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

Showing result 11 - 15 of 23 essays containing the words size and book-to-market portfolios.

  1. 11. Models explaining the average return on the Stockholm Stock Exchange

    University essay from Högskolan i Jönköping/Internationella Handelshögskolan

    Author : Jämtander Jämtander; [2018]
    Keywords : Asset Pricing Model; P E ratio; CAPM; Market Efficiency; Market return; risk-free rate; Anomaly; Behavioral finance; Fama-French Three Factor Model; Fama-French Four Factor Model; Stockholm Stock Exchange; Market value; Book-to-market value; Portfolio; OLS-regression;

    Abstract : Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. READ MORE

  3. 12. Trade-offs of ETFs - An Examination of Clean and Dirty Exchange Traded Funds in the Energy Sector

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Mattias Hasselsjö; Shaicoan Tang; [2016-06-27]
    Keywords : performance evaluation; exchange traded funds; sustainable investment; responsible investment;

    Abstract : The aim of this thesis is to investigate if there is a difference in performance between clean and dirty exchange traded funds (ETFs) during the examination period January 2011¬–March 2016. Dirty ETFs are defined as ETFs that allocate in non-environmentally friendly industries such as oil or coal industries. READ MORE

  4. 13. Do stock-level liquidity shocks predict stock returns? - Evidence from the Swedish stock market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kristoffer Nilsson; [2016]
    Keywords : stock-level liquidity shocks; liquidity; bid-ask spread; liquidity premium; Business and Economics;

    Abstract : Adopting a methodology similar to Bali, Peng, Shen and Tang (2014), this essay investigates whether stock-level liquidity shocks predict future returns on the Swedish stock market. Liquidity is measured by the relative bid-ask spread. READ MORE

  5. 14. A Comparison between the Performance of Ehtical and Conventional US Funds - Do different ethical characteristics matter?

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Anna Mattsson; Lina Sandström; [2014-06-17]
    Keywords : performance evaluation; ethical funds; heterogeneity; environmental friendly; ESG; religiously responsible; social responsible; investment styles;

    Abstract : This thesis investigates if there are differences in performance and investment styles between ethical and conventional US funds in the time period January 2004 – January 2014. We study both a pooled ethical portfolio and different ethical subgroups divided based on ethical characteristics and do a comparison with matched conventional portfolios. READ MORE

  6. 15. Empirical tests of Fama-French three-factor model and Principle Component Analysis on the Chinese stock market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Jingjing Guo; Kaiwen Wang; [2014]
    Keywords : Business and Economics;

    Abstract : Date: 2014-06-03 Authors: Kaiwen Wang Jingjing Guo [email protected] [email protected]. READ MORE