Essays about: "Small-Minus-Big SMB"

Found 2 essays containing the words Small-Minus-Big SMB.

  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