Browsing by Author "Palma Tzakov, Iordan"

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    An Evaluation of Asset Pricing Models in the Swedish Context - Is Carharts Four-Factor Model more suitable than its predecessors for explaining the Swedish stock exchange?
    (2018-02-20) Göransson, Ludvig; Palma Tzakov, Iordan; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
    This thesis investigates the explanatory power of the Capital Asset Pricing Model, the Fama French Three-Factor Model and the Carhart Four-Factor Model on the Stockholm Stock Exchange over the period 2012-2016. The purpose is to examine whether or not the Carhart Four-Factor Model explains excess return variability better than the Capital Asset Pricing Model and the Fama French Three-Factor Model. The results conclude that the Carhart Four-Factor Model has significantly better explanatory power than the Capital Asset Pricing Model, but not significantly better than the Fama French Three-Factor Model.