Sökning: "fama french stockholm"

Visar resultat 1 - 5 av 114 uppsatser innehållade orden fama french stockholm.

1. 1. Combining Value Investing with Quality Investing: Empirical Evidence from the European and Nordic Stock Markets

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

   Författare :Oleksii Chepil; [2024]
   Nyckelord :value investing; quality investing;

   Sammanfattning : The aim of this thesis is to explore whether stock selection based on five value metrics and six quality metrics can generate superior returns compared to the overall market. The selected markets are the Nordic one (Nasdaq OMX Nordic 120 being the benchmark) and the European one (STOXX Europe 600 being the benchmark), while the selected time period is 2001-2023 for Europe and 2010-2023 for the Nordics. LÄS MER

3. 2. The Missing Ingredient: How to improve value investing in the information age

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Författare :Robin Grawe; Kjell Thomsen; [2023]
   Nyckelord :Value investing; Fama-French; Intangible Assets; Accounting-based valuation;

   Sammanfattning : This thesis aims to inform a value investing strategy in specific niches of European firms by adjusting the book-to-market (B/M) ratio for intangible assets. An increase in intangible assets' importance for corporate value creation coupled with a lack of amendments to their accounting treatment has led to debates on the value relevance and accuracy of accounting information, including the B/M ratio used to derive value premiums. LÄS MER

4. 3. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022

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

   Författare :Jean-Philippe Chakbazof; Amitesh Raghav; [2023]
   Nyckelord :ESG Factor; Nordic Compass; Fama Macbeth; Volatility Management; ESG Portfolio;

   Sammanfattning : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. LÄS MER

5. 4. Can Machine Be a Good Stock Picker?: Bridging the Gap between Fundamental Data and Machine Learning

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

   Författare :Tomoya Narita; Povilas Stankevicius; [2023]
   Nyckelord :Machine Learning; XGBoost; Relative Valuation; Convergence Trade;

   Sammanfattning : We investigate the efficacy of historical accounting data and consensus forecasts for relative valuation of stocks, employing tree-based machine learning methods. We run an XGBoost model for monthly cross-sections of financial and pricing data of US equities from 1984 to 2021. LÄS MER

7. 5. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

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

   Författare :David Böckling; Jurgis Druktenis; [2023]
   Nyckelord :Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

   Sammanfattning : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. LÄS MER