Essays about: "conditional four-factor model"

Found 2 essays containing the words conditional four-factor model.

1. 1. Swedish Hedge Fund and Mutual Fund Performance during the Financial Crisis of 2008

   University essay from Göteborgs universitet/Graduate School

   Author : Ninh Hoang; [2015-09-08]
   Keywords : hedge funds; mutual Funds; financial crisis of 2008; conditional four-factor model; fund’s performance;

   Abstract : The purpose of the thesis is to study the respective performance of Swedish hedge and mutual funds during the financial crisis of 2008 to see which type of funds have the best performance during a crisis of this sort. A conditional four-factor model developed by Fink, Raatz and Weigert (2014) is used for the estimation of performance. READ MORE

3. 2. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

   University essay from Handelshögskolan vid Umeå universitet

   Author : Rustam Vosilov; Nicklas Bergström; [2010]
   Keywords : Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

   Abstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE