Essays about: "Fama French 3-factor model"

Showing result 1 - 5 of 14 essays containing the words Fama French 3-factor model.

1. 1. Mispricing of Climate Risk

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Lovisa Dahlquist; Lena Maria Tschanhenz; [2022]
   Keywords : Bloomberg GHG estimates; Risk premium for climate risk; ESG reporting; Sustainable investing; Stock market equilibrium; Business and Economics;

   Abstract : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. READ MORE

3. 2. The Effects of ESG Scores onStock Performance : A study of the risk-adjusted performance on European stocks

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Katarina Ovuk; Angelica Grahovac; [2022]
   Keywords : ESG; environmental; social; governance; sustainability; abnormal returns; risk-adjusted performance; sustainable investing.;

   Abstract : This thesis aims to examine the relationship between ESG (Environmental, Social and Governance) ratings and the performance of European stocks. The purpose of this study is to examine the existing evidence pertaining to this relationship and the contradictory results that have been offered by previous scholars. READ MORE

4. 3. EMPIRICAL ANALYSIS OF FACTORS AFFECTING THE EXPECTED RATE OF RETURN FOR ALL-ELECTRIC-VEHICLE MAKERS : USING REGRESSION ANALYSIS TO TEST THE SIGNIFICANCE OF THE CAPM AND FAMA FRENCH FACTORS ON THE CALCULATION OF THE EXPECTED RATE OF RETURN FOR 9 OF THE BIGGEST ALL-ELECTRIC VEHICLE MAKERS.

   University essay from Blekinge Tekniska Högskola

   Author : Dimitrios Felekidis; Sylwia Buczek; [2022]
   Keywords : Electric vehicles; All-electric vehicles; Expected return rate; Fama French Three-Factor Model; Fama French Five-Factor Model; CAPM model; Stock;

   Abstract : The All-Electric Vehicle (AEV) industry development has intensified and is connected to governmentefforts to minimize greenhouse gas emissions and encourage people to buy electric vehicles. This hasled to all the lights turning on newly established all-electric vehicle makers and some older players. READ MORE

5. 4. Post-Earnings Announcement Drift on the Swedish Stock Market : The Effect of Corporate Governance Quality

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Ted Jakobsson; Tobias Severin; [2020]
   Keywords : Post-earnings announcement drift; PEAD; corporate governance; information uncertainty; trading strategy; abnormal returns;

   Abstract : This study examines the post-earnings announcement drift (PEAD) anomaly on the Swedish stock market. By constructing a corporate governance index based on share structure, board independence and board gender diversity, we test how the quality of firms’ corporate governance affects the drift – a link which is previously unexplored. READ MORE

6. 5. Active Versus Passive Investing : A Comparative Analysis

   University essay from Jönköping University/IHH, Företagsekonomi

   Author : Jonathan Molander; Lennart van Loo; [2020]
   Keywords : Active investing; Passive investing; Market timing ability; investor alpha; Fama French 3 factor;

   Abstract : The increasing popularity of passive investment strategies causes the long-term feasibility of active investing to be questioned more often. Therefore, this research aimed to uncover whether active investors' influence on fund performance is positive and significant enough to offset the cost involved, thereby providing reasoning for active rather than passive investing. READ MORE