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master's thesis
Fama-French three-factor model
Zagreb: University of Zagreb, Faculty of Science, 2018. urn:nbn:hr:217:234644
Koprčina, Maja
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Koprčina, M. (2018). Fama-French three-factor model (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:234644

Koprčina, Maja. "Fama-French three-factor model." Master's thesis, University of Zagreb, Faculty of Science, 2018. https://urn.nsk.hr/urn:nbn:hr:217:234644

Koprčina, Maja. "Fama-French three-factor model." Master's thesis, University of Zagreb, Faculty of Science, 2018. https://urn.nsk.hr/urn:nbn:hr:217:234644

Koprčina, M. (2018). 'Fama-French three-factor model', Master's thesis, University of Zagreb, Faculty of Science, accessed 23 December 2024, https://urn.nsk.hr/urn:nbn:hr:217:234644

Koprčina M. Fama-French three-factor model [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2018 [cited 2024 December 23] Available at: https://urn.nsk.hr/urn:nbn:hr:217:234644

M. Koprčina, "Fama-French three-factor model", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2018. Available at: https://urn.nsk.hr/urn:nbn:hr:217:234644

Metadata
TitleFama-French three-factor model
AuthorMaja Koprčina
MentorBoris Podobnik (mentor)
Committee memberBoris Podobnik (predsjednik povjerenstva)
Committee memberMiljenko Huzak (član povjerenstva)
Committee memberGoran Muić (član povjerenstva)
Committee memberMarko Erceg (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2018-03-06, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
The thesis tests the Fama and French Three-Factor Model on the Croatian stock market. The performance of the model is compared with that of the Capital Asset Pricing Model. Based on previous attempts of researchers to apply the three-factor model of Fama and French to developing markets, three different portfolio constructing procedures were chosen and compared. Additionally, the implications of using two different proxies for the market and two different return intervals are studied and compared. Overall, the size and the book-to-market factor add to the explanation of the cross-section of average stock returns provided by the market factor. Fama and French Three-Factor Model explains the cross-section of average stock returns in the Croatian market and provides a greater explanatory power in comparison with the Capital Asset Pricing Model. However, much of the common variation in stock returns still remains to be explained by additional factors that reflect the defining characteristics of the emerging markets.
Abstract (croatian)
Rad testira Fama-French trofaktorski model na Hrvatskom tržištu dionica. Performansa modela uspoređena je sa performansom CAPM-a. Na temelju prethodnih pokušaja primjene trofaktorskog modela Fame i Frencha na tržišta u razvoju, odabrana su i komparirana tri različita postupka formiranja portfelja. Nadalje, proučavaju se i usporeduju implikacije upotrebe dvaju različitih proxyja za tržište i dva različita intervala povrata. Sveukupno, veličina kompanije i book-to-market faktor dodatno doprinose nivou objašnjenje varijacije presjeka prosječnih povrata iznad onog koji daje sam tržišni faktor. Fama-French trofaktorski model objašnjava presjek prosječnih povrata dionica na hrvatskom tržištu i objašnjava veći dio varijacije u povratima nego CAPM. Ipak, preostao je dio zajedničke varijacije u povratima dionica koji bi se mogao objasniti dodatnim faktorima koji odražavaju ključna obilježja tržišta u razvoju.
Keywords
Keywords (croatian)
Languageenglish
URN:NBNurn:nbn:hr:217:234644
Study programmeTitle: Finance and Business Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Embargo expiration date: 2020-09-04
Terms of useLicence In copyright icon
Created on2018-09-04 10:26:30