Essays about: "Fama-French Five-Factor model"
Showing result 1 - 5 of 33 essays containing the words Fama-French Five-Factor model.
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1. Combining Value Investing with Quality Investing: Empirical Evidence from the European and Nordic Stock Markets
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The aim of this thesis is to explore whether stock selection based on five value metrics and six quality metrics can generate superior returns compared to the overall market. The selected markets are the Nordic one (Nasdaq OMX Nordic 120 being the benchmark) and the European one (STOXX Europe 600 being the benchmark), while the selected time period is 2001-2023 for Europe and 2010-2023 for the Nordics. READ MORE
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2. The Sustainable Era - The Excess Return on Swedish Sustainable Global Equity Funds
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : This thesis explores the relationship between the performance of Swedish global equity funds and the level of sustainability, as measured by the Morningstar Globe Rating, using a Fama-French six-factor model, globe rating categories, and time effects. Treating the Morningstar Globe Rating as a time-invariant variable, a sample of 80 Swedish global equity funds are divided into two sustainability groups, ‘Low’ and ‘High’, grouping funds with 1-3 globes into a reference group. READ MORE
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3. 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 institutionenAbstract : 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
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4. The Challenges of Sustainable Investing
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
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5. 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)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