Sökning: "Three-factor model"

Visar resultat 16 - 20 av 183 uppsatser innehållade orden Three-factor model.

  1. 16. ESG - Värdedrivare eller reglering

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Fredrik Stenberg; Filip Stenberg; [2022]
    Nyckelord :ESG; Portfolio performance; Sharpe ratio; Treynor s ratio; Asset Pricing models; Business and Economics;

    Sammanfattning : This thesis aim to evaluate how sustainability in terms of ESG-ratings affect portfolio performance. A portfolio strategy sorting stocks solely on ESG-ratings from MSCI will be evaluated with financial performance measures and regression analysis. Furthermore, the authors will use a quantitative method and incorporate stocks from the S&P 500. LÄS MER

  3. 17. Mispricing of Climate Risk

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Lovisa Dahlquist; Lena Maria Tschanhenz; [2022]
    Nyckelord :Bloomberg GHG estimates; Risk premium for climate risk; ESG reporting; Sustainable investing; Stock market equilibrium; Business and Economics;

    Sammanfattning : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. LÄS MER

  4. 18. Web3 Usage and its Value for Crypto

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

    Författare :Oliver Brandtvig; August Wiking; [2022]
    Nyckelord :Cryptocurrency; Web3; Factor model; Decentralized finance; Asset pricing;

    Sammanfattning : Cryptocurrencies have grown significantly in recent years, and their role in society remains a highly debated subject. In "Common Risk Factors in Cryptocurrency," Liu, Tsyvinski, and Wu explore whether models from traditional finance can be applied to the cryptocurrency market to create successful trading strategies. LÄS MER

  5. 19. The ESG-Risk Relationship - A study of the relationship between ESG and firm-specific risk of publicly traded firms in Sweden

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jonathan Bark; Melker Lundberg; [2022]
    Nyckelord :Idiosyncratic Volatility; ESG; Fama-French three-factor model; ESG-risk relationship; Business and Economics;

    Sammanfattning : Non-financial metrics have come to play a larger role in financial markets as years pass, impacting decisions made by businesses, investors and policy makers alike. A significant non-financial metric captured by the term ESG or Environmental, Social and Governance. LÄS MER

  7. 20. Negative Screening : an analysis of the cost or benefit related to screening on industries

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Elin Kristoffersson; Noël Klarberg; [2022]
    Nyckelord :Sustainable finance; ESG; negative screening; industries; risk-adjusted return; cost; benefit; portfolio performance; CAPM; Fama-French; Carhart; Sharpe ratio;

    Sammanfattning : This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. LÄS MER