In current valuation and economics disciplines, it is a commonly held belief that financial crisis is over and a big threat to world economic system is inflation. While many assumptions of these claims are of certain significance indeed, this thesis proves a non-trivial chance of outright deflation. Author of this work also shows that attempts of governments and central banks aimed at avoiding deflationary scenarios ultimately cause slower growth and elevated variance in economic activity. Due to existence of such causality, a new variable "tau" entering into CAPM model's risk premium was developed as the original model had previously not captured for impacts of monetary and government policies. In order to quantify a probability and strength of deflationary forces in developed world, three distinct approaches were utilized -- quantitative assessment, historical comparisons, and a pure economic theory based reasoning. Value of variable tau was determined by regressing relationship between implied risk premium and changes in monetary policy while testing for different time lags. Results of the work point to a 10-20% chance of deflation in developed world. Extremely loose monetary policy worldwide than warrants augmenting additional 1-2% risk premium to current implied risk premium of US stock market. Although newly defined models would certainly need more work and refining, author believes that the augmented CAPM version does a good job capturing the "irrational exuberance" mentality attached to policies of major central banks around the world. The three year lead of model-based risk premium compared to the implied one is perceived as one more contribution to current valuation process and understanding of risk.

The purpose of this study is to investigate the effects of OPEC oil production cut announcements on stock returns of specified companies listed on the London Stock Exchange. Two categories are constructed from stocks of companies operating in oil, gas and mining sectors and companies operating in pharmaceutical, industrial engineering and industrial transportation sectors, respectively. The study is based on the theories of EMH and findings of behavioural finance and applies a CAPM model in the context of an event study methodology. Our findings show that in four out of five cases OPEC production cut announcements have significant effects on stocks in the chosen categories around the releaseof a supply cut announcement. The difference between post-announcement CAARs of the constructed categories is significant on one occasion. Organisations and investors can use these findings to better understand the impact of OPEC news announcements on the stock performance of companies in specified sectors.

I denna studie analyserar forskarna det omtalade sambandet inom finansiering mellan riskoch avkastning på den svenska aktiemarknaden. Att investera i aktier är idag närasammankopplat till begreppet risk och för investerare har sambandet mellan risk ochavkastning en mycket viktig innebörd eftersom att man ständigt söker maximal avkastning tillen minimal nivå av risk. Den välkända finansiella modellen CAPM (Capital asset pricing model) som grundades ibörjan av 1960-talet hävdar att det finns ett positivt linjärt samband mellan riskmåttet betaoch avkastning. Trots att modellen fortfarande används i hög utsträckning idag har flertalettidigare empiriska tester kritiserat CAPM och dess effektivitet. Mängder av studier genomåren, mestadels utförda på den amerikanska aktiemarknaden har visat att något sådantpositivt samband inte existerar men det saknas empiri från den svenska aktiemarknaden. Avdenna anledning ansåg forskarna att sambandet mellan riskmåttet beta och avkastning påden svenska aktiemarknaden var intressant att undersöka. Studien har ett jämförande syfte där de tre olika branscherna teknik, sjukvård och industri påSmall, Mid och Large Cap Stockholm undersöks under tidsperioden 2015-2019. Forskarnavill även ta reda på om sambandet skiljer sig åt mellan branscherna och om lägre eller högrebetavärde påverkar detta samband. Totalt undersöks 121 aktier som delats in i 45 olikaportföljer rangordnat efter aktiens betavärde. I studien har kvantitativ metod och en deduktivforskningsansats applicerats för att besvara forskningsfrågorna. Vidare för att undersöka omdet föreligger ett statistiskt signifikant samband mellan beta och avkastning har etthypotestest samt en regressionsanalys utförts. Resultatet av studien visar att det inte föreligger något statistiskt signifikant positivt sambandmellan beta och avkastning vilket är tvärtemot det CAPM avser. Något stöd till användandetav CAPM för att beräkna förväntad avkastning går därmed inte att finna i den gjorda studien.Sambandet mellan beta och avkastning inom branschen sjukvård var negativt under denvalda tidsperioden och för branscherna teknik och industri gick det inte att observera någotsamband. / The relationship between risk and return is a fundamentally important aspect in finance.More and more people are choosing to invest in stocks and today’s stock market is closelylinked to the concept of risk. Investors who are usually risk averse according to manyfinancial models are constantly trying to achieve maximum returns at a minimal risk wheninvesting in securities. Over the years, lots of empirical tests have been made with thepurpose of trying to understand the relationship between risk and return. These tests havemainly been performed in markets outside of Europe, for example in the US stock market. Avery well-known but also criticized model in finance that tries to demonstrate this relationshipthrough the risk measure called beta is the Capital Asset Pricing Model (CAPM), invented byWilliam Sharpe in the 1960’s. Even though many economic researchers have pointed outthat CAPM has major shortcomings because the model is based on several simplifiedassumptions, the model is still used to a very large extent today for various reasons.  In this quantitative study, the researchers examine how CAPM performs on the Swedishstock market. The purpose of the study is to use CAPM to investigate the relationshipbetween beta and return in the industries technology, healthcare and industry from the stocklists Small, Mid and Large Cap Stockholm. In total, the sample consists of 121 stocks andthe three different industries are also divided into portfolios with low, medium and high risk.The researchers intend to find out whether beta can explain the return better in any of theselected industries and if the results differ between low and high beta values. In the study a hypothesis test has been made to see if there is a statistically significantrelationship between the variables beta and return on the swedish stock market. Aregression analysis has also been performed by the researchers. The result shows thatthere is nothing in this study that can support the use of the financial model CAPM forcalculating expected returns. In the healthcare industry, there is a negative relationshipbetween beta and return during the time period between 2015-2019 and no relationshipexisted in the industries technology and industry during this time period.

Asset pricing models such as the CAPM calls for the estimation of beta as a measure of the systematic risk. Using historical betas as an input to portfolio analysis requires the assumption of beta stationarity. The existing literature on beta dynamics suggest a somewhat high dispersion of the beta persistence across stocks. In previously unexplored territory, this study aims to investigate factors associated with the degree of beta persistence. By using a sample of 237 U.S. stocks with daily returns observed over the period 1984 to 2015, yearly stock betas were estimated using a GARCH / Maximum Likelihood framework. Autocorrelation properties of these beta series was then crosssectionally regressed on five hypothesized determining variables. Product type as well as the absolute value of beta was found to have a significant effect on the first-order autocorrelation of beta.

The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks.

Sedan slutet av 2019 har COVID-19 viruset spridit sig från sitt epicentrum Wuhan i Kina till resterande delen av världen. Då viruset är luftburet har COVID-19 inneburit höga dödstal och blivit en livsfara för miljarder människor. Utöver den mänskliga påverkan som viruset har haft har COVID-19 haft en stor påverkan på den globala ekonomin. I hela världen har fabriker stoppat produktion, institutioner stängt sina dörrar för allmänheten och människor har förlorat sina jobb då många människor inte kunde befinna sig i samma rum längre. En av branscherna som har drabbats hårt är flygbranschen som har drabbats av flygrestriktioner som lett till att 60% av kommersiella flyg blivit tvungna att ställas in.  Denna studies syfte är att studera COVID-19 pandemins effekter på den ekonomiska utvecklingen för flygbolag i förhållande till marknadsindex. Dels utifrån ett makroekonomiskt perspektiv med hjälp av AS-AD-modellen, men flygbolagens aktiekursutveckling kommer också att jämföras med marknadsindex i en regressionsanalys för att besvara forskningsfrågan; hur har COVID-19 pandemin påverkat korrelationen mellan flygbolag och marknad? Utifrån en kvantitativ analys kan slutsatsen att COVID-19 pandemin kan ha haft en påverkan på samtliga flygbolags ekonomiska utveckling dras. Däremot går det inte att fastställa då enbart en del av resultaten uppvisar statistiskt signifikanta samband. / Since the end of 2019, the COVID-19 virus has been spreading from it’s epicenter Wuhan in China to the rest of the world. As a result of the virus being airborne, COVID-19 has led to high numbers of deaths and is a danger for billions of people. Except from the results on the humanitarian front, the virus has also affected the global economy. All over the world, factories have stopped production, institutions have closed their doors for the public and people have lost their jobs to avoid crowding. One of the industries that have been hit hard is the flight industry because of flight restrictions which have led to 60% of commercial flights being canceled. The purpose of this paper is to study how the COVID-19 pandemic has affected the economic development of airlines in comparison to the marketindexes. Partly based on a macroeconomic perspective with help of the AS-AD framework, but the stock price of airlines will also be compared to the market index in a regression analysis to answer the question; how have the COVID-19 pandemic affected the correlation between the airlines and the market? Based on a quantitative analysis, the conclusion is that the COVID-19 pandemic might have had an effect on the economic development of all the airlines that are studied in this paper. However, this can’t be determined because the results are only partly statistically significant.

No description available.

This study uses a quantitative method that aims to investigate the relationship between corporate social responsibility (CSR) and firm risk within Swedish public companies. Despite previous research at Anglo-Saxon companies with similar results, authors found cause for further investigation. Authors identified differences in the Swedish context that could affect the earlier found negative relation between CSR and firm risk, thereby legitimizing further examination. The research is built on secondary data collected from Nasdaq, Morningstar, Orbis and the CSRhub database. Through theory of relevance and current research, it develops a hypothesis which states that as CSR increases, firm risk is reduced in accordance with previous research. Testing was done with Pearsons bivariate correlation table and a multivariate regression analysis, controlling for various firm characteristics. The study found no connection between market risk and CSR, but could not determine whether a relationship between CSR and total risk exists within the population, only partly rejecting the hypothesis. The study raises attention as to how the relation between CSR and risk could be different in a context outside the typical Anglo-Saxon population. It could also be used as a base to further research on the cause to the lack of relation between CSR and market risk, in this study’s particular population.

Tjänstepensionen utgör en viktig del av en individs pension och prognoser visar att den kommerutgöra en allt större del av den totala pensionen. Trots den ökande betydelsen är kunskapsenkring tjänstepensionen låg. Varje tjänstepensionsavtal har ett ickevals-alternativ som spararesom inte gör ett eget val, soffliggarna, hamnar i. Denna uppsats undersöker vilka skillnader som finns mellan ickevals-alternativen i de fyra största tjänstepensionsavtalen: ITP, PA 16, AKAP-KL/KAP-KL och SAF-LO. Skillnaderna som studeras är värdeökning till följd av den årliga avkastningen under perioden 2008-2018,risk i form av standardavvikelse och känslighet för förändringar på marknaden (Beta),Sharpekvoten och Jensens alfa. Resultatet visar att det finns ekonomiskt sigfnikanta skillnader i alla av de prestationsmått som undersöks. Några statistiska skillnader i differensen i den genomsnittliga avkastningen eller differensen i Jensens alfa när beta är kontrollerat för finnes ej. / Occupational pension is an important part of an individual’s pension and projections showthat it will make up an increasingly larger part of the total pension. Despite its increasingimportance, the knowledge regarding occupational pension is low. Each occupational pensionagreement has a default alternative where the savings of the people who do not make a choiceof their own, the idlers, end up in. This thesis examines if and what differences exist between default alternatives in the four largest occupational pension agreements: ITP, PA 16, AKAP-KL/KAP-KL and SAF-LO. The examined differences are the yearly returns and the value increase it results in during theperiod 2008-2019, risk in terms of standard deviation and sensitivity to changes in the market(Beta), Sharpe ratio and Jensen’s alpha. The result shows that there is significant economical differences in all of the performance measures that are examined. Any statistical significant differences in the average return and differences in Jensen’s alpha when beta is controlled for was not found.

Nesta tese desenvolvemos modelos de apreçamento de ativos financeiros baseados no conceito de influência social, analisamos também algumas das consequências destes modelos e comparamos com os modelos correspondentes clássicos. Por meio das funções de utilidade generalizadas exponencial e quadrática, deduzimos o CAPM com influência social. Obtivemos que o coeficiente beta da fórmula do CAPM depende de uma aversão ao risco efetiva do mercado que depende da distribuição de riqueza dos agentes do mercado. Supondo que distribuição de riqueza dos agentes do mercado segue uma distribuição de Pareto, fomos capazes de conectar, aversão ao risco média efetiva do mercado, volatilidade e distribuição de riqueza dos agentes, estabelecendo a previsão empírica de que a volatilidade aumenta com a concentração da distribuição de riqueza dos agentes do mercado, a qual foi corroborada por meio de análise estatística. Através da função generalizada tipo potência são feitas algumas considerações sobre alguns \"puzzles\" econômicos bem conhecidos (o \"Equity Premium Puzzle\" e o \"Riskfree Rate Puzzle\") que mostram que a modelagem da influência social pode ter impacto no esclarecimento destes \"puzzles\". / In this thesis we develop pricing models for financial assets based in the concept of social influence, we analyze too some of consequences of this models and we compare with the corresponding classical models. By means of the exponential and quadratic generalized utility functions, we deduce the CAPM with social influence. We obtained that the coefficient beta from the formula of the CAPM depends of a market effective risk aversion that depends of the wealth distribution of the market agents. Supposing that the wealth distribution of the market agents follows a Pareto distribution, we were able to connect, market effective average risk aversion, volatility and wealth distribution of the agents, establishing the empirical forecasting that the volatility grows with the concentration of the wealth distribution of the market agents, which was corroborated by means of statistical analysis. Through the generalized power function are made some considerations about some economic puzzles well-known (the Equity Premium Puzzle and the Riskfree Rate Puzzle) that show us that the modeling of the social influence can to have impact in the clarification these puzzles.