Essays about: "Three-Factor Model."

Showing result 6 - 10 of 150 essays containing the words Three-Factor Model..

  1. 6. Economic Policy Uncertainty and Stock Market Performance: The Role of CSR

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

    Author : Albin Hammarberg; Victor Möller; [2023]
    Keywords : Economic Policy Uncertainty; Corporate Social Responsibility; Capital Asset Pricing Model; Fama French Three Factor Model; Stock Market Returns;

    Abstract : This research study aims to examine the association between economic policy uncertainty (EPU) and stock market performance, and to investigate whether corporate social responsibility (CSR) has an impact on this relationship. The dataset used in this study comprises firms listed on the S&P 500 index from 2013 to 2022 and is applied on two models, the Capital Asset Pricing Model and Fama French Three Factor Model. READ MORE

  3. 7. Value investing and the interpretation of performance and risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nils Andersch; Nils Wallgren; [2023]
    Keywords : Value Investing; Efficient Market Hypothesis; Behavioural Finance; Investor Biases; Time Varying Risk;

    Abstract : Historically, value investing strategies have been generally accepted by scholars to generate returns significantly above the market. However, if the risk-adjusted returns of these strategies are above the market remains an intense debate. READ MORE

  4. 8. How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Author : Daniel Björck; [2023]
    Keywords : Three-factor model; stock returns; Swedish stocks; CAPM; Business and Economics;

    Abstract : In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. READ MORE

  5. 9. Does purchased goodwill create shareholder value?

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

    Author : Philip Eriksson; Edith Wolff; [2023]
    Keywords : purchased goodwill; mergers and acquisitions; long-term performance; industries;

    Abstract : In this paper we examine the relationship between the purchased goodwill proportion (PGP) and the long-term stock performance of US acquirers and how this relationship is moderated by industry classification. Our final sample consists of 676 M&As in the period 2007-2017. READ MORE

  6. 10. Do ESG investors pay a price for doing good - A matched pair analysis of the Swedish fund market.

    University essay from

    Author : Edvin Andersson; Albin Dahlin; Morgan Thisted; [2022-07-11]
    Keywords : ESG; sustainability; Sweden; ESG funds; conventional funds; financial performance; matched pair analysis;

    Abstract : In this thesis we examine the financial performance of Swedish mutual equity funds. We look at differences between sustainable, defined as ESG, and conventional funds. The financial performance is examined using the Capital Asset Pricing Model, the Fama-French three-factor model and Carhart’s four-factor model. READ MORE