Essays about: "Fama and French Three-Factor Model"

Showing result 1 - 5 of 58 essays containing the words Fama and French Three-Factor Model.

  1. 1. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
    Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

  2. 2. Performance Evaluation of Green and Conventional Bonds by Common Factor Models

    University essay from Göteborgs universitet/Graduate School

    Author : Wilhelm Asker; Jens Malm; [2018-07-04]
    Keywords : ;

    Abstract : MSc in Finance.... READ MORE

  3. 3. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques

    University essay from Göteborgs universitet/Graduate School

    Author : Max Hulth; Gustav Nilsson; [2018-07-04]
    Keywords : Asset pricing; Anomalies; Portfolio sorting; CAPM; Fama French three-factor model; Carhart four-factor model;

    Abstract : MSc in Finance.... READ MORE

  4. 4. An Evaluation of Asset Pricing Models in the Swedish Context - Is Carharts Four-Factor Model more suitable than its predecessors for explaining the Swedish stock exchange?

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Ludvig Göransson; Iordan Palma Tzakov; [2018-02-20]
    Keywords : Capital Asset Pricing Model; Fama French Three-Factor Model; Carhart Four-Factor Model; Swedish stock exchange; r-square-adjusted;

    Abstract : This thesis investigates the explanatory power of the Capital Asset Pricing Model, the Fama French Three-Factor Model and the Carhart Four-Factor Model on the Stockholm Stock Exchange over the period 2012-2016. The purpose is to examine whether or not the Carhart Four-Factor Model explains excess return variability better than the Capital Asset Pricing Model and the Fama French Three-Factor Model. READ MORE

  5. 5. Is ROCE a factor that affects the stock return?

    University essay from Handelshögskolan i Stockholm/Institutionen för marknadsföring och strategi

    Author : Maria Markusjan; Binxin Su; [2018]
    Keywords : Profitability Factor; ROCE; Fama-French; Factor model;

    Abstract : This study investigates the profitability factor proposed by Novy-Marx through the application of the methodology developed by Fama-French (1993, 2015). It particularly focuses on investigating Return on Capital Employed (ROCE) as a measurement for profitability and how this influences the stock market behaviour adjusted for market risk and size. READ MORE