Att kunna förklara och förutse aktiers avkastning är av stort intresse för aktörer inom finansbranschen. Kunskap inom ämnet kan leda till mer framgångsrika investeringsstrategier och en mer träffsäker analys av ett företags värde. I syfte att bättre kunna förklara aktiers avkastning har flera olika strategier utvecklats. En av dessa modeller är CAPM, som försöker förutse aktiers avkastning genom bland annat dess risk. Modellen har fått utstå omfattande kritik, bland annat för att den exkluderar viktiga variabler och utgår från orealistiska antaganden. Andra strategier använder sig av olika nyckeltal i försök att förklara aktiers avkastning. Tidigare forskning visar att det finns variabler som bidrar till att förklara avkastning. Vad som är säkert är att ingen modell är perfekt, men vissa kan fungera bättre än andra.  Avsikten med studien är 1) att analysera CAPM:s tillförlitlighet på den svenska aktiemarknaden, och 2) analysera om nyckeltalen beta, direktavkastning, företagets storlek, P/E-tal, och skuldkvot kan förklara variationer i aktiers avkastning. För detta ändamål undersöks 80 aktier på Stockholmsbörsen under tidsperioden 2010-2021. Detta för att utreda om det finns en statistiskt signifikant skillnad mellan den faktiska avkastningen och den avkastning som aktierna bör ha enligt CAPM, samt om de nyckeltal som används i studien har ett statistiskt signifikant samband med avkastning.  Resultaten visar att det finns en statistiskt signifikant skillnad mellan den faktiska avkastningen och den enligt CAPM förväntade avkastningen under studieperioden. Slutsatsen är att CAPM inte kan förutse avkastning på Stockholmsbörsen. Resultaten visar också att avkastning har ett positivt samband med direktavkastning och ett negativt samband med skuldkvot under studieperioden. Variablerna P/E, beta och företagets storlek har inte statistiskt signifikanta samband med avkastning på Stockholmsbörsen. / To be able to explain and predict stock returns is of great interest in finance. Knowledge in the matter can result in more successful investment strategies and a more accurate analysis of a company's value. Many different strategies have been developed in order to better be able to explain stock returns. One of these is the CAPM, which aims to predict a stock’s return by estimating its risk. The model has been subject to much critique, for example because it excludes significant variables and contains unrealistic assumptions. Other strategies use key performance indicators in attempts to explain stock returns, and previous research shows that there in fact are variables that help explain variations in stock returns. Even though no model is perfect, some may work better than others.  The purpose of this study is 1) to analyse the performance of CAPM on the Swedish stock market, and 2) analyse if the key performance indicators beta, P/E ratio, dividend yield, firm size and debt ratio can explain variations in stock returns. For this purpose the return of 80 stocks on the Swedish stock market are investigated between 2010-2021. This is done in order to determine if there is a significant difference between the actual returns and the returns predicted by CAPM, and also if the key performance indicators used in this study have had a significant relationship with returns.  The results show that there is a significant difference between actual returns and the returns predicted by CAPM during the time period investigated. From this the conclusion is drawn that CAPM is not able to predict returns on the Swedish stock market. The results also show that stock returns have a positive relationship with dividend yield and a negative relationship with debt ratio during this time period. However, the variables P/E, beta and firm size do not have a significant relationship with stock returns.

Inledning: Hållbarhet blir allt viktigare för svenska fondsparare. Följaktligen har detta lett till en ökning av antalet hållbara fonder som förutspås fortsätta att öka. Tidigare forskning har studerat hur hållbara fonder presterar i jämförelse med icke-hållbara fonder. Studierna visar på skilda resultat. Det finns studier som visar att hållbara fonder överpresterar de icke-hållbara fonderna, men det finns också studier som visar på det motsatta.  Syfte: Studien syftar till att jämföra prestationen hos hållbara och icke-hållbara fonder genom att använda alfa som ett mått på avkastning. Med utgångspunkt i tidigare forskning och teorier syftar studien vidare till att diskutera fondernas prestationer för att identifiera eventuella skillnader och förklaringar till dessa.  Metod: Studien följde en kvantitativ forskningsstrategi och en deduktiv ansats. Studien inkluderade 21 hållbara fonder samt 16 icke-hållbara fonder. Studien tillämpade regressioner med utgångspunkt i CAPM samt Fama och French trefaktormodell för varje fond. För att studera fondernas prestation studerades regressionens intercept alfa, som förklarar tillgångens förväntade avkastningen i förhållande till riskfaktorerna. Slutsats: Studiens resultat tyder på att hållbara fonder underpresterar marknaden, medan icke-hållbara fonder överpresterar marknaden. Det är dock inte möjligt att dra några statistiska slutsatser från studiens resultat. Studiens resultat analyseras och förklaras utifrån modern portföljteori, prissättning av aktier, EHM samt beteendefinans. / Introduction: Sustainability is becoming increasingly important for Swedish fund savers. Consequently, this has led to an increase in the number of sustainable funds that is predicted to continue to increase. Previous research has studied how sustainable funds perform in comparison to non-sustainable funds. The studies show different results. There are studies that show that sustainable funds outperform non-sustainable funds, but there are also studies that show the opposite. Purpose: The study aims to compare the performance of sustainable funds and non-sustainable funds using alpha as a measure of performance. Building upon prior research and theories, the study further seeks to discuss the funds’ performances to identify any differences and explanations for these results. Method: This study followed a quantitative research strategy and a deductive approach. The study included 21 sustainable funds and 16 non-sustainable funds. The study applied regression based on the CAPM and the Fama & French three factor model for each fund. To study the performance of the funds, the intercept alpha of the regression was studied. Alpha explains the asset's expected return in relation to the risk factors.  Conclusion: The study's findings suggest that sustainable funds underperform the market, while non-sustainable funds outperform the market. However, it is not possible to draw any statistical conclusions from this study's result. The results of the study are analyzed and explained based on modern portfolio theory, pricing of shares, EHM and behavioral finance.

La présente recherche propose de revisiter cinq modèles d’évaluation d’actifs, soit ceux de Sharpe (1964), Carhart (1997), de Jagannathan et Wang (1996), de Ferson et Harvey (1999) et de Kraus et Litzenberger (1976). Afin de mettre l’accent sur le côté économétrique, les modèles sont évalués indépendamment selon deux méthodes, soit la régression de Fama et Macbeth (1973) et la méthode des moments généralisée de Hansen (1982). Par la suite, l’étude propose l’évaluation empirique d'un modèle multifactoriel conditionnel à moments supérieurs pour évaluer les rendements moyens en coupe transversale, nommé CAPM-ACS. Ce modèle est une tentative de combiner les principaux éléments des cinq modèles précédents. L’évaluation de ces modèles est portée sur les rendements provenant d’un échantillon de 80 portefeuilles de titres américains classés par anomalies de marché et par industrie sur la période du 1er janvier 1972 au 1er décembre 2014. Nos résultats supportent le conditionnement des bêtas des facteurs de marché, des moments supérieurs et du capital humain plutôt que le conditionnement des alphas. Les modèles conditionnels performent mieux que les modèles traditionnels et empiriques tels que Fama et French (1993), mais le facteur de momentum de Carhart (1997) persiste en présence de l’ensemble des facteurs testés dans ce mémoire.À cet effet, nos résultats soulignent un lien entre le facteur d’asymétrie et le facteur de momentum, pouvant être expliqué par le caractère asymétrique des portefeuilles de titres perdants et gagnants. De plus, l’ajout du capital humain améliore significativement la performance des modèles à capturer les variations de rendements des portefeuilles classés par industrie. Par rapport aux outils économétriques, nous observons un impact significatif des méthodes sur l’inférence statistique. Plus précisément, les mesures d’inférences sont plus conservatrices lorsque l’approche du GMM de Hansen (1982) est utilisée.

The point of this thesis is to compare classic asset pricing models using historic UK data. It looks at three of the most commonly used asset pricing models in Finance and tests the suitability of each for the UK market. The models considered are the Capital Asset Pricing Model (1964, 65 and 66) (CAPM), the Fama-French 3-Factor Model (1993) (FF3F) and the Carhart 4-Factor Model (1997) (C4F). The models are analysed using a 34 year sample period (1980-2014). The sample data follows the structure explained in Gregory et al (2013) and is compiled of stocks from the London Stock Exchange (LSE). The stocks are grouped into portfolios arranged by market capitalisation, book-to-market ratio, past 2-12 month stock return and past 12 month standard deviation of stock return. Statistical analysis is performed and the suitability of the models is tested using the methods of Black, Jensen \& Scholes (1972), Fama \& MacBeth (1973) and Gibbons, Ross \& Shanken (1989). The results compare descriptive and test statistics across the range of risk factors and test portfolios for the each testing method on all three models. They show that although the UK market has some noticeable factor anomalies, none of the models clearly explains the 1980-2014 stock returns. However, of the three models, C4F shows the highest explanatory power in predicting stock returns.

<p>Background: Studying insider trading is difficult due to its sensitive and delicate</p><p>nature. Therefore it is hard to gauge the extent of such activities.</p><p>This problem has resulted in a fierce debate whether it should be</p><p>prohibited or not. Using a method where the effect on monopolistic</p><p>information usage can be isolated insider trading can be monitored.</p><p>Such an event is a profit warning.</p><p>Purpose: This paper examines whether insider trading exist for companies</p><p>making a profit warning between year 2003 and 2007 on the Stockholm</p><p>Stock Exchange. Furthermore the aim with the study is to contribute</p><p>to the debate on the insider trading legislation.</p><p>Method: The study’s purpose is achieved through an event study studying the</p><p>cumulative abnormal return as well as average daily returns during</p><p>the thirty days preceding the warning for a sample of thirty companies.</p><p>Since profit warnings should be completely random and as such</p><p>almost impossible for the market to know in advance, a significant</p><p>abnormal return can only be explained with insider trading. The abnormal</p><p>returns were calculated using the Capital Asset Pricing Model</p><p>since it is the most widely used model.</p><p>Conclusion: For the chosen time frame, when testing on a 95% significance level,</p><p>the study found a significant abnormal return during the last 10 days</p><p>of the event window but not for the entire period of thirty days. The</p><p>daily average return for the thirty companies were significant for six</p><p>of the thirty days within the event window. Two of them were included</p><p>in the last ten day period with a confirmed significant abnormal</p><p>return which might suggest that on average insider trading tend</p><p>to occur during these days. The other four was discarded due to</p><p>sample issues. Since the study was limited to a period of four years</p><p>extending the results to a period other than tested should be made</p><p>with great care since conditions may differ over time. Concerning the</p><p>current debate on the insider legislation, the findings can be used by</p><p>both sides. Either to argue for a strengthening of the law or to question its existence.</p>

This thesis examines the performance of different models of conditional betas and higher comoments in the context of the cross-section of expected stock returns, both in-sample and out-of-sample. I first examine the performance of different conditional market beta models by using monthly returns of the Fama-French 25 portfolios formed by the quintiles of size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined include simple OLS regressions, the macroeconomic variables model, the state-space model, the multivariate GARCH model and the realized beta model. The results show that the state-space model performs best in-sample with significant betas and insignificant intercepts. For the out-of-sample performance, however, none of the models examined can explain returns of the 25 portfolios. Next, I examine the recently proposed realized beta model, which is based on the realized volatility literature, by using individual stocks listed in the US market in Chapter 4. I extend the realized market beta model to betas of multi-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the three Fama-French factors and a momentum factor. Realized betas of different models are used in the cross-section regressions along with firm-level variables such as size, book-to-market ratio and past returns. The in-sample results show that market beta is significant and additional betas of multi-factor models can reduce although not eliminate the effects of firm-level variables. The out-of-sample results show that no betas are significant. The results are robust across different markets such as NYSE, AMEX and NASDAQ. In Chapter 5, I test if realized coskewness and cokurtosis can help explain the cross-section of stock returns. I add coskewness and cokurtosis to the factor pricing models tested in Chapter 4. The results show that the coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis is significant. Cokurtosis is significant not only in-sample but also out-of-sample, suggesting cokurtosis is an important risk. However, the effects of firm-level variables remain significant after higher moments are included, indicating a rejection of higher-moment asset pricing models. The results are also robust across different markets such as NYSE, AMEX and NASDAQ. The overall results of this thesis indicate a rejection of the conditional asset pricing models. Models of systematic risks, i.e. betas and higher comoments, cannot explain the cross-section of expected stock returns.

We present in this thesis three distinct models in Financial Economics. In the first chapter we present a pure exchange economy model with collateral constraints in the spirit of Kiyotaki and Moore (1997). As a first result in this chapter we prove the existence of an equilibrium for this type of economies. We show that in this type of models bubbles can exist and provide a bubble example in which the asset containing the bubble pays positive dividends. We also show for the case of high interest rates the equivalence between this type of models and the Arrow-Debreu market structure. In the second chapter we present a model with limited commitment and one-side exclusion from financial markets in case of default. For this type of models we prove a no-trade theorem in the spirit of Bulow and Rogoff (1989). This is done for an economy with and without bounded investment in a productive activity. The third chapter presents a 2 period economy with complete markets, and 250 states of the world and assets. For this economies we generate a sequence of observed returns, and we show that a market proxy containing only 80% of the assets in the economy provides similar results as the true market portfolio when estimating the CAPM. We also show that for the examples we present a vast amount of observations is required in order to reject the CAPM. This raises the question what the driving force behind the bad empirical performance of the CAPM is.

The goal of this thesis is to value the Hotels business unit of the Zálesí a.s. company by calculating its market value. The final valuation statement is supposed to serve to the management of the company for the purposes of investment management decision making and budgeting and for the evaluation of the buying bids. The thesis is divided into two parts. First one introduces the valuation methods, its pros and cons and criterions used for the selection of the method. The DCF method is introduced more in details. Second part of the thesis starts with the company introduction, continues with the strategic analysis, financial analysis and a financial plan compilation based on the results of the analysis. Costs of capital are determined as a weighted average cost of capital, where CAPM is used for the cost of equity calculation. At the end the valuation itself is performed and the final valuation statement added.

Van Rensburg and Robertson (2003a) stated that the CAPM beta has little or no relationship with returns generated by size and price to earnings sorted portfolios. This study intends to demonstrate that a reformulated CAPM beta, estimated using return on equity as opposed to share returns, unravels the size and value premium. The study proves that the “cash-flow” generated beta partially explains the cross-sectional variation in share returns when measured over the long run, specifically when portfolios are sorted on book to market, however the cash flow beta is less successful when attempting to explain the small size premium. The premise of the study is that the cash flow dynamics of share returns eventually dominate the first and second moments and thus result in cash flow based measures of risk and return that should succeed in explaining the cross-sectional variation in share returns. The study makes use of vector autoregressive models in order to examine the short term effect of structural shocks to the cash flow fundamentals of a stock or portfolio through impulse response functions as well as quantifying a long-term relationship between cash flow fundamentals and share returns using a VECM specification. The study further uses fixed effects, random effects and GMM/dynamic panel data cross-sectional regressions in order to examine the ability of the cash flow beta explaining the value and size premium. The results of the study are mixed. The cash flow beta does well in explaining the returns of portfolios sorted on book to market, but fails to do the same with size sorted portfolios. In the cash flow betas favour, it performs far better than the conventionally measured CAPM beta throughout the study.

I och med att hållbarhetsfaktorer får en allt större inverkan på investeringsbeslut är syftet med studien att undersöka huruvida en strategi baserat på ESG-poäng genererar avvikelseavkastning. Studiens teoretiska ansats bygger på den effektiva marknadshypotesen och tidigare litteratur inom hållbart investerande. Populationen som undersöks är svenska företag noterade på Nasdaq OMX Stockholm under perioden januari 2010-december 2016. Genom att konstruera jämviktade portföljer av 53 företag baserat på ESG-poäng från Thomson Reuters skapas två skilda portföljer, en hållbar och en icke hållbar. Portföljernas avvikelseavkastning undersöks först genom CAPM för att sedan ytterligare justeras efter Fama &amp; French trefaktormodell. Studiens resultat visar att sambandet mellan hållbara portföljer och avvikelseavkastning är neutralt. Undersökningen visar därför att en strategi i vilken ESG-poäng ligger till grund för portföljstruktur inte är finansiellt överpresterande i Sverige. Indikationer ges dock om att en investeringsstrategi som innehar långa positioner i hållbara portföljer och blankar icke hållbara ger positiv avvikelseavkastning.