Essays about: "Three-factor model"

Showing result 1 - 5 of 67 essays containing the words Three-factor model.

  1. 1. Sustainable Investment: A Win-Win Situation? An Evaluation of Mutual Ethical Equity Funds on the Global Market Using a Five Factor Model

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Josefine Bankel; Carolina Elvind; [2017-03-24]
    Keywords : Portfolio Evaluatio; Investment Style; SRI; ESG; Ethical Funds; Sustainability; Global; Emering Markets; Equity Fund; Mutual Funds; CAPM; Fama Frensch Five Factor Model;

    Abstract : This study investigates the performance and investment styles of mutual ethical equity funds on the global market. To examine this, the Fama French Five Factor model is applied by adding the new variables to Fama French Three Factor Model step by step, discovering new results about performance and investment style. READ MORE

  2. 2. Value Investing on the Nordic Stock Market - Does the Magic Formula constitute a viable strategy for outperforming the market?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emil Håkansson; Pontus Kvarnmark; [2017]
    Keywords : Value Investing; Sharpe Ratio; Nordic Stock Market; Magic Formula; Business and Economics;

    Abstract : In this thesis we investigate if following the magic formula can yield superior investment returns in relation to the risk taken. The magic formula is a term coined by Joel Greenblatt, describing a systematic approach to successful stock investing. READ MORE

  3. 3. New factors in asset pricing

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Jacob Riben; Gabriel Leifland Berntsson; [2016]
    Keywords : Fama and French five-factor model; investments; profitability; book-to-market equity; size effect;

    Abstract : The purpose of this thesis is to study the relationship between the different risk factors of the Fama and French (2015) five-factor model on Northern European data from 1985 to 2014. We find that their five-factor model for cross-sectional asset pricing, including market return, size, book-to-market equity (B/M), profitability and investment as factors of return, only performs slightly better than their three-factor model. READ MORE

  4. 4. Does the Fama-French three-factor model and Carhart four-factor model explain portfolio returns better than CAPM? : - A study performed on the Swedish stock market.

    University essay from Karlstads universitet/Handelshögskolan

    Author : Nicklas Rehnby; [2016]
    Keywords : Fama and French three-factor model; Carhart´s four-factor model; Capital Asset Pricing Model CAPM ; portfolio returns; excess returns; Swedish stock market;

    Abstract : This essay will compare the capital asset pricing model (CAPM), Fama and French threefactormodel and Carhart´s four-factor model, to see which of these models that can explainportfolio excess returns best on the Swedish stock market. This thesis will tempt to validatethe three and four-factor models because of the limited amount of research done on theSwedish stock market. READ MORE

  5. 5. Earnings Surprises and the Cross-Section of Stock Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Benedicte Sofie Damslora; Marcus Engström; [2016]
    Keywords : Earnings surprises; S P 500; Risk factors;

    Abstract : Do earnings surprises affect stock prices during the subsequent quarter? If so, what is the estimated impact, and to what extent can it be clearly distinguished from other factors? To answer these questions we build ten dynamic portfolios in which the companies are continuously reallocated according to their latest earnings surprise. A cross-sectional regression based on these portfolios indicates a distinct albeit nonlinear effect of the earnings surprise. READ MORE