| Titre : |
The FAMA-FRENCH Model applied to S&P 500 |
| Type de document : |
Mémoire |
| Auteurs : |
Adrien LEFEBVRE, Auteur |
| Année de publication : |
2019 |
| Importance : |
32 p. |
| Note générale : |
Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. |
| Langues : |
Anglais (eng) |
| Mots-clés : |
Management
ACTIF ; MARCHE FINANCIER ; INVESTISSEMENT
|
| Résumé : |
I have chosen this subject because I have always worked on simple model such as Capital Asset Pricing Model (CAPM), both by myself and in courses. As the Fama-French model is well-known from the financial community and because it differs a bit from the basic CAPM, my choice is to really deeply understand it. The Fama-French model is a three factors model created in 1993 by both Eugene Fama and Kenneth French. This model is based on three factors which are market factor, size factor and value factor. Each factor allowed us to deeply understand how is built the excess return that an investor should expect from a stock. The main work here is also to understand the sensitivity of stock’s returns to those factors which is what we call “Beta” : β .In this seminar paper, we will discuss about what is the Fama-French model to understand the main points in order to build the best Low Variance portfolio. Then, in a second part, we will try to create a portfolio based on the identification of excess returns thanks to the Fama-French Model with an alternative of maximizing the Sharpe Ratio.
|
| Note de contenu : |
PGE: Bibliogr.P.32 |
| Programme : |
PGE-Rouen |
| Spécialisation : |
Finance de marché - Financial markets, Assets and Risk Management |
| Permalink : |
https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=497038 |
|  |
The FAMA-FRENCH Model applied to S&P 500 / 2019 
