Capital Asset Pricing Model (CAPM) is an equilibrium model to test relationship between expected return and market risk (Sharpe, 1964). The model research on pricing and return when the securities market reaches equilibrium and investors are rational and investing by diversification based on Markovitz portfolio theory (Markovitz, 1952). Fama and MacBeth (1973) proposed a cross-sectional testing methodology on CAPM and this regression method has been widely used in testing CAPM in developed markets since then. While CAPM is hard to explain more and more market anomalies (excessive return in smaller market value company) in cross section regression, Fama and French (1992) added two more factors (SMB and HML) and proposed three factor model. The empirical results show that three factor model is superior to CAPM in developed markets. Relevant studies have been conducted by Manjuunatha (2006) and Trimech et al. (2015) but show different results. This dissertation will use Fama-MacBeth cross section approach to test CAPM and Fama-French's three factor model in Chinese and Polish stock market respectively. Following Fama and MacBeth (1972) and Shweta and Anil (2015), three sub periods of Polish and Chinese stock market returns ranging from 2007 to 2018 are examined. The empirical results in this thesis...

Titel: Kapitalkostnadsberäkning för investeringar - En kvantitativ studie av svenska börsnoterade bolag Frågeställningar: Hur beräknas kapitalkostnad primärt i svenska börsnoterade bolag? Skiljer sig beräkningen av kapitalkostnad i svenska börsnoterade bolag beroende på faktorer som  företagsstorlek, sektor och företagsmognad? Syfte: Syftet med undersökningen är att få svar på hur beräkning av kapitalkostnad faktiskt går till i börsnoterade bolag i Sverige och huruvida beräkningen varierar i förhållande till faktorerna företagsstorlek, sektor och företagsmognad.  Metod: Genom att använda av de nämnda faktorerna kunde företags olikheter lyftas på ett bra sätt. Det studerade urvalet bestod av 25 respondenter som besvarade en enkät. Med hjälp av enkätsvaren kunde hypoteser formas och testas. Slutsats: Undersökningen visar att det finns vissa statistiskt signifikanta samband mellan kapitalkostnadsberäkning och företagsstorlek samt en studerad sektor. Vidare lyfter studien vissa olikheter i riskhantering mellan olika företagsstorlekar. Studien presenterar också vilka metoder som används mest för beräkning av kapitalkostnad, kostnad för eget kapital samt kostnad för lånefinansiering i Sverige. De är Weighted average cost of capital, Capital asset pricing model respektive genomsnittlig kostnad. / Title: Cost of capital calculation for investments - A quantitative study of Swedish listed companies Research questions:  How is cost of capital generally calculated in Swedish listed companies? Are there any differences in cost of capital calculation methods in Swedish listed companies depending on company size, sector and company maturity? Purpose: This quantitative study intends to highlight how capital cost calculations are made in Swedish companies. Another part of the aim is to investigate connections between cost of capital calculation and the factors company size, sector and company maturity.  Method: By using the factors, different company disparities could be projected in a useful way. The examined sample of 25 companies answered a survey. With these answers hypotheses were formed and tested. Conclusion: This study shows that there are some statistically significant connections between cost of capital calculation and company size and one examined sector. Furthermore, the study also highlights the differences in consideration of risk in different company sizes. This study also presents a result about the most common methods for calculating cost of capital,cost of equity and cost of debt in Sweden. These are Weighted average cost of capital, Capital asset pricing model respectively average cost.

This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. Stress tests were conducted in order to test the resilience against market downturns. The ETFs were grouped by their ESG rating as well as by their carbon intensity. The results show that the lowest risk can be found for ETFs with either the lowest ESG rating or the highest. Generally, a higher ESG rating implies a lower risk, but without statistical significance in many cases. Further, ETFs with a higher ESG rating showed, on average, a lower maximum drawdown, a higher tail dependence, and more resilience in market downturns. Regarding volatility, the average was shown to be lower on average for ETFs with a higher ESG rating, but no statistical significance could be found. Interestingly, the results show that investing sustainably returns a better financial performance at a lower risk, thus going against the Capital Asset Pricing Model. / Denna studie undersöker riskprofilen för elektroniskt handlade fonder och sambandet mellan risk och hållbarhetsbetyg. 527 ETF:er med global exponering analyserades. De riskmått som användes var Value-at-Risk och Expected Shortfall, och några andra mått för risk användes, däribland volatilitet, största intradagsnedgång, samband i svansfördelning, och copulas. Stresstest utfördes för att testa motsåtndskraften i marknadsnedgångar. ETF:erna grupperades med hjälp av deras hållbarhetsbetyg och deras koldioxidintensitet. Resultatet visar att lägst risk finns i ETF:er med högst respektive lägst hållbarhetsbetyg. Generellt har ETF:er med högre hållbarhetsbetyg en lägre risk, med endast viss statistisk signifikans. Därtill har ETF:er med högre hållbarhetsbetyg, i genomsnitt, en lägre största intradagsnedgång, högre samband i fördelningssvansarna och är mer motståndskraftiga i marknadsnedgångar. Volatiliteten är i genomsnitt lägre desto högre hållbarhetsbetyget är, men detta resultat saknar statistisk signifikans. Ett intressant resultat är att om man investerar hållbart kan man få en högre avkastning med en lägre risk, vilket går emot Capital Asset Pricing Model.

[pt] Este trabalho busca analisar a divergência observada, quanto à aplicabilidade do prêmio de risco por tamanho, entre a proposta apresentada pela TBG – Transportadora Gasoduto Bolívia-Brasil e a resposta da ANP - Agência Nacional de Petróleo para estimação do custo de capital próprio que balizará a tarifa máxima de transporte de gás natural para a empresa regulada. Tanto a TBG quanto a ANP adotaram o Capital Asset Price Model – CAPM como modelo para estimação do custo de capital próprio, no entanto, a proposta da TBG considerou o prêmio de risco por tamanho, ao passo que a resposta da Agência Reguladora não acatou a inclusão desse prêmio, conforme consta na nota técnica nº 007/2018-SIM de 16 de julho de 2018. Para analisar a divergência em relação ao prêmio de risco por tamanho, foi o utilizado modelo de três fatores de Fama e French (1993), que considera, além do risco sistemático adotado no CAPM, os fatores tamanho e índice B/M (book-to-market) para mensuração do custo de capital próprio. Os resultados encontrados, com base no modelo de três fatores de Fama e French (1993), não indicam aplicabilidade do prêmio de risco por tamanho para estimação do custo de capital próprio no mercado regulado de transporte de gás natural, pois os coeficientes dos fatores small minus big (SMB) e high minus low (HML) não apresentaram resultados com significância estatística para diversas das carteiras analisadas. Adicionalmente, as empresas de menor porte (small) e de alto índice B/M (high) apresentaram, entre julho de 2009 e junho de 2018, retornos médios inferiores às empresas maiores (big) e de baixo índice B/M (low), não evidenciando a existência de prêmios de risco por tamanho e por valor. / [en] The purpose of this study is to analyze the divergence observed regarding the applicability of the size risk premium, between the proposal presented by TBG - Brazilian Transporter Gasoduto Bolívia-Brasil and the response of ANP - National Petroleum Agency, in the estimation of the cost of equity that will define the maximum rate for the transport of natural gas to the regulated company. Both TBG and ANP adopted the Capital Asset Price Model (CAPM) model, however, TBG proposal considered the size risk premium while ANP response did not accept the inclusion of this premium as stated in technical note no. 007/2018-SIM of July 16, 2018. To analyze this divergence was used the Fama and French three factor model (1993) that considers, besides the systematic risk adopted in the CAPM, the factors size and B/M (book-to-market) index for measuring the cost of equity. The results obtained, based on Fama and French three factors model (1993), do not indicate the applicability of the size risk premium for estimative of the cost of equity in the regulated natural gas transportation market, since the small minus big (SMB) and high minus low (HML) factor s coefficients did not present statistical significant results for some of the analyzed portfolios. In addition, smaller and high B/M companies presented, between July 2009 and June 2018, lower average returns than bigger and low B/M companies, not evidencing the existence of size and value risk premiums.

Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie (APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September 1987 en Januarie 1989 tot Junie 1997. Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige stapsgewyse regressie-ontleding is gebruik om die bewegings van die nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir die implementering van 'n tydsberekeningstrategie. Die resultate van die studie is die volgende: • Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6 die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik. • Waar die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou- strategie vir tydperk een en twee onderskeidelik. Die belangrikste gevolgtrekking van die studie is dat die APT en 'n tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined. / Business Management / DCom (Sakebestuur)

The impact of political and economic events on the asset pricing model described by the arbitrage pricing theory (APTM) was examined in order to establish if they had caused any changes in its specification. It was concluded that the APTM is not stationary and that it must be continuously tested before it can be used as political and economic events can change its specification. It was also found that political events had a more direct effect on the specification of the APTM, in that their effect is more immediate, than did economic events, which influenced the APTM by first influencing the economic environment in which it operated. The conventional approach that would have evaluated important political and economic events, case by case, to determine whether they affected the linear factor model (LFM), and subsequently the APTM, could not be used since no correlation was found between the pricing of a risk factor in the LFM and its subsequent pricing in the APTM. A new approach was then followed in which a correlation with a political or economic event was sought whenever a change was detected in the specification of the APTM. This was achieved by first finding the best subset LFM, chosen for producing the highest adjusted R2 , month by month, over 87 periods from 20 October1991 to 21 June 1998, using a combination of nine prespecified risk factors (five of which were proxies for economic events and one for political events). Multivariate analysis techniques were then used to establish which risk factors were priced most often during the three equal subperiods into which the 87 periods were broken up. Using the above methodology, the researcher was able to conclude that political events changed the specification of the APTM in late 1991. After the national elections in April 1994 it was found that the acceptance of South Africa into the world economic community had again changed the specification of the APTM and the two most important factors were proxies for economic events. / Business Leadership / DBL

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

資本資產定價模型 (CAPM) 由Sharp (1964)、Lintner (1965)及Black (1972)發展出後，近年來已被廣泛的應用於衡量證券之預期報酬率與風險間之關係。一般而言，衡量結果之估計有兩個階段，首先由時間序列分析估計出貝它(beta)係數，然後再檢定廠商或投資組合之平均報酬率與貝它係數之關係。 Fama與MacBeth (1973)利用最小平方法估計貝它係數，再將由橫斷面迴歸方法所得出之斜率係數加以平均後，以統計t-test檢定之。然而以最小平方法估計係數，其估計值很容易受離群值之影響，因此本研究考慮以穩健估計 (robust estimator)來避免此一問題。另外，本研究亦將長期資料分析 (longitudinal data analysis) 引入CAPM裡，期望能檢定貝它係數是否能確實有效地衡量出系統性風險。 論文中以台灣股票市場電子業之實證分析來比較上述不同方法對CAPM的結果，資料蒐集期間為1998年9月至2001年12月之月資料。研究結果顯示出，穩健估計相對於最小平方法就CAPM有較佳的解釋力。而長期資料分析模型更用來衡量債券之超額報酬部分，是否會依上、中、下游或公司之不同而不同。 / The Capital Asset Pricing Model (CAPM) of Sharp (1964), Lintner (1965) and Black (1972) has been widely used in measuring the relationship between the expected return on a security and its risk in the recent years. It consists of two stages to estimate the relationship between risk and expected return. The first one is that betas are estimated from time series regressions, and the second is that the relationship between mean returns and betas is tested across firms or portfolios. Fama and MacBeth (1973) first used ordinary least squares (OLS) to estimate beta and took time series averages of the slope coefficients from monthly cross-sectional regressions in such studies. However it is well known that OLS is sensitive to outliers. Therefore, robust estimators are employed to avoid the problems. Furthermore, the longitudinal data analysis is applied to examine whether betas over time and securities are the valid measure of risk in the CAPM. An empirical study is carried out to present the different approaches. We use the data about the Information and Electronic industry in Taiwan stock market during the period from September 1998 to December 2001. For the time series regression analysis, the robust methods lead to more explanatory power than the OLS results. The linear mixed-effect model is used to examine the effects of different streams and companies for the security excess returns in these data.

本研究目的欲探討實施費率自由化第一及第二階段後之情形，即在2006年第二階段實施後，台灣產物保險公司及各險種個別之資金成本，以檢視兩階段自由化實施後是否顯著影響國內產險業。而資金成本為公司每段期間內應支付資金提供者之期望報酬，故以此可做為日後公司經營之參考指標。研究期間為2002年至2008年，分別由一因子模型及多因子模型解釋台灣產物保險業之資金成本，及系統風險(β)的變化是否會影響其資金成本之變動。利用資本資產定價模型(Capital Asset Pricing Model, CAPM)及Fama-French三因子模型(Fama-French Three-Factor Model, FF3F)求得公司資金成本，再透過完備資訊方法(The Full-information Industry Beta Method, FIB)了解不同險種間之系統風險及資金成本。實證結果顯示： 1. 無論在整體產險公司或是不同險種間，由FF3F模型所估計之資金成本均高於由CAPM模型所估計之資金成本。說明CAPM模型無法反映公司規模及財務危機因子(淨值市價比因子)之溢酬，而造成資金成本之低估。 2. 經CAPM模型及FF3F模型之估計，顯示台灣產險業之資金成本均低於國外產險業之資金成本，如美國。說明台灣產險業於資本市場之融資成本較低，造成其資本效率偏低，投資人變相縱容產險公司從事高風險性資產之投資。 本研究由台灣實證資料，顯示現行產險業資金取得成本低，導致其資本效率偏低，且投資人無法由市場資訊檢視其保險本業是否根據成本之考量來定價，故主管機關應於費用完全自由化後，加強產險業經營之監理，導正產險市場經營模式，避免因核保循環(underwriting cycle)而影響公司財務穩健。 關鍵詞：費率自由化、資金成本、資本資產定價模型、Fama-French三因子模型、完備資訊方法。

Cette thèse est composée de trois articles en économie des ressources naturelles non-renouvelables. Nous considérons tour à tour les questions suivantes : le prix in-situ des ressources naturelles non-renouvelables ; le taux d’extraction optimal et le prix des res- sources non-renouvelables et durables. Dans le premier article, nous estimons le prix in-situ des ressources naturelles non-renouvelables en utilisant les données sur le coût moyen d’extraction pour obtenir une approximation du coût marginal. En utilisant la Méthode des Moments Généralisés, une dynamique du prix de marché derivée des conditions d’optimalité du modèle d’Hotelling est estimée avec des données de panel de 14 ressources naturelles non-renouvelables. Nous trouvons des résultats qui tendent à soutenir le modèle. Premièrement, le modèle d’Hotelling exhibe un bon pouvoir explicatif du prix de marché observé. Deuxièmement, bien que le prix estimé présente un changement structurel dans le temps, ceci semble n’avoir aucun impact significatif sur le pouvoir explicatif du modèle. Troisièmement, on ne peut pas rejeter l’hypothèse que le coût marginal d’extraction puisse être approximé par les données sur le coût moyen. Quatrièmement, le prix in-situ estimé en prenant en compte les changements structurels décroît ou exhibe une forme en U inversé dans le temps et semble être corrélé positivement avec le prix de marché. Cinquièmement, pour neuf des quatorze ressources, la différence entre le prix in-situ estimé avec changements structurels et celui estimé en négligeant les changements structurels est un processus de moyenne nulle. Dans le deuxième article, nous testons l’existence d’un équilibre dans lequel le taux d’extraction optimal des ressources non-renouvelables est linéaire par rapport au stock de ressource en terre. Tout d’abord, nous considérons un modèle d’Hotelling avec une fonction de demande variant dans le temps caractérisée par une élasticité prix constante et une fonction de coût d’extraction variant dans le temps caractérisée par des élasticités constantes par rapport au taux d’extraction et au stock de ressource. Ensuite, nous mon- trons qu’il existe un équilibre dans lequel le taux d’extraction optimal est proportionnel au stock de ressource si et seulement si le taux d’actualisation et les paramètres des fonctions de demande et de coût d’extraction satisfont une relation bien précise. Enfin, nous utilisons les données de panel de quatorze ressources non-renouvelables pour vérifier empiriquement cette relation. Dans le cas où les paramètres du modèle sont supposés invariants dans le temps, nous trouvons qu’on ne peut rejeter la relation que pour six des quatorze ressources. Cependant, ce résultat change lorsque nous prenons en compte le changement structurel dans le temps des prix des ressources. En fait, dans ce cas nous trouvons que la relation est rejetée pour toutes les quatorze ressources. Dans le troisième article, nous étudions l’évolution du prix d’une ressource naturelle non-renouvelable dans le cas où cette ressource est durable, c’est-à-dire qu’une fois extraite elle devient un actif productif détenu hors terre. On emprunte à la théorie de la détermination du prix des actifs pour ce faire. Le choix de portefeuille porte alors sur les actifs suivant : un stock de ressource non-renouvelable détenu en terre, qui ne procure aucun service productif ; un stock de ressource détenu hors terre, qui procure un flux de services productifs ; un stock d’un bien composite, qui peut être détenu soit sous forme de capital productif, soit sous forme d’une obligation dont le rendement est donné. Les productivités du secteur de production du bien composite et du secteur de l’extraction de la ressource évoluent de façon stochastique. On montre que la prédiction que l’on peut tirer quant au sentier de prix de la ressource diffère considérablement de celle qui découle de la règle d’Hotelling élémentaire et qu’aucune prédiction non ambiguë quant au comportement du sentier de prix ne peut être obtenue de façon analytique. / This thesis consists of three articles on the economics of nonrenewable natural re- sources. We consider in turn the following questions : the in-situ price of nonrenewable natural resources, the optimal extraction rate and the price of nonrenewable and durable resources. The purpose of the first article is to estimate the in-situ price of nonrenewable natural resources using average extraction cost data as proxy for marginal cost. Using the regime switching Generalized Method of Moments (GMM) estimation technique, a dynamic of the market price derived from the first-order conditions of a Hotelling model is estimated with panel data for fourteen nonrenewable resources. I find results that tend to support the model. First, it appears that the Hotelling model has a good explanatory power of the observed market prices. Second, although the fitted prices seem to be subject to structural breaks over time, this does not have a significant impact on the explanatory power of the model. Third, there is evidence that marginal extraction cost can be approximated by average extraction cost data. Fourth, when allowing for structural breaks, estimates of the in-situ price decrease or exhibit an inverted U-shape over time and appear to be positively correlated with the market price. Fifth, for nine of the fourteen minerals, the difference between the estimates of the in-situ price with and without allowing for structural breaks is a zero-mean process.