Essays about: "Fama- French model"

Showing result 21 - 25 of 196 essays containing the words Fama- French model.

1. 21. Skill, Scale and Investor Return in Established and Emerging Markets - An empirical study of equity mutual fund performance between markets with contrasting characteristics

   University essay from

   Author : Olle Fröling; Olle Wingstrand; [2022-06-29]
   Keywords : Equity Mutual Funds; Decreasing Returns to Scale; Alpha; Fund Skill; Fama-French Five-Factor Model; Nordic Equity Funds; Asian Equity Funds; Fixed Effects;

   Abstract : In this report we empirically analyze the effects of returns to scale for equity mutual funds in the Nordic and Asian regions. We also investigate whether or not funds generate alpha (i.e., have skill). READ MORE

3. 22. 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

4. 23. Making Use of the Factor Zoo: An unpretentious attempt to predict asset returns using machine learning methods.

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Line Clausen; Jesper Strömberg; [2022-02-15]
   Keywords : ;

   Abstract : Factor modeling with the purpose of estimating assets returns is a dynamic and ever changing subject within finance. Recent literature has presented over 300 different fac-tors that seem to have significance in predicting asset returns. This new phenomenon in factor modeling has been dubbed ”The Factor Zoo”. READ MORE

5. 24. 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

6. 25. 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