Fama and French’s Three Factor Model on the Swedish Stock Market
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
In this thesis we test the Fama and French (1993) three-factor model and the CAPM on the Swedish stock market. All non-financial stocks listed on the NASDAQ OMX Stockholm exchange 2003-2013 are included in our sample. Monthly stock returns are regressed on the market portfolio and mimicking portfolios for size and book-to-market value of equity risk factors. We find that the thee-factor model does not produce regression intercepts superior to the CAPM, and thus conclude that the CAPM beta is a proper risk measure on the Swedish stock market.
Place, publisher, year, edition, pages
Fama and French Three-Factor Model, CAPM, Asset Pricing, Value Premium, Size Premium
IdentifiersURN: urn:nbn:se:uu:diva-219387OAI: oai:DiVA.org:uu-219387DiVA: diva2:699621
Österholm, Göran, Universitetslektor
Ohlsson, Henry, Professor