Essays about: "test of the Fama and French"

Showing result 1 - 5 of 54 essays containing the words test of the Fama and French.

  1. 1. Combining Value Investing with Quality Investing: Empirical Evidence from the European and Nordic Stock Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oleksii Chepil; [2024]
    Keywords : value investing; quality investing;

    Abstract : The aim of this thesis is to explore whether stock selection based on five value metrics and six quality metrics can generate superior returns compared to the overall market. The selected markets are the Nordic one (Nasdaq OMX Nordic 120 being the benchmark) and the European one (STOXX Europe 600 being the benchmark), while the selected time period is 2001-2023 for Europe and 2010-2023 for the Nordics. READ MORE

  3. 2. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns

    University essay from Göteborgs universitet/Graduate School

    Author : Anton Ahlqvist; Walter Uong; [2023-06-29]
    Keywords : ;

    Abstract : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. READ MORE

  4. 3. EXPLORING THE RELATIONSHIP BETWEEN ESG DISAGREEMENT AND STOCK RETURNS - AN EMPIRICAL ANALYSIS

    University essay from Göteborgs universitet/Graduate School

    Author : Andrea Pasquali; [2023-06-29]
    Keywords : ;

    Abstract : During the recent years investors shifted their preferences towards sustainable stocks and funds, increasing the importance of Environmental, Social and Governance ratings. At a similar pace the related literature started to develop shedding light on some crucial aspects of the ESG ratings, such as the disagreement between rating agencies and the lack of common methodologies to assess the ratings. READ MORE

  5. 4. Empirical Analysis of Dependence Structure Between Assets: A Study of the Impact of Infation on Dependence Between Stock Portfolios and Gold

    University essay from Göteborgs universitet/Graduate School

    Author : Tim Baldesten Pajunen; Filip Steussloff; [2023-06-29]
    Keywords : Infation;

    Abstract : In this paper, we study the impact of inflation on the dependence and volatilities of gold and stock portfolios constructed by Fama and French. To model the dependence structure, we propose a copula probability model. READ MORE

  6. 5. The power of purpose: How ESG subcategories drive financial performance : A comprehensive analysis using the Fama-French Five-Factor model

    University essay from Linnéuniversitetet/Institutionen för management (MAN)

    Author : Oscar Johnsson; Elias Henriksson; [2023]
    Keywords : ESG score; ESG-subcategories; Fama-French five-factor model; corporate social responsibility; Sharpe ratio;

    Abstract : ESG investing is a hot subject in today’s world with socially responsible investments under management reaching 35.3 trillion in the beginning of 2020. Corporations today are highly affected by social and government pressure to take on corporate social responsibility. READ MORE