Essays about: "carhart four-Factor Model"

Showing result 16 - 20 of 66 essays containing the words carhart four-Factor Model.

1. 16. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

3. 17. The Performance of Socially Responsible Investments : Are Swedish mutual funds forced to pay a price for doing good?

   University essay from Jönköping University

   Author : Gordon Molander; Carl Jönsson Asp; [2021]
   Keywords : SRI; ESG; Mutual Equity Funds; Conventional; Fund Performance; Portfolio Analysis;

   Abstract : The financial performance of Socially Responsible Investing (SRI) strategies is heavily debated in the modern age. Due to lack of evidence on Swedish SRI performance, Swedish investors are uncertain about placing their financial assets in these strategies as they are afraid expected to sacrifice their financial return for doing good. READ MORE

4. 18. Performance of Value and Growth companies with different ESG rankings: Evidence from the US stock market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Valentiina Repka; [2021]
   Keywords : ESG Risk; Value Stocks; Growth Stocks; Portfolio Performance; CAPM; Factor Models; Business and Economics;

   Abstract : The purpose of this paper is to focus on sustainable investments and to observe if the performance can be improved by combining the aspect of value and growth investments. The sample consists of groups of companies which are representing value or growth with either high or low ESG risk level. READ MORE

5. 19. Active fund management or passive index cruising?

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Joel Johansson; Gustav Osbeck; [2020-08-07]
   Keywords : ;

   Abstract : How should an investor pick funds to invest in? What is the best strategy, picking active or passive funds? It’s hard to navigate the fund landscape when there is ambiguous evidence and advice coming from different directions. Do fund managers outperform the market and passive funds? Do they bring something extra of value to the table in regards to their high management fees? The question seems almost age-old at this point, from dart throwing monkeys outperforming high profile fund managers to famous investors proclaiming that active fund management is dead, it’s hard to know what is really true about active versus passive fund management. READ MORE

6. 20. Downside risk: is downside risk being priced in the U.S. stock market?

   University essay from

   Author : Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
   Keywords : Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

   Abstract : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. READ MORE