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

• 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

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.