Sökning: "HML Factor"

Visar resultat 1 - 5 av 31 uppsatser innehållade orden HML Factor.

  1. 1. The Challenges of Sustainable Investing

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Herman Rönnberg; Filip Björkholm; [2023]
    Nyckelord :ESG; sin stocks; Sustainable investing; Russell 3000; Portfolio Construction; Business and Economics;

    Sammanfattning : Over the past decades, investment preferences towards portfolio construction have changed from focusing solely on profit maximization, into a combination of good financial perfor- mance as well as a responsible sustainability outcome. The purpose of this paper is three- fold: first, to investigate whether a sustainable portfolio based on a high environmental, social and governance (ESG) score contributes to positive returns or affects financial per- formance negatively. LÄS MER

  3. 2. Value funds - is price what you pay and value actually what you get?

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

    Författare :Herman Ohlsson; Patrik Nilsson; [2022]
    Nyckelord :Asset Pricing; Factor Model; HML Factor; Value Investing; U.S Mutual Funds;

    Sammanfattning : This paper examines the consistency in exposure to the value factor of U.S. value funds in relation to their performance. We use data from the WRDS database from 2000 to 2021 and apply the Carhart 4-factor model on 71 funds. LÄS MER

  4. 3. EMPIRICAL ANALYSIS OF FACTORS AFFECTING THE EXPECTED RATE OF RETURN FOR ALL-ELECTRIC-VEHICLE MAKERS : USING REGRESSION ANALYSIS TO TEST THE SIGNIFICANCE OF THE CAPM AND FAMA FRENCH FACTORS ON THE CALCULATION OF THE EXPECTED RATE OF RETURN FOR 9 OF THE BIGGEST ALL-ELECTRIC VEHICLE MAKERS.

    Magister-uppsats, Blekinge Tekniska Högskola

    Författare :Dimitrios Felekidis; Sylwia Buczek; [2022]
    Nyckelord :Electric vehicles; All-electric vehicles; Expected return rate; Fama French Three-Factor Model; Fama French Five-Factor Model; CAPM model; Stock;

    Sammanfattning : The All-Electric Vehicle (AEV) industry development has intensified and is connected to governmentefforts to minimize greenhouse gas emissions and encourage people to buy electric vehicles. This hasled to all the lights turning on newly established all-electric vehicle makers and some older players. LÄS MER

  5. 4. 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. 5. The Size and Value effect of The Fama and French Three Factor Model. Do the variables remain meaningful or redundant? Evidence from the Swedish Stock market 2007-2016

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Marcus Einstulen; [2021]
    Nyckelord :Asset Pricing Model; Capital Asset Pricing Model; Fama and French Three Factor Model; Portfolio Theory; Swedish Stock Market; Regressions; Students t-test; Business and Economics;

    Sammanfattning : This thesis compared the explanatory power on excess return between the Capital Asset Pricing Model and the Fama and French Three Factor Model on the Swedish Market. Fur- thermore, an evaluation of the independent variables included in the Fama and French Three Factor Model was done. LÄS MER