Ändra sökning
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Size, Value and Momentum in Frontier Markets: Testing for Fama-French-Carhart Factors and Market Efficiency in Frontier Markets
2019 (Engelska)Självständigt arbete på avancerad nivå (magisterexamen), 10 poäng / 15 hpStudentuppsats (Examensarbete)
Abstract [en]

As more and more investors look to diversify their portfolios further, their attentions have moved past emerging markets in recent years, towards the so-called frontier markets. Frontier markets are less developed and liquid than emerging markets but offer tremendous opportunities for investors willing to allocate capital into them. This thesis will look into the applicability of global, as well as Frontier Fama-French-Carhart four-factor models within these markets and what the consequences are in terms of the efficient market hypothesis. The factor models will try to explain returns based on Size, Value and Momentum, as the literature has shown that asset pricing models tend to have difficulties explaining these strategies. Our findings indicate that Global Fama-French factors do partially explain long-only returns, yet Frontier Fama-French-Carhart factors appear more suitable. However, the results indicate that there is a factor missing in Frontier Fama-French-Carhart factors, which could explain the excess returns. Moreover, as we did not find statistically significant and positive intercepts for all applied Momentum strategies against the Frontier and Global Fama-French-Carhart factors (not even in the robustness test), we cannot reject the weak efficient market hypothesis. However, dollar-neutral Size and Value strategies (also the combined portfolio with dollar-neutral Momentum) seem to consistently outperform Frontier and Global factors.

Ort, förlag, år, upplaga, sidor
2019.
Nyckelord [en]
Asset Pricing, Fama-French Four Factor, Frontier Markets, Size, Value, Momentum
Nationell ämneskategori
Ekonomi och näringsliv
Identifikatorer
URN: urn:nbn:se:hj:diva-45172ISRN: JU-IHH-FÖA-2-20190928OAI: oai:DiVA.org:hj-45172DiVA, id: diva2:1331960
Ämne / kurs
IHH, Företagsekonomi
Handledare
Examinatorer
Tillgänglig från: 2019-06-27 Skapad: 2019-06-27 Senast uppdaterad: 2019-06-27Bibliografiskt granskad

Open Access i DiVA

Size, Value and Momentum in Frontier Markets(1347 kB)12 nedladdningar
Filinformation
Filnamn FULLTEXT01.pdfFilstorlek 1347 kBChecksumma SHA-512
631c2bf42f902a4957f246b5f8c40d430a8631fff04f5dec8740df117d8707233729ea6d87482ee4a02a3c61efa6a592b8710459d0704efd93cf977eef2ca34e
Typ fulltextMimetyp application/pdf

Ekonomi och näringsliv

Sök vidare utanför DiVA

GoogleGoogle Scholar
Totalt: 12 nedladdningar
Antalet nedladdningar är summan av nedladdningar för alla fulltexter. Det kan inkludera t.ex tidigare versioner som nu inte längre är tillgängliga.

urn-nbn

Altmetricpoäng

urn-nbn
Totalt: 48 träffar
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf