Sökning: "capm fama-french"

Visar resultat 31 - 35 av 87 uppsatser innehållade orden capm fama-french.

  1. 31. Fama, French och Carhart - kan någon ge oss en förklaring?

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Lukas Olin; Robin Sardella; Carl Lundin; [2019]
    Nyckelord :Magic Formula; Momentumstrategi; Marknadsanomalier; Riskfaktorer; Tillgångsprissättningsmodell; Business and Economics;

    Sammanfattning : Purpose: The purpose of the thesis is to examine if two investment strategies, Magic Formula and Momentum strategy, are capable of generating an abnormal return on the european stock market according to four asset pricing models during the time period between July 2000 and July 2018. A secondary purpose is to investigate the investment strategies’ performance in relation to the market portfolio. LÄS MER

  3. 32. Sustainable Investments

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Märta Sandberg; [2019]
    Nyckelord :Sustainable investments; financial performance; ESG rating; Fama-French three-factor model; Fama-French five-factor model; CAPM; Business and Economics;

    Sammanfattning : This paper investigates the relationship between financial performance and sustainable performance. More specifically, it investigates whether sustainable firms outperform less sustainable firms. The sustainable performance is based on companies received ESG score. LÄS MER

  4. 33. In the Periphery of Financial Markets: Asset Pricing of Cryptocurrencies

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

    Författare :Axel Bryhn; Oscar Gonzales; [2019]
    Nyckelord :asset pricing; cryptocurrency; CAPM; Fama-French three-factor model; Carhart four-factor model;

    Sammanfattning : In this thesis we analyze asset pricing of cryptocurrencies. We try to understand and explain what determines the change in return on individual cryptocurrencies by running time-series regressions on their daily returns. The independent variables included are based on the market, size, value and momentum effect. LÄS MER

  5. 34. Performance Evaluation of Green and Conventional Bonds by Common Factor Models

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Wilhelm Asker; Jens Malm; [2018-07-04]
    Nyckelord :;

    Sammanfattning : Together with increased sustainable awareness, companies and municipalities all over the world seek funds to conduct Green projects. The rapid growth of interest in sustainability has led to an additional investment opportunity for investors. LÄS MER

  7. 35. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Max Hulth; Gustav Nilsson; [2018-07-04]
    Nyckelord :Asset pricing; Anomalies; Portfolio sorting; CAPM; Fama French three-factor model; Carhart four-factor model;

    Sammanfattning : The Capital Asset Pricing Model (CAPM) is a widely used tool to describe the risk-return relationship for stocks. Several studies focusing on asset pricing have during the last decades indicated that the one-factor model CAPM is associated with limitations to explain the cross-sectional and time variation in expected stock returns. LÄS MER