Sökning: "Tommaso Luigi Valli Fassi"

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  1. 1. Asset Pricing with an Excess Volatility Factor : A Multi-Index Model Approach

    Master-uppsats, Stockholms universitet/Finansiering

    Författare :Tommaso Luigi Valli Fassi; [2015]
    Nyckelord :asset-pricing; excess volatility; excess returns; variance difference; Fama- French model; Carhart model; Capital Asset Pricing Model;

    Sammanfattning : This paper evaluates the impact that the integration of an excess volatility factor has on the asset-pricing performance of the Fama-French (1992, 1993) and of the Carhart (1997) models, with reference to the retrospective and prospective explanation of the time series and of the cross section of excess returns on stocks. Specifically, the research intends to determine whether or not a new excess volatility factor is able to capture common sources of excess returns on stocks, related to excess volatility, and left unexplained by the available asset-pricing models. LÄS MER