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

Showing result 1 - 5 of 72 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. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors

    University essay from Lunds universitet/Statistiska institutionen

    Author : Kristoffer Bergram; Ludvig Göransson; [2019]
    Keywords : asset pricing modeling; time series regression; statistics; Fama French Five Factor model; Carhart Four Factor model; Fama French Three Factor model; Swedish stock market; portfolio theory; behavioral economics; Mathematics and Statistics; Business and Economics;

    Abstract : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. READ MORE

  3. 3. Sustainable Investments

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Märta Sandberg; [2019]
    Keywords : Sustainable investments; financial performance; ESG rating; Fama-French three-factor model; Fama-French five-factor model; CAPM; Business and Economics;

    Abstract : This paper investigates the relationship between financial performance and sustainable performance. More specifically, it investigates whether sustainable firms outperform less sustainable firms. The sustainable performance is based on companies received ESG score. READ MORE

  4. 4. 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

  5. 5. 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