Essays about: "Fama French Three Factor Models"

Showing result 1 - 5 of 64 essays containing the words Fama French Three Factor Models.

  1. 1. Liquidity and its effect on asset returns

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Philip Mafi; Linnéa Wilhelmsson; [2022]
    Keywords : Asset-pricing; illiquidity premium; liquidity factor;

    Abstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE

  2. 2. Exploring the relationship between ESG and portfolio performance during times of crisis : a study of the Russia-Ukraine war

    University essay from Stockholms universitet/Finansiering

    Author : Saraj Huq; Tiia Erika Jutila; Oscar Sameland; [2022]
    Keywords : ESG Portfolios; Abnormal Returns; Europe; Fama-French three-factor model; CAPM; ESG; Socially Responsible Investing; CSR; Refinitiv Eikon; Russia-Ukraine war; Russian-Ukrainian war; Russo-Ukrainian war; Crisis;

    Abstract : This thesis explores the relationship between Environmental, Social, and Governance (ESG) ratings and portfolio performance in terms of risk-adjusted returns and volatility during times of crisis. A sample of 761 European public companies with a market capitalisation of at least 300 million euros are divided into high and low ESG portfolios based on their ratings. READ MORE

  3. 3. 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

  4. 4. ESG: The Relationship Between “Ethical” Investing and Abnormal Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Per Malm; [2022]
    Keywords : ESG; Abnormal Returns; High Minus Low; Asset Pricing Model; Business and Economics;

    Abstract : This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. READ MORE

  5. 5. A New Value Premium : Value Creation in the Swedish stock market

    University essay from Stockholms universitet/Företagsekonomiska institutionen

    Author : Lemar Jalili; Samuel Höög; Simon Blank; [2022]
    Keywords : ROIC; WACC; ROIC-WACC Spread; Fama and French three-factor model; Asset-pricing models; Value Premium; Factor models; Value creation.;

    Abstract : Value creation in any stock market is a highly discussed topic with an abundant amount of generalized models aiming to predict future returns. Although no such tool exists yet there are, however, acknowledged models from peer-reviewed journals that have received a lot of attention over the years in examining company performance. READ MORE