<p>Bakgrund: Finns det verkligen en investeringsstrategi som ger en garanterad överavkastning och som skulle kunna innebära att efterfrågan på de tjänster som professionella kapitalförvaltare tillhandahåller försvinner?</p><p>Syfte: Syftet med vår uppsats är att undersöka huruvida det går att generera överavkastning på Stockholmsbörsen genom att investera i en portfölj enbart innehållande aktier med låga P/Etal. Frågan är alltså om det existerar det någon så kallad P/E-talseffekt?</p><p>Genomförande: P/E-talseffekten testades genom att vi för var och en av våra 28 perioder fr.o.m. 1991 t.o.m.2004 skapade två portföljer där den ena innehöll aktier med de femton lägsta P/E-talen på Stockholmsbörsen och den andra innehöll aktier med höga P/E-tal. Den låga P/E-talsportföljen riskjusterade avkastning jämfördes sedan med den höga P/Etalsportföljens. En jämförelse gjordes även med den riskjusterade avkastningen för AFGX och SIXRX.</p><p>Slutsats: Vi har efter att noggrant analyserat våra resultat kunnat fastställa med 95 procent sannolikhet att det sett till hela vår undersökningsperiod, fr.o.m. 1991 t.o.m. 2004, inte går att påvisa en P/E-talseffekt på Stockholmsbörsen. Ser vi däremot enbart till perioderna efter ITbubblan, hösten 2000 till hösten 2003, kan vi med hjälp av våra resultat konstatera att det under denna period var möjligt att erhålla en överavkastning genom att investera i aktier med</p><p>låga P/E-tal.</p> / <p>Background: Is there an investment strategy that yields a guaranteed abnormal return and that could imply that the demand for the services provided by professional capital managers would disappear?</p><p>Purpose: The purpose with this thesis is to examine whether it is possible to generate an abnormal return at the Stockholm Stock Exchange by investing in a portfolio that only contains stocks with low P/E ratios. The question is consequently if there exists a so called P/E effect.</p><p>Implementation: We tested the P/E effect by creating two portfolios for each of our 28 periods from the beginning of 1991 until the end of 2004. The first portfolio included stocks with the fifteen lowest P/E ratios on the Stockholm Stock Exchange and the other portfolio included stocks with high P/E ratios. The risk adjusted return of the low P/E ratio portfolio was then compared to that of the high P/E ratio portfolio. A comparison was also made with the risk adjusted return from AFGX and SIXRX.</p><p>Conclusion: We can, after a thorough analysis of our results, with 95 per cent probability say that a P/E effect didn’t existed on the Stockholm Stock Exchange if we look at our entire research period from the beginning of 1991 until the end of 2004. We can however say that it was possible to generate an abnormal return by investing in stocks with low P/E ratios, if we look solely at the periods after the IT bubble, fall 2000 until fall 2003.</p>

<p>The purpose of this Bachelor thesis is to analyze if there is a correlation between stock prices and the amount of searches of the companies names on Google. The theories used in the study were Capital Asset Pricing Model (CAPM) and Efficient Market Hypothesis (EMH). Regressions analysis is used as the statistical method to see if there is a significant correlation between the stock prices and the amout of searches of the company name on Google. The data used were the rate of return of three companies (ABB, Oriflame and Sandvik) on the Nasdaq OMX Nordic stock market, the rate of return of the Nasdaq OMX Nordic stock market index (OMX Stockholm_PI) and the Google search frequency from Google Trends on each company. The result showed no significance and the conclusion of the thesis is that there is no significant correlation between the three studied companies and their search frequency on the search engine Google.</p> / <p><strong>Syfte</strong>: Syftet med uppsatsen är att undersöka ifall det finns ett samband mellan företags aktiekurser och sökfrekvens på företagets namn på söktjänsten Google.</p><p><strong>Data: </strong>Daglig avkastning på ABB:s, Oriflames och Sandviks aktier, Aktieindex samt Googels sökfrekvens.</p><p><strong>Teorier: </strong>Capital Asset Pricing Model (CAPM), Effektiva marknadshypotesen (EMH)</p><p><strong>Slutsats: </strong>Det råder inget signifikant samband mellan de undersökta företagens aktiekurser och deras företagsnamns sökfrekvens på söktjänsten Google.</p>

The purpose of this Bachelor thesis is to analyze if there is a correlation between stock prices and the amount of searches of the companies names on Google. The theories used in the study were Capital Asset Pricing Model (CAPM) and Efficient Market Hypothesis (EMH). Regressions analysis is used as the statistical method to see if there is a significant correlation between the stock prices and the amout of searches of the company name on Google. The data used were the rate of return of three companies (ABB, Oriflame and Sandvik) on the Nasdaq OMX Nordic stock market, the rate of return of the Nasdaq OMX Nordic stock market index (OMX Stockholm_PI) and the Google search frequency from Google Trends on each company. The result showed no significance and the conclusion of the thesis is that there is no significant correlation between the three studied companies and their search frequency on the search engine Google. / Syfte: Syftet med uppsatsen är att undersöka ifall det finns ett samband mellan företags aktiekurser och sökfrekvens på företagets namn på söktjänsten Google. Data: Daglig avkastning på ABB:s, Oriflames och Sandviks aktier, Aktieindex samt Googels sökfrekvens. Teorier: Capital Asset Pricing Model (CAPM), Effektiva marknadshypotesen (EMH) Slutsats: Det råder inget signifikant samband mellan de undersökta företagens aktiekurser och deras företagsnamns sökfrekvens på söktjänsten Google.

Purpose: The study examines the risk a rising from the acquisition of shares, and its relation to the expected return. We would like to see how a high-risk portfolio is related to a low-risk portfolio. Although studying the portfolios annual performance. Theory: The theories that have been used in the study are, Capital asset pricing model, CAPM and portfolio theory. Method: The study is based on a quantitative method, the time interval is from 2008 to 2010.The annual reports, historical stock prices for companies and the index are used to perform calculations based on the essay theories. Conclusion: The beta value has positive liner correlation with the expected return. When there are bad times in the world, the companies are negatively affected regardless of industry. The Portfolios developed in the same direction during the time period. / Syfte: Studien undersöker riskens förhållande till avkastningen som uppstår vid investering i aktier. Även hur en högriskportfölj förhåller sig till en lågriskportfölj samt portföljernas årliga utveckling. Teori: De teorier som använts i undersökningen är, Capital assets pricing model– CAPM och portföljteori. Metod: Studien utgår från en kvantitativ metod. Tidsintervallet är från år 2008 till 2010. Årsredovisningar, historiska aktiekurser för bolagen samt index används för att kunna genomföra uträkningar som baseras på uppsatsen teorier. Slutsats: Betavärdet har ett positivt linjärt samband med den förväntade kurstillväxt. Vid dåliga tider i världen drabbas alla bolag negativt oavsett bransch. Portföljerna utvecklades i samma riktning under tidsperioden.

Bakgrund: Finns det verkligen en investeringsstrategi som ger en garanterad överavkastning och som skulle kunna innebära att efterfrågan på de tjänster som professionella kapitalförvaltare tillhandahåller försvinner? Syfte: Syftet med vår uppsats är att undersöka huruvida det går att generera överavkastning på Stockholmsbörsen genom att investera i en portfölj enbart innehållande aktier med låga P/Etal. Frågan är alltså om det existerar det någon så kallad P/E-talseffekt? Genomförande: P/E-talseffekten testades genom att vi för var och en av våra 28 perioder fr.o.m. 1991 t.o.m.2004 skapade två portföljer där den ena innehöll aktier med de femton lägsta P/E-talen på Stockholmsbörsen och den andra innehöll aktier med höga P/E-tal. Den låga P/E-talsportföljen riskjusterade avkastning jämfördes sedan med den höga P/Etalsportföljens. En jämförelse gjordes även med den riskjusterade avkastningen för AFGX och SIXRX. Slutsats: Vi har efter att noggrant analyserat våra resultat kunnat fastställa med 95 procent sannolikhet att det sett till hela vår undersökningsperiod, fr.o.m. 1991 t.o.m. 2004, inte går att påvisa en P/E-talseffekt på Stockholmsbörsen. Ser vi däremot enbart till perioderna efter ITbubblan, hösten 2000 till hösten 2003, kan vi med hjälp av våra resultat konstatera att det under denna period var möjligt att erhålla en överavkastning genom att investera i aktier med låga P/E-tal. / Background: Is there an investment strategy that yields a guaranteed abnormal return and that could imply that the demand for the services provided by professional capital managers would disappear? Purpose: The purpose with this thesis is to examine whether it is possible to generate an abnormal return at the Stockholm Stock Exchange by investing in a portfolio that only contains stocks with low P/E ratios. The question is consequently if there exists a so called P/E effect. Implementation: We tested the P/E effect by creating two portfolios for each of our 28 periods from the beginning of 1991 until the end of 2004. The first portfolio included stocks with the fifteen lowest P/E ratios on the Stockholm Stock Exchange and the other portfolio included stocks with high P/E ratios. The risk adjusted return of the low P/E ratio portfolio was then compared to that of the high P/E ratio portfolio. A comparison was also made with the risk adjusted return from AFGX and SIXRX. Conclusion: We can, after a thorough analysis of our results, with 95 per cent probability say that a P/E effect didn’t existed on the Stockholm Stock Exchange if we look at our entire research period from the beginning of 1991 until the end of 2004. We can however say that it was possible to generate an abnormal return by investing in stocks with low P/E ratios, if we look solely at the periods after the IT bubble, fall 2000 until fall 2003.

Submitted by Noeme Timbo (noeme.timbo@metodista.br) on 2018-02-28T19:05:22Z No. of bitstreams: 1 Ronaldi Carassini.pdf: 1393522 bytes, checksum: 668b3b6442930f4bc8cab980d41b9895 (MD5) / Made available in DSpace on 2018-02-28T19:05:22Z (GMT). No. of bitstreams: 1 Ronaldi Carassini.pdf: 1393522 bytes, checksum: 668b3b6442930f4bc8cab980d41b9895 (MD5) Previous issue date: 2017-08-09 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / Asset pricing models, such as the Capital Asset Pricing Model (CAPM), are still widely discussed within the finance area, including in the scientific community as well. These models are used theoretically and practically in the area of investments to predict the risk and return of securities and portfolios, as well as in corporate finance, to analyze the viability of investments. Despite the discussions on the subject, there is still no unanimity on what rate of return should be taken at the time of the investment option. Considering these discussions about the ideal model, the objective of this work is to analyze if the application of the conditional CAPM model is valid to explain the returns of the Brazilian stock market. To answer this question, we will use the model developed by Jagannathan and Wang (1996), which introduced the possibility that betas and risk premium vary over time. For the application of this model in the Brazilian market, 40 stocks with the highest liquidity index of the Brazilian market were selected, divided into 5 (five) portfolios, each portfolio containing 8 shares, during the period from 2008 to 2016. The empirical results of this study suggest that the betas model and the risk premium varying over time can, with some adaptations, satisfactorily explain the cross-sectional variation of the portfolio returns analysed in this research. This study intends contribute to the area of finance and also, to the literature of asset pricing. / Os modelos de precificação de ativos, como é o caso do CAPM (Capital Asset Pricing Model), ainda são muito discutidos dentro da área de finanças, inclusive também, na comunidade científica. Estes modelos são utilizados de forma teórica e prática na área de investimentos para prever o risco e o retorno de títulos e de carteiras, bem como em finanças corporativas, para analisar a viabilidade dos investimentos. Apesar das discussões sobre o tema, ainda não existe uma unanimidade sobre qual taxa de retorno deva ser tomada na hora da opção pelo investimento. Considerando estas discussões acerca do modelo ideal, o objetivo deste trabalho é analisar se a aplicação do modelo CAPM Condicional é válida para explicar os retornos do mercado acionário brasileiro. Para responder a esta questão, utilizar-se-á o modelo desenvolvido por Jagannathan e Wang (1996), o qual introduziu a possibilidade de os betas e o prêmio de risco variarem ao longo do tempo. Para a aplicação deste modelo no mercado brasileiro, foram selecionadas 40 ações com maior índice de liquidez do mercado brasileiro, divididas em 5 (cinco) portfólios, contendo cada portfólio 8 ações, durante o período de 2008 à 2016. Os resultados empíricos deste estudo, sugerem que o modelo com os betas e o prêmio de risco variando ao longo do tempo, conseguem com algumas adaptações, explicar de forma satisfatória a variação cross-sectional dos retornos dos portfólios analisados nesta pesquisa. Com este estudo pretende-se contribuir para a área de finanças e também, para a literatura de precificação de ativos.

[pt] Este estudo visa analisar o desempenho de empresas familiares brasileiras, que abriram capital entre os anos de 2007 e 2012 através da performance das ações a partir do ano de 2013 até 2017, já que o discurso sobre o desempenho dessas empresas é controverso devido aos problemas de profissionalização e governança corporativa, por exemplo. Com base em estudos realizados em outros países, foram testadas se empresas familiares brasileiras tem melhor desempenho no mercado de ações do Brasil (BOVESPA) do que empresas não familiares que também abriram capital no mesmo período. Foi usado o CAPM como método para estimar o retorno esperado e comparar com retorno real das ações de empresas familiares e não familiares. Os resultados indicam que dentre as empresas analisadas, as familiares obtiveram melhores resultados, mesmo não havendo diferença na relação risco e retorno apresentado por empresas de ambos os grupos. / [en] This study aims to analyze the performance of Brazilian family companies, which opened capital between 2007 and 2012 through the performance of actions from the year 2013 to 2017, since the discourse on the performance of these companies is controversial due to the problems of professionalization and corporate governance, for example. Based on studies conducted in other countries, it was tested whether Brazilian family companies perform better in the Brazilian stock market (BOVESPA) than non-family companies that also opened equity in the same period. CAPM was used as a method to estimate the expected return and to compare with the real return of the shares of family and non-family companies. The results indicate that among the companies analyzed, the family members obtained better results, even though there was no difference in the risk and return relationship presented by companies of both groups.

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.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-09-02T14:39:05Z No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-09-06T14:17:29Z (GMT) No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) / Made available in DSpace on 2016-09-06T14:17:29Z (GMT). No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) Previous issue date: 2013-11-25 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Esta dissertação propõe uma nova versão para o CAPM, denominada Ômega CAPM. Este novo modelo trabalha com uma condição suficiente mais simples do que a eficiência do mercado em termos de média e variância. Consequentemente, restrições na utilidade e nas distribuições de retornos não são necessárias, podendo os ativos ter distribuições diferentes entre si. Além disso, todos os momentos das distribuições de retornos são considerados de forma indireta, ou seja, não precisam ser calculados e observados pelos investidores. O OCAPM mantem a forma simples de um único fator do CAPM, bem como seu rigor teórico. Empiricamente o OCAPM mostrou-se superior ao CAPM, não sendo rejeitado em um número maior de vezes, além de obter coeficientes mais coerentes com a teoria. Além disso, foi mostrado que o OCAPM adiciona novas informações sobre os retornos esperados não consideradas pelo CAPM. Entretanto, este trabalho não rejeita nenhum dos dois modelos, ele apenas aponta a superioridade do OCAPM. / This dissertation proposes a new version for the well-known CAPM, the Omega CAPM. This new model has a simpler sufficient condition than the mean-variance efficiency required on the CAPM. Thus, restriction regarding utility functions and returns distributions are not required. Besides that, our model allows assets to have different distribution amongst themselves. The OCAPM considers all superior moments indirectly, i.e. they do not have to be calculated or observed by investors and it maintains the single factor simplicity and the theoretical rigor of the original model. On an empirical point of view, the OCAPM was superior to the CAPM, the model obtained coefficients which ware more consistent with the theory. Moreover, we showed that the OCAPM adds information of the expected returns that are not considered by the CAPM. Nevertheless, we do not reject any of the models, we just show that the OCAPM is superior.

Economic stability after the start of the Real Plan, coupled with changes in policies and guidelines of the Brazilian real estate market, allowed the creation of new products, including securitized. This caused increased the developments in the sector, since investments in real estate to investments in shares in the capital markets, especially in this environment, the Real Estate Investment Funds (FIIs). However, after the quiet of the last decade, the housing market has not progressed in 2014, showing an increase below inflation. Therefore, the importance of conducting an analysis calculated on the financial performance of both FIIs as direct investment in real estate through IGMI-C, and the study of risk and return of such investments. In order to achieve the proposed goals, referenced indicators in finance literature were used (Sharpe Ratio, Sortino Ratio, Treynor Index, Alpha Jensen, and Modigliani and Modigliani Index) as well as the Pricing Model Assets and their regressions due to the analysis of risk and return. The data collected are classified as secondary, covered the period from January 2013 to December 2015; they were obtained through the websites of BM & FBOVESPA, FGV, the Central Bank and FIPE. As a result, it can be observed that the IGMI-C had the best performance in the sample period studied, and among the FIIs analyzed individually as well as the average of the same and the contents of the real estate market; the IGMI-C proved to be the most suitable, representing what would be the most advantageous direct investment in real estate than in shares of REITs. / A estabilidade econômica, após o início do Plano Real, aliada as mudanças nas políticas e diretrizes do mercado imobiliário brasileiro, permitiu a criação de novos produtos, dentre eles os securitizados. Isso fez com que aumentasse os empreendimentos no setor, desde investimentos em imóveis, até aplicações em cotas no mercado de capitais, destacando-se neste meio, os Fundos de Investimentos Imobiliários (FIIs). Porém, após a tranquilidade da última década, o mercado imobiliário não progrediu em 2014, demonstrando um crescimento abaixo da inflação. Por isso, a importância de se realizar uma análise apurada sobre o desempenho financeiro tanto dos FIIs quanto do investimento direto em imóveis por meio do IGMI-C, bem como o estudo do risco e retorno de tais investimentos. Com o intuito de atingir os objetivos propostos, foram utilizados indicadores referenciados na literatura de finanças (Índice de Sharpe, Índice de Sortino, Índice de Treynor, Alfa de Jensen, e Índice de Modigliani e Modigliani) assim como o Modelo de Precificação de Ativos e suas devidas regressões para a análise do risco e retorno. Os dados coletados são classificados como secundários, abrangeram o período de janeiro de 2013 a dezembro de 2015 e os mesmos foram obtidos por meio dos sites da BM&FBOVESPA, FGV, BACEN e FIPE. Como resultados, pode-se observar que o IGMI-C obteve o melhor desempenho no período amostral estudado, sendo que dentre os FIIs analisados individualmente, bem como a média dos mesmos e os índices do mercado imobiliário; o IGMI-C demonstrou ser o mais indicado,representando que seria mais vantajoso o investimento direto em imóveis que em cotas dos FIIs.