Sökning: "fama french 2015"
Visar resultat 1 - 5 av 42 uppsatser innehållade orden fama french 2015.
1. Value Investing on the 21st Century Swedish Stock Market
Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionenSammanfattning : Does value investing work on the 21-st century Swedish stock market? We examine the performances of the FScore strategy (Piotroski 2000), the V/P strategy (Frankel and Lee 1998), and a combination of these (Li and Mohanram 2019) on the Swedish stock market between 2000-2020. We find that they produce significant and substantial average raw returns during the period, much above the total return of a comparable market index. LÄS MER
2. Volatility-managed portfolios in the international markets
Master-uppsats, Stockholms universitet/FinansieringSammanfattning : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. LÄS MER
3. Principal Component Analysis and the Cross-Sectional Variation of Returns
Kandidat-uppsats,Sammanfattning : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. LÄS MER
4. Does reporting on involvement in poverty alleviation affect the cost of equity? - Empirical evidence based on listed companies in Sweden
Kandidat-uppsats,Sammanfattning : The aim of this thesis is to conclude whether there is a difference in the effect on the cost of equity between companies involved in targeted poverty alleviation and companies that are not involved. Previous research indicates that increased transparency and sustainability reporting have a positive effect on the cost of equity and therefore this study aims to add research in this area. LÄS MER
5. The Size and Value effect of The Fama and French Three Factor Model. Do the variables remain meaningful or redundant? Evidence from the Swedish Stock market 2007-2016
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis compared the explanatory power on excess return between the Capital Asset Pricing Model and the Fama and French Three Factor Model on the Swedish Market. Fur- thermore, an evaluation of the independent variables included in the Fama and French Three Factor Model was done. LÄS MER