns have therefore been widely examined by several papers. However, whether there exists an anomalous significant relationship between default risk and stock returns is a rather unexplored subject on the Swedish market. LÄS MER