Essays about: "Fama French Three Factor Models"

Showing result 6 - 10 of 69 essays containing the words Fama French Three Factor Models.

1. 6. 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

3. 7. 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

4. 8. 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

5. 9. 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

6. 10. 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