Essays about: "Three-factor model"

Showing result 1 - 5 of 78 essays containing the words Three-factor model.

  1. 1. An Evaluation of Asset Pricing Models in the Swedish Context - Is Carharts Four-Factor Model more suitable than its predecessors for explaining the Swedish stock exchange?

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Ludvig Göransson; Iordan Palma Tzakov; [2018-02-20]
    Keywords : Capital Asset Pricing Model; Fama French Three-Factor Model; Carhart Four-Factor Model; Swedish stock exchange; r-square-adjusted;

    Abstract : This thesis investigates the explanatory power of the Capital Asset Pricing Model, the Fama French Three-Factor Model and the Carhart Four-Factor Model on the Stockholm Stock Exchange over the period 2012-2016. The purpose is to examine whether or not the Carhart Four-Factor Model explains excess return variability better than the Capital Asset Pricing Model and the Fama French Three-Factor Model. READ MORE

  2. 2. Magic Formula Investing and The Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Oskar Strömberg; Oscar Gustavsson; [2018]
    Keywords : Magic Formula; Efficient Market Hypothesis; Fama and French three-factor model; CAPM; Swedish stock market; Business and Economics;

    Abstract : The purpose of this paper is to contribute to the existing research within the subject of the Magic Formula. The investment strategy will be tested on historical data for companies on the Stockholm stock exchange during the period 2007-04-01 to 2017-03-31. The return will be benchmarked against OMXS30 as an indicator of the market return. READ MORE

  3. 3. Utilizing Wavelet to Examine the Relationship between Stock Returns and Risk Factors in CAPM and Fama-French Three-Factor Model : A study of the Swedish stock market

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Hakob Bedros; [2018]
    Keywords : ;

    Abstract : .... READ MORE

  4. 4. 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

  5. 5. Overvaluation in the housing market and its effect on the performance of listed real estate companies

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Carl Jedvall; Erik Ekeberg; [2017]
    Keywords : fundamental housing value; real estate; Swedish housing market; housing bubble; Fama-French Three-Factor Model;

    Abstract : In the years 2007-2015 prices for flats in Sweden increased with approximately 80%. Simultaneously, the Swedish real estate index, SX8600PI, increased with 77%, outperforming the OMXSPI by 33%. READ MORE