Essays about: "size and book-to-market portfolios"

Showing result 1 - 5 of 18 essays containing the words size and book-to-market portfolios.

  1. 1. Testing the Performance of the Capital Asset Pricing Model and the Fama-French Three-Factor Model - A study on the Swedish Stock Market between 2014-2019

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Frida Gustafsson; Robert Gustavsson; [2019-07-12]
    Keywords : ;

    Abstract : The returns of potential investments are interesting for every investor. In this thesis we compared two financial models that are often used to predict expected returns of portfolios with different financial instruments. READ MORE

  2. 2. In search for the reputational investment factor

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Birger Myrberg; David Dreja; [2019]
    Keywords : Factor investing; Smart beta investing; Corporate reputation; Performance forecast; Risk-adjusted returns;

    Abstract : This paper looks at corporate reputation and its effect on future firm performance using the Reputation Quotient (RQ) produced by Harris Interactive Inc. as proxy for reputation. READ MORE

  3. 3. The Value of Dividends : The effect of dividend exposure on stock returns

    University essay from Uppsala universitet/Företagsekonomiska institutionen; Uppsala universitet/Företagsekonomiska institutionen

    Author : Erik Börjesson; Harald Lindström; [2019]
    Keywords : Dividend investing; Value effect; Size effect; Risk-adjusted performance; Dividend yield; Stock returns;

    Abstract : This paper aims to examine if firms listed on Nasdaq Stockholm with dividend exposure yield higher risk-adjusted returns than firms without dividend exposure. Using a data set consisting of observations between 2000-2017 we test the difference in mean risk-adjusted return, measured by the Sharpe ratio, between securities with different levels of dividend exposure. READ MORE

  4. 4. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques

    University essay from Göteborgs universitet/Graduate School

    Author : Max Hulth; Gustav Nilsson; [2018-07-04]
    Keywords : Asset pricing; Anomalies; Portfolio sorting; CAPM; Fama French three-factor model; Carhart four-factor model;

    Abstract : MSc in Finance.... READ MORE

  5. 5. Financial integration and international asset pricing of Chinese stock markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ho Wai NG; Weiwei Zhu; [2018]
    Keywords : Financial integration; International asset pricing; Emerging Market Finance;

    Abstract : Our analysis draws several meaningful findings. First, we find that there is predictability of Chinese stock market return on latent variables which include common and local specific information. We also find that the conditional volatility and local price of risk are time varying for China. READ MORE