Sökning: "Four-factor model"

Visar resultat 16 - 20 av 100 uppsatser innehållade orden Four-factor model.

1. 16. The Performance of Serial Acquirers : Evidence from the Nordic market

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Mattias Gionis; Jesper Stugemo; [2022]
   Nyckelord :mergers and acquisitions; Serial acquirers; short term and long term performance; hubris hypothesis; learning hypothesis; payment method;

   Sammanfattning : This thesis examines the performance of serial acquirers in the Nordic market between 2006-2016. We investigate how serial acquirers perform in the short-term and long-term and if serial acquirers are affected by hubris, or if they learn by experience. LÄS MER

3. 17. Cryptocurrency Return Predictors - A Replicative Reassessment Rising Stablecoin Growth - Cryptocurrency Return Predictors in New Market Conditions

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

   Författare :Erik Stålman; Alexander Ripe; [2022]
   Nyckelord :Cryptocurrency; Factors Model; Zero-Investment Long-;

   Sammanfattning : We successfully construct nine significant cryptocurrency return predictor strategies based on market capitalization, momentum and volatility characteristics. We replicate the methods used in the article "Common Risk Factors In Cryptocurrency" using a larger and more recent dataset encompassing changed cryptocurrency market conditions and asset composition (Liu, Tsyvinski, Wu, 2022). LÄS MER

4. 18. Are ESG investments a sustainable investing strategy?

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sofia Hallberg; Hanna Johnsson; [2021-06-30]
   Nyckelord :ESG investing; Sustainable performance; Sustainability; Financial performance;

   Sammanfattning : Sustainable investments are rapidly growing, and screening of Environmental, Social, and Governance (ESG) scores is a popular method to assess sustainable companies. With the increased usage of this method, the question arises; is screening of ESG scores a sufficient method to allocate investments to companies with top sustainable performance? This study investigates the relation between ESG scores and sustainable performance in the S&P 500 over five years from January 2015 to December 2019. LÄS MER

5. 19. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Erik Hulth; [2021-06-30]
   Nyckelord :Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Sammanfattning : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. LÄS MER

7. 20. Skillnader i riskaversion utifrån kön och olika storlek på sparkapital

   Kandidat-uppsats,

   Författare :Emma Fredriksson; Andrea Matsson; [2021-06-30]
   Nyckelord :Risk Aversion; Carhart s Four-Factor model; Regression analysis; Beta; Average Return; Risk Adjusted Return; Fictive portfolios; Overconfidence;

   Sammanfattning : The purpose of this thesis is to investigate whether females are more risk averse than men on the Swedish stock market and to determine if the level of risk aversion decreases or increases for individuals with a large amount of investments, defined as >1 MSEK. The datasets on which this thesis has used is collected from Avanza, a Swedish financial institution, and the time period that the data will be implemented from is 2019-02-15 to 2021-02-15. LÄS MER