Sökning: "capm fama-french"

Visar resultat 6 - 10 av 81 uppsatser innehållade orden capm fama-french.

  1. 6. EMPIRICAL ANALYSIS OF FACTORS AFFECTING THE EXPECTED RATE OF RETURN FOR ALL-ELECTRIC-VEHICLE MAKERS : USING REGRESSION ANALYSIS TO TEST THE SIGNIFICANCE OF THE CAPM AND FAMA FRENCH FACTORS ON THE CALCULATION OF THE EXPECTED RATE OF RETURN FOR 9 OF THE BIGGEST ALL-ELECTRIC VEHICLE MAKERS.

    Magister-uppsats, Blekinge Tekniska Högskola

    Författare :Dimitrios Felekidis; Sylwia Buczek; [2022]
    Nyckelord :Electric vehicles; All-electric vehicles; Expected return rate; Fama French Three-Factor Model; Fama French Five-Factor Model; CAPM model; Stock;

    Sammanfattning : The All-Electric Vehicle (AEV) industry development has intensified and is connected to governmentefforts to minimize greenhouse gas emissions and encourage people to buy electric vehicles. This hasled to all the lights turning on newly established all-electric vehicle makers and some older players. LÄS MER

  2. 7. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Erik Hulth; [2021-06-30]
    Nyckelord :Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

    Sammanfattning : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. LÄS MER

  3. 8. Performance Evaluation of Swedish and German Actively Managed Mutual Funds

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

    Författare :Robin Cederdahl; Simon Olofsson; [2021-02-18]
    Nyckelord :;

    Sammanfattning : There are many studies examining the performance of actively managed mutual funds in different markets. The results of these studies vary depending on the used model and market. LÄS MER

  4. 9. The Impact of ESG on Stock Performance - A Case Study of Developing and Developed Countries: South Africa and Sweden.

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sarah Okunade; [2021]
    Nyckelord :Sustainability · ESG · Returns · Sweden · South Africa; Business and Economics;

    Sammanfattning : Following the increasing sustainability trend and awareness, investors now look beyond only financial considerations when purchasing stocks. This paper analyzes the relationship between Environmental, Social, Governance (ESG) scores and stock performance, measured by returns. LÄS MER

  5. 10. Kan Magic Formula generera Alpha på den Svenska aktiemarknaden efter kontroll för marknadsrisk, företagsstorlek och värdefaktor?

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Fredrik Widz; [2021]
    Nyckelord :Magic Formula; Anomalier; Faktorinvesteringar; Joel Greenblatt; Effektiva Marknadshypotesen; Kvantitativt investerande;

    Sammanfattning : This study intends to investigate the use of Joel Greenblatts investing strategy “Magic Formula” on the Swedish stock market for the 10-year period of last of March 2009 to last of March 2019-- a period characterized as a raging bull-market, mainly driven forward by historically low interest rates. This is done by the utilization of back testing, later comparing the returns with a benchmark(OMXSGI) as well as determining if the return can be aptly explained by the asset pricing models CAPM and Fama-French 3 factor with the use of regression analysis. LÄS MER