Sökning: "Four-factor model"

Visar resultat 11 - 15 av 100 uppsatser innehållade orden Four-factor model.

  1. 11. 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. 12. How to choose green?

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Adrian Thureborn; Jakob Ödman; [2022-02-28]
    Nyckelord :;

    Sammanfattning : This paper investigates if there is any difference between active managed funds and passive managed funds in regard to their risk-adjusted return. The thesis focuses on Swedish sustainable funds that invest in accordance with the ESG (environmental, governance and social) criteria during the time period 2011-2021. LÄS MER

  4. 13. Har Carharts fyrfaktormodell en högre förklaringsgrad än Fama-Frenchs trefaktormodell? : En kvantitativ studie som utvärderar Carharts fyrfaktormodell och Fama-Frenchs trefaktormodell på den svenska aktiemarknaden.

    Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

    Författare :Marsa Teklay Zeray; [2022]
    Nyckelord :Carhart four-factor model; Fama-French three-factor model; Swedish stock market; Degree of explanation; Adjusted R-square; Portfolio return; Risk; Carhart fyrfaktormodell; Fama-French trefaktormodell; Svenska aktiemarknaden; Förklaringsgrad; Justerad R-kvadrat; Portföljavkastning; Risk;

    Sammanfattning : Syfte: Syftet med studien är att analysera och utvärdera Carharts fyrfaktormodells och Fama- Frenchs trefaktormodells prestanda vid portföljavkastning på den svenska aktiemarknaden, under perioden 2011–2020. Teori: Denna studie grundar sig i den effektiva marknadshypotesen, Fama och Frenchs trefaktormodell samt Carharts fyrfaktormodell. LÄS MER

  5. 14. ESG Portfolios in Different Markets - Investigating the Relationship Between ESG Performance and Financial Performance

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ludwig Wolff; [2022]
    Nyckelord :ESG Portfolios; Abnormal Returns; Carhart Four-Factor Model; U.S; Europe; Emerging markets; Business and Economics;

    Sammanfattning : By applying one of the largest datasets on ESG ratings to date with around 8000 companies included during the sample period between 2006-2021. This paper investigates the increasingly popular link between firms’ social and financial performance and the potential abnormal returns to be found using ESG investment strategies. LÄS MER

  7. 15. Negative Screening : an analysis of the cost or benefit related to screening on industries

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Elin Kristoffersson; Noël Klarberg; [2022]
    Nyckelord :Sustainable finance; ESG; negative screening; industries; risk-adjusted return; cost; benefit; portfolio performance; CAPM; Fama-French; Carhart; Sharpe ratio;

    Sammanfattning : This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. LÄS MER