This thesis deals with the issue of investment decision. The goal of thesis is to evaluate for the company owners optimal investment variant of predetermined investment opportunities. Thesis is divided into theoretical-methodological part, which summarizes all the methods and procedures and practical part. The practical part consists mainly of net present value calculations, which chosen input data will be afterwards analyzed by sensitivity test. Application of these apparatuses will reveal the best investment opportunity, respectively their combination

Companiesissuing insurance cover, in return for insurance premiums, face the payments ofclaims occurring according to a loss distribution. Hence, capital must be heldby the companies so that they can guarantee the fulfilment of the claims ofeach line of insurance. The increased incidence of insurance insolvencymotivates the birth of new legislations as the European Solvency II Directive.Companies have to determine the required amount of capital and the optimalcapital allocation across the different lines of insurance in order to keep therisk of insolvency at an adequate level. The capital allocation problem may betreated in different ways, starting from the insurance company balance sheet.Here, the running process and efficiency of four methods are evaluated andcompared so as to point out the characteristics of each of the methods. TheValue-at-Risk technique is straightforward and can be easily generated for anyloss distribution. The insolvency put option principle is easily implementableand is sensitive to the degree of default. The capital asset pricing model isone of the oldest reliable methods and still provides very helpful intermediateresults. The Myers and Read marginal capital allocation approach encouragesdiversification and introduces the concept of default value. Applications ofthe four methods to some fictive and real insurance companies are provided. Thethesis further analyses the sensitivity of those methods to changes in the economiccontext and comments how insurance companies can anticipate those changes.

If more people are starting to invest, then the focus on the effective markethypothesis will increase. The hypothesis's basic idea is that stock pricesalready reflect all available information and outperforming the marketthrough investment strategies is not possible. This study presents how twoinvestment strategies, CAN SLIM and Peter Lynch, has performed on andagainst the S&P 500 under a 10 year period. The result of the study showsthat the efficient market hypothesis does not hold and that an excess returncompared to the market is possible. Between the investment strategies therewas a comparison and analysis regarding the Sharpe ratio and the CapitalAsset Pricing Model. Conclusively, the study shows that CAN SLIM is thestrategy that has performed the best under the period that the study is basedon.

We derive and test a series of profitability factors for cross-section of expected returns on Japanese and Chinese equity markets. We find gross profitability predicts returns and significant both on Japanese and Chinese equity markets. We test these factors using Fama-MacBeth regression and find gross profitability and value portfolios perform better in Japan, size and gross profitability portfolios perform better in China. Then we create new three-factor model based on the result of 5*5 portfolios, which capture value and gross profitability premium in Japan, and, size and gross profitability premium in China. And the new models' GRS test performs better than Fama-French-three-factor model at the 5% significance level. / 博士(文化情報学) / Doctor of Culture and Information Science / 同志社大学 / Doshisha University

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This thesis investigates the complex dynamics of foreign exchange (FX) risk affecting Swedish multinational corporations and their financial performance, with a focus on the impact of company size and periods of economic crisis. Amidst global economic interdependencies, these entities encounter substantial FX risks, primarily due to the volatility of the Swedish Krona (SEK) against major currencies. Utilizing a comprehensive dataset spanning from 2004 to 2023, this study employs an empirical approach grounded in the International Capital Asset Pricing Model (ICAPM) and Purchasing Power Parity (PPP) to analyze the correlation between currency fluctuations and stock valuations. The analysis reveals that both company size and economic crises significantly modulate the effects of FX risks, with larger companies often better positioned to manage these risks through sophisticated hedging strategies. Smaller firms, conversely, show greater sensitivity to economic disruptions, particularly during crises which heighten the volatility of FX impacts. The findings indicate that FX risks significantly influence the financial outcomes of these firms, with both direct impacts on stock returns and indirect effects through operational strategies. The thesis underscores the importance of robust risk management strategies and the potential for policy adjustments to mitigate adverse effects from currency volatility. The insights derived from this research aims to contribute to a deeper understanding of the financial economics of foreign exchange, providing implications for investors and multinational corporations operating in global markets.

Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shareholder activism and cause-based investing. Although international SRI markets such as that of the United States of America and the United Kingdom are sophisticated and established markets, the South African SRI market is still relatively new and is yet to reach its full potential. Thus, as a growing market, little research regarding the long term risk-adjusted performance of SRI funds in South Africa has been conducted. The long term risk-adjusted performance of the sample of SRI funds was measured through the use of five risk-adjusted performance measures, namely the Treynor ratio, Sharpe ratio, Jensen’s alpha, Sortino ratio and Omega ratio, and through the use of three performance measurement models which included the capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model. The risk-adjusted performance of the sample of SRI funds was measured with the intent to establish if these funds out- or underperformed against three benchmark categories, namely the Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) SRI Index, a matched sample of conventional investment (non-SRI) funds and the FTSE/JSE All Share Index. The probable effect of the 2007/08 global financial crisis was also measured to analyse whether such a hazardous market event affected the performance of the SRI funds. According to the results and findings, the risk-adjusted performance of the SRI funds has improved over the research period. However, the SRI funds neither outperformed nor underperformed against the three benchmark categories over the research period. The performance measurement models’ analysis indicated that the SRI funds were less sensitive to market fluctuations, more exposed to small capitalisation portfolios, more growth-oriented, and exhibited significant momentum after the period of the 2007/08 global financial crisis. Furthermore, the analysis indicated that the SRI funds significantly underperformed against the non-SRI funds during the Performance of socially responsible investment funds in South Africa research period. Mixed results were obtained with regards to the probable effect of the 2007/08 global financial crisis on the performance of the SRI funds.

Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shareholder activism and cause-based investing. Although international SRI markets such as that of the United States of America and the United Kingdom are sophisticated and established markets, the South African SRI market is still relatively new and is yet to reach its full potential. Thus, as a growing market, little research regarding the long term risk-adjusted performance of SRI funds in South Africa has been conducted. The long term risk-adjusted performance of the sample of SRI funds was measured through the use of five risk-adjusted performance measures, namely the Treynor ratio, Sharpe ratio, Jensen’s alpha, Sortino ratio and Omega ratio, and through the use of three performance measurement models which included the capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model. The risk-adjusted performance of the sample of SRI funds was measured with the intent to establish if these funds out- or underperformed against three benchmark categories, namely the Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) SRI Index, a matched sample of conventional investment (non-SRI) funds and the FTSE/JSE All Share Index. The probable effect of the 2007/08 global financial crisis was also measured to analyse whether such a hazardous market event affected the performance of the SRI funds. According to the results and findings, the risk-adjusted performance of the SRI funds has improved over the research period. However, the SRI funds neither outperformed nor underperformed against the three benchmark categories over the research period. The performance measurement models’ analysis indicated that the SRI funds were less sensitive to market fluctuations, more exposed to small capitalisation portfolios, more growth-oriented, and exhibited significant momentum after the period of the 2007/08 global financial crisis. Furthermore, the analysis indicated that the SRI funds significantly underperformed against the non-SRI funds during the Performance of socially responsible investment funds in South Africa research period. Mixed results were obtained with regards to the probable effect of the 2007/08 global financial crisis on the performance of the SRI funds.

隨著經濟發展，國民所得水準提高，國民儲蓄成為資本形成的重要來源，而資本市場之功能便在於匯集民間儲蓄，將其導入國內的各項實質建中，是故一個有效率的、健全的資本市場，不僅能讓資金之供需雙方互蒙其利，更可使整體經濟社會的實質財富與所得，隨著資金供給雙方的交互行為而得以持續成長。 　　在台灣目前資本市場發行及流通之信用工具中，不論是初級市場發行額，抑或是次級市場交易額，股票市場一直佔有最重要的地位，所以股票市場也就成為企業籌措長期資金最為倚重的信用工具。 　　正因為股票市場具有如此之重要性，因此本文先從理論與台灣近幾年來的相關實證，針對台灣股票市場效率性做一番釐清，再從所得出之結論進一步借用Galeotti & Schiantarelli (1994)的研究，將股價區分成基本面與非基本面，以及各自適當的代理變數，推導出投資與這些代理變數之間的關係。 　　最後就民國76年5月至83年11月期間，以台灣所有上市公司為研究對象做實證分析。 　　本研究之主要發現如下： 　　1. 台灣股價波動偏離基本價值具有市場異常現象，不符合效率市場假說。 　　2. 由股票市場價值區分出之基本面與非基本面因素，對投資均會產生影響，其中又以落後兩期之解釋變數最為顯著。此結果介於Bosworth (1975)與Merton & Fischer (1984)兩篇研究之間，非基本面亦會影響投資 決策，但非基本面之效果小於基本面效果。

One could argue that the most discussed topic in finance is whether or not it is possible to “beat the market”. Even though many people claim to do this, there is little evidence to support the idea that one can consistently beat the market over a long period of time. There are indeed several examples of investors who have managed to outperform the market consistently for a long time, but the efforts of these individuals or institutions could by many be considered to be pure luck. One of the many strategies that have been evaluated by several researchers and is said to generate a risk adjusted return greater than that of the market, is one based on the P/E-effect. This strategy is based on the financial ratio P/E – price divided by earnings – and used by constructing portfolios consisting of stocks with low P/E ratios. Several studies have confirmed the existence of the P/E-effect on various stock markets around the world and over different time periods. On the Swedish market, however, few studies have generated the same results. Most of these studies can be considered to be insufficient with regards to sample sizes and methods, spawning a need for more extensive studies. We have examined the P/E strategy on the Swedish Stock Exchange (SSE) between 2004 and 2012. The sample included 358 companies (excluding financial companies) with available necessary data. The stocks were divided into five portfolios based on their yearly P/E ratios (low to high), upon which the monthly returns of the individual stocks were calculated using a logarithmic formula. The returns were also risk adjusted using the Capital Asset Pricing Model (CAPM), followed by a regression analysis to see if possible abnormal returns could be considered to be statistically significant for the examined time period. The results of our study indicate that the P/E effect is not present on the Swedish Stock Exchange during the examined time period, and we therefore conclude that it was not possible to utilize a strategy based on the P/E effect between 2004 and 2012 in order to achieve an abnormal return. The results can be used to argue that the Swedish stock market is more efficient than for example the U.S. stock market where the P/E effect has been found to exist.