Essays about: "Factor Investing"

Showing result 21 - 25 of 162 essays containing the words Factor Investing.

1. 21. Green Minus Brown: A Comparative Analysis of the Financial Performance of the ESG Factor

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Kevin Pettersson; Wael Makdessinaoum; [2023]
   Keywords : Sustainable Investing; ESG; Asset Pricing Models; ESG Ratings;

   Abstract : This thesis investigates the performance of a Green-minus-Brown portfolio in the US public stock market and whether the GMB portfolio provides significant results for investors. The study also aims to investigate if the returns of the GMB portfolio are already explained by other existing factors. The research collected data from 2003 to 2022. READ MORE

3. 22. Yield Curve Dynamics - Exploring Fundamental Factor Sensitivities

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Elvira Eriksson; Meike Wiesenfeller; [2023]
   Keywords : factor investing; global bonds; yield curve spread; macroeconomic fundamentals;

   Abstract : Factor investing has gained popularity in recent decades, but while ample research has been conducted in asset classes such as equities and currencies, comparatively less attention has been devoted to the potential of investing in government bonds. This study explores fundamental factor sensitivities on the yield curve spread prior to and after 2018 making the last five years, that are coined by increased volatility in expected returns for government bonds, volatile growth developments, and heightened inflation, a true out-of-sample period to previous research. READ MORE

4. 23. Sin Stocks: An Analysis of the Sin Premium in the US, European, and Asia-Pacific Markets

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Tizian Widmer; Tim Scholl; [2023]
   Keywords : Sin Stocks; Factor Models; USA; Europe; Asia-Pacific; Business and Economics;

   Abstract : This thesis aims to explain the return of so-called sin stocks, which include businesses operating in the alcohol, tobacco, gambling, weapon, and oil & gas industries. Due to their negative public perception, these stocks are anticipated to yield a sin premium. READ MORE

5. 24. Factor Investing and ESG Integration in Regime-switching Models- An Empirical Study on ESG Factor Integration Using Infinite Hidden Markov Models

   University essay from Göteborgs universitet/Graduate School

   Author : Arien Haghshenas; Martin Karim; [2022-06-29]
   Keywords : ESG; Hidden Markov Models; Factor investing; Machine learning; Portfolio construction; Regime-switching models;

   Abstract : ESG investing is an active area of interest, both for the investment and academic communities. However, research is inconclusive on the financial benefits of integrating ESG factors in portfolio construction. READ MORE

6. 25. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

   University essay from Göteborgs universitet/Graduate School

   Author : Carl Helldén; Julia Lamers; [2022-06-29]
   Keywords : ESG; Environmental; asset pricing models; screening strategies;

   Abstract : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. READ MORE