Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. The investment strategy implemented use Market-to-Book-Value to screen for both entry and exit signals and Modern Portfolio Theory, using the minimum-variance portfolio with short-selling constraints, to allocate assets within the portfolio. The investment strategy is evaluated using the Modigliani-Modigliani Risk Adjusted Performance measure. Conclusions from the thesis are that the strategy does outperform the Swedish stock market index, both in terms of nominal return and risk-adjusted performance. The suboptimal behaviour of investors where they overreact  to signals and unconsciously rely on heuristics is used to explain why this is possible. Market-to-Book-Value, using the first quartile as entry signal and third quartile as exit signal, is considered to be a successful key ratio to screen for value stocks.

Idag äger många svenskar andelar i olika fonder. Detta beror delvis på att det allmänna pensionssystemet i Sverige idag består av en premiepensionsdel, där individen kan göra ett individuellt val hur dennes pensionspengar ska investeras. Gemensamt för investerare är att de vill erhålla en god avkastning. Ett vanligt sätt att bedöma förväntad avkastning i en finansiell tillgång kallas Capital Asset Pricing Model, eller CAPM. Detta är en mycket behandlad, debatterad och även kritiserad modell. Förutom CAPM utgår studien från en nyare teori som heter Black Swan theory. År 2007 presenterade Taleb sin teori om Black Swan. Han menar att en Black Swan är en händelse som avviker från det normala, har långtgående effekter och som efteråt får naturliga förklaringar. Ett potentiellt Swan-fenomen är finanskrisen. Om nu finanskrisen kan räknas som ett Swan-fenomen innebär det att den finansiella verkligheten har förändrats. Om nu den finansiella världen har påverkats så finns det anledning att tro att även modeller och deras överensstämmelse med verkligheten har påverkats. Det är detta vi i denna studie ämnar att undersöka och mynnar därför ut i frågeställningen: Var CAPM en fungerande modell gällande Sverigefonder åren 2005-2014? Studiens syfte lyder enligt följande: Att undersöka hur väl CAPM:s prediktion av förväntad avkastning i Sverigefonder stämmer överens med den faktiska avkastningen. Vi vill också genom undersökningen se ifall denna överensstämmelse har förändrats under vår undersökningsperiod och ifall detta i sådana fall kan kopplas till ett potentiellt Swan-fenomen som finanskrisen. Med teoretisk utgångspunkt i modern portföljvalsteori, CAPM och Black Swan theory undersöks sambandet mellan betavärde och avkastning i Sverigefonder. Vi utgår från en positivistisk kunskapssyn och genom en deduktiv ansats genomförs en regressionsanalys för att svara på vår frågeställning. Det empiriska materialet består av månadsavkastning från de valda fonderna, riskfri ränta och marknadsindexets avkastning. I vår studie hade vi endast ett år med signifikant positivt samband mellan beta och avkastning (som försvann i och med heteroskedasticitet i datamaterialet). Vi hade däremot ett år med negativt signifikans (2014) samtidigt som en positiv marknad, vilket inte överensstämmer med tidigare empiriska undersökningar. Vissa år ser det ut som att det finns samband genom att grafiskt titta på våra figurer i resultatdelen, men det är även år där det motsatta förhållandet finns. Med resultaten och analysen i åtanke kan vi inte förkasta nollhypotesen 2005-2013 (det finns inget samband mellan beta och avkastning).

NJ, Univ., Dep. of Economics, Diss.--Princeton, 2005. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 3 Beitr.

Univ., Diss.--Kiel, 2001.

The thesis deals with modern portfolio theory. The theoretical part of the thesis describes the historical development of portfolio optimization and presents the basic theoretical background of the Markowitz model, the Tobin model and the Capital asset pricing model. In the practical part of the thesis, the models are applied to real data from two Czech securities markets, PSE and RM-S. An optimal portfolios composition is proposed by the three models mentioned above and then the outputs of the models are compared to the real datas from the next period. Finally, the benefits and drawbacks of the used models are evaluated.

Submitted by Leonardo Mathiazzi Lagnado (lagnado@gvmail.br) on 2016-09-09T00:28:36Z No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 7778858 bytes, checksum: 16803ed7c2489aa7863aa44717c8719a (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Leonardo, boa tarde Para que possamos aceitar seu trabalho, deverá realizar algumas alterações conforme as normas da ABNT. Segue abaixo: - Na capa: o nome da Escola deve estar em Português. - Na contra capa e na folha de assinaturas, todas as informações também deverão estar em português; exceto o título. - Incluir o Resumo em português. - Retirar a numeração das páginas anteriores à página da Introdução. Em seguida, realizar uma nova submissão. Att on 2016-09-09T16:20:32Z (GMT) / Submitted by Leonardo Mathiazzi Lagnado (lagnado@gvmail.br) on 2016-09-09T17:19:58Z No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 2462733 bytes, checksum: 42b0f77db7736bc5bba5fb9151e9bfe7 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Leonardo, boa tarde Retirar EESP que consta ao lado do nome da escola. O resumo, precisa estar em outra página e não junto com o Abstract. Por gentileza, alterar novamente e realizar outra submissão. grata. on 2016-09-09T17:35:09Z (GMT) / Submitted by Leonardo Mathiazzi Lagnado (lagnado@gvmail.br) on 2016-09-09T17:49:12Z No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 2161653 bytes, checksum: f9a6629a0d197f07ac895a9744a94dbc (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Leonardo, Verificar as páginas anteriores à Introdução, pois permanecem numeradas. A numeração a partir da Introdução, está correta. Mas os números devem estar ao lado direito. Aguardo. on 2016-09-09T17:55:21Z (GMT) / Submitted by Leonardo Mathiazzi Lagnado (lagnado@gvmail.br) on 2016-09-09T18:10:05Z No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 2179487 bytes, checksum: edf32ad2e01e1bd9e7b9d944d5979f47 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Leonardo, A numeração deve estar ao lado direito, conforme informado anteriormente. Aguardo. Grata on 2016-09-09T18:17:37Z (GMT) / Submitted by Leonardo Mathiazzi Lagnado (lagnado@gvmail.br) on 2016-09-09T18:37:24Z No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 2196807 bytes, checksum: 5df765c28e119b9162e7a6ec07a45e4a (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-09-09T18:49:45Z (GMT) No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 2196807 bytes, checksum: 5df765c28e119b9162e7a6ec07a45e4a (MD5) / Made available in DSpace on 2016-09-09T20:03:17Z (GMT). No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 2196807 bytes, checksum: 5df765c28e119b9162e7a6ec07a45e4a (MD5) Previous issue date: 2016-08-23 / This dissertation is aimed at evaluating the risk-return relationship of stocks by incrementing the Fama and French five-factor model (F. FAMA and R. FRENCH, 2015) with two new variables. This was done by creating a six-factor model aimed at capturing the size, value, profitability, investment and governance patterns in average stock returns. An additional seven-factor model was also created by adding a herding factor. Governance and herding were chosen as additional factors because of a hypothesis that they would be relevant in less efficient markets such as Brazil. The evaluation of the two model´s performance versus the traditional five-factor model was performed next, as well as the assessment of relevance of the newly added factors. Testing the six-factor model, it had a similar performance to the five-factor model, and the governance factor proved to be relevant in the Brazilian market. Adding the herding factor weakened the results, although the factor still proved to be relevant in some cases. / O objetivo desta dissertação é avaliar a relação risco-retorno de ações incrementando o modelo de cinco fatores de Fama e French (F. FAMA and R. FRENCH, 2015) com duas novas variáveis. Isso foi feito criando um modelo de seis fatores que busca capturar os padrões de tamanho, valor, lucratividade, investimento e governança nos retornos médios de ações. Um modelo adicional de sete fatores também foi criado adicionando um fator para o efeito manada. A governança e o efeito manada foram escolhidos como fatores adicionais por conta da hipótese de que eles seriam relevantes em mercados menos eficientes como o Brasil. A avaliação da performance dos dois modelos contra o modelo tradicional de cinco fatores foi então realizada, bem como a avaliação da relevância dos novos fatores. Testando o modelo de seis fatores, descobrimos que ele tem uma performance semelhante ao de cinco fatores, e o fator de governança mostrou ser relevante no mercado Brasileiro. Adicionando o fator para o efeito manada enfraqueceu os resultados, embora o fator ainda mostrou-se relevante em alguns casos.

Submitted by Victor Sousa (vpsousa@globo.com) on 2016-10-07T15:34:33Z No. of bitstreams: 1 Dissertação EPGE_Victor Sousa.pdf: 2888885 bytes, checksum: 334b8886f93dd9c06eae5bf11b9ea19d (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-11-09T13:17:25Z (GMT) No. of bitstreams: 1 Dissertação EPGE_Victor Sousa.pdf: 2888885 bytes, checksum: 334b8886f93dd9c06eae5bf11b9ea19d (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-12-06T11:47:10Z (GMT) No. of bitstreams: 1 Dissertação EPGE_Victor Sousa.pdf: 2888885 bytes, checksum: 334b8886f93dd9c06eae5bf11b9ea19d (MD5) / Made available in DSpace on 2016-12-06T11:47:28Z (GMT). No. of bitstreams: 1 Dissertação EPGE_Victor Sousa.pdf: 2888885 bytes, checksum: 334b8886f93dd9c06eae5bf11b9ea19d (MD5) Previous issue date: 2015-05-15 / In this work we analyze the systematic risk implied in the Brazilian electricity distribution sector and compare it with the evolution of regulatory return rate (WACC Regulatory), in order to identify the presence of an additional risk premium with characteristics of regulatory risk. The energy distribution sector and its energy tariffs (price-caps) are regulated by the Brazilian Electricity Regulatory Agency (ANEEL). The agency performs tariff revisions, every four/five years, in order to reestablish the financial-economic balance of concessionaires and to provide any adjustments to the regulatory model. The main step consists in measure the minimum regulatory return to reward the invested capital. Currently the sector goes through the 4th cycle of rate review (form 2015 to 2019) and, unlike the first two processes; ANEEL does not include the regulatory risk component in the composition of the Regulatory WACC (from CAPM methodology). Despite advances in the creation and consolidation of the regulatory model, the sector has faced serious problems in the regulatory/political front and huge financial losses in all electricity segments, resulting in a significant increase in systematic risk. The main sector’s events and their side-effects were analyzed in this work. In order to identify factors that explain the presence of additional risk in electric utilities, this work analyzes the evolution of some electricity distributors’ betas and applied a multi-factor panel data model. The main conclusion is that regulatory instability and institutional uncertainties affects the sector`systematic risk (betas) and show evidences to support the presence of a non-diversifiable regulatory risk. On the other hand, a stable and properly regulatory framework reduces the variance of returns, reduces the betas and the required rate of return for investments in a sector that is capital intensive and long-term investment. / Este trabalho objetiva analisar o risco sistemático presente no setor de distribuição de energia elétrica, avaliar a evolução da taxa de retorno regulatória (WACC Regulatório) e identificar a presença de um prêmio de risco adicional com características de risco regulatório. O setor de distribuição de energia elétrica por seguir a lógica de monopólio natural é regulado pelo Estado. Nesse sentido, de forma periódica (geralmente a cada 4 anos), a agência reguladora realiza um processo de revisão tarifária com objetivo de reestabelecer o equilíbrio econômico-financeiro das concessionárias, além de promover eventuais ajustes no modelo regulatório. Em uma das etapas do processo é definida a taxa de remuneração regulatória com objetivo de remunerar o capital investido frente aos riscos assumidos pela companhia. Atualmente o setor passa pelo 4ª Ciclo de Revisão Tarifária '4CRTP', compreendendo o período de 2015 a 2019 e, ao contrário dos dois primeiros processos, a ANEEL não inclui o componente de risco regulatório na formação do custo de capital próprio. Entretanto, o Sistema Elétrico Brasileiro, apesar dos avanços com a criação e consolidação do modelo institucional, tem enfrentado graves problemas e elevadas perdas financeiras em todos os segmentos. Com falhas de implementação, os esforços governamentais geraram problemas ainda mais severos, culminado com aumento significativo do risco sistemático. Os principais acontecimentos e seus efeitos foram analisados neste trabalho. De forma a identificar fatores que explicam a presença adicional de risco nas empresas de energia elétrica, foi analisada a evolução das medidas de risco sistemáticos (betas) de algumas empresas do setor elétrico e aplicado um modelo econométrico de regressão de multi-fatores em dados em painel. A principal conclusão é que a instabilidade regulatória e insegurança institucional afeta o risco sistemático das empresas (betas) e torna evidente a presença de um risco regulatório não diversificável. Por outro lado, uma regulação feita de forma adequada reduz a variância dos retornos, reduz os betas e a taxa de retorno requerida para investimentos em um setor que é intensivo em capital e de longo prazo.

This thesis provides evidence of size and value premiums in returns in the Central and Eastern European (CEE) region, through its analysis of financial markets in 12 countries. Following the portfolio construction methodology of Fama and French (1996) we use a sample of 1245 stocks and record that small stocks outperform big stocks (size premium) and value stocks outperform growth stocks (value premium). In addition, we create nine portfolios to test the Fama and French three-factor model and show that the factor-mimicking portfolios that have been documented in the developed markets, SMB (small minus big) and HML (high minus low), also capture most of the cross-section variation in average stock returns in the CEE region. We demonstrate a similar pattern in terms of size return as documented in the U.S. market, but with small differences in the value returns found. Although the Gibbons-Ross-Shanken (GRS) test does not reject the null with 95%, we do not agree that the model completely explains the variation in average returns across the portfolios. The GRS rejects the null at 90% and implies that other factors are omitted from the model. Nevertheless, this thesis contributes to the literature applying asset pricing models to the CEE region, and should provide insights to investors active in the CEE...

The aim of diploma thesis is to evaluate the position of a small company offering services in a golf courses market. Following aims are to show reference both in short run investments and strategic investments. The main tools used in the document are the Porter's five forces, the SWOT analysis, and the analysis of criterions matrix. The output of the diploma statement is that the small company is strongly fixed in the market of golf services. The short term strategic recomendation is to focus on the needs of the target market customers as well as to increase the quality of the services and the golf environment. The main long term strategic recomendation is to rebuilt the old devastated building near by chateau Hrádek u Nechanic into a hotel and restaurant belonging to the golf course. This reconstruction needs to be funded with EU grants at least by 27% of the total cost, therefore by 30.922.000,- CZK.

The green bond market offers investors the opportunity to take an explicit focus on sustainable investment projects. However, it is yet to be determined whether this novel asset class offers attractive yields compared to non-green bonds. To address this question, we study European green bonds and how they diverge from conventional bonds in terms of yields. Using a dataset of 88 matched pairs of European green bonds between 2015 and 2019, we document a significant negative green bond premium of -12 bps on average in the secondary market. The green bond premium is defined as the yield differential between a green and a conventional bond while controlling for liquidity. The results suggest that European investors accept a lower financial return in exchange for receiving non-pecuniary benefits and thus challenging the assumptions of classical asset pricing models. Furthermore, we use a matching method and two-step regression to control for liquidity and identify the determinants of the green bond premium. The results show that the negative green bond premium is less pronounced for lower-rated bonds. Moreover, we find support for variations in the green bond premium across different business sectors. Government-related green bonds experience a greater negative green bond premium than green bonds related to financials and industrial corporates.