Essays about: "Carhart Four Factor model"

Showing result 1 - 5 of 66 essays containing the words Carhart Four Factor model.

1. 1. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

   University essay from

   Author : Alexander Olsson; Jonathan Taimory; [2023-07-06]
   Keywords : Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

   Abstract : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. READ MORE

3. 2. ESG and Fund Performance Comparing Funds with Different Strategic Benchmarks

   University essay from

   Author : Jesper Carlsson; Erik Olofsson; [2023-07-03]
   Keywords : ESG; Efficient Market Hypothesis; Risk-Adjusted Return; Strategic Benchmarks;

   Abstract : This thesis aims to identify if there is a positive relationship between ESG and fund performance, and if this relationship is different depending on the strategic benchmark of the funds and how they differ between the given strategic benchmark. Four groups of funds connected to a specific strategic benchmark are divided based on their ESG score into a high ESG score group and low ESG score group. READ MORE

4. 3. There Is Nothing Certain But The Uncertain

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Hannes Thorstensson; Carl Tjernberg; [2023]
   Keywords : Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

   Abstract : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. READ MORE

5. 4. 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

6. 5. The Challenges of Sustainable Investing

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Herman Rönnberg; Filip Björkholm; [2023]
   Keywords : ESG; sin stocks; Sustainable investing; Russell 3000; Portfolio Construction; Business and Economics;

   Abstract : Over the past decades, investment preferences towards portfolio construction have changed from focusing solely on profit maximization, into a combination of good financial perfor- mance as well as a responsible sustainability outcome. The purpose of this paper is three- fold: first, to investigate whether a sustainable portfolio based on a high environmental, social and governance (ESG) score contributes to positive returns or affects financial per- formance negatively. READ MORE