The purpose of this study is to examine a completely new phenomenon called the MIST, by two portfolios: the Goldman Sachs Next 11 equity fund, and the Goldman Sachs BRIC fund, in order to establish whether or not the MIST countries are a better investment decision in terms of risk, return and growth. Furthermore, the study examines in which form these emerging markets lies in terms of market efficiency, and if the random walk theory is present. The opportunities and challenges for Mexico, Indonesia, South Korea and Turkey are also brought upon to determine whether these countries have the potential to exhibit the same success as the BRIC countries did for a decade. Since the growth of the BRIC countries are slowing down, Jim O’Neill, the same founder of the term BRIC, coined the nations MIST. The BRIC countries are facing several difficulties and have led investors to draw out from these countries stocks. Investors that were pouring in money to the BRIC countries during the period 2001-2009, have from 2011, withdrawn 15 billion dollars from the BRIC stocks. Mexico, Indonesia, South Korea and Turkey. Derived from the next eleven countries, these countries have a major effect on the global economy due to their economical and political circumstances. For many investors, the MIST countries that are growing faster than the BRIC are regarded to be the new biggest emerging markets. Investing in BRIC funds are stated to be a disaster today, while on the other hand, the MIST countries are growing and outpacing the BRIC fund. The methodology used was to compare two different portfolios, Goldman Sachs N-11 equity fund in the period 2011-2013 against the Goldman Sachs BRIC fund in two different periods, 2011-2013 and 2006-2008 with S&P 500 as the market index. In addition, a hypothesis test was carried out for this period to observe whether or not to reject the null hypothesis. The results of this study shows that the null hypothesis was rejected and that the N-11 equity fund is a better investment decision, in terms of risk, return and growth today. These emerging markets are under the weak form market efficiency and the random walk theory is present in the N-11 equity fund. This makes the authors’ results more of a speculation than a definite conclusion about the future, as one cannot "beat the market".

The Black-Scholes model quickly been used in practice for pricing options in spite of its restrictive assumptions it is based on. Its robustness and especially its simplicity in calculating the option price has speeded this development. During the following years the main focus of scientific work has been empirical testing and analysing consequences of hurting model assumptions. The real functionality of the model - especially the practical execution of arbitrage process that shall guaranty Black-Scholes price - has never been questioned in scientific literature. The Arbitrage process is analysed in this work, resulting in serious doubts about the practical application of the Black-Scholes model. In the case of option mispricing not only the option price itself yet its partial deriviation have to be known in order to realise the arbitrage process. Furthermore arbitrage profits are very small compared with the deviation from Black-Scholes price, thus under the consideration of the transaction costs predicted intervals of arbitrage free option prices may be as high as the Black-Scholes model seems insuitable to value exchange traded options. A CAPM-based option pricing model is developed as an alternative to the Black-Scholes model. The Black-Scholes assumptions have been used almost unchanged and only one additional assumption regarding the utility function of market participients has been made to develop the model. The created model is a generalization of the Black-Scholes model as the Black-Scholes model is one special case of the created model. The CAPM-based approach proves its superiority to the Black-Scholes model in an empirical test of Eurex-traded DAX-calls and moreover the model can explain theoretically Black-Scholes anomalies such as Volatility Smile. / Das Black-Scholes-Optionsbewertungsmodell wurde trotz seiner sehr restriktiven Modellannahmen schnell in der Praxis eingesetzt - seine Robustheit und vor allem die Einfachheit der Berechnung stellten dabei die Haupttriebfeder dar. Das Hauptaugenmerk der wissenschaftlichen Diskussion der folgenden Jahre lag neben der empirischen Überprüfung vor allem in der Untersuchung der Auswirkung der Verletzung seiner Modellannahmen. Die eigentliche Funktionsweise des Modells - insbesondere die praktische Umsetzbarkeit des Arbitrageprozesses, der den Black-Scholes-Preis garantieren soll - wurde hingegen in der Literatur nie in Frage gestellt. In der vorliegenden Arbeit wird dieser Arbitrageprozesses analysiert, mit dem Ergebnis, daß erhebliche Zweifel an der Praxistauglichkeit des Black-Scholes-Modells angebracht sind. So muß z.B. bei einer Fehlbewertung der Option nicht nur der Optionspreis selbst, sondern auch die Ableitungen des fehlbewerteten Optionspreises bekannt sein, um die Arbitrage auch tatsächlich durchführen zu können. Darüber hinaus sind die bei einer Fehlbewertung zu realisierenden Arbitragegewinne im Verhältnis zur Abweichung vom Black-Scholes-Preis sehr gering, so daß die unter Berücksichtigung von Transaktionskosten ermittelten arbitragefreien Intervalle für den Optionspreis so groß werden können, daß das Black-Scholes-Modell für die Anwendung zur Optionsbewertung an den Börsen ungeeignet erscheint. Als Alternative zum Black-Scholes-Modell wird ein CAPM-basiertes Optionsbewertungsmodell hergeleitet. Dabei werden die Annahmen des Black-Scholes-Modells fast unverändert über-nommen und es wird nur eine zusätzliche Annahme an die Nutzenfunktion der Wirtschaftssubjekte gestellt. Das hergeleitete Modell stellt dabei eine Verallgemeinerung des Black-Scholes-Modells dar, da es dieses immer noch als Spezialfall beinhaltet. In der empirischen Untersuchung anhand der DAX-Calls an der Eurex erweist sich das CAPM-basierte Optionspreismodell dem Black-Scholes-Modell als eindeutig überlegen und kann darüber hinaus noch dessen Anomalien wie das Volatility Smile modelltheoretisch erklären.

The task of this paper is to employ the global asset pricing theory suggested by Ferson and Harvey (1995) to study the stock markets in the devoloping countries. Ferson and Harvey (1998) clarified the relationship in the developed countries under the global asset pricing model between mispricing and risks to cross-sectional explanatory power of conditional beta constructed by predetermined lagged variable such as book-to-market-value, cash-flow, P/E ratios and other determinants. There is also significant evidence of conditional betas in the three-factor model by Fama and French (1993), and the four-factor model by Elton, Gruber, and Blake (1995), and in the following research by Ferson and Harvey (1999). This paper focuses on the recently fast growing emerging markets to provide analysis of the debate on explanatory power coming from risk exposure or mispricing, and also tries to provide evidence for the global conditional asset pricing model, identifying other patterns of conditional asset pricing model for emerging markets.

Most papers in empirical finance implicitly or explicitly assume the same price of risk, for each priced systematic risk factor, across all risky assets within a given domestic market. In doing so, they rely on the assumption that markets are domestically integrated and, as such, that the price of risk is determined independently of individual investors attitude towards risk. This is true in frictionless markets where investors have complete information, homogenous beliefs, and hold the mean-variance efficient combination of the market portfolio and a risk-free asset. However, investors might not hold the market portfolio because of exogenous reasons. In fact, several recent papers have provided evidence that US investors do not, holding instead vastly undiversified portfolios. There are two main implications to the above. First, if one group of investors does not hold the market portfolio, then the remaining set of investors will also not be able to hold the market portfolio and will rationally expect to be compensated for bearing idiosyncratic risk. Therefore, idiosyncratic risk will be priced in expected returns. Second, the price of risk need not be the same across all assets in which case domestic markets are not integrated. In the first essay titled "Is Idiosyncratic Volatility Really priced?" I show that the positive relation between idiosyncratic volatility (IV) and returns found by Fu (2009) only exists for firms that are difficult to arbitrage. The relation between IV and returns is strong for small and illiquid stocks, but decreases with size and liquidity and becomes non-existent for the largest and most liquid firms. Furthermore, zero-cost portfolios based on IV and size do not yield positive returns when conservative trading costs are considered. This evidence is consistent with an efficient market, in which arbitragers exploit profitable investment opportunities and by doing so they prevent systematic mispricing in financial markets. In the second essay titled "Are the U.S. Equity Markets Domestically Integrated?" I investigate whether the three main U.S. equity markets are domestically integrated by comparing the price of commonly used risk factors across the NYSE, Amex, and Nasdaq. I find that the markets have significantly different prices of risks for several risk factors, indicating that the markets are segmented. The magnitude of the difference is both statistically and economically significant, and is not due to arbitrage constraints or model misspecification. Instead, I find evidence consistent with the investor-segmentation hypothesis, in which different investors choose to hold different subsets of firms and demand different prices of risk among the different groups of securities. I do not find that segmentation is restricted to a specific time period. On the contrary, it is present in all sub-periods. In contrast to the results regarding the pricing of idiosyncratic volatility, these results highlight the value of diversification and suggest that domestic equity markets are not fully efficient.

Bakgrund:CAPM räcker i flera tillfällen inte till för att estimera framtida avkastning. Vissa av prisavvikelsernafrån CAPM är väldokumenterade och har bestått över tid, vilket har lett till uppkomsten avkorrigerande faktorer. En modell som använder sig av två sådana korrigerande faktorer är Fama ochFrenchs tre-faktormodell. Den har testats flertalet gånger på den svenska marknaden där den visat gehögre förklaringsgrader än CAPM. År 2012 samt år 2014 presenterades två nya multifaktormodeller,som genom test på börsmarknaden i USA lyckats fånga upp prisavvikelser bättre än trefaktormodellen.Syfte:Denna studie ämnar undersöka om Fama och Frenchs fem-faktormodell samt Hue, Xue, Zhang´s Qfaktormodelltillför förklaringsvärde för Stockholmsbörsens avkastning i jämförelse med Fama-Frenchs trefaktormodell. Studien analyserar även modellernas konjunkturkänslighet samt faktorernasbetydelse.Metod:Forskningsprocessen är av deduktiv karaktär. Befintliga teorier i form av multifaktormodeller förprissättning av aktier testas med hjälp av empiriska observationer från den svenska marknaden.Studien tillämpar ett kvantitativt tillvägagångssätt och ekonometriska verktyg används för attsäkerställa statistisk signifikans.Resultat:Studien visar att Q-faktormodellen inte tillför förklaringsvärde jämfört med FF3M. FF5M ger resultatsom marginellt överträffar FF3M gällande dess förklaringsgrad. Anledningen till att FF5M presterarbättre bör rimligen ligga i faktorn HML. Resultaten visar också att modellerna är instabila i kortatidsperioder men tenderar ge bättre prediktioner i lågkonjunktur relativt till högkonjunktur. / Background:CAPM isn’t in some cases sufficient for explaining expected stock return. Some of CAPM´smispricing errors are well documented and time persistent which has led rise to the usage of correctivefactors. One model that make use of two such corrective factors are the Fama and French three factormodel. It´s been comprehensively tested on the Swedish market where it has shown to achieve higherexplanatory power then the CAPM. In the year of 2012 and 2014 two new Asset Pricing Models wereintroduced, which on the US stock market better captured many of the best known anomalies.Aim:The aim of the study is to test if the Fama and French five factor model as well as the Q-factor model,could contribute to increased explanatory power beyond the three factor model. The study also analyzethe models cyclical sensitivity as well as the individual factor significance.MethodologyThe knowledge building process takes a deductive approach. Existing theories in the form of assetpricing models are tested based on empirical observations in the Swedish market. The research take aquantitative approach and make use of econometric tools in order to ensure statistic accuratesignificance.Result:This research shows no contribution of explanatory power for the Q-factor model, beyond thatachieved from the Fama and French three factor model. The five factor model achieve marginallyhigher explanatory power compared to the tree factor model. The most likely reason why FF5Machieve better results than the Q-factor model is believed to lie in the usage of the factor HML. Theresults also shows that all of the tested models are very instable when used in a short time perspective.Although there are some clear indication on increasing explanatory power in recession compared to inan ongoing bull market.

In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent predictors; even modestly persistent predictors have difficulties. Further, long-horizon regressions have inferior power relative to their single-period counterparts. These results present a predicament. If return predictability exists, then our ability to identify its source using predictive regressions alone is exceedingly poor. The second essay, written with James Stock and Mark Watson, considers the estimation of approximate dynamic factor models when there is temporal instability in the factors, factor loadings, and errors. We demonstrate that estimators for the factors and for the number of those factors are consistent for their population values even when affected by these instabilities. Further, we characterize the inferential theory in our framework for the estimated factors and for diffusion index forecasts and factor-augmented vector autoregressions that make use of the estimated factors. These results illustrate the broad robustness factor models have against temporal instability. In the third essay, co-author Peter Tufano and I consider the complex accounting rules, explicit fund sponsor supports, and government actions, that grant US money market mutual fund investors an implicit put option allowing them to redeem their shares at a fixed price of $1.00, regardless of the portfolio's market value. We describe the institutional features that generate these options, identify their writers, and estimate their premia. Using a hypothetical MMMF, we find that currently, non-redeeming shareholders, fund sponsors, and the government collectively bear annual premia of 22 to 44 basis points to give MMMF shareholders the right to redeem their shares at $1.00 rather than at the market value of the fund portfolio. These premia rose dramatically during the financial crisis, with the put value potentially being over 50 basis points.

The main purpose of this thesis is to investigate the viability of sculpture as a potential alternative investment. This goal is achieved through partly assessing the market quality of the auction market for sculptures and partly by studying their long-run diversification potential. The assessment of the sculpture market quality, together with the long-run co-movement analysis are objectives met through conducting four individual studies. In Paper I, I find that auction house art experts' relative estimate range positively affects realized prices. The effect is robust across the mid- low- and high-end segments of the international sculpture market. Interpreting the art experts' price estimate range as a proxy for the prevailing divergence of investor opinion in the art market, the findings are consistent with the disagreement model of Miller (1977). This evidence is contradictory to the predictions of the general auction model in Milgrom (1982) and does not lend support to the interpretation of the price estimate range as a proxy only for uncertainty. Moreover, the study gives insight into the price determinants of sculpture using a unique large dataset of over 65,000 sculpture sales at international auctions. Paper II is the first study to find evidence of a home bias in prices of art sold at international art auctions. All else equal, art prices are higher when they are auctioned in the home country of the artist compared to outside of the artist's home country. Moreover, the home bias in prices is more pronounced in the low-end sculpture market segment than in the high-end segment, indicating that familiarity can be a potential explanation of the bias. Furthermore, the home bias is found to be partly related to patriotism. The findings indicate that the home bias in prices increases as the relative level of patriotism rises in the home country of the artist, and that patriotism is a more persistent source of the home bias in art prices than familiarity. Paper III examines the absolute and time-varying weak-form market efficiency of the international sculpture auction market. The results indicate that the sculpture market efficiency varies over time lending support to the Adaptive Markets Hypothesis. Moreover, I find that the times of peaking relative market inefficiency coincide with distress in the wider economy and financial markets. Additionally, I find evidence that auction house art experts' pre-sale estimate accuracy Granger causes developments in time-varying market efficiency, highlighting the importance of art experts. Paper IV analyzes the dynamic relationship between the international sculpture market and the traditional financial investments during the period 1985-2013. Three international sculpture price indices are constructed to proxy for the general sculpture market price movements along with the low- and high-end segments of the international sculpture market. The results show that price development in the sculpture market does not move together with government bond prices in the long run. When it comes to equity markets, I find significant cointegrated dynamics between sculpture indices and the world equity markets. On the other hand, there is no such relationship when the S&P 500 is considered. Furthermore, cointegration is detected when analyzing the sculpture markets with the world GDP per capita. Granger-causality tests reveal that sculpture prices, in general, are Granger-caused by GDP per capita. Moreover, the Granger-causality tests indicate that sculpture price developments follow the world equity price movements, but not those of the S&P 500.

Η εργασία έχει ως σκοπό την παρουσίαση του Υποδείγματος Αποτίμησης Περιουσιακών Στοιχείων Capital Asset Pricing Model, CAPM, καθώς και να αξιολογήσει την αποτελεσματικότητά του όταν η ισορροπία της αγοράς διαταράσσεται όπως είναι η περίοδος από το 2007 και μετά για την ελληνική οικονομία. Στη μελέτη μας θα παρουσιάσουμε το υπόδειγμα του CAPM, θα δώσουμε κάποια ιστορικά στοιχεία ως προς την εξέλιξή του, και θα προσπαθήσουμε να ελέγξουμε την ισχύ του ερμηνεύοντας τη συμπεριφορά περιουσιακών στοιχείων που διαπραγματεύονται στο Χρηματιστήριο Αθηνών την περίοδο 2001-2013. Η μελέτη μας γίνεται με την ανάλυση της γραμμικής παλινδρόμησης χρησιμοποιώντας το οικονομετρικό εργαλείο w-views. Τα δεδομένα της έρευνας είναι οι αποδόσεις επιμέρους κλαδικών δεικτών και οι αποδόσεις του γενικού δείκτης, ο οποίος λαμβάνεται ως ο δείκτης τους χαρτοφυλακίου της αγοράς. Ως περιουσιακό στοιχείο χωρίς κίνδυνο θεωρούμε το επιτόκιο τους εξαμηνιαίου εντόκου γραμματίου. Η πρώτη ενότητα της εργασίας έγκειται στο να παρουσιάσουμε το υπόδειγμα και την σχέση του με την αποτελεσματικότητα της αγοράς, αλλά και να δώσουμε πληροφορίες για τα προβλήματα που προκύπτουν από τις παραβιάσεις της απλής γραμμικής παλινδρόμησης. Η δεύτερη ενότητα παρουσιάζει την ιστορία του Χρηματιστηρίου Αξιών Αθηνών προκειμένου να γίνει αντιληπτό το περιβάλλον στο οποίο κινούμαστε και τέλος το τρίτο μέρος αποτελεί το ερευνητικό μέρος της εργασίας, στο οποίο παρουσιάζεται ο τρόπος συλλογής δεδομένων, η έρευνα και τα αποτελέσματά της. / This paper aims to present the Capital Asset Pricing Model - CAPM, as well as to evaluate its effectiveness in periods when market balance is disturbed as the years from 2007 to 2013 for the Greek economy. In our study we will present CAPM, provide some historical data, and try to check the efficiency by interpreting the bahanior of asset traded on the Athens Stoch Exchange in the period from 2001 to 2013. Our study uses linear regression analysis and the econometric tool e-views.Our data are the yields of individual sectoral indices and the yields of the General Index, which is taken as the indicator of the market portfolio. As an asset without risk we consider the 6-months Treasury Bill rate. The fisrt unity of this paper is to present the model and it's relationship with the efficiency of the market. The second section presents the history of the Athens Stock Exchange in order to understand the enviroment in which we move and finally the third part is the research part, in which we present data collection, research and results. From the results we come to the conclusio that the theory of CAPM is not in effect for the particular sectors of this period.

Bakgrund: Aktierekommendationer är vanligt förekommande i finansiell media samtidigt som teorier säger att man inte systematiskt kan över- eller undervärdera en aktie. Trots detta visar studier att finansmarknaden influeras av aktierekommendationer då handeln ökar efter en annonsering, vilket innebär att de finansiella kunskaperna en student har lärt sig under sin utbildning inte påverkar lika starkt när den sedan väljer att följa en aktierekommendation. Syfte: Syftet med denna studie är att undersöka vilka faktorer som påverkar ekonomistudenters uppfattning av aktierekommendationer och hur stor påverkan valet av utbildningslinje har för hur studenten bedömer aktierekommendationer. Referensram: Referensramen kommer ge en förförståelse samt behandla de teorier som är väsentliga för att utreda studien. Referensramen innefattar prisbildning, EMH, behavioural finance, risk, kulturella influenser, utbildningens influenser och skolornas bakgrund. Metod: För att bäst kunna besvara och undersöka syftet genomförs studien som en förklarande surveyundersökning med en kvantitativ ansats. Undersökningen utförs genom en elektronisk enkät som skickas ut till studenter. Empiri: Det empiriska materialet består av enkätsvar från studenter från fyra olika ekonomiska utbildningslinjer som bearbetats med stistiska metoder. Slutsats: Valet av utbildningslinje påverkar studentens uppfattning om aktierekommendationer. De faktorer som påverkar är tron på den effektiva marknadshypotesen, studentens finansiella intresse, kön, riskbenägenhet, teoretisk kunskap samt kultur. Dessa faktorer påverkar utbildningslinjerna olika starkt. / Background: Share price recommendations are a common feature in the financial media. At the same time the financial theories argue that an asset can't systematically be over- or under valued. In spite of this, former studies show that share price recommendations do influence the financial market since the trade increases after an announcement. This means that the financial knowledge the student obtain during its education won’t matter when he or she chooses to follow a share price recommendation. Purpose: The purpose of this study is to investigate which factors influence students’ opinions about share price recommendations, and how big effect the students’ business education has on that opinion. Theory: The frame of reference will give the reader a deeper knowledge beyond the theory and also theoretical perspectives essential for analysing the study. The frame of reference will consist of asset pricing, the effective market hypothesis, behavioural finance, cultural influences, educational influences as well as the schools backgrounds. Methodology: For best being able to answer to the purpose of this study, an explanatory survey investigation with a quantitative method is being made. The study will be investigated through an electronic questionnaire that will be sent to students. Empirical findings: The empirical material consits of the answers of students from four different business educations. Conclusions: The business educations affect the students’ opinion about share price recommendations in differing ways. The influencing factors are whether the student believes in effective market hypothesis, the students’ personal interest in finance, gender, risk appetite, theoretical knowledge, and culture.

This thesis presents an empirical investigation into the Arbitrage Pricing Theory (APT). At the onset of the thesis it is recognised that tests of the APT are conditional on a number of preconditions and assumptions. The first line of investigation examines the effect of the assumed nature of the form of the return generating process of stocks. It is found that stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate factor structure. The second issue we raise is that of the appropriate factors, the role of the market portfolio and the performance of the APT against the Capital Asset Pricing Model (CAPM). The conclusions that we draw are that the APT is robust to a number of specified alternatives and furthermore, the APT outperforms the CAPM in comparative tests. In addition, within the APT specification there is a role for the market portfolio. Through a comparison of the results in chapters 2 and 3 it is evident that the APT is not robust to the specification of unexpected components. We evaluate the validity of extant techniques in this respect and find that they are unlikely to be representative of agents actual unexpected components. Consequently we put forth an alternative methodology based upon estimating expectations from a learning scheme. This technique is valid in respect to our prior assumptions. Having addressed these preconditions and assumptions that arise in tests of the APT a thorough investigation into the empirical content of the APT is then undertaken. Concentrating on the issues that the return generating process must be unique and that the estimated risk premia should be stable overtime the results indicate that the APT does have empirical content. Finally, armed with the empirically valid APT we proceed to analyse the issue of seasonalities in stock returns. The results confirm previous findings that there are seasonal patterns in the UK stock market, however, unlike previous findings we show that these seasonal patterns are part of the risk return structure and can be explained by the yearly business cycle. Furthermore, the APT retains empirical content when these seasonal patterns are removed from the data. The overall finding of this thesis is that the APT does have empirical content and provides a good description of the return generating process of UK stocks.