Sökning: "capm fama-french"

Visar resultat 6 - 10 av 87 uppsatser innehållade orden capm fama-french.

  1. 6. Liquidity and its effect on asset returns

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Philip Mafi; Linnéa Wilhelmsson; [2022]
    Nyckelord :Asset-pricing; illiquidity premium; liquidity factor;

    Sammanfattning : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. LÄS MER

  3. 7. Exploring the relationship between ESG and portfolio performance during times of crisis : a study of the Russia-Ukraine war

    Kandidat-uppsats, Stockholms universitet/Finansiering

    Författare :Saraj Huq; Tiia Erika Jutila; Oscar Sameland; [2022]
    Nyckelord :ESG Portfolios; Abnormal Returns; Europe; Fama-French three-factor model; CAPM; ESG; Socially Responsible Investing; CSR; Refinitiv Eikon; Russia-Ukraine war; Russian-Ukrainian war; Russo-Ukrainian war; Crisis;

    Sammanfattning : This thesis explores the relationship between Environmental, Social, and Governance (ESG) ratings and portfolio performance in terms of risk-adjusted returns and volatility during times of crisis. A sample of 761 European public companies with a market capitalisation of at least 300 million euros are divided into high and low ESG portfolios based on their ratings. LÄS MER

  4. 8. Does CSR Actually Hurt Profitability? A Study on the Impact of US Firms' Corporate Social Responsibility Performance on Accounting and Market Metrics of Financial Profitability

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för marknadsföring och strategi

    Författare :Gian Luca Hedenström; Jacopo Breschi; [2022]
    Nyckelord :CSR; Corporate Financial Profitability; Accounting and Market Profitability; Stakeholder Theory; ESG;

    Sammanfattning : Researchers have long investigated the relationship between firms' corporate social responsibility (CSR) performance and corporate financial performance (CFP) without reaching a consensus. Several scholars highlight the multiple economic benefits that firms increasing CSR performance can enjoy. LÄS MER

  5. 9. 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

  7. 10. 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