Förklarar 4-faktormodellen den svenska börsens avkastning bättre jämfört mot tidigare modeller? : En analys av marknaden under 8 år / Does the 4-factor model explain the Swedish stock market's return better compared to previous models? : An analysis of the market over 8 years

Description

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.

Links & Downloads

1. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-450790

Tags

Efficient market hypothesis

4-factor model

degree of explanation

excess return

CAPM

risk

Effektiva marknad hypotesen

4-faktormodellen

förklaringsgrad

överavkastning

CAPM

risk

Business Administration

Företagsekonomi

Additional Fields

Identifer	oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-450790
Date	January 2021
Creators	Jahnsson, Sebastian, Jern, Daniel
Publisher	Uppsala universitet, Företagsekonomiska institutionen
Source Sets	DiVA Archive at Upsalla University
Language	Swedish
Detected Language	English
Type	Student thesis, info:eu-repo/semantics/bachelorThesis, text
Format	application/pdf
Rights	info:eu-repo/semantics/openAccess