Essays about: "Small Minus Big"

Found 3 essays containing the words Small Minus Big.

1. 1. 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

3. 2. TESTING THE CAPM AND THE FAMA-FRENCH 3-FACTOR MODEL ON U.S. HIGH-TECH STOCKS

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ville Kari; Steffen Gausselmann; [2017]
   Keywords : CAPM; Fama-French Three-Factor Model; U.S. high-tech stocks; Business and Economics;

   Abstract : This master’s thesis tests the capital asset pricing model (CAPM) and the Fama-French 3-factor model (FF3FM) for the U.S. high-tech industry. For a total sample of 120 U. READ MORE

4. 3. Impact of Recessions on Equity Mutual Fund Allocations

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jonas Gustavsson; Owe Xie; [2012]
   Keywords : Fund Allocation in Recession; Market Portfolio; Small Minus Big; High Minus Low; Momentum;

   Abstract : We show that the exposure of US equity mutual funds to Carhart's four-factor model vary with the state of the economy. In bad times, equity mutual funds underinvest in small and value stocks. We find that these reactions can be explained by the change in riskiness of small and value firms. READ MORE