Sökning: "The Fama and French Three-Factor Model: Evidence from the Swedish Stock Market"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden The Fama and French Three-Factor Model: Evidence from the Swedish Stock Market.

1. 1. Does reporting on involvement in poverty alleviation affect the cost of equity? - Empirical evidence based on listed companies in Sweden

   Kandidat-uppsats,

   Författare :Cornelia Lindstad; Isabelle Österberg; [2021-01-28]
   Nyckelord :Fama-French; Cost of Equity; Poverty; CSR; Swedish Stock Market;

   Sammanfattning : The aim of this thesis is to conclude whether there is a difference in the effect on the cost of equity between companies involved in targeted poverty alleviation and companies that are not involved. Previous research indicates that increased transparency and sustainability reporting have a positive effect on the cost of equity and therefore this study aims to add research in this area. LÄS MER

3. 2. 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

4. 3. The Fama-French Five-Factor Asset Pricing Model for the Swedish Stock Market

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

   Författare :Dominykas Gruodis; [2015]
   Nyckelord :Fama French; Factor model; Asset pricing model; Profitability; Investment;

   Sammanfattning : The purpose of this thesis is to investigate how well does the five-factor Fama-French model perform in the Swedish stock market. Fama and French (2015) develop the five-factor model that augments the Fama and French (1993) three-factor model of market return, size and value with two new factors: operating profitability and investment. LÄS MER

5. 4. Idiosyncratic Volatility and Risk-Adjusted Returns: Evidence from the Swedish Stock Market

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

   Författare :Andreas Elvelin; Ulf Hage; [2015]
   Nyckelord :Idiosyncratic volatility; Fama-French three-factor model; Risk-adjusted returns; January effect; Microcap stocks;

   Sammanfattning : Classic financial theory says that an investor should not be compensated for holding diversifiable risk, and that no relation between diversifiable risk and returns should exist. However, research has shown diversifiable risk, or idiosyncratic volatility, to be both positively and negatively related to returns, depending on the application. LÄS MER

7. 5. Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance

   Uppsats för yrkesexamina på avancerad nivå, Företagsekonomi

   Författare :Andreas Rönngren; Ding Xu; [2013]
   Nyckelord :Active Share; tracking error volatility; tracking error; fund performance; alpha; Swedish funds; fund return; mutual equity funds; CAPM; three-factor model; four factor model; pension; Swedish pension system; premium pension; Swedish premium pension system;

   Sammanfattning : We investigate the activity and performance of 64 Swedish registered mutual equity funds available in the Swedish Premium Pension System from October 2002 to December 2011. Fund activity is measured by applying the holdings based analysis Active Share combined with Tracking Error Volatility (TEV). LÄS MER