Sökning: "Multifactor models"

Visar resultat 11 - 14 av 14 uppsatser innehållade orden Multifactor models.

  1. 11. Situation leadership in small growing technical consultations companies in Sweden and Jordan

    Magister-uppsats, Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

    Författare :Majed Sammak; Eyad Khader; [2014]
    Nyckelord :Situation leadership; Small and medium businesses; Culture; Small technical consultant companies;

    Sammanfattning : Background Small and medium businesses (SME) are important elements in the strategies of economic growth and improvement. The SME have played a great role in regional and global economic recovery during many years and thus they are very desirable. LÄS MER

  3. 12. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

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

    Författare :Daniil Bargman; [2012]
    Nyckelord :downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Sammanfattning : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. LÄS MER

  4. 13. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

    Master-uppsats, Handelshögskolan vid Umeå universitet

    Författare :Rustam Vosilov; Nicklas Bergström; [2010]
    Nyckelord :Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

    Sammanfattning : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. LÄS MER

  5. 14. Do the Nice Guys Go Home Empty Handed?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Marcus Olsson; [2006]
    Nyckelord :CAPM; Sin Stocks; Multi-factor models; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : The aim of this study is twofold. First, the performance of sin stocks in the United States is analyzed. As performance measure I use Jensen’s alpha in a single- and multifactor framework. LÄS MER