För att investerare ska placera kapital mot hållbara investeringar krävs insikt om det finns en premie som valet av hållbara aktiefonder innebär eller om dessa motsvarar eller till och med överavkastar mot konventionella fonder. I denna uppsats undersöker vi hur den riskjusterade avkastningen, mätt som Jensens alpha, ser ut för hållbara och konventionella fonder. Studien undersökte 51 aktiefonder med hemvist i Sverige för åren 2017-2021 där datan samlades in från Avanza och hållbarhetsbetyg från Morningstar användes för klassificering av konventionella respektive hållbara fonder. Resultaten pekar på att hållbara aktiefonder har en riskjusterad avkastning som är 0,2 procentenheter högre än konventionella aktiefonder över hela tidsramen. Studien undersökte även förhållandet mellan riskjusterad avkastning och förvaltningsavgiften och fann ett marginellt positivt samband utifrån en regressionsanalys. Studien bidrar till forskningsområdet genom att närmare undersöka ett individuellt land till skillnad från tidigare studier och på senare årtal vilket ger en mer nutida förståelse för hållbara och konventionella aktiefonder på den svenska fondmarknaden. / For investors looking at placing their capital in sustainable equity funds, there is a need for knowledge as to how sustainable funds compare to their conventional peers. Do they demand a premium, have the same returns or even outperform? In this paper we look at the risk adjusted return, Jensen's alpha, on the Swedish fund market between the year 2017-2021 and how sustainable funds compare to conventional ones. The results indicate that sustainable funds outperform conventional funds with 0,2 percentage points over the entire time frame. The study also examined the relationship between fund fees and risk adjusted returns and found a marginal positive relationship from a regression analysis. The study contributes to the scientific field by closer examining a single country for a later time frame, giving a more contemporary understanding of sustainable and conventional funds on the Swedish fund market.

Financial markets, particularly capital and stock markets, play an important role in mobilizing and canalising the idle savings of individuals and institutions to the investment options where they are really required for productive purposes. The prediction of stock prices and returns is carried out in order to enhance the quality of investment decisions in stock markets, but it is considered to be tricky and complicates tasks as these prices behave in a random fashion and vary with time. Owing to the potential of returns and inherent risk factors in stock market returns. Various stock market prediction models and decision support systems such as Capital asset pricing model, the arbitrage pricing theory of Ross, the inter-temporal capital asset pricing model of Merton ,Fama and French five-factor model, and zero beta model to provide investors with an optimal forecast of stock prices and returns. In this research thesis, a stock market prediction model consisting of two parts is presented and discussed. The first is the three factors of the Fama and French model (FF) at the micro level to forecast the return of the portfolios on the Saudi Arabian Stock Exchange (SASE) and the second is a Value Based Management (VBM) model of decision-making. The latter is based on the expectations of shareholders and portfolio investors about taking investment decisions, and on the behaviour of stock prices using an accurate modern nonlinear technique in forecasting, known as Artificial Neural Networks (ANN). This study examined monthly data relating to common stocks from the listed companies of the Saudi Arabian Stock Exchange from January 2007 to December 2011. The stock returns were predicted using the linear form of asset pricing models (capital asset pricing model as well as Fama and French three factor model). In addition, non-linear models were also estimated by using various artificial neural network techniques, and adaptive neural fuzzy inference systems. Six portfolios of stock predictors are combined using: average, weighted average, and genetic algorithm optimized weighted average. Moreover, value-based management models were applied to the investment decision-making process in combination with stock prediction model results for both the shareholders’ perspective and the share prices’ perspective. The results from this study indicate that the ANN technique can be used to predict stock portfolio returns; the investment decisions and the behaviour of stock prices, optimized by the genetic algorithm weighted average, provided better results in terms of error and prediction accuracy compared to the simple linear form of stock price prediction models. The Fama and French model of stock prediction is better suited to Saudi Arabian Stock Exchange investment activities in comparison to the conventional capital assets pricing model. Moreover, the multi-stage type1 model, which is a combination of Fama and French predicted stock returns and a value-based management model, gives more accurate results for the stock market decision-making process for investment or divestment decisions, as well as for observing variation in and the behaviour of stock prices on the Saudi stock market. Furthermore, the study also designed a graphic user interface in order to simplify the decision-making process based upon Fama and French and value-based management, which might help Saudi investors to make investment decisions quickly and with greater precision. Finally, the study also gives some practical implications for investors and regulators, along with proposing future research in this area.

With background to recent price growth in Swedish real estate and consequently real estate stocks, our aim is to examine the relationship between real estate price development and real estate stock price development. To test our hypothesis, that real estate price development have had an impact on the return of real estate stocks, we built a capital asset pricing model. We divide the return of real estate stocks into two parts, the return in relation to the Swedish market premium and the excess return that is given for the exposure of the real estate market. We found that real estate exposure would treat the investor with an additional return beyond the return given from stock market exposure; hence, real estate price development has contributed to real estate stock returns.

Fads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of stochastic calculus and optimization to obtain analogous results to those obtained in the purely continuous market. We approximate optimal portfolios and utilities using the instantaneous centralized and quasi-centralized moments of the stocks percentage returns. We also link the random portfolios of the investors, under asymmetric information to the purely deterministic optimal portfolio, under symmetric information. / by Winston S. Buckley. / Thesis (Ph.D.)--Florida Atlantic University, 2009. / Bibliography: leaves 268-272.

馬可夫轉換模型是Hamilton(1989)所提出，他應用此模型的非線性特性研究美國的景氣循環。本文將此模型應用到財務領域當中，希望能從財務報表所揭露的某些訊息來掌握該公司在不同期間的報酬率變化，本文選用價值資產效果及公司規模效果，這兩各種效果對資產報酬率的解釋能力最為顯著，假使運用的得宜，模型的預測能力高，則投資者根據不同的資產特性轉換投資策略，長期間能獲得較佳的投資報酬率。同時，應用平滑過程使模型對狀態的認定更為精確，但在公司規模效果得到的成效明顯優於價值型資產效果，離群值的影響明顯對模型的推論造成嚴重的影響，最後，本文也就補救方法的可行性與否做為結論。

<p>Capital Asset Pricing Model (CAPM) är den prissättningsmodell som mest frekvent används av aktörer på den finansiella marknaden samt i litteratur för att förklara sambandet mellan risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik eftersom nya empiriska undersökningar demonstrerat att modellen inte längre verkar visa en rättvisande avkastning i förhållande till risk.</p><p>För att undersöka om den över 40 år gamla modellen fortfarande visar någorlunda rättvisande beskrivningar av verkligheten har vi ställt oss frågan: Går det att med hjälp av historiska data förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden?</p><p>Vid besvarade av denna fråga har studien syftet Att med hjälp av portföljer studera huruvida sambandet mellan risk och avkastning, vilket postuleras av CAPM, stämmer på den nutida svenska aktiemarknaden.</p><p>Vi har utifrån vår kunskapssyn kritisk rationalism använt oss av en kvantitativ metod för att försöka ge svar på problemställningen, vilken angreps med ett deduktivt tillvägagångssätt. Den teoretiska referensramen behandlar teorier som portföljval, den effektiva marknadshypotesen och CAPM. Det empiriska materialet består av historiska aktiekurser vilka bearbetades och användes till att komponera flertalet portföljer. Dessa portföljer har sedan analyserats genom regressionsanalys och jämförts med ett aktiemarknadsindex i syfte att besvara vår problemställning.</p><p>Det som framkommit genom studien är att det till viss del med hjälp av historiska data går att förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden. Även om vi delvis kan ge stöd åt den testade modellen anser vi inte att betavärdet, som ensamt förklarande variabel och mått på risk, bör tillämpas vid beslutsfattande av investeringar, något som CAPM förutsätter att det ska göra. Det linjära samband som CAPM postulerar bedömer vi vara bristande i tillämpbarhet på dagens komplicerade aktiemarknad eftersom fler variabler än historiska data påverkar aktiekurserna.</p>

This study employs widely excepted asset pricing models to test their explanatory power in the context of Istanbul Stock Exchange listed companies between 1990 and 2010. The risk factors, beta, size, book-to-market equity, and momentum are used to form portfolios and their factor loadings are estimated. The results of this study are mostly in line with the previous academic research, and some unique attributes of the return generation mechanism of Istanbul Stock Exchange are reported.

Capital Asset Pricing Model (CAPM) är den prissättningsmodell som mest frekvent används av aktörer på den finansiella marknaden samt i litteratur för att förklara sambandet mellan risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik eftersom nya empiriska undersökningar demonstrerat att modellen inte längre verkar visa en rättvisande avkastning i förhållande till risk. För att undersöka om den över 40 år gamla modellen fortfarande visar någorlunda rättvisande beskrivningar av verkligheten har vi ställt oss frågan: Går det att med hjälp av historiska data förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden? Vid besvarade av denna fråga har studien syftet Att med hjälp av portföljer studera huruvida sambandet mellan risk och avkastning, vilket postuleras av CAPM, stämmer på den nutida svenska aktiemarknaden. Vi har utifrån vår kunskapssyn kritisk rationalism använt oss av en kvantitativ metod för att försöka ge svar på problemställningen, vilken angreps med ett deduktivt tillvägagångssätt. Den teoretiska referensramen behandlar teorier som portföljval, den effektiva marknadshypotesen och CAPM. Det empiriska materialet består av historiska aktiekurser vilka bearbetades och användes till att komponera flertalet portföljer. Dessa portföljer har sedan analyserats genom regressionsanalys och jämförts med ett aktiemarknadsindex i syfte att besvara vår problemställning. Det som framkommit genom studien är att det till viss del med hjälp av historiska data går att förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden. Även om vi delvis kan ge stöd åt den testade modellen anser vi inte att betavärdet, som ensamt förklarande variabel och mått på risk, bör tillämpas vid beslutsfattande av investeringar, något som CAPM förutsätter att det ska göra. Det linjära samband som CAPM postulerar bedömer vi vara bristande i tillämpbarhet på dagens komplicerade aktiemarknad eftersom fler variabler än historiska data påverkar aktiekurserna.

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&amp;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".

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.