Essays about: "FACTOR MIMICKING PORTFOLIO TECHNIQUE."
Found 1 essay containing the words FACTOR MIMICKING PORTFOLIO TECHNIQUE..
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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 institutionenAbstract : 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
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