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The Fama and French Three-Factor Model - Evidence from the Swedish Stock Market

Kilsgård, David and Wittorf, Filip (2010) BUSM26 20101
Department 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.
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author
Kilsgård, David and Wittorf, Filip
supervisor
organization
course
BUSM26 20101
year
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},
  keyword      = {Fama and French Three-Factor Model,CAPM,Asset pricing,Cost of Equity},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Fama and French Three-Factor Model - Evidence from the Swedish Stock Market},
  year         = {2010},
}