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.

Description

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 three-factor model. The results also indicate that all models have a low explanatory power when the market is volatile.

Links & Downloads

1. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-43784

Tags

Fama and French three-factor model

Carhart´s four-factor model

Capital Asset Pricing Model (CAPM)

portfolio returns

excess returns

Swedish stock market

Additional Fields

Identifer	oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kau-43784
Date	January 2016
Creators	Rehnby, Nicklas
Publisher	Karlstads universitet, Handelshögskolan
Source Sets	DiVA Archive at Upsalla University
Language	English
Detected Language	English
Type	Student thesis, info:eu-repo/semantics/bachelorThesis, text
Format	application/pdf
Rights	info:eu-repo/semantics/openAccess