Essays about: "Asset Pricing Model"

Showing result 1 - 5 of 155 essays containing the words Asset Pricing Model.

  1. 1. Distributional Dynamics of Fama-French Factors in European Markets

    University essay from KTH/Matematisk statistik

    Author : Wilmer Löfgren; [2020]
    Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE

  2. 2. On the relationship between green preferences and returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ella Klynning; Cornelia Frick; [2020]
    Keywords : Green investing; Behavioural finance; Capital asset pricing model; Investor preference; Nonpecuniary preference; Business and Economics;

    Abstract : Abstract The care for the environment in investment situations is rising among different groups of investors, due to social and psychological factors. Existing studies on nonpecuniary preferences for the environment are focused on measuring the proportion of individuals with green agendas, whereas we focus on measuring also magnitudes, i.e. READ MORE

  3. 3. Does the sinner beat the saint? An empirical study of the Nordic stock market

    University essay from Göteborgs universitet/Graduate School

    Author : Jonathan Winberg; [2019-11-27]
    Keywords : Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

    Abstract : MSc in Finance.... READ MORE

  4. 4. THE REAL ECONOMIC EFFECTS OF MONETARY POLICY: CONSIDERING ASSET PRICES AND HOUSEHOLD DEBT

    University essay from Göteborgs universitet/Graduate School

    Author : ERIK THORDENBERG; [2019-10-21]
    Keywords : MONETARY POLICY; ASSET PRICES; DEBT CHANNEL; CONSUMPTION WEALTH CHANNEL;

    Abstract : MSc in Economics.... READ MORE

  5. 5. Green Bonds: A Study on Expected Returns and Liquidity Effects

    University essay from Göteborgs universitet/Graduate School

    Author : Carl-Anton Bryngelsson; Anton Gavin; [2019-08-08]
    Keywords : Green bonds; Liquidity; Bid-Ask Spread; Fixed income; Expected return; Asset pricing; Bond pricing;

    Abstract : MSc in Accounting and Financial Management.... READ MORE