Essays about: "Conditional Fama French Three Factor Models"

Found 5 essays containing the words Conditional Fama French Three Factor Models.

  1. 1. Pricing Portfolios Constructed on Cyclicality Considerations Using Non-Domestic Regional Factors: Evidence from Eurozone Region

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alexandros Spanoudis; Shant Sanossian; [2015]
    Keywords : Capital Asset Pricing Model; Fama French Three Factor Models; Conditional Capital Asset Pricing Model; Conditional Fama French Three Factor Models; Cyclical Portfolios pricing; Defensive portfolios pricing; Eurozone; STOXX 600 Europe; Business and Economics;

    Abstract : This research paper tests the traditional market based pricing models and their ability to explain the return on portfolios constructed on cyclicality basis in the Eurozone region. The paper goes beyond the domestic market portfolios (indices) regularly used for asset pricing to the more regional or international approach of asset pricing through using regional market portfolios as a predictor factor as a potential indicator of the Eurozone economic integration level. READ MORE

  2. 2. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Daniil Bargman; [2012]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE

  3. 3. The search for alpha continues. Estimating time-varying risk premia of hedge funds with a conditional model.

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henrik Dyrssen; Jakob Gloner; [2011]
    Keywords : Abnormal Returns; Conditional Model; Hedge Funds; Principal Components; PUT Write Index; Business and Economics;

    Abstract : Numerous past studies investigating the performance of hedge funds suffer from two distinct problems: unreliable and biased return data inherent in virtually all databases and the use of static asset-pricing models. Using “indexes of indexes” for our hedge fund returns, both free of biases and highly representative, we investigate which risk factors investors are exposed to and whether hedge fund managers are able to consistently yield abnormal returns during the period February 1997 to January 2011. READ MORE

  4. 4. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

    University essay from Umeå universitet/Handelshögskolan vid Umeå universitet; Umeå universitet/Handelshögskolan vid Umeå universitet

    Author : Rustam Vosilov; Nicklas Bergström; [2010]
    Keywords : Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

    Abstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE

  5. 5. Do Swedish hedge funds outperform the market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : David De Man Lapidoth; Carl-Axel Yllner; [2007]
    Keywords : Hedge funds; Time series regression; Asset pricing model; Performance measure; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Using return data during the period February 2004 to January 2007 we examine abnormal performance for 16 Swedish hedge funds. In order to do this we estimate individual Jensen alphas employing three different asset pricing models; the CAPM, the Fama-French three-factor model and a conditional six-factor model. READ MORE