Value creation in any stock market is a highly discussed topic with an abundant amount of generalized models aiming to predict future returns. Although no such tool exists yet there are, however, acknowledged models from peer-reviewed journals that have received a lot of attention over the years in examining company performance. This thesis is therefore built on the well-known Fama-French three-factor model. The original Fama-French three-factor model is extended by adding a new size premium and a new value premium, both based upon the spread between the return on invested capital (ROIC) – the weighted average cost of capital (WACC). The purpose of this is to make the returns of a portfolio account for cash flow and debt on top of risk, size, and value premium for a company. This thesis finds that the ROIC-WACC spread adds explanatory power to the existing Fama and French three-factor model on the Swedish stock market. The research method of this study is quantitative and deductive. The considered period is six years between the years 2014 and 2020.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:su-208113 |
| Date | January 2022 |
| Creators | Jalili, Lemar, Höög, Samuel, Blank, Simon |
| Publisher | Stockholms universitet, Företagsekonomiska institutionen |
| 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 |
Page generated in 0.0019 seconds