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About MSC Thesis: The Three Factor Model For Dutch Equities
The document summarizes a master's thesis that tests how well the Three Factor Model of Fama and French describes cross-sectional differences in returns for Dutch stocks from 1990-2010. The thesis finds that the model captures most cross-sectional differences, with an average R2 of 90%. A value premium exists for Dutch stocks, but systematic risk and size are not priced. Adding a momentum factor improves the model by making the alpha insignificant.
Detailed Information
Author: | ['Neema'] |
---|---|
Publication Year: | 2017 |
Pages: | 18 |
Language: | English |
Format: | |
Price: | FREE |
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