Essays about: "Lars Sparre"

Found 1 essay containing the words Lars Sparre.

  1. 1. Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015

    University essay from Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Joakim Lind; Lars Sparre; [2016]
    Keywords : Asset-pricing model; Multifactor model; Conditional beta; Dual-Beta; Five-Factor Model; Q-Factor Model; Beta-sorted Portfolios; Swedish Stock Market;

    Abstract : This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. READ MORE