Essays about: "Carhart´s four factor model"

Showing result 1 - 5 of 16 essays containing the words Carhart´s four factor model.

  1. 1. To Sin or Not to Sin? A Study of Traditional and New Sin Stocks on the American Stock Market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Filip Eriksson; Herman Ljungberg; Oliver Lönegård; [2023]
    Keywords : Sin Stocks; New Sin Stocks; Sustainable Investments; Social Norms; Socially Responsible Investing; Business and Economics;

    Abstract : This study aims to investigate the difference in stock return between traditional sin stocks, new sin stocks, and their respective peer stocks. The purpose was to expand the scarcely researched area of new sin stocks by being the first one to focus on new sin stocks on the American stock market (United States NYSE, AMEX, and NASDAQ stock exchanges), as this area has only been researched in Europe before. READ MORE

  3. 2. Do ESG investors pay a price for doing good - A matched pair analysis of the Swedish fund market.

    University essay from

    Author : Edvin Andersson; Albin Dahlin; Morgan Thisted; [2022-07-11]
    Keywords : ESG; sustainability; Sweden; ESG funds; conventional funds; financial performance; matched pair analysis;

    Abstract : In this thesis we examine the financial performance of Swedish mutual equity funds. We look at differences between sustainable, defined as ESG, and conventional funds. The financial performance is examined using the Capital Asset Pricing Model, the Fama-French three-factor model and Carhart’s four-factor model. READ MORE

  4. 3. How to choose green?

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Adrian Thureborn; Jakob Ödman; [2022-02-28]
    Keywords : ;

    Abstract : This paper investigates if there is any difference between active managed funds and passive managed funds in regard to their risk-adjusted return. The thesis focuses on Swedish sustainable funds that invest in accordance with the ESG (environmental, governance and social) criteria during the time period 2011-2021. READ MORE

  5. 4. Negative Screening : an analysis of the cost or benefit related to screening on industries

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Elin Kristoffersson; Noël Klarberg; [2022]
    Keywords : Sustainable finance; ESG; negative screening; industries; risk-adjusted return; cost; benefit; portfolio performance; CAPM; Fama-French; Carhart; Sharpe ratio;

    Abstract : This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. READ MORE

  6. 5. Are Women the Real Alpha Males? Gender differences through the lense of performance and risk in the Swedish mutual fund industry

    University essay from Göteborgs universitet/Graduate School

    Author : Albin Helgesson; Clara Lindblad; [2020-07-01]
    Keywords : Mutual Funds; Gender Differences; Risk Behavior; Performance;

    Abstract : This master thesis examines gender differences between Swedish mutual fund managers concerning fund performance and risk behavior. The examined period extends from January 2015 to December 2019 and the data consist of 421 mutual equity funds of which 17% are mutual funds’ managed by females. READ MORE