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  • Factor model wars: q5 vs Fama-French 5 factor model
    Master Thesis Business Administration , Tutor: Patrick Schwarz, M.Sc. Details
    • Kenntnisse: Grundlagen der Statistik; Ökonometrie; Asset-Pricing
    • Ziel: In dieser Arbeit sollen mit dem Fama/French (2015) 5 Fakoren Modell und dem Q5 Modell von Hou et al. (2019) die beiden wohl bekanntesten neueren Asset-Pricing Modelle in der Finanzwirtsschaft verglichen werden. Insbesondere sollen hierbei bekannte Anomalien in Bezug auf die Erkenntnisse dieser beiden Modelle neu bewertet werden. 

    Einführungsliteratur:

    • Fama, Eugene F.; French, Kenneth R. (2015): A five-factor asset pricing model, in: Journal of Financial Economics 116 (1), S. 1–22.
    • Fama, Eugene F.; French, Kenneth R. (2016): Dissecting Anomalies with a Five-Factor Model, in: Review of Financial Studies 29 (1), S. 69–103.
    • Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu (2019): Which Factors?*, in: Review of Finance 23 (1), S. 1–35.
    • Hou, Kewei; Xue, Chen; Zhang, Lu (2015): Digesting Anomalies: An Investment Approachin, in: Review of Financial Studies 28 (3), S. 650–705.
  • Stock market volatlity and the effect of rare events
    Master Thesis Business Administration , Tutor: Jonas Dorlöchter, M.Sc. Details

    Einführungsliteratur:

    • Wachter, Jessica, “Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?,” NBER Working Paper no. 14386, 2009.
    • Malmendier, Ulrike, and Stefan Nagel, 2011, Depression babies: Do macroeconomic experiences affect risk-taking?Quarterly Journal of Economics126, 373–416.
    • Barro R. J., Rare disasters and asset markets in the twentieth century, Quarterly Journal of Economics, 2006, vol. 121 (pg. 823-66).

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