Essays about: "Three-Factor Model."

Showing result 16 - 20 of 150 essays containing the words Three-Factor Model..

  1. 16. The ESG-Risk Relationship - A study of the relationship between ESG and firm-specific risk of publicly traded firms in Sweden

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jonathan Bark; Melker Lundberg; [2022]
    Keywords : Idiosyncratic Volatility; ESG; Fama-French three-factor model; ESG-risk relationship; Business and Economics;

    Abstract : Non-financial metrics have come to play a larger role in financial markets as years pass, impacting decisions made by businesses, investors and policy makers alike. A significant non-financial metric captured by the term ESG or Environmental, Social and Governance. READ MORE

  3. 17. Negative Screening : an analysis of the cost or benefit related to screening on industries

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Elin Kristoffersson; Noël Klarberg; [2022]
    Keywords : Sustainable finance; ESG; negative screening; industries; risk-adjusted return; cost; benefit; portfolio performance; CAPM; Fama-French; Carhart; Sharpe ratio;

    Abstract : This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. READ MORE

  4. 18. ESG: The Relationship Between “Ethical” Investing and Abnormal Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Per Malm; [2022]
    Keywords : ESG; Abnormal Returns; High Minus Low; Asset Pricing Model; Business and Economics;

    Abstract : This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. READ MORE

  5. 19. Does ESG pay off? : A quantitative study of how ESG-scores affect Swedish Large-cap Firms Performance and Stock returns

    University essay from Umeå universitet/Företagsekonomi

    Author : Nebil Esmail; Andreas Mattsson; [2022]
    Keywords : Firm performance; Stock returns; ESG-scores; Sweden; Large-cap; Stakeholder theory; Shareholder theory; Efficient Market Hypothesis; CAPM; Fama- French Three-Factor Model;

    Abstract : Previous scholars have viewed expenditures on ESG (environmental, social, governance) in two distinct ways. In one way, it has been viewed as wasteful if it does not directly contribute to the business. The other perspective being that by addressing ESG-issues, one can improve businesses by improving society. READ MORE

  6. 20. Does value investing yield abnormal returns?

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

    Author : Fabian Boberg; Richard Jungner; [2022]
    Keywords : Value investing; Piotroski s F-score; Greenblatt s Magic Formula; Efficient Market Hypothesis; Intangible Assets;

    Abstract : Studies suggest that value investing's performance has deteriorated due to the increasing share of intangibles, which has complicated the process of identifying value stocks. We study the value investing strategies Greenblatt's Magic Formula and Piotroski's F-score in the Nordic region from 2012 to 2022. READ MORE