Essays about: "Fama- French model"

Showing result 11 - 15 of 196 essays containing the words Fama- French model.

1. 11. To Sin or Not to Sin? A Study of Traditional and New Sin Stocks on the American Stock Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Filip Eriksson; Herman Ljungberg; Oliver Lönegård; [2023]
   Keywords : Sin Stocks; New Sin Stocks; Sustainable Investments; Social Norms; Socially Responsible Investing; Business and Economics;

   Abstract : This study aims to investigate the difference in stock return between traditional sin stocks, new sin stocks, and their respective peer stocks. The purpose was to expand the scarcely researched area of new sin stocks by being the first one to focus on new sin stocks on the American stock market (United States NYSE, AMEX, and NASDAQ stock exchanges), as this area has only been researched in Europe before. READ MORE

3. 12. The Challenges of Sustainable Investing

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Herman Rönnberg; Filip Björkholm; [2023]
   Keywords : ESG; sin stocks; Sustainable investing; Russell 3000; Portfolio Construction; Business and Economics;

   Abstract : Over the past decades, investment preferences towards portfolio construction have changed from focusing solely on profit maximization, into a combination of good financial perfor- mance as well as a responsible sustainability outcome. The purpose of this paper is three- fold: first, to investigate whether a sustainable portfolio based on a high environmental, social and governance (ESG) score contributes to positive returns or affects financial per- formance negatively. READ MORE

4. 13. The power of purpose: How ESG subcategories drive financial performance : A comprehensive analysis using the Fama-French Five-Factor model

   University essay from Linnéuniversitetet/Institutionen för management (MAN)

   Author : Oscar Johnsson; Elias Henriksson; [2023]
   Keywords : ESG score; ESG-subcategories; Fama-French five-factor model; corporate social responsibility; Sharpe ratio;

   Abstract : ESG investing is a hot subject in today’s world with socially responsible investments under management reaching 35.3 trillion in the beginning of 2020. Corporations today are highly affected by social and government pressure to take on corporate social responsibility. READ MORE

5. 14. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : David Böckling; Jurgis Druktenis; [2023]
   Keywords : Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

   Abstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE

6. 15. Economic Policy Uncertainty and Stock Market Performance: The Role of CSR

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Albin Hammarberg; Victor Möller; [2023]
   Keywords : Economic Policy Uncertainty; Corporate Social Responsibility; Capital Asset Pricing Model; Fama French Three Factor Model; Stock Market Returns;

   Abstract : This research study aims to examine the association between economic policy uncertainty (EPU) and stock market performance, and to investigate whether corporate social responsibility (CSR) has an impact on this relationship. The dataset used in this study comprises firms listed on the S&P 500 index from 2013 to 2022 and is applied on two models, the Capital Asset Pricing Model and Fama French Three Factor Model. READ MORE