Essays about: "Book-to-Market"

Showing result 21 - 25 of 64 essays containing the word Book-to-Market.

1. 21. Models explaining the average return on the Stockholm Stock Exchange

   University essay from Högskolan i Jönköping/Internationella Handelshögskolan

   Author : Jämtander Jämtander; [2018]
   Keywords : Asset Pricing Model; P E ratio; CAPM; Market Efficiency; Market return; risk-free rate; Anomaly; Behavioral finance; Fama-French Three Factor Model; Fama-French Four Factor Model; Stockholm Stock Exchange; Market value; Book-to-market value; Portfolio; OLS-regression;

   Abstract : Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. READ MORE

3. 22. Performance Evaluation of European Green Mutual Funds - Is There an Economic Trade-Off?

   University essay from

   Author : Emil Andreasson; Mats Kronborg; [2017-06-27]
   Keywords : Green Funds; Conventional Funds; Performance Evaluation; European Focus; Risk-Adjustment Returns; Sharpe Ratio;

   Abstract : In this thesis, we investigate the financial performance of European green and conventional mutual equity funds over the 2007 – 2017 period. We applied the Carhart (1997) four-factor model over three different periods, and find evidence that the risk-adjusted alphas are not statistically different. READ MORE

4. 23. 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. 24. Is Top Line Now Top of Mind? An empirical study on response coefficients on the Stockholm Stock Exchange

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

   Author : Olle Henning; Erik Björk; [2017]
   Keywords : Revenue Response Coefficient; Earnings Response Coefficient; Surprise Earnings; Surprise Revenues; Capital Markets;

   Abstract : This study examines the relationship between abnormal stock returns and surprises in both revenues and earnings on the Stockholm Stock Exchange for the years 2011 - 2015. Previous research has shown a continuously increasing size of the revenue response coefficient, which under certain conditions surpasses the value of the earnings response coefficient. READ MORE

6. 25. CEO incentive-based compensation, investment opportunities and institutional heterogeneity

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Jelle Bonestroo; [2017]
   Keywords : Investment opportunity; Legal Origins; Culture; Incentive-based pay;

   Abstract : Using international data (15,786 obs.) from industrial companies from 28 countries over an 11-year period (2003–2014), this research contributes to the area of institutional heterogeneity, CEO compensation and investment opportunities. READ MORE