Beyond CAPM: Evaluating the Fama & French Three-Factor Model on Nasdaq Stockholm
This thesis examines whether the Fama & French three-factor model (1993) provides a better explanation of Swedish stock returns than the traditional Capital Asset Pricing Model (CAPM). Using data from firms listed on Nasdaq Stockholm between 2016 and 2024, six portfolios were formed based on firm size and price-to-book ratio. Monthly returns were calculated and regressed against both the marke
