Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015
This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and...
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| Format: | Others |
| Language: | English |
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Linköpings universitet, Företagsekonomi
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-129987 |