Essays about: "Market Portfolio"

Showing result 6 - 10 of 823 essays containing the words Market Portfolio.

1. 6. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

   University essay from

   Author : Alexander Olsson; Jonathan Taimory; [2023-07-06]
   Keywords : Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

   Abstract : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. READ MORE

3. 7. The Impact of ESG-Scores on Portfolio Performance - A quantitative study on sustainable investments.

   University essay from Göteborgs universitet/Graduate School

   Author : Max Ehrnström; Yacob Nehmé; [2023-06-29]
   Keywords : ESG investing; Abnormal returns; Sustainable investing and Financial performance;

   Abstract : This report examines the relationship between ESG-scores and portfolio returns using the Fama-French five-factor and Carhart four-factor models. The data is collected from Refinitiv (2023) between 2003 and 2021 and consists of firms listed on the NYSE and NASDAQ stock exchange. READ MORE

4. 8. Empirical Analysis of Dependence Structure Between Assets: A Study of the Impact of Infation on Dependence Between Stock Portfolios and Gold

   University essay from Göteborgs universitet/Graduate School

   Author : Tim Baldesten Pajunen; Filip Steussloff; [2023-06-29]
   Keywords : Infation;

   Abstract : In this paper, we study the impact of inflation on the dependence and volatilities of gold and stock portfolios constructed by Fama and French. To model the dependence structure, we propose a copula probability model. READ MORE

5. 9. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : David Melin; Otta Alexander; [2023]
   Keywords : ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

   Abstract : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. READ MORE

6. 10. Exploring Momentum: The Hidden Drivers of Stock Returns in the Nordic Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Axel Dillner; Johanna Roos; [2023]
   Keywords : Momentum; Price Momentum; Earnings Momentum; Earnings Surprises; Standardized Earnings Surprise; SES;

   Abstract : This thesis investigates the relationship between price momentum, earnings momentum, and stock returns in the Nordic region by examining the risk-adjusted performance measures of various momentum strategy portfolios. Inspired by Novy-Marx's 2015 theory that momentum in firm fundamentals explains the performance of price momentum strategies, this study seeks to provide deeper insights into momentum drivers and their implications for investment professionals. READ MORE