Essays about: "Factor Premium"

Showing result 1 - 5 of 87 essays containing the words Factor Premium.

  1. 1. A valuation of Swedish hedge fund performance

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Elis Grönqvist; Johan Wennerström; [2023-02-09]
    Keywords : ;

    Abstract : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. READ MORE

  3. 2. Impact of Inflation on Return and Pricing of Swedish Bank Stocks : A Fama-French Analysis on Monthly Stock Returns and Pricing of Handelsbanken, Swedbank, SEB and Nordea

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Carl Westerberg; Elvin Rolder; [2023]
    Keywords : Asset Pricing Theory; CAPM; Carhart; Fama-French; Fama-Macbeth; Inflation; NII;

    Abstract : This study explores the influence of inflation on the monthly total stock returns and stock pricing of Swedish banks. The research question is systematically examined througha cross sectional and time series analysis, utilizing Fama-French, Carhart, and Fama-Macbeth metodologies. READ MORE

  4. 3. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jean-Philippe Chakbazof; Amitesh Raghav; [2023]
    Keywords : ESG Factor; Nordic Compass; Fama Macbeth; Volatility Management; ESG Portfolio;

    Abstract : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. READ MORE

  5. 4. Locating the Effects of Emotional and Aesthetic Labor on Performance Through the Lens of Flight Attendants : —An investigative qualitative study of a low-cost and a premium airline

    University essay from Linnéuniversitetet/Institutionen för marknadsföring och turismvetenskap (MTS)

    Author : Athina Spyridonos; Hala Zeeb; [2023]
    Keywords : aesthetic labor; emotional labor; employee performance; flight attendants; low-cost airline; premium airline; motivation; Herzberg;

    Abstract : This research implemented a multiple case study design to investigate the effects of aesthetic and emotional labor in the premium airline context of Emirates, in comparison to the low-cost airline context of easyJet. This was achieved through the conduct of interviews with flight attendants from each airline as they are the frontline employees who are mostly concerned with the implementation of these standards. READ MORE

  6. 5. Risk Assessment of Digital Assets – Insurance Applications in Cryptocurrencies and NFTs

    University essay from Lunds universitet/Institutionen för elektro- och informationsteknik

    Author : Roberto Delgado Ferrezuelo; [2023]
    Keywords : Blockchain; NFTs; private key; phishing; floor price; rarity; cold wallet; hot wallet; risk premium; Technology and Engineering;

    Abstract : The aim of the project is to develop a framework for an insurance policy for digital assets. The project comprised several stages, starting with the identification of risks associated with these assets. Policyholders were then categorized into two groups based on a predefined rating factor. READ MORE