Submitted by Enzo Mori (enzomori@outlook.com) on 2015-03-03T22:08:40Z No. of bitstreams: 1 Dissertação EM Final.pdf: 854171 bytes, checksum: 5250facfe55868589ae48a190365b8a2 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Enzo, Para que possamos aceitar seu trabalho, será necessário realizar alguns ajustes. Estou encaminhando por e-mail. Pode ficar tranquilo que assim que você fizer as alterações e submeter novamente o trabalho na biblioteca, darei prioridade em aprova-lo para você seguir com os próximos passos. Att Renata on 2015-03-04T16:37:38Z (GMT) / Submitted by Enzo Mori (enzomori@outlook.com) on 2015-03-04T18:37:59Z No. of bitstreams: 1 Dissertação EM Final.pdf: 886965 bytes, checksum: 2e84871c77bfed329826296586634d25 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-03-04T18:42:04Z (GMT) No. of bitstreams: 1 Dissertação EM Final.pdf: 886965 bytes, checksum: 2e84871c77bfed329826296586634d25 (MD5) / Made available in DSpace on 2015-03-04T18:44:41Z (GMT). No. of bitstreams: 1 Dissertação EM Final.pdf: 886965 bytes, checksum: 2e84871c77bfed329826296586634d25 (MD5) Previous issue date: 2015-02-03 / This work seeks to find out which model (CAPM and Grinold and Kroner) is the best to estimate the return of the Bovespa index, ex-ante. The full index was not used, but a simplified version of the index using the top 25 positions of the index over all quarters from 2000 to 2013. This group has represented more than 60% of the index. In the end, it was observed that the CAPM model was able to present the best explanatory power in both the observed and expected return ratio, as the absolute error measures. The only model that Grinold and Kroner had a better outcome was the mean absolute percentage error. / Este trabalho busca descobrir qual modelo (CAPM e Grinold e Kroner) é o melhor para estimar o futuro retorno do índice Bovespa, ex-ante. Não foi utilizado o índice completo, mas uma versão simplificada do índice utilizando as 25 maiores posições do índice ao longo de todos os trimestres desde 2000 até 2013. Este grupo já representava mais de 60% do índice. No final foi observado que o modelo CAPM conseguiu apresentar o melhor poder de explicação tanto na relação retorno observado e esperado, quanto nas medidas de erro absoluto. O único modelo que o Grinold e Kroner apresentaram um melhor resultado foi no erro percentual absoluto médio.

Submitted by Osmar Martins Hiroki (osmar.hiroki@gmail.com) on 2016-08-24T15:07:05Z No. of bitstreams: 1 Dissertação - Osmar Hiroki - v.Final.pdf: 1203903 bytes, checksum: c6d32e3329714df32d91ead2ba03868e (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-08-25T23:19:23Z (GMT) No. of bitstreams: 1 Dissertação - Osmar Hiroki - v.Final.pdf: 1203903 bytes, checksum: c6d32e3329714df32d91ead2ba03868e (MD5) / Made available in DSpace on 2016-08-26T12:59:43Z (GMT). No. of bitstreams: 1 Dissertação - Osmar Hiroki - v.Final.pdf: 1203903 bytes, checksum: c6d32e3329714df32d91ead2ba03868e (MD5) Previous issue date: 2016-07-26 / The equity risk premium is an essential variable to assets valuation and corporate finance as a component to estimate the cost of equity. Thus, this study aimed to estimate the equity risk premium in Brazil during the period from 1996 to 2015. To this purpose, we used three different approaches to estimate the equity risk premium in Brazil, as follows: retrospective, prospective and indirect. From the results, it was concluded a equity risk premium of 3.14% per year by the prospective approach based on the return of 74 stocks and by the indirect approach the results were not significant based on the return of 60 stocks. In addition, by the retrospective approach the result was not conclusive because the equity risk premium estimated resulted in negative values that go against the corporate finance theory. / O prêmio de mercado é uma variável essencial tanto na avaliação de ativos quanto para as finanças corporativas como um dos componentes para estimação do custo do capital próprio. Desse modo, o presente trabalho teve como objetivo estimar o prêmio de mercado no Brasil no período de 1996 a 2015. Para tanto, utilizou-se de três abordagens distintas para estimar o prêmio de mercado brasileiro, sendo elas: a retrospectiva, a prospectiva e a indireta. Através dos resultados, concluiu-se um prêmio de mercado de 3,14% ao ano pela abordagem prospectiva com base no retorno de 74 ações e na abordagem indireta os resultados não apresentaram significância com base no retorno de 60 ações. Adicionalmente, pela abordagem retrospectiva o resultado não foi conclusivo devido ao fato de que os prêmios de mercado estimados resultaram em valores negativos o que vai contra a teoria de finanças corporativas.

This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. We also investigate if the Capital Asset Pricing Model is valid by doing a test similar to Fama and Macbeth’s of 1973. Based on earlier studies in the field and our own study we come to the conclusion that high beta stocks does not outperform low beta stocks in the Swedish stock market 1999-2016. We believe that this relationship arises from inefficiencies in the market and irrational investing. By doing this study we observe that, the use of beta as the only risk factor for explaining expected returns on stocks or portfolios is not correct.

The aim of the thesis is to determine the intrinsic value of the shares of Pegas Nonwovens SA,which is traded in the SPAD on the Prague Stock Exchange. The work begins by analyzing the causes of fluctuations in share prices and trying to capture the causes of these price fluctuations. The relationship between stock index and stock Pegas in long term helps to detect beta coefficient, which is used o calculate the cost of equity. In determining the intrinsic value of shares it is proceeded in five steps. First, it is characterized the macro and micro enviroment, in which the company operates. Subsequently, from the financial statements I tried to assess main trends through analysis of standard ratios and on the basis of that I defined the so-called "value drivers". All these collected data gave me presumption for most likely prognosis of development, i.e. business plan, which is quantified via pro forma financial statements. The fourth step was to calculate free cash flow to shareholders (FCFE) and in the final step it was discounted to find out the present value of equity/one share.

The goal of this Masters Thesis is to analyse economic value added generated by non-financial companies listed on Prague stock exchange. Main goal is not only to calculate the amount of economic value added, but also to compare results of two economic models used to specify Re (Minimal required return of companys own capital), necessary to calculate economic value added. Next goal is to analyze link between economic value added and stock price. Correlation between this two parameters would be a sign of possibility to predict future stock price in dependance on generated economic value added. For this Masters thesis, It is important to have all balance sheets, P/L statements and stock market data for all selected corporations. All these informations were exported from database Thomson Reuters Eikon available on University of economics in Prague.

Active management funds are associated with higher transaction costs, which is something that has been acknowledged for a long time. The question is whether these costs can compensate with a higher return. This paper investigates how two active strategies, momentum and growth investing, have performed in relation to a passive index. To test this, we investigated the Frankfurt stock market during 2005-2020 on stocks from the automobile sector. By doing this, the purpose was investigated whether growth and momentum has had a higher risk-adjusted return than the benchmark index during the 15 years of observation. The result showed that both growth and momentum performed better than a passive index fund, despite its costly variables. However, the risk adjusted return was not significant higher. This study includes transaction costs in its calculation, which other studies ignore and focus on one industry with a consistent benchmark index for the same industry. By doing this, we believe that the test will be more accurate, and avoid potential industry effects on return and hopefully contribute with new thoughts on the subject.

Diploma thesis deals with the evaluation and the comparison of the performance of mutual funds and investment funds with a focus on the real estate sector. The essence and principles of mutual funds, ETF and REIT are presented, and the resulting weaknesses and advantages. According to the selected indicators, the profitability, riskiness and expense of the investment opportunities are examined and investment recommendations for management of an investment company and potential retail investors are established.

Diploma thesis deals with options of development of the transport company MK Doprava. Using strategic analysis evaluates his current position and suggest realisation of investment project, whose economic efficiency is measured by net present value method.

The intent of this thesis is to investigate how US equity funds performance differ due to their standard deviation. In order to accomplish this study, we collected daily data for 99 US equity funds for the period 2011-2020 and divided the funds into three risk classification groups based on their standard deviation for the year 2011. The collected data was used to perform an CAPM regression and to calculate returns on a three-, five- and ten-year basis. The results for the regression and the returns for the funds was later presented as average values for the different risk classification groups. We then compared the average outcomes for the three risk classifications with each other and the index S&P 500. Our result showed that the index S&P 500 outperformed the three risk classification groups average returns for every time period. We also noticed that the difference between the average returns and the index got greater by time. We did not find any big differences between our risk classifications when it comes to their performance. Our regression analysis resulted in many negative alpha values indicating that S&P 500, as many previous studies claims, outperforms actively mutual funds. The conclusion is therefore that we could not show any evidence that the there is a major different in performance between our risk groups but also that it is difficult for fund managers to outperform index.

Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. This is because these anomalies have been established on respective studies' specific markets and time periods. Researchers that have investigated the issue argue that it is essential to further challenge anomalies by replicating them in other settings to see if the evidence still holds. Hence, the purpose of this study is to examine if the retailers' trading imbalance anomaly can be replicated on Swedish Small Cap listed firms. We have examined this by using cross-sectional regressions in the spirit of Fama and MacBeth. This thesis concludes that the retailers’ trading imbalances cannot be replicated when applied to the chosen setting. We argue that the reasons for this are that retailers’ trading imbalances are not persistent, are not compensated when providing liquidity into the markets, and that it does not contain useful information about future stock returns. In addition, we also argue that inherent differences in the US markets compared to the Swedish Small Cap listed firms are affecting our possibility to successfully replicate the anomaly.