Capochiani, Nicholas (A.A. 2019/2020) Analysis of the Fama-French six-factor model in a scenario of a restricted stock investment universe: evidence from S&P US equity indices. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 78. [Master's Degree Thesis]

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Abstract/Index

US equity indices as a starting point. Articulation of sections. Theoretical background. Evolution of the theory. The modern approach of multi-factor models. Two new characteristic factors. Recent studies on 5F-FF validity: personal purpose. The q-factor model. Data collection. CRSP source. Compustat data. Compustat/CRSP merged. US whole dataset. Methodology. Reliability of equity datasets. Baseline models. Factor construction. Summary statistics and correlations. Regression analysis. Factors linear regressions against the market factor. Interesting takeaways.

References

Bibliografia: pp. 47-48.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair:	Asset pricing
Thesis Supervisor:	Porchia, Paolo
Thesis Co-Supervisor:	Torrisi, Alfio
Academic Year:	2019/2020
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	04 May 2021 10:05
Last Modified:	04 May 2021 10:05
URI:	https://tesi.luiss.it/id/eprint/29295

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