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Showing 1 to 4 of 4 for “"Fama-French 3-factor model"”.
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Application of the Fama-French Model to Singapore REITs
The paper applies the Fama French 3-factor Model to Singapore REITs’ market to determine if the model has strong explanatory power on Singapore REITs’ excess return over a 11-year period from 2009-2019. Several previous studies have illustrated that the Fama French Model has superior predictive …
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Effect of executive compensation on firm performance
… explain stock returns better as an additional factor to the Fama-French 3-factor model. When CEOs are compensated with higher PPS, firms experience higher return on asset (ROA). The higher PPS also leads to the higher risk-taking. While CEO incentive compensation has been perceived mixed on its …
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Essays in empirical finance
… significant risk-adjusted returns relative to Fama-French 3-Factor model, and tend to outperform other funds that do not momentum trade as much. The superior performance of these funds persists across different investment objectives as well as after controlling for fund size or fund flow. The …
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Tvarių investicinių fondų veiklos vertinimas /
… mutual funds descriptive statistics and multifactor regression analysis were used. Sustainable funds were compared to traditional mutual funds, additionally using a well diversified benchmark index as a proxy. Methods like cumulative and annual returns, standard deviation, Sharpe ratio, …