Essays about: "Fama French Three Factor Models"

Showing result 16 - 20 of 69 essays containing the words Fama French Three Factor Models.

1. 16. What does it cost to invest with preferences? : What does investors lose/gain on investing in sin-stocks versus SRI investing?

   University essay from Högskolan Väst/Avd för juridik, ekonomi, statistik och politik

   Author : Sara Nilsson; Jennifer Ramare; [2021]
   Keywords : SRI-investing; Sin-stocks; risk-adjusted returns; Sharpe ratio; Modern Portfolio Theory;

   Abstract : This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. READ MORE

3. 17. Performance of Value and Growth companies with different ESG rankings: Evidence from the US stock market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Valentiina Repka; [2021]
   Keywords : ESG Risk; Value Stocks; Growth Stocks; Portfolio Performance; CAPM; Factor Models; Business and Economics;

   Abstract : The purpose of this paper is to focus on sustainable investments and to observe if the performance can be improved by combining the aspect of value and growth investments. The sample consists of groups of companies which are representing value or growth with either high or low ESG risk level. READ MORE

4. 18. Market interpretation of reported currency effects on revenue in quarterly financial statements: reporting opaqueness, investor attention and market efficiency implications

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Sebastian Hofstedt; Tobias Scheufele; [2021]
   Keywords : Currency effects on revenue; investor attention; market efficiency; portfolio strategies; alpha; Business and Economics;

   Abstract : Seminar date: 2021-06-03 Course: BUSN79 - Degree Project in Accounting and Finance Authors: Tobias Scheufele and Sebastian Hofstedt Supervisor: Håkan Jankensgård Examiner: Marco Bianco Key words: currency effects on revenue, investor attention, market efficiency, portfolio strategies, alpha Purpose: investigate the relationship between reported currency growth on revenue and subsequent stock prices following quarterly reports. Design a portfolio strategy to exploiting potential corrections of initial overreactions by market participants. READ MORE

5. 19. Active fund management or passive index cruising?

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Joel Johansson; Gustav Osbeck; [2020-08-07]
   Keywords : ;

   Abstract : How should an investor pick funds to invest in? What is the best strategy, picking active or passive funds? It’s hard to navigate the fund landscape when there is ambiguous evidence and advice coming from different directions. Do fund managers outperform the market and passive funds? Do they bring something extra of value to the table in regards to their high management fees? The question seems almost age-old at this point, from dart throwing monkeys outperforming high profile fund managers to famous investors proclaiming that active fund management is dead, it’s hard to know what is really true about active versus passive fund management. READ MORE

6. 20. Downside risk: is downside risk being priced in the U.S. stock market?

   University essay from

   Author : Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
   Keywords : Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

   Abstract : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. READ MORE