Förklarar 4-faktormodellen den svenska börsens avkastning bättre jämfört mot tidigare modeller? : En analys av marknaden under 8 år

Förklarar 4-faktormodellen den svenska börsens avkastning bättre jämfört mot tidigare modeller? : En analys av marknaden under 8 år

Does the 4-factor model have a higher degree of explanation than CAPM and the 3-factor model on the Swedish stock market? The purpose of this thesis is to investigate whether the 4-factor model's ability to explain the systematic risk on the Swedish stock market is better than CAPM and the 3-fa...

Full description

Bibliographic Details
Main Authors: Jahnsson, Sebastian, Jern, Daniel
Format: Others
Language:Swedish
Published: Uppsala universitet, Företagsekonomiska institutionen 2021
Subjects:
Efficient market hypothesis
4-factor model
degree of explanation
excess return
CAPM
risk
Effektiva marknad hypotesen
4-faktormodellen
förklaringsgrad
överavkastning
Business Administration
Företagsekonomi
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-450790
Description
Summary:Does the 4-factor model have a higher degree of explanation than CAPM and the 3-factor model on the Swedish stock market? The purpose of this thesis is to investigate whether the 4-factor model's ability to explain the systematic risk on the Swedish stock market is better than CAPM and the 3-factor model. Furthermore, we want to investigate whether it is possible to create portfolios based on the 4-factor model that generates excess returns. In addition, we will also compare our results with the results of previous international studies to see what results we get in the Swedish market.

Similar Items