• Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 2
  • Tagged with
  • 2
  • 2
  • 2
  • 2
  • 2
  • 2
  • 2
  • 2
  • 2
  • 2
  • 2
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Piotroski ur ett riskperspektiv : En empirisk studie av 3- samt 4-faktors CAPM

Sandén, Mattias, Gräns, Lars January 2010 (has links)
<p>An efficient market implies that the use of fundamental analysis should not result in excess return, and that any return exceeding the market average can be explained by compensation for risk, accord-ing to The Capital Asset Pricing Model (CAPM). The focus of this study is to test whether the suc-cessful investment strategy developed by Piotroski (2000) generates excess return on American data, after risk adjustment by using Fama & French’s (1993) 3-factor and Carhart’s (1997) 4-factor CAPM. Initially we form stock portfolios based on companies characterized by high book-to-market values, additionally, we divide them into different performance classes by ranking them with Piotroski’s (2000) measure of financial performance, F_SCORE. Furthermore, we measure the actual return which these portfolios generates, using an one- and two-year buy-and-hold strategy, and calculate what theoretical return that is motivated by 3- and 4-factor CAPM, on the same sample. Our results show that Piotroskis (2000) investment strategy generates an average excess return for all the portfo-lios we construct, which cannot be explained by either 3- or 4-factor CAPM.</p>
2

Piotroski ur ett riskperspektiv : En empirisk studie av 3- samt 4-faktors CAPM

Sandén, Mattias, Gräns, Lars January 2010 (has links)
An efficient market implies that the use of fundamental analysis should not result in excess return, and that any return exceeding the market average can be explained by compensation for risk, accord-ing to The Capital Asset Pricing Model (CAPM). The focus of this study is to test whether the suc-cessful investment strategy developed by Piotroski (2000) generates excess return on American data, after risk adjustment by using Fama &amp; French’s (1993) 3-factor and Carhart’s (1997) 4-factor CAPM. Initially we form stock portfolios based on companies characterized by high book-to-market values, additionally, we divide them into different performance classes by ranking them with Piotroski’s (2000) measure of financial performance, F_SCORE. Furthermore, we measure the actual return which these portfolios generates, using an one- and two-year buy-and-hold strategy, and calculate what theoretical return that is motivated by 3- and 4-factor CAPM, on the same sample. Our results show that Piotroskis (2000) investment strategy generates an average excess return for all the portfo-lios we construct, which cannot be explained by either 3- or 4-factor CAPM.

Page generated in 0.0381 seconds