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Fama and French’s Three Factor Model on the Swedish Stock Market
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2014 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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
Keyword [en]
Fama and French Three-Factor Model, CAPM, Asset Pricing, Value Premium, Size Premium
National Category
URN: urn:nbn:se:uu:diva-219387OAI: oai:DiVA.org:uu-219387DiVA: diva2:699621
Available from: 2014-02-28 Created: 2014-02-28 Last updated: 2014-02-28Bibliographically approved

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