Essays about: "size and book-to-market portfolios"
Showing result 16 - 20 of 23 essays containing the words size and book-to-market portfolios.
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16. Fama and French Model VS. CAPM: Procyclical Stocks
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of this paper is to examine whether Fama and French multi-factor model have indicative explanatory power over the CAPM to the excess returns of the 55 pro-cyclical, publicly owned companies from the UK and if so then to determine which risk factors from the model are significant in explaining the excess returns. We collect the necessary data and form portfolios according to the stocks’ excess returns sensitivity to the IPI after which a set of regressions are run in order to determine whether the variations in the portfolios can be explained by the Fama and French factors. READ MORE
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17. Risk-based Indexation on the Nordic Equity Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : By convention and with support of CAPM's theoretical framework, stock indexes have for a long time been market-capitalization weighted. Among the alternative approaches that have gained in popularity are risk-weighted indexation methods, as it has been shown that they offer superior risk-return trade-off compared to the traditional market-capitalization weighted indexes. READ MORE
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18. Value Investment Strategy : Robustness test and application of Piotroski’s model in 4 different markets
University essay from Handelshögskolan vid Umeå universitet (USBE)Abstract : Background A common goal for many investors is to beat the market. However, only a few are able to do so consistently over a long time. The random walk theory and the efficient market hypothesis are two widely accepted theories that state that it should not be possible to consistently generate abnormal returns in an efficient market. READ MORE
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19. An Investment-Based Factor Model - An Empirical Assessment of a Neoclassical Asset Pricing Model's Relative Pricing Ability on Swedish Stock Return Data
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The pursuit of the factors determining the cross-section of average stock returns has traditionally been focused around factors believed to proxy for common sources of risk. Previous research points out that linear factor models built on this approach demonstrate an inadequate pricing ability in a Swedish setting. READ MORE
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20. The Implication of Payout Policy on Stock Performance
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper measures the effect of payout policies on stock returns in times of economic turbulence. We go through the most recent financial crisis from 2007 to the end of 2009 as well as the dotcom bubble in the end of 2000. READ MORE