Home > Search Results: keywords:"asset pricing models"
Search:
Search Tips :: Advanced Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 1 records found  Search took 0.01 seconds. 
Multifaktorové oceňovací modely
 Karpišová, Iveta ; Fučík, Vojtěch (advisor) ; Stádník, Bohumil (referee)
The theme of this bachelor`s thesis is pricing assets with multifactor fundamental pricing models. We cover the theoretical ground of the single-factor model and three multifactor models, the 3-factor Fama and French model, the 4-factor Carhart model and the 5-factor Fama and French model. The practical part aims to evaluate the explanatory power of the models based on the result of their application on the real financial data, the daily price of the 30 assets of the Dow Jones Industrial Average index. The main achievement is the fact that the best performance on an equally weighted portfolio is that of the 4-factor Carhart model, whereas the market capitalization weighted portfolio`s best estimation is gained with the 5-factor Fama and French model. The difference of the explanatory power of the models is dependent on the way one weights his portfolio and this is proven as statistically important based on the data used in the thesis.
Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English