Essays about: "Fama-MacBeth Regressions"

Showing result 1 - 5 of 12 essays containing the words Fama-MacBeth Regressions.

1. 1. Is there a carbon emission-return relation? Exploring the existence of a carbon emission return relation in the Swedish stock market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gustaf Kaddik; William Lundell; [2023]
   Keywords : emission premium; emission alpha; carbon emissions; emission intensity; stock returns;

   Abstract : We use portfolio sorting and Fama-Macbeth regressions to investigate the potential relation between carbon emissions and stock returns in the Swedish stock market, a country with stringent carbon regulations and taxes. We research the Swedish stock market between 2010-2019 and do not find evidence of such a relationship. READ MORE

3. 2. Navigating in the ESG score jungle- A cross-sectional approach to determine the ESG risk factor

   University essay from Göteborgs universitet/Graduate School

   Author : Gustav Pettersson; Mattias Öhrn; [2022-06-29]
   Keywords : Asset Pricing; ESG Investing; ESG Risk Score; Factor Models; Fama-MacBeth Regressions; Time-Series Regressions;

   Abstract : This thesis examines the relationship between ESG scores and yearly excess return between 2010 and 2020 on the S&P 500 Index. With a solid theoretical background regarding investor preferences, we ask whether investors accept lower returns for holding greener assets. READ MORE

4. 3. Does Quality Matter?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Lovisa Jalrup; Sawan Patel; [2020]
   Keywords : Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

   Abstract : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. READ MORE

5. 4. A Comparative Analysis of the Performance of Euro-Denominated Green and Conventional Bonds

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Liina-Johanna Leeve; Lois Anum; [2019]
   Keywords : Green Bonds; Conventional Bonds; Sustainable Investments; Corporate Bonds; Fama-Macbeth Regression; Fama-French Model; Matching Principle; Merton Model; Business and Economics;

   Abstract : The green bond market has seen exponential growth since its boom in 2013 but literature on this topic is considered woefully inadequate. This research paper therefore seeks to compare the performance of European green bonds against its conventional counterparts. READ MORE

6. 5. Alterations in the Liquidity Premium as an Effect of Exchange Traded Funds : A Study Performed on Nasdaq Composite between 1997 and 2016

   University essay from Högskolan i Jönköping/IHH, Företagsekonomi

   Author : Axel Andersson; Emanuel Svanberg; [2018]
   Keywords : Liquidity Premium; Characteristic Liquidity; Systematic Liquidity; Indexation; Exchange Traded Funds; Fama-MacBeth Regression;

   Abstract : Investors have historically demanded a return premium for taking on the risk of illiquidity both in terms of characteristic and systematic liquidity risk. Recent research have presented results suggesting that the liquidity premium is diminishing. READ MORE