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

Showing result 21 - 25 of 125 essays containing the words Fama and French Three-Factor Model.

1. 21. The relationship between sustainability and financial performance : An empirical study of Swedish equity funds

   University essay from Umeå universitet/Företagsekonomi

   Author : Erik Karlsson; Johan Grundberg; [2022]
   Keywords : sustainability; financial performance; msr;

   Abstract : The general relationship between sustainability and financial performance has been well examined, and there doesn't seem to be any general significant tradeoff between the two. However, the results are mixed and the many ways of defining both sustainability and financial performance has provided room for different interpretations and methodologies. READ MORE

3. 22. EMPIRICAL ANALYSIS OF FACTORS AFFECTING THE EXPECTED RATE OF RETURN FOR ALL-ELECTRIC-VEHICLE MAKERS : USING REGRESSION ANALYSIS TO TEST THE SIGNIFICANCE OF THE CAPM AND FAMA FRENCH FACTORS ON THE CALCULATION OF THE EXPECTED RATE OF RETURN FOR 9 OF THE BIGGEST ALL-ELECTRIC VEHICLE MAKERS.

   University essay from Blekinge Tekniska Högskola

   Author : Dimitrios Felekidis; Sylwia Buczek; [2022]
   Keywords : Electric vehicles; All-electric vehicles; Expected return rate; Fama French Three-Factor Model; Fama French Five-Factor Model; CAPM model; Stock;

   Abstract : The All-Electric Vehicle (AEV) industry development has intensified and is connected to governmentefforts to minimize greenhouse gas emissions and encourage people to buy electric vehicles. This hasled to all the lights turning on newly established all-electric vehicle makers and some older players. READ MORE

4. 23. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

5. 24. The impact of ESG during COVID-19- A quantitative study targeting ESG and stock returns on the Swedish stock market during COVID-19 Adem

   University essay from Göteborgs universitet/Graduate School

   Author : Adem Göker; Johannes Sköld; [2021-06-30]
   Keywords : Environmental; Social and Governance ESG ; ESG Ratings; Socially Responsible Investments SRI ; COVID-19; Sweden;

   Abstract : In this thesis, we study whether ESG has a positive effect on stock performance during COVID- 19, based on a sample of 153 listed firms in the Swedish stock market. We follow a Best-in- Class ESG screening strategy and compare the performance differences between the top and bottom ESG portfolios during 2019-2020. READ MORE

6. 25. Performance Evaluation of Swedish and German Actively Managed Mutual Funds

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Robin Cederdahl; Simon Olofsson; [2021-02-18]
   Keywords : ;

   Abstract : There are many studies examining the performance of actively managed mutual funds in different markets. The results of these studies vary depending on the used model and market. READ MORE