Sökning: "fama-french"

Visar resultat 16 - 20 av 224 uppsatser innehållade ordet fama-french.

  1. 16. 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

  3. 17. Economic Policy Uncertainty and Stock Market Performance: The Role of CSR

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

    Författare :Albin Hammarberg; Victor Möller; [2023]
    Nyckelord :Economic Policy Uncertainty; Corporate Social Responsibility; Capital Asset Pricing Model; Fama French Three Factor Model; Stock Market Returns;

    Sammanfattning : This research study aims to examine the association between economic policy uncertainty (EPU) and stock market performance, and to investigate whether corporate social responsibility (CSR) has an impact on this relationship. The dataset used in this study comprises firms listed on the S&P 500 index from 2013 to 2022 and is applied on two models, the Capital Asset Pricing Model and Fama French Three Factor Model. LÄS MER

  4. 18. CYBERATTACKERS PÅVERKAN PÅ FÖRETAGS BÖRSVÄRDEN : En kvantitativ studie på cyberattacker 2010–2023

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Erik Graff; Alexander Lundberg; [2023]
    Nyckelord :cyberattacker; påverkan; företag; börsvärde; uppsats; cyberangrepp; ekonomisk påverkan; aktiemarknad; finansiella förluster; företagsvärde; säkerhetshot; dataintrång; IT-sårbarheter; finansiell skada; riskhantering; kapitalmarknad; cyberkriminalitet; IT; aktiekurs;

    Sammanfattning : I takt med att samhället står inför en alltmer digitaliserad vardag har cyberattacker blivit alltmer påtagliga. Cyberattackerna vars vanligaste former tar skepnad genom utpressningstrojaner, nätfiske, skadlig programvara och överbelastningsattacker kostar samhället avsevärda resurser. LÄS MER

  5. 19. How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Författare :Daniel Björck; [2023]
    Nyckelord :Three-factor model; stock returns; Swedish stocks; CAPM; Business and Economics;

    Sammanfattning : In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. LÄS MER

  7. 20. How Do Unexpected Changes in Interest Rates Explain the Variation of Excess Return: Testing an Extended Fama–French Five-Factor Model on the Swedish Stock Market

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Telo Johar; [2023]
    Nyckelord :Fama-French five-factor model; excess return; Swedish stock market; Fama-French five-factor model; överavkastning; svenska aktiemarknaden;

    Sammanfattning : In the realm of asset pricing models, the Fama-French five-factor model has become a foundational framework for explaining the variation of excess stock returns. However, as financial markets continue to evolve, there arises a need to explore potential extensions to capture additional sources of risk and return. LÄS MER