Essays about: "Jacob Riben"

Found 1 essay containing the words Jacob Riben.

  1. 1. New factors in asset pricing

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

    Author : Jacob Riben; Gabriel Leifland Berntsson; [2015]
    Keywords : Fama and French five-factor model; investments; profitability; book-to-market equity; size effect;

    Abstract : The purpose of this thesis is to study the relationship between the different risk factors of the Fama and French (2015) five-factor model on Northern European data from 1985 to 2014. We find that their five-factor model for cross-sectional asset pricing, including market return, size, book-to-market equity (B/M), profitability and investment as factors of return, only performs slightly better than their three-factor model. READ MORE