Essays about: "Conditional Fama French Three Factor Models"
Found 5 essays containing the words Conditional Fama French Three Factor Models.
-
1. Pricing Portfolios Constructed on Cyclicality Considerations Using Non-Domestic Regional Factors: Evidence from Eurozone Region
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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. 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 ekonomiAbstract : 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. The search for alpha continues. Estimating time-varying risk premia of hedge funds with a conditional model.
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models
University essay from Handelshögskolan vid Umeå universitetAbstract : 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. Do Swedish hedge funds outperform the market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
