Sökning: "Market adjusted model"

Visar resultat 1 - 5 av 242 uppsatser innehållade orden Market adjusted model.

1. 1. Combining Value Investing with Quality Investing: Empirical Evidence from the European and Nordic Stock Markets

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

   Författare :Oleksii Chepil; [2024]
   Nyckelord :value investing; quality investing;

   Sammanfattning : The aim of this thesis is to explore whether stock selection based on five value metrics and six quality metrics can generate superior returns compared to the overall market. The selected markets are the Nordic one (Nasdaq OMX Nordic 120 being the benchmark) and the European one (STOXX Europe 600 being the benchmark), while the selected time period is 2001-2023 for Europe and 2010-2023 for the Nordics. LÄS MER

3. 2. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

   Kandidat-uppsats,

   Författare :Alexander Olsson; Jonathan Taimory; [2023-07-06]
   Nyckelord :Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

   Sammanfattning : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. LÄS MER

4. 3. ESG and Fund Performance Comparing Funds with Different Strategic Benchmarks

   Kandidat-uppsats,

   Författare :Jesper Carlsson; Erik Olofsson; [2023-07-03]
   Nyckelord :ESG; Efficient Market Hypothesis; Risk-Adjusted Return; Strategic Benchmarks;

   Sammanfattning : This thesis aims to identify if there is a positive relationship between ESG and fund performance, and if this relationship is different depending on the strategic benchmark of the funds and how they differ between the given strategic benchmark. Four groups of funds connected to a specific strategic benchmark are divided based on their ESG score into a high ESG score group and low ESG score group. LÄS MER

5. 4. The illiquidity exposure factor: An overlooked driver of mutual fund performance

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Jakob Häger; Tim Hansson; [2023-06-29]
   Nyckelord :Illiquidity; liquidity; mutual funds; fund performance; factor models; alpha;

   Sammanfattning : This paper examines if Swedish-focused mutual funds with more illiquid holdings produce higher alpha. By extending the classic Fama and French five-factor model, we pinpoint the effect of illiquidity in underlying holdings on mutual fund alpha generation through a two-step regression model with data between 2019-2022. LÄS MER

7. 5. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :David Melin; Otta Alexander; [2023]
   Nyckelord :ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

   Sammanfattning : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. LÄS MER