Essays about: "FACTOR MIMICKING PORTFOLIO TECHNIQUE."

Found 1 essay containing the words FACTOR MIMICKING PORTFOLIO TECHNIQUE..

  1. 1. Is Default Risk Systematic? An Augmentation of the Fama and French Three-Factor Model with Credit-Default Swap Spreads

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Philip Hagander; Karl Egervall; [2013]
    Keywords : DEFAULT RISK; FAMA AND MACBETH; EQUITY PRICING; SYSTEMATIC RISK; FACTOR MIMICKING PORTFOLIO TECHNIQUE.; Business and Economics;

    Abstract : The purpose of the study is to quantitatively verify the systematic property of default risk and to statistically test if adding a default risk factor to the Fama and French Three-Factor Model can enhance its performance. The applied method is derived from the Fama and French Three- factor methodology and enhancing it with an additional default risk factor. READ MORE