The Fama and French Three-Factor Model - Evidence from the Swedish Stock Market
(2010) BUSM26 20101Department of Business Administration
- Abstract (Swedish)
- The present study adds to the sparse published Swedish literature on the performance of the Fama and French Three-Factor model on the Swedish stock market. The ability of the model to measure the cost of equity is compared with that of the CAPM. The tests are conducted in time periods with and without financial turmoil. The Fama and French Three-Factor Model is found to provide improved explanatory power over the CAPM in both stable and unstable
market conditions. Another finding is that the performance of the Fama and French Three-
Factor model does not perform well during a period of financial turmoil on the Swedish
market.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2969626
- author
- Kilsgård, David and Wittorf, Filip
- supervisor
- organization
- course
- BUSM26 20101
- year
- 2010
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Fama and French Three-Factor Model, CAPM, Asset pricing, Cost of Equity
- language
- English
- id
- 2969626
- date added to LUP
- 2012-08-09 14:34:03
- date last changed
- 2012-08-09 14:34:03
@misc{2969626, abstract = {{The present study adds to the sparse published Swedish literature on the performance of the Fama and French Three-Factor model on the Swedish stock market. The ability of the model to measure the cost of equity is compared with that of the CAPM. The tests are conducted in time periods with and without financial turmoil. The Fama and French Three-Factor Model is found to provide improved explanatory power over the CAPM in both stable and unstable market conditions. Another finding is that the performance of the Fama and French Three- Factor model does not perform well during a period of financial turmoil on the Swedish market.}}, author = {{Kilsgård, David and Wittorf, Filip}}, language = {{eng}}, note = {{Student Paper}}, title = {{The Fama and French Three-Factor Model - Evidence from the Swedish Stock Market}}, year = {{2010}}, }