An Evaluation of Asset Pricing Models in the Swedish Context - Is Carharts Four-Factor Model more suitable than its predecessors for explaining the Swedish stock exchange?
An Evaluation of Asset Pricing Models in the Swedish Context - Is Carharts Four-Factor Model more suitable than its predecessors for explaining the Swedish stock exchange?
Abstract
This thesis investigates the explanatory power of the Capital Asset Pricing Model, the Fama French Three-Factor Model and the Carhart Four-Factor Model on the Stockholm Stock Exchange over the period 2012-2016. The purpose is to examine whether or not the Carhart Four-Factor Model explains excess return variability better than the Capital Asset Pricing Model and the Fama French Three-Factor Model. The results conclude that the Carhart Four-Factor Model has significantly better explanatory power than the Capital Asset Pricing Model, but not significantly better than the Fama French Three-Factor Model.
Degree
Student essay
Collections
View/ Open
Date
2018-02-20Author
Göransson, Ludvig
Palma Tzakov, Iordan
Keywords
Capital Asset Pricing Model
Fama French Three-Factor Model
Carhart Four-Factor Model
Swedish stock exchange
r-square-adjusted
Series/Report no.
201802:202
Uppsats
Language
eng
Metadata
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