Sökning: "Philip Hagander"

Hittade 1 uppsats innehållade orden Philip Hagander.

  1. 1. Is Default Risk Systematic? An Augmentation of the Fama and French Three-Factor Model with Credit-Default Swap Spreads

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Philip Hagander; Karl Egervall; [2013]
    Nyckelord :DEFAULT RISK; FAMA AND MACBETH; EQUITY PRICING; SYSTEMATIC RISK; FACTOR MIMICKING PORTFOLIO TECHNIQUE.; Business and Economics;

    Sammanfattning : The purpose of the study is to quantitatively verify the systematic property of default risk and to statistically test if adding a default risk factor to the Fama and French Three-Factor Model can enhance its performance. The applied method is derived from the Fama and French Three- factor methodology and enhancing it with an additional default risk factor. LÄS MER