This study investigated the long-run investment performance of 411 South African IPOs during the period 1992 to 2007. Consistent with historical studies, no evidence of abnormal performance was found on a calendar-time approach using the Fama- French (1993) three-factor model. While the long-run performance did not differ materially, factors such as financial and industrial industry classifications were found to impact after-market performance of IPO portfolios. It was found that large new company issuances within the Financials and Industrials categories produced abnormal returns, but on a collective basis there was no evidence of abnormal performance. In particular, a positive relationship was found to exist between book-tomarket ratios and IPO performance in the financial and industrial sectors, but there was scant evidence on a collective basis. Market conditions were found to have an impact on IPO performance. In periods of market buoyancy, IPOs performed well and in periods of market distress, IPOs‟ performance suffered. The implications of this study are that investors, in making decisions on whether or not to invest in new issues, should not expect to make superior returns to the market over a five-year period by investing in IPOs. IPO performance after the five-year period was not part of the scope for this study and may form the basis for future studies. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

Ο αντικειμενικός σκοπός της συγκεκριμένης εργασίας είναι να διερευνηθεί κατά πόσο και αν ισχύει η θεωρία της αποτελεσματικότητας των αγορών που πρωτοεισήχθη από τους Fama και French σε εβδομαδιαία δεδομένα που προέρχονται από το Χρηματιστήριο Αξιών της Μ. Βρετανίας για την περίοδο 1/1/2000 μέχρι 1/1/2010. / The investigation of the efficient market hypothesis with daily U.K. data, testing period from 1/1/2000 to 1/1/2010.

[pt] Esta dissertação busca replicar, para o mercado brasileiro, a abordagem e as metodologias utilizadas por Asness, Frazzini e Perdersen (2015) na tentativa de verificar a existência de prêmio positivo entre os retornos de firmas pequenas e firmas grandes no mercado norte-americano. Adicionalmente, procura mensurar como o fator Qualidade entre outros, poderiam influenciar no resultado desse prêmio, otimizando-o ou não de acordo com o controle para tais variáveis. O trabalho se pauta no modelo clássico de precificação de Fama e French, tanto para definir o fator que representará o prêmio por tamanho como para a criação de diversos portfólios que resultam nos outros fatores a serem considerados nas regressões de cada estudo. / [en] This paper seeks to replicate, for the Brazilian market, the approach and methodologies used by Asness, Frazzini and Perdersen (2015) in an attempt to verify the existence of a positive premium among the returns of small firms and large firms in the North American market. In addition, it seeks to measure how the Quality factor, among others, could influence the results of this premium, optimizing it or not according to the control for such variables. The paper is based on the classic Fama and French pricing model, both to define the factor that will represent the size premium and creation of several portfolios that result in the other factors to be considered in the regressions of each study.

I denna uppsats kommer vi att undersöka om det förekom överreaktioner på Stockholmsbörsen mellan åren 2002 och 2016. Överreaktioner undersöks genom att bilda vinnar- och förlorarportföljer baserat på tidigare månatliga avvikelseavkastningar. Vi ställer en hypotes om att förlorarportföljer kommer att prestera bättre än vinnarportföljer efter portföljformering. Portföljerna utvärderas under ett-, två- och treårsperioder för att undersöka om det förekommer reversals som en investerare skulle kunna utnyttja genom contrarianstrategin. Vår uppsats identifierar kortsiktiga reversals direkt efter portföljformering, men på lång sikt tenderar investerare att erhålla vinst genom att följa en positiv marknadstrenden. Regressionsanalyser med CAPM och Fama-French trefaktormodell genomförs för att få en bättre förståelse av orsakerna som ligger bakom avkastningar i vinnar- och förlorarportföljer. Vi föreslår att reversals inte skapar möjligheter för investerare att nå positivt statistiskt signifikant alfa på Stockholmsbörsen. Möjliga vinster genom contrarianstrategin drivs av faktorer som företagsstorlek och –värde snarare än att investerare överreagerar på marknaden. / In this study we will examine if overreactions occurred on the Stockholm Stock Exchange during period 2002-2016. Winner- and loser portfolios were formed based on past monthly returns to see if investors overreact and by doing that cause reversal effects later on. Our study discovers short-term reversals, but in the long run investors benefit by following the overall trend on the stock market. Expanding our study to the Fama-French three-factor model we suggest that reversals in stock prices does not enable investors to gain statistically significant positive alphas on the Stockholm Stock Exchange. On the contrary, returns are driven by the factors of firm size and -value rather than behavioral biases of investors.

Denna studie undersöker huruvida nyemissioners bakomliggande motiv påverkar hur det emitterande företaget värderas efter tillkännagivandet. Fenomenet undersöks på den svenska marknaden, då majoriteten av tidigare forskning bedrivits på utländska handelsplatser. Effekten av olika motiv analyseras för ett urval bestående av 203 observationer under en 14-årsperiod, mellan år 2005-2018, där samtliga nyemissioner genomförts på Nasdaq OMX Stockholm. Studien omfattar både riktade och företrädesmissioner. Avvikande avkastning beräknas på kort och lång sikt i samband med nyemissionernas tillkännagivande med hjälp av tre olika metoder (CAR, BHAR samt FF3M). Således mäts både den kortsiktiga annonseringseffekten såväl som företagets långsiktiga prestation mot index (OMXSPIoch SIXRX). Vidare används även multipel regressionsanalys för att undersöka om samband går att återfinna mellan motiven och avvikande avkastning.  Studien finner signifikanta bevis för att underprestation i regel följer nyemissioners tillkännagivande. Negativt avvikande avkastning återfinns i de fall motivet uppges vara antingen rekapitalisation eller generella ändamål. Däremot förekommer ett positivt samband mellan avvikande avkastning och motivet investeringar, vilket indikerar på att dessa företag snarare överpresterar marknaden. Således argumenterar studien för att nyemissioners motiv har betydelse för hur företaget presterar, både på kort och lång sikt, vilket indirekt påverkar företagets värdering. / The purpose of this thesis was to examine if the stated motive for a seasoned equity offering (SEO) affects company valuation, post-SEO. This was accomplished by calculating abnormal returns for a sample containing 203 SEOs over a 14 year period between 2005 and 2018. All companies being listed on Nasdaq OMX Stockholm during the time of their respective equity offering. By providing three different measurements for abnormal return (CAR, BHAR, and FF3M) as well as performing multiple regression analysis, the study finds significant evidence for general underperformance following the SEO. This is true for when the motive is stated as recapitalization or general corporate-related purposes. When the motive is stated as investment, the study finds significant evidence for post-SEO overperformance.

The All-Electric Vehicle (AEV) industry development has intensified and is connected to governmentefforts to minimize greenhouse gas emissions and encourage people to buy electric vehicles. This hasled to all the lights turning on newly established all-electric vehicle makers and some older players. Thegrowth of these companies is depicted in their market capitalization, which has seen an unprecedentedrun. However, one can notice a knowledge gap in the analysis of factors affecting such companies'expected rate of return. This research focuses on analyzing the factors from three of the most knownasset pricing models - CAPM, Fama-French 3 Factor, and Fama-French 5 Factor models. It shows whichof these factors are significant in estimating the expected return rate for nine chosen companies and theimpact of each considerable factor on the return rate.Additionally, we calculate the expected return rate using the beforementioned models to verify whetherthere is an uptrend or not in the electric vehicle market. The current research is limited to companieslisted on the US stock market, with only all-electric vehicle production lines. We make an introductionto the AEV theoretical aspects and related market structure. We also present theoretical concepts behindthe expected rate of return perception.The analysis showed that the market risk premium impacts 100% of the companies. The SMB factorinfluences 55% of the companies while the HML factor only 11%. Finally, RMW affects 66% of thechosen dataset and CMA 77%. For all companies, there is a positive expected return rate. Looking atthe significant coefficients for each model, the results are the following: we can observe that for CAPMand all the companies, 100% of the coefficients are positive. For FF3FM, 93% of the significant factorsare positive, while only 7% are negative. Finally, for FF5FM, out of the 28 significant factors, 65% ofthe coefficients are positive, and 35% are negative.

Det finns ett ökat fokus på hållbarhet på grund av miljömässiga utmaningar vi som global gemenskap ställs inför, såsom klimatuppvärmning. Det har dock funnits en brist på ekonomiska incitament att åtgärda detta. Nu finns det studier som påvisar marknadsfördelar för företag som är mer miljömedvetna - och de som yrkar på motsatsen. Uppsatsen ämnar att kvantitativt studera om det finns en förändring i totala aktieavkastningen när företag i OMXS30 får högre hållbarhetsbetyg inriktade på miljö. Denna uppsats använder sig av Refinitivs Environmental Pillar (EP) betyg. Sambandet mellan avkastning och EP-betyg undersöks med hjälp av regressionsmodeller baserade på Fama-French trefaktormodell, där EP-betyg lagts till som ytterligare en faktor. Regressioner genomförs för OMXS30 företagen. Det sammanställda resultatet är ej statistiskt signifikant, men tyder på att det finns ett negativt samband mellan EP-betyg och aktieavkastning. / There is an increased focus on sustainability due to the environmental challenges that we as a global community are facing, such as global warming. There has however been a lack of economic incentive to do this. There are now studies that demonstrate market advantages for companies that are more environmentally conscious - and those that implore the opposite. This essay aims to quantitatively study if there is a change in total stock return when companies in the OMXS30 score higher in sustainability ratings focused on the environment. The essay uses Refinitiv’s Environmental Pillar (EP) scores. The relationship between return and EP-score is examined with the help of regression models based on the Fama-French three factor model, where EP scores are added as an additional factor. Regressions are performed for OMXS30 companies. The compiled results are not statistically significant; however, they suggest a negative relationship between EP scores and stock returns.

The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are found and the original linear regression models are respecified. The respecification results in a family of heterogeneous Student's t models which are shown to account for all the statistical regularities in the data. This family of models provides an appropriate basis for revisiting the empirical adequacy of the CAPM and the Fama-French multi-factor models, as well as other models, such as alternative asset pricing models and risk evaluation models. Along the lines of providing a sound basis for reliable inference, the respecified models can serve as a coherent basis for selecting the relevant factors from the set of possible ones. The latter contributes to the enhancement of the substantive adequacy of the CAPM and the multi-factor models. / Ph. D. / The primary objective of this dissertation is to revisit the CAPM and the FamaFrench multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By probing for potential departures from the Normality, Linearity, Homoskedasticity, Independence, and t-invariance assumptions, it is shown that the assumptions implicitly imposed on these empirical asset pricing models are inappropriate. In light of these results, the probabilistic assumptions underlying the CAPM and the Fama-French multi-factor models are replaced with the Studentís t, Linearity, Heteroskedasticity, Markov Dependence, and t-heterogeneity assumptions. The new probabilistic structure results in a family of heterogeneous Studentís t models which are shown to account for all the statistical regularities in the data. This family of models provides an appropriate basis for revisiting the empirical adequacy of the CAPM and the Fama-French multifactor models, as well as other models, such as alternative asset pricing models and risk evaluation models. Along the lines of providing a sound basis for reliable statistical inference results, the proposed models can serve as a coherent basis for selecting the potential sources of risk from a set of possible ones. The latter contributes to the enhancement of the substantive adequacy of the CAPM and the multi-factor models.

本研究主要在探討財務報表重編事件是否導致要求之資金成本提高。探究重編事件之經濟後果，除了彌補此議題之實證證據外，研究結果亦能提供警訊給予企業之管理當局，以抑減財務報表舞弊之發生，同時提供投資人投資決策參考。 本研究以民國86年7月至96年6月間曾重編財務報表之國內上市公司為重編研究樣本建構財務報表重編投資組合，與同期間之其他對應之上市公司投資組合，運用Fama-French三因子模型，加入財務報表重編因子，建構四因子模型，進行最小平方法(OLS)迴歸分析檢測假說。實證結果顯示，在控制市場、規模、淨值市價比因子之後，財務報表重編因子為風險因子，顯示財務報表重編，導致投資者要求之資金成本提高。此外，投資者對於財務報表重編次數之反應並無明顯的不同，而對重編變動之金額程度之反應則有顯著之差異。同時，投資者對於小規模公司發生財務報表重編之反應較大規模公司來的劇烈。最後，在事件影響存續期間研究結果顯示，財務報表重編事件對於公司之資金成本長期而言有明顯的影響，顯見財務報表重編對公司之價值影響重大。

As more and more investors look to diversify their portfolios further, their attentions have moved past emerging markets in recent years, towards the so-called frontier markets. Frontier markets are less developed and liquid than emerging markets but offer tremendous opportunities for investors willing to allocate capital into them. This thesis will look into the applicability of global, as well as Frontier Fama-French-Carhart four-factor models within these markets and what the consequences are in terms of the efficient market hypothesis. The factor models will try to explain returns based on Size, Value and Momentum, as the literature has shown that asset pricing models tend to have difficulties explaining these strategies. Our findings indicate that Global Fama-French factors do partially explain long-only returns, yet Frontier Fama-French-Carhart factors appear more suitable. However, the results indicate that there is a factor missing in Frontier Fama-French-Carhart factors, which could explain the excess returns. Moreover, as we did not find statistically significant and positive intercepts for all applied Momentum strategies against the Frontier and Global Fama-French-Carhart factors (not even in the robustness test), we cannot reject the weak efficient market hypothesis. However, dollar-neutral Size and Value strategies (also the combined portfolio with dollar-neutral Momentum) seem to consistently outperform Frontier and Global factors.