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Dissertations / Theses on the topic 'Fama and French (1992) Three-factor model'

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Published: 11 September 2021
Last updated: 30 July 2025

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1

Mao, Bin. "An empirical study of the Fama and French three-factor model." Thesis, University of Aberdeen, 2009. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=208283.

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In recent years there has been increasing empirical evidence that appears to support the view that the Fama and French three-factor model is highly effective in capturing the systematic risks associated with equity rates of return. It has equally been recognised that the three-factor model does not have the theoretical sophistication of the Capital Asset Pricing Model (CAPM). This comparison presents a puzzle that hinges on a search for explanations of the sources of the two extra risk factors that are central to the three-factor model. These factors are: first, the size premium (defined as th
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2

Lam, Kenneth. "Is the Fama-French three-factor model better than the CAPM? /." Burnaby B.C. : Simon Fraser University, 2005. http://ir.lib.sfu.ca/handle/1892/2094.

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3

Boros, Daniel, and Claes Eriksson. "Does size matter? : An empirical study modifying Fama & French's three factor model to detect size-effect based on turnover in the Swedish markets." Thesis, Linköpings universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-117836.

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This thesis investigates whether the estimation of the cost of equity (or the expected return) in the Swedish market should incorporate an adjustment for a company’s size. This is what is commonly known as the size-effect, first presented by Banz (1980) and has later been a part of models for estimating cost of equity, such as Fama & French’s three factor model (1992). The Fama & French model was developed based on empirical research. Since the model was developed, the research on the size-effect has been divided and today there are empirical studies contradicting its existence. Argume
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Hammarfrid, Peter, and Tom Henningsson. "Multifaktormodeller på den svenska marknaden - En studie av OMX Stockholm mellan 1996 och 2014." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-121523.

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Bakgrund:CAPM räcker i flera tillfällen inte till för att estimera framtida avkastning. Vissa av prisavvikelsernafrån CAPM är väldokumenterade och har bestått över tid, vilket har lett till uppkomsten avkorrigerande faktorer. En modell som använder sig av två sådana korrigerande faktorer är Fama ochFrenchs tre-faktormodell. Den har testats flertalet gånger på den svenska marknaden där den visat gehögre förklaringsgrader än CAPM. År 2012 samt år 2014 presenterades två nya multifaktormodeller,som genom test på börsmarknaden i USA lyckats fånga upp prisavvikelser bättre än trefaktormodellen.Syfte
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5

Marklund, Christian, and Joakim Hansen. "Existerar volatilitetssymmetri? : En studie i volatilitet och reala optioners effekt på Sverigesaktiemarknad." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-90514.

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Problembakgrund: Studier för sambandet mellan volatilitet och avkastning har för det aggregerade marknadsperspektivet varit odelat enliga i att detta är negativt. Detsamma gäller inte sambandet vid studier på aktier för enskilda företag där ett antal har kunnat observera ett positivt samband. Detta skulle betyda att det är fördelaktigt när en akties volatilitet ökar, vilket går emot tidigare teorier som säger att sjunkande aktiekurser leder till en ökande volatilitet. I en teori har reala optioner presenterats som en förklaring genom dess konvexitet som leder till ett samtidigt ökande värde nä
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Lagnado, Leonardo Mathiazzi. "Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17047.

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Submitted by Leonardo Mathiazzi Lagnado (lagnado@gvmail.br) on 2016-09-09T00:28:36Z No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 7778858 bytes, checksum: 16803ed7c2489aa7863aa44717c8719a (MD5)<br>Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Leonardo, boa tarde Para que possamos aceitar seu trabalho, deverá realizar algumas alterações conforme as normas da ABNT. Segue abaixo: - Na capa: o nome da Escola deve estar em Português. - Na contra capa e na folha de assinaturas, todas as informações também deverão estar em português; exceto o título. - I
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7

Michaelides, Michael. "Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets." Diss., Virginia Tech, 2017. http://hdl.handle.net/10919/77515.

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The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are found and the original linear regression models are respecified. The respecification results in a family of heterogeneous Student's t models which are shown to account for all the statistical regularities in the data. This family of models provides an appropriate basis for re
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Rehnby, Nicklas. "Does the Fama-French three-factor model and Carhart four-factor model explain portfolio returns better than CAPM? : - A study performed on the Swedish stock market." Thesis, Karlstads universitet, Handelshögskolan, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-43784.

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This essay will compare the capital asset pricing model (CAPM), Fama and French threefactor model and Carhart´s four-factor model, to see which of these models that can explain portfolio excess returns best on the Swedish stock market. This thesis will tempt to validate the three and four-factor models because of the limited amount of research done on the Swedish stock market. The results indicate that the three-factor model improves explanatory power for portfolio returns in comparison to the CAPM, and the four-factor model gives a small improvement in the explanatory power compared to the th
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9

Jiao, Wenting. "Exploring Risk Factors on Chinese A Share Stock Market - in the Frame of Fama - French Factor Model." Thesis, Rennes 1, 2017. http://www.theses.fr/2017REN1G013/document.

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Notre thèse explore les facteurs de risque et les modèles des facteurs sur le marché boursier chinois A-share. Notre étude est basée sur le contexte du modèle facteur de Fama-French (FF). Tout d'abord, au chapitre 1, nous réexaminons l'applicabilité du Modèle Fama-French à Trois Facteurs (FF3F) et du dernier Modèle Fama-French à Cinq Facteurs (FF5F), compte tenu de plusieurs caractéristiques spéciales du marché boursier chinois. Les résultats empiriques montrent que le Modèle FF3F peut expliquer la majorité des variations de séries chronologiques des rentabilités des actions chinoises A-share.
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Hajric, Amina, and Kajsa Larsson. "Utvärdering av CAPM och Fama & French-trefaktormodellen : en studie på den svenska marknaden." Thesis, Högskolan Kristianstad, Sektionen för hälsa och samhälle, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-17214.

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Det är sedan länge känt att det finns en positiv korrelation mellan risk och avkastning. Investerare och bolag kan välja mellan flera olika prissättningsmodeller för att förutspå priset på en aktie. Forskare har, med den kända enfaktormodellen CAPM som utgångspunkt, utvecklat en modell som tar hänsyn till mer än bara marknadsfaktorn. Detta resulterade i framtagandet av Fama &amp; French-trefaktormodellen (FF3) som även inkluderar storleksfaktorn SMB samt värdefaktorn HML. Syftet med studien är att utvärdera två prissättningsmodeller, CAPM och FF3, för att kunna bedöma deras prestanda vid värde
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Issar, Rajiv Issar. "Market Capitalization and Firm Value: The Size Factor." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/4224.

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Current multifactor valuation pricing models use size (measured by market capitalization) of a firm as one factor to determine the value of a security. The problem with current standard models was that none of them could explain the value of a security consistently and accurately based on current factors and in particular the size factor. The purpose of this quantitative study using existing time-series data over a 10-year period from 2006 to 2015 was to examine the impact of size factor on the realized rate of return of financial securities, while controlling for the impact of market rate of
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Åberg, Andreas, and Henrik Peltomaa. "Överreaktioner på Stockholmsbörsen?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-397863.

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I denna uppsats kommer vi att undersöka om det förekom överreaktioner på Stockholmsbörsen mellan åren 2002 och 2016. Överreaktioner undersöks genom att bilda vinnar- och förlorarportföljer baserat på tidigare månatliga avvikelseavkastningar. Vi ställer en hypotes om att förlorarportföljer kommer att prestera bättre än vinnarportföljer efter portföljformering. Portföljerna utvärderas under ett-, två- och treårsperioder för att undersöka om det förekommer reversals som en investerare skulle kunna utnyttja genom contrarianstrategin. Vår uppsats identifierar kortsiktiga reversals direkt efter port
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CONFESSOR, Kliver Lamarthine Alves. "Payout incremental e o modelo de três fatores de Fama e French: um estudo das empresas brasileiras." Universidade Federal de Pernambuco, 2016. https://repositorio.ufpe.br/handle/123456789/18580.

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Submitted by Rafael Santana (rafael.silvasantana@ufpe.br) on 2017-04-18T18:39:39Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Dissertação (2016-03-04) - KLIVER LAMARTHINE ALVES CONFESSOR.pdf: 1386264 bytes, checksum: 187856adab13aa330884ca934200e20d (MD5)<br>Made available in DSpace on 2017-04-18T18:39:39Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Dissertação (2016-03-04) - KLIVER LAMARTHINE ALVES CONFESSOR.pdf: 1386264 bytes, checksum: 187856adab13aa330884ca934200e20d (MD5) Previou
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Dänhardt, Alexander, and David Gerby. "Nyemissioner i Sverige : Hur valet av motiv och emissionstyp påverkar aktieprestation och bolagsvärde." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-384231.

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Denna studie undersöker huruvida nyemissioners bakomliggande motiv påverkar hur det emitterande företaget värderas efter tillkännagivandet. Fenomenet undersöks på den svenska marknaden, då majoriteten av tidigare forskning bedrivits på utländska handelsplatser. Effekten av olika motiv analyseras för ett urval bestående av 203 observationer under en 14-årsperiod, mellan år 2005-2018, där samtliga nyemissioner genomförts på Nasdaq OMX Stockholm. Studien omfattar både riktade och företrädesmissioner. Avvikande avkastning beräknas på kort och lång sikt i samband med nyemissionernas tillkännagivand
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15

Bedros, Hakob. "Utilizing Wavelet to Examine the Relationship between Stock Returns and Risk Factors in CAPM and Fama-French Three-Factor Model : A study of the Swedish stock market." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-65017.

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16

Gharaibeh, Omar Khlaif. "Essays in Industry Cost of Equity and Return Dynamics." Thesis, Griffith University, 2014. http://hdl.handle.net/10072/365919.

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Industry-level equity research is a relatively small but rapidly growing area of interest to finance academics. Costs of equity estimation as well as investigations into various anomalies such as the momentum, contrarian, value and size effects have mostly focused on individual stock returns rather than industry returns. Using a sample of U.S. industry returns, this thesis investigates two broad areas: industry cost of equity estimation and aspects of industry return predictability. This thesis presents three empirical chapters that cover industry cost of equity estimation, an examination of t
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17

Dijokas, Paulius, and Dijana Zaric. "Performance of Actively Managed Equity Mutual Funds : Empirical Evidence of the Swedish Market." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-26782.

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During the last decade, investments into the Swedish mutual fund market have increased substantially. The increased popularity of actively managed Swedish equity funds among households and investment companies, correspondingly, funds need to deliver substantial results, raised the importance to evaluate these funds’ performance. This thesis adds to the scarce empirical literature on Swedish equity mutual fund performance. Employing the Fama-French three factor model, it analyzes whether actively managed Swedish equity mu- tual funds outperform the Fama-French benchmarks net- and gross of manag
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Andrén, Erik, and Oskar Fors. "Actively Managed Investments : A comparison of US hedge and equity mutual funds." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-35570.

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Over the past years, the total assets under management among hedge funds and equity mutual fundshave increased significantly. The question from an investor point of view iswhich investment vehicle can provide the greatest return adjusted for risk. The purpose of this study involves an analysis on the historical net asset values todetermine and evaluate what one can except from actively managed hedge andequity mutual funds. It supports the determination of the most profitable asset, adjusted for risk, as part of a diversified portfolio. The performance is measured net of fees and costs with the
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Jomer, Emelie. "Performance of UK Pension Funds : Luck or Skill?" Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-205730.

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Pension funds play a large role in the UK pension system since the returns of the funds determine how large the total pension will be. The future retirees can choose between active and passive fund management where the active management often is more expensive. In this study 102 actively managed UK equity pension funds are analyzed in order to see if managers have sufficient skill to generate risk adjusted return to cover the cost imposed on the investors. The result implies that the active pension funds in aggregate, before expenses, hold a portfolio that imitates market returns during 2000 t
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Djerf, Martin, and August Lundgren. "Size and Seasonality : Using Enterprise Value and the January effect to Investigate the Size effect on the Swedish stock market 2000-2019." Thesis, Jönköping University, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49432.

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In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. This resulted in new models being developed, such as the Fama and French three-factor model which takes the size of a company into consideration (Fama &amp; French, 1992). However, since the discovering of the size effect, several researchers have started to question its existence. (Asgharian &amp; Hansson, 2008)
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Hukka, Sonja, and Samri Said. "Hållbara trender - presterande fonder? : En kvantitativ studie om hur ESG påverkar Sverigefonders prestation." Thesis, Södertörns högskola, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-45770.

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Sustainability has become a major societal trend and interest in sustainable investments has increased among investors. The purpose of this study is to investigate how sustainability affects Swedish funds' returns and risk. Since research on the impact of sustainability on funds focuses mostly on investments outside Sweden, this study has limited itself to Swedish funds to fill the gap in research. The study analyzes 67 Swedish funds during 2015-2019 using various models such as CAPM, Fama-French three-factor model and Sharpe ratio. Furthermore, the funds' sustainability is measured using Morn
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Jämtander, Jämtander. "Models explaining the average return on the Stockholm Stock Exchange." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40360.

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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. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios.
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Wange, Erik, and Tor Wikman. "Bära eller brista - byte av noteringslista? : Nya resultat från svenska aktiemarknaden." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-150457.

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Denna eventstudie syftar till att undersöka hur ett byte av noteringslista påverkar kumulativ onormal avkastning (CAR) 1 till och med 12 månader efter genomfört byte. I studien undersöks därför utförda byten av noteringsplats på den svenska aktiemarknaden under tidsperioden 1995-2009. I studien beräknas onormal avkastning delvis med marknadsmodellen (MM) som grund, men också med Fama &amp; French tre-faktormodell (FF) för att öka reliabiliteten. Vidare undersöks om skillnader i CAR föreligger under olika tidsintervall samt om olikheter förekommer efter att berörda företag delats in i undergrup
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Yalcin, Ozge. "The Performance Evaluation And Persistence Of A Type Mutual Funds In Turkey." Thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614099/index.pdf.

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Literature reveals studies on mutual fund performance analysis and persistency, with various results. Some studies support hort term performance persistence, while the rest claiming no such persistency among the portfolios. This thesis is an attempt to analyze the performances of Turkish open-end mutual funds for the period of 2003-2010 and search for persistency by extending the time period to June 2011. For performance evaluation, single factor CAPM and ama-French&rsquo<br>s Three Factor Model are applied. Persistency analysis is done by tracking the relative fund performances on a monthly
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Andersson, Pontus, and John Eskilson. "Hållbara fonders avkastning : En kvantitativ studie om en jämförelse av riskjusterad avkastning för svenska fonder baserat på ESG-score." Thesis, Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-177754.

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Background: The Swedish fund savings have developed strongly over the past two decades. Together with this development, the knowledge that the earth's population is facing an extensive climate challenge has also increased. For many people today, living sustainably has become a central aspect of everyday life, and when it comes to investing their savings, the majority of Sweden's fund savers state that sustainability is something that is taken into account when choosing an investment. Investments in funds that based on measuring tools, show a high degree of sustainability have thus increased. T
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Ballout, Rami, and Fredrik Nygård. "Can intangibles lead to superior returns? : Global evidence on the relationship between employee satisfaction and abnormal equity returns." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73263.

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Subject background and discussion: In recent decades, issues of human rights, labor and environmental change has been hot topics world wide, which also has influenced the financial market. More and more investors use socially responsible investing (SRI) screens when constructing their portfolios. One form of SRI screen is to choose companies that have satisfied employees. Existing theory says that employee satisfaction is an intangible asset to the firm that will positively affect a firm’s performance in the future. Intangible assets are often unrecognized by the market and thereby not incorpo
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Faro, Miguel Bernardo Dias. "Real estate investment trusts : a historical performance analysis." Master's thesis, 2020. http://hdl.handle.net/10400.14/32094.

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Esta tese avalia a performance e os riscos de três Real Estate Investment Trusts (REIT) portfólios: EREIT, MREIT e AREIT. O portfólio EREIT é composto apenas por ações REIT, MREIT é composto por ações REIT hipotecárias e AREIT composto por ambas as ações descritas. Ao analisar os retornos excessivos, desvio padrão e Sharpe Ratio, os resultados sugerem que o portfólio que contém ambos os tipos de ações REIT (AREIT) teve a melhor performance de todos, para o período em análise (janeiro de 2000 até janeiro de 2020). A performance dos índices S&P500 e Russell 2000 foi igualmente avaliada. Os res
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Huang, Chun-Wei, and 黃俊衞. "Fama and French Three-Factor Model applied to Taiwan stock market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/03960123016469823036.

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碩士<br>南台科技大學<br>企業管理系<br>98<br>Many literatures have discussed about CAPM and Fama and French three-factor model. However, there are more variables could explain stock return. Therefore, the literature review discusses CAPM, Fama and French three-factor model and other variables. This research adopts Fama and French three-factor model, five-factor model and six-factor model to analyze which variable have more important effect on stock return. This research introduces CAPM and Fama and French three-factor first, and then introduces each variable were included in this research. After that, doing
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Yang, Tsung-yu, and 楊宗育. "A Study of Fama and French Three Factor Model-Quantile Regression." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/75802390184867330124.

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碩士<br>義守大學<br>財務金融學系碩士班<br>95<br>This thesis investigated the quantile regression model of the weight to probe into Fama and French (1993) with OLS model according to can have person who discuss result that real example produce. Divided into three issues while studying, except Fama and French (1993) sample materials during, lengthen and summarize during the materials. To the past documents, have the following characteristics: First, in order to prevent OLS law from producing and estimating and leaning towards by mistake, this thesis tries to adopt the quantile regression analytic approach. Sec
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Denizci, Basak Upneja Arun. "Pricing effect of restaurant industry related factors on Fama French three factor model." 2006. http://etda.libraries.psu.edu/theses/approved/WorldWideIndex/ETD-1581/index.html.

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Basiewicz, Patryk. "Motivating, constructing and testing the Fama-French three factor model on the Johannesburg Stock Exchange." Thesis, 2011. http://hdl.handle.net/10539/10371.

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MCom (Research) , Faculty of Commerce, Law and Management, University of the Witwatersrand, 2007<br>The purpose of this dissertation is to motivate, construct and test the suitability of the Fama and French (1993) three-factor model in pricing equities listed on the Johannesburg Stock Exchange. Before this can be achieved, however, the existence of the size and the value effects needs to be established, and their resistance to risk adjustment with traditional asset pricing models needs to be ascertained. Once, these two empirical facts are documented, the three-factor model is built and tested
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Kuo, Min-Yu, and 郭珉妤. "Using dividend yield to construct portfolios and comparing CAPM model with Fama and French three factor model." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/x8ta76.

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Cheng, Chiao-Ming, and 鄭喬明. "Using novel MCDM Methods Based on Fama-French three-factor model for probing the stock selection." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/75283631260837164645.

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碩士<br>開南大學<br>企業與創業管理學系<br>98<br>Fama-French three-factor model is important financial evaluation for the stock return model in recent years, the model indicates that market factor, size factor and book-to-market ratio factor are the reasons that would affect the rate of the return of stocks. But it did not explain the relative weight of the sub-factor to the three factors. Therefore the purpose of this thesis is to discuss more in details, which Fama-French three-factor model did not explain. This paper use DANP methods includes DEMATEL (Decision Making Trial and Evaluation Laboratory), and A
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Graça, Nuno Miguel Lourenço. "Asset pricing tests: different methods and their performance on capm and fama-french three-factor model." Master's thesis, 2013. http://hdl.handle.net/10071/7383.

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Estimar e avaliar modelos de Asset Pricing não é uma tarefa elementar. Os resultados obtidos dependem do método utilizado, das hipóteses que são tomadas, nos dados usados, etc. Apesar dos esforços para se encontrar estatísticas precisas, não existe consenso em relação ao método que deve ser usado para testar os modelos, que ajustes são necessários aplicar a esse método, que dados devem ser utilizados, entre outras coisas. Esta tese ajuda a mostrar que diferentes métodos podem levar a conclusões consideravelmente diferentes no que aos modelos testados/avaliados diz respeito. Apesar de alguma e
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Lin, Cheng-Hsun, and 林政勳. "An Empirical Analysis of Fama and French Three Factor Model－An Application of GARCH Model and Quantile Regression." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/02509182326551912666.

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碩士<br>真理大學<br>管理科學研究所<br>92<br>This research we apply GARCH model proposed by Bollerslev（1986） and quantile regression proposed by Koenker and Bassett(1978), to survey the cross section ability of Fama－French three factor model.Our finding is as follows. When error term is taken into account together with first order autocorrelation and GARCH model, Fama－French three factor model exists size effect and book-to-market effect to Taiwan stock market. However, market factor also has quite explaining importance that we couldn’t ignore. Furthermore, most models can explain the return of Taiwan sto
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Tsai, Pei-Fen, and 蔡佩芬. "The performance of Fama and French three-factor model in different models, groups, and estimations of betas." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/18553275956193605811.

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碩士<br>國立中央大學<br>財務金融研究所<br>92<br>This thesis uses three different approaches to examine the three-factor model proposed by Fama and French(1993).They use traditional two-pass procedure to solve the estimation problem, and we modify the method by taking different models. Whether we do grouping or not is also an important decision in dealing with our data, we find that grouping in both the two-stage get the stable estimates but lose much information. However, when we consider individuals in both step,and we include most information but the estimates vary a lot. We also consider different kinds o
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Chen, Chia-Ching, and 陳家靜. "Using Business Risk leverages and Fama-French Three-Factor Model for Constructing Over- and Under-valued Stock Portfolio Strategy." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/05986149631920432460.

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碩士<br>國立臺北大學<br>企業管理學系<br>103<br>Current financial statements fail to provide investors with sufficient information on business risk evaluation. Therefore, this study, through standardization and logistic converted operating leverage and financial leverage to present the business risk level,To address the earnings is negative, showing N/A of distress. The purposes of research was to investigate the combined enterprise risk leveraged five-factor model for all listed stock compensation explanatory power, first validation in accordance with the stock overvalued,undervalued portfolio performance
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SYU, JHE-WEI, and 許哲瑋. "The Impacts of Fama-French Three-Factor Model and Financial Ratio on Stock Returns - an Evidence from Taiwan Electronic Sector." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/84978367158028458432.

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碩士<br>國立臺北大學<br>企業管理學系<br>98<br>This study is based on Fama-French (1993) three-factor model combine with financial ratio, seeking to evaluate their impacts on stocks return from Taiwan listed stocks in electronic category. 126 electronic companies with annually data ranging from 1999 to 2008 were collected. Factor analysis was used to find major factors from different financial ratio. Stepwise regression analysis was adopted to find the optimal independent variables. The results indicated that in Taiwan stocks market exist Home Market Effect, Book to Market Effect and Size effect. In financia
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LU, CHI-CHUN, and 盧其君. "A Comparative Analysis of the Establishment of Stock Prediction Model based on the Fama-French Three Factor Model of Pre- and Post-financial Tsunami Periods." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/hjndf5.

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碩士<br>國立臺北大學<br>國際財務金融碩士在職專班<br>104<br>This study investigates the impacts of the Fama-French three-factor model, market and financial information on individual stock returns. In addition, the study also investigates and compares the differences between pre- and post 2008 financial Tsunami periods. Annual data, ranging from 2003 to 2014, were collected from the top 100 listed companies using Taiwan Economic Journal database. Multiple regression analysis is employed to analyze the full sample, pre- and post- the Financial Tsunami periods. The empirical findings are summarized as follows: First,
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Πισπιρίγκου, Ευθαλία. "Διερεύνηση της υπόθεσης της αποτελεσματικότητας της αγοράς". Thesis, 2010. http://nemertes.lis.upatras.gr/jspui/handle/10889/4640.

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Ο αντικειμενικός σκοπός της συγκεκριμένης εργασίας είναι να διερευνηθεί κατά πόσο και αν ισχύει η θεωρία της αποτελεσματικότητας των αγορών που πρωτοεισήχθη από τους Fama και French σε εβδομαδιαία δεδομένα που προέρχονται από το Χρηματιστήριο Αξιών της Μ. Βρετανίας για την περίοδο 1/1/2000 μέχρι 1/1/2010.<br>The investigation of the efficient market hypothesis with daily U.K. data, testing period from 1/1/2000 to 1/1/2010.
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Kang, Chan-Wei, and 康展維. "Empirical Study of Application of the Influence between Fama-French Three Factor Model-The Different Emotional Index on Excess Return –Examples of Taiwan IPOs." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/34065967323552094028.

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碩士<br>崑山科技大學<br>企業管理研究所<br>101<br>The research period of this study selected from January 2000 to December 2011, which included 132 months of IPOs performance. The short-term performance of IPOs in this study is defined as one month rate of return which an investor holding a portfolio. The target selected by this study which initially listed on Taiwan Stock Exchange. At last, we included 496 companies in our research, of which there are 343 IPOs belong to electronics industry, and the proportion of of all samples is 69.20%. All samples regression under the three factor model, four factors
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KABORE, GUILLAUME VALERY TUWENDGOAMA, and 葛吉優. "Estimating the Stocks Returns of the South African’s FTSE/JSE TOP 40 Index, using the Fama French Three-Factor Model and the Country Risk Premium approach." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/z95qrn.

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碩士<br>國立中山大學<br>國際經營管理碩士學程<br>103<br>The main objective of this study is to estimate the stocks returns of the South African’s FTSE/JSE top 40 index, using the Fama French Three Factor model and the country risk premium approach. The construction of the six size portfolios followed the same process in Fama and French (1993). The period for the estimation spans from 07/2007 to 11/2014. In addition to the three factor model, we added a country risk premium’s estimation value. The estimation approach which is the Country Default Spread, followed Damodaran (2013). As Fama and French (1993) predict
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Su, Qihao. "Formování portfolia firemních investorů: jaká kritéria se používají a jak portfolio ovlivňuje výkonnost korporací?" Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-438707.

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Capital Asset Pricing Model (CAPM) is an equilibrium model to test relationship between expected return and market risk (Sharpe, 1964). The model research on pricing and return when the securities market reaches equilibrium and investors are rational and investing by diversification based on Markovitz portfolio theory (Markovitz, 1952). Fama and MacBeth (1973) proposed a cross-sectional testing methodology on CAPM and this regression method has been widely used in testing CAPM in developed markets since then. While CAPM is hard to explain more and more market anomalies (excessive return in sma
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Rolevski, Borche. "Velikostní a hodnotové výnosové prémie akcií ze střední a východní Evropy (CEE)." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-388653.

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This thesis provides evidence of size and value premiums in returns in the Central and Eastern European (CEE) region, through its analysis of financial markets in 12 countries. Following the portfolio construction methodology of Fama and French (1996) we use a sample of 1245 stocks and record that small stocks outperform big stocks (size premium) and value stocks outperform growth stocks (value premium). In addition, we create nine portfolios to test the Fama and French three-factor model and show that the factor-mimicking portfolios that have been documented in the developed markets, SMB (sma
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Lee, Hangyong. "Three essays on financial economics /." 2003. http://www.gbv.de/dms/zbw/557903068.pdf.

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du, Plessis Ruschelle. "Performance of socially responsible investment funds in South Africa." Thesis, 2015. http://hdl.handle.net/10394/17040.

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Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shar
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Chen, Chih-Chiang, and 陳志強. "The application of the Fama-French three-factor model - investor sentiment and stock turnover ratio of empirical research on the impact of excess return - to the Initial Public Offering in Taiwan, the electronics industry and non-electronic Initial Public Offering." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/a8kd5z.

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碩士<br>崑山科技大學<br>企業管理研究所<br>100<br>In this study, we adopt initial public offerings onTaiwan Stock Exchange from January 2003 to December 2009 as our research samples. Firstk, using Fama-French (1993) three-factor model (market risk factor, size factor and the book-to-market factor) to verify whether newly listed companies (including electronic and non-electronic industry) has excess returns in the short term. Second, we extended three-factor with investor sentiment indicators - Cloud or emotional proxy indicators－ stock turnover as the second or third model to test this extensive four-factor m
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