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MSC Thesis: The Three Factor Model For Dutch Equities PDF

18 Pages·2017·English
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by ['Neema']| 2017| 18 pages| English

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:PDF
Price:FREE
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