Denna uppsats avser att undersöka och, i den mån det går, förklara icke förväntad korrelation mellan nio olika aktieindex på den svenska aktiebörsen. Begreppet icke förväntad korrelation beskriver här den korrelation mellan aktier, aktieindex eller marknader som inte kan förklaras utifrån underliggande ekonomiska fundament. Ett sätt att undersöka detta fenomen är genom korrelationskoefficienter för residualerna från en skattad modell för aktieavkastning. Den modell som i denna uppsats estimeras för detta ändamål är CAPM-modellen, där icke förväntad korrelation beräknas som absolut medelkorrelation mellan residualerna från OLS och SUR estimering av denna modell. De resultat som erhålles är att icke förväntad korrelation förekommer med ett medelvärde på 0,16 respektive 0,17, vilket motsvarar 58% respektive 57% av den absoluta korrelation som förekommer mellan rådata. Olika förklaringsmodeller för denna korrelation undersöks sedan med regressionsanalys. Denna undersökning finner visst stöd för teorin om informationsasymmetri och flockbeteende hos investerarna som förklaring till icke förväntad korrelation.

Syftet med uppsatsen är att diskutera det så kallade equity premium puzzle. Jag analyserar teoretiskt den intertemporala konsumtionsbaserade CAPM (C-CAPM), sammanställer en del av litteraturdiskussionen som finns på området samt empiriskt testar C-CAPM på svensk data. Fenomenet equity premium puzzle innebär att överavkastningen på aktier är så stor att det inte stämmer med den ekonomiska teorin. Enligt teorin beror C-CAPMs riskpremie på kovariansen mellan konsumtionen och aktieavkastningen. Litteraturen visar att forskare inte har lyckats förklara equity premium puzzle genom att ändra antagandena i grundmodellen. Den empiriska undersökningen visar att equity premium puzzle även uppkommer på svensk data.

This work utilizes zero-beta CAPM to derive an alternative form dubbed the ZCAPM. The ZCAPM posits that asset prices are a function of market risk composed of two components: average market returns and cross-sectional market volatility. Market risk associated with average market returns in the CAPM market model is known as beta risk. We refer to market risk related to cross-sectional market volatility as zeta risk. Using U.S. stock returns from January 1965 to December 2010, out-of-sample cross-sectional asset pricing tests show that the ZCAPM better predicts stock returns than popular three- and four-factor models. These and other empirical tests lead us to conclude that the ZCAPM holds promise as a robust asset pricing model.

Problembakgrund: Den traditionella investeringsstrategin består av bland annat Modern Portföljvalsteori och Capital Asset Pricing Model, men på grund av empiriska problem efterfrågas alternativa investeringsstrategier. Denalternativa investeringsstrategini denna uppsats består av småbolags-, värdebolags- och momentumeffekt. Detta innebär att forskning visat att investering i småbolag tenderar att ge högreavkastning än i stora bolag, att företag med högt värde tenderar att ge högre avkastning än tillväxtbolag och att man bör satsa på förra årets kursvinnare. Syftet: Syftet med denna uppsats är jämföra, småbolag med stora bolag, värdebolag med tillväxt bolag och årets kursvinnare med årets kursförlorare, på den svenska marknaden för åren 1996-2012, för att se om den ena ger högre avkastning än den andra. Vi vill se huruvida dessa effekter finns på den svenska marknaden. Metod: Vi har använt en kvantitativ studie och jämfört avkastningen mellan de båda grupperna. För att sedan se om vi finner någon signifikant skillnad har ett T-test använts. Vi har använt de noterade aktierna påStockholmbörsens huvudlista för åren 1996-2012. Slutsats: De slutsatser som kan dras av denna undersökning är att småbolags-, värdebolags- ochmomentumeffekten inte existerar på den svenska marknaden för perioden 1996-2012. För vidare forskning rekommenderar vi att även andra listor än huvudmarknaden inkluderas. / Background Information: Modern Portfolio Theory and Capital Asset Pricing Model belong to the traditional investment strategy, which has been practiced by many around the world. However due to its empirical problems, has there been demands for alternatives. The alternative investment strategies that will be presented in this essay are small stocks-, value stocks-, and momentum-effect. Earlier research has shown that small stocks tends to provide higher returns than big stocks, the same goes for when comparing value stocks against growth stocks, and winner stocks against loser stocks. Aim: The aim of this essay is to evaluate small stocks-, value stocks-, and momentum-effect on the Swedish stock market during year 1996-2012, by comparing the top and bottom group from each respective effects to see if there is any differences. Method: These following measurements (company’s market equity, book equity/market equity ratio and yearly change of stock prices) are used in order to evaluate the small stocks-, value stocks-, and momentumeffect respectively. The stocks that were registered on Stockholm’s Main Stock Market during year 1996-2012 are ranked accordingly to the three measurements, only the top’s 30% and bottom’s 30% stocks will be used to form portfolios. After one top and one bottom portfolio from each effect (so 6 portfolios in total) were constructed, their average yearly return was then compared with each other. Conclusion: The results showed 0%, 9% and 7% differences in return between the top and bottom portfolios from small stocks-, value stocks-, and momentum-effect respectively. However the differences found between the top and bottom portfolios, were found to be not significant when using T-test. Since there were no significant differences between the top and bottom group from all three effects, we come to the conclusion that the small stocks-, value stocks-, and momentum-effect did not exist on the Swedish stock market during year 1996-2012.

Sychra, P. Apllication of the CAPM on the US, European and Japanese stock market. Diploma thesis. Brno, 2014 The thesis is focused on the Capital Asset Pricing model (CAPM) and it's explicatory ability in diferent stock market. Ability to determine stock returns is tested on the historical dates of 10 selected companies in each market. Testing is performed on the wide range of investments horizons, and these horizons are following 1, 5, 10 and 15 years. Testing showed that model is not capable to explain stock returns only on the basic of systematic risk, expressed by beta coefficient.

This diploma thesis deals with a question of identification of causality between sentiment on social network Twitter and a price of specific, publicly traded stocks on New York Stock Exchange (NYSE). By a multi criteria analysis were chosen stocks of Microsoft Corporation and Apple Inc. There is constructed a model, which identifies authors messages on Twitter -- tweets and sentiment which they carry in relation to companies. Success of this model is examined by both qualitative and quantitative analysis. The thesis is trying to provide a solution to current and potential investors and management of the companies in order to take better decisions in allocating funds and managing the companies.

The author has quantified the impact of perception of economic subjects through the Facebook social network on the stock prices. The contribution of this paper is both theoretical and practical. The theoretical part summarizes the results of previously published papers on this topic. The practical part concerns about the confirmation of the influence of perception of the stock market via regression analysis and moving correlation at chosen companies. The recommendation is mainly aimed at the marketing and the PR department. The author also takes into consideration the possibility of using social networks to confirm the development of economic variables based on the current perception of news and information by the economic subjects.

Tese (doutorado) - Universidade Federal de Santa Catarina, Centro Tecnológico. Programa de Pós-Graduação em Engenharia de Produção. / Made available in DSpace on 2012-10-20T12:30:50Z (GMT). No. of bitstreams: 1 198181.pdf: 349681 bytes, checksum: ab581d5e5fe934c6627aa92e67d0927e (MD5) / Nas ultimas décadas o modelo CAPM tem despertado grande interesse por parte da comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático, dando origem a novos modelos dinâmicos, traz maior segurança para o investidor ao longo do ciclo de negócios. O CAPM e suas versões estáticas foram e são de grande importância em finanças. Nos dias de hoje encontramos adaptações mais complexas do modelo CAPM, as quais nos permitem ter respostas sobre questões em finanças que por muito tempo permaneceram não solucionadas. Diante deste panorama e considerando toda essa grande discussão acerca da validade do CAPM, este trabalho procura apresentar as vantagens dos modelos condicionais em relação ao modelo estático. Para constatar tais fatos estudar-se-ão os testes dos modelos condicionais (beta variando ao longo do tempo) que não são comumente estudados na literatura. Esses testes são convenientes para incorporar variâncias e covariâncias que se alteram ao longo do tempo. Dentre os testes dos modelos condicionais destacamos o de Jagannathan e Wang (1996). Este trabalho tem como objetivo testar o modelo CAPM condicional de Jagannathan e Wang (1996), incorporando variáveis macroeconômicas e financeiras, para o mercado brasileiro, chileno e argentino e ainda comparar os seus resultados com os encontrados no mercado norte-americano.

Diplomová práce se zabývá oceněním veřejně obchodované společnosti Zentiva N.V. V teoretické části je popsána problematika oceňování podniků, základní východiska a principy. V praktické části je společnost Zentiva oceněna metodou DCF Entity. Cílem práce je zjištění tržní ceny 1 kusu kmenové akcie Společnosti. A na základě tohoto ocenění stanovit, zda aktuální tržní cena akcie odpovídá skutečnému potenciálu Společnosti.

This thesis deals with the economic analysis of the company Presbeton Nova Ltd. The main target is to assess the economic situation in the company and thereby to help management with the decision about future development. In the theoretic part there are described methods related to this area. Applied part devotes to the application methods -- analysis of production, financial analysis and Economic Value Added. The CAPM (capital asset pricing model) is being used to calculate costs of Equity. The cost of foreign capital is calculated according to the trend of rate 3M PRIBOR.