Sökning: "capm fama-french"

Visar resultat 21 - 25 av 87 uppsatser innehållade orden capm fama-french.

  1. 21. Factor Premiums in Developing Stock Markets: Evidence from Nairobi Securities Exchange

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Agnes Lindvall; [2020]
    Nyckelord :Asset Pricing Models; Fama-French 5-factor Model; Nairobi Securities Exchange; Factor Premium; Business and Economics;

    Sammanfattning : This study tests the Fama-French 5-factor asset pricing model in a developing stock market. The purpose is to investigate whether the size, value, profitability, and investment factor premiums exist in the Nairobi Securities Exchange (NSE). LÄS MER

  3. 22. Köp, Sälj eller Behåll - En kvantitativ studie om aktierekommendationer som investeringsstrategi

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Keivan Shirvanpour; Daniel Soume; [2020]
    Nyckelord :Aktierekommendationer; Överavkastning; Investeringsstrategi; Portföljstrategi; Effektiva Marknadshypotesen; Marknadseffektivitet; Fama French; CAPM; Large Cap;

    Sammanfattning : Sammanfattning   Syfte: Syftet med denna studie är att undersöka huruvida det är möjligt att uppnå riskjusterad överavkastning, genom att tillämpa aktierekommendationer som investeringsstrategi. Studien ämnar även att undersöka vilken grad av marknadseffektivitet som råder på Stockholmsbörsens Large Cap-lista. LÄS MER

  4. 23. Is Sustainability Profitable?

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Nils Betsholtz; Anton Lindström; Edvard Wennerberg; [2020]
    Nyckelord :ESG; STOXX 600; Fama-French multifactor factor model; CAPM; Carhart four-factor model; Panel data fixed effect; Business and Economics;

    Sammanfattning : This paper examines the relationship between the ESG-score, including its pillars Environment, Social and Governance and market return from July 2002 through June 2018 by using the Stoxx Europe 600 index. The comparison is done by applying a portfolio approach and panel data fixed effect approach. LÄS MER

  5. 24. Does the sinner beat the saint? An empirical study of the Nordic stock market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jonathan Winberg; [2019-11-27]
    Nyckelord :Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

    Sammanfattning : Abstract This research paper studies the interaction between monthly returns of sin stock portfolios, where the purpose is to get an understanding of what impact an exclusion of sin stocks can have on portfolio returns for Nordic stock investors. OLS (ordinary least squares) time-series regression models are used to execute this research, using data between 1990-2018. LÄS MER

  7. 25. Testing the Performance of the Capital Asset Pricing Model and the Fama-French Three-Factor Model - A study on the Swedish Stock Market between 2014-2019

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Frida Gustafsson; Robert Gustavsson; [2019-07-12]
    Nyckelord :;

    Sammanfattning : The returns of potential investments are interesting for every investor. In this thesis we compared two financial models that are often used to predict expected returns of portfolios with different financial instruments. LÄS MER