Essays about: "Filip Wittorf"

Found 2 essays containing the words Filip Wittorf.

1. 1. Estimation of Expected Return: The Fama and French Three-Factor Model Vs. The Chen, Novy-Marx and Zhang Three- Factor Model

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : David Kilsgård; Filip Wittorf; [2011]
   Keywords : Fama and French Three-Factor Model; CAPM; Asset pricing; Anomalies; Cost of Equity; Chen; Novy-Marx and Zhang.; Business and Economics;

   Abstract : The study examines the adequacy of the measurement of the cross-section of expected stock returns on the London Stock Exchange of the recent three-factor model introduced by Chen, Novy-Marx and Zhang against that of the Fama and French three-factor model. The former model use factors in addition to the market factor based on profitability and investment while the latter model use factors based on size and book-to-market equity. READ MORE

3. 2. The Fama and French Three-Factor Model - Evidence from the Swedish Stock Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : David Kilsgård; Filip Wittorf; [2010]
   Keywords : Fama and French Three-Factor Model; CAPM; Asset pricing; Cost of Equity; Business and Economics;

   Abstract : The present study adds to the sparse published Swedish literature on the performance of the Fama and French Three-Factor model on the Swedish stock market. The ability of the model to measure the cost of equity is compared with that of the CAPM. The tests are conducted in time periods with and without financial turmoil. READ MORE