Thesis (D. Arch.)--University of Michigan, 1974. / Includes bibliographical references (leaves 136-141).

Thesis (D. Arch.)--University of Michigan, 1974. / Includes bibliographical references (leaves 136-141).

L'objectif principal de ce travail est de contribuer au débat initié par Roll (1977) et Basu (1977) depuis plus d‟une trentaine d‟années sur l‟invalidité du MEDAF à expliquer la formation des prix des actifs financiers. Cette étude se focalise plus particulièrement sur la capacité suggérée du ratio rendement du dividende à être un proxy de risque indépendant du bêta. Elle teste l‟aptitude d‟une stratégie value très populaire basée sur l‟effet « rendement du dividende » à réaliser des performances anormales. Les résultats montrent que les bonnes performances de la stratégie Dow 10 ne sont attribuables ni à sa capacité de sélectionner des titres performants ni à son aptitude à anticiper les mouvements du marché. De plus, mis en compétition avec la régression de Litzenberger et Ramaswamy (1979) et un modèle répliquant la méthodologie de Fama et French (1993), le modèle d‟évaluation des actifs financiers de Sharpe s‟impose comme le meilleur modèle de prévision des rentabilités. Afin de montrer que le coefficient bêta capture l‟effet « rendement du dividende », nous suggérons une nouvelle formulation du MEDAF. Nous proposons une décomposition du coefficient bêta en deux facteurs de risque : un risque systématique de base et un risque lié au facteur rendement du dividende. Globalement, l‟hypothèse de l‟efficience des marchés semble être vérifiée. En effet, l‟application de notre modèle améliore de 3% le pouvoir explicatif du MEDAF et les coefficients de notre régression sont significatifs au seuil de 1%. L‟effet « rendement du dividende » est un facteur de risque déjà capturé par le bêta de Sharpe. / The main objective of this work is to contribute to the debate initiated by Roll (1977) and Basu (1977) since more than thirty years on disability of the CAPM to explain the financial assets pricing. This study focuses specifically on the ability of the suggested ratio of dividend yield to be an independent risk proxy beta. It tests the ability of a value strategy based on the popular "dividend yield" effect to achieve abnormal performance. The results show that the good performances of the Dow 10 are not attributable to its ability to select stocks with high scores or his ability to anticipate market movements. Moreover, being in competition with the regression of Litzenberger and Ramaswamy (1979) and a model replicating the methodology Fama and French (1993), the Sharpe‟s asset pricing model stands out as the best model for forecasting returns. To show that the beta captures the dividend yield effect, we propose a new formulation of the CAPM. We propose a decomposition of beta into two risk factors: a systematic basis risk and a risk factor related to dividend yield. Overall, the efficient market hypothesis seems to be verified. Indeed, the application of our model improves the explanatory power of 3% of the CAPM and our regression coefficients are significant at 1%. The “dividend yield” effect is a risk factor already captured by the Sharpe‟s regression.

BAKGRUND: Investerare har försökt slå marknaden så länge kapitalmarknader har funnits. En investeringsstrategi som använts är ”Dogs of the Dow”. Investeringsstrategin bygger på att investera i de bolagen med högst utdelningsandel. Vedertagna ekonomiska teorier förespråkar även att investeringar i stabila utdelningsbolag ger möjlighet att generera riskjusterad överavkastning. Det finns idag motstridiga bevis från olika aktiemarknader huruvida det går att skapa riskjusterad överavkastning genom placeringar i högutdelande bolag. SYFTE: Syftet med studien är att undersöka om det går att skapa högre riskjusterad avkastning än SIX Return Index (.SIXRX) genom att placera i de aktierna med högst direktavkastning på Stockholmsbörsen. Vidare syftar studien att undersöka både huruvida ”Dogs of the Dow”- strategin och en investeringsstrategi i stabila utdelningsbolag kan generera riskjusterad överavkastning jämfört med index på Stockholmsbörsen. GENOMFÖRANDE: Det skapas två portföljstrategier där den ena utgår från ”Dogs of the Dow” och den andra utgår från placeringar i stabila utdelningsaktier. Studien är en kvantitativ undersökning där data samlas in från välrenommerade databaser. Portföljerna innehåller tio bolag som rebalanseras varje år för att sedan justeras för risk och transaktionskostnader. SLUTSATS: Studien presenterar inga bevis för att det går att skapa riskjusterad överavkastning med utgångspunkt i ”Dogs of the Dow”-strategin på Stockholmsbörsen. Däremot visar studien att det med hjälp av placeringar i stabila utdelningsbolag går att skapa riskjusterad överavkastning på Stockholmsbörsen men utan statistiskt signifikans. / BACKGROUND: Investors have been trying to beat the market for as long as capital markets have existed. An investment strategy used to outperform the market is “Dogs of the Dow”. The investment strategy is based on investing in the companies with the highest dividend yield. Economic theories argue that investments in companies with stable dividend payouts are able to create risk-adjusted excess returns. There are contradictory evidence from different markets whether it is possible to earn risk-adjusted excess return through high-yield investments. PURPOSE: The purpose of the study is to investigate whether it is possible to earn higher risk- adjusted returns than the SIX Return Index (.SIXRX) through investing in the highest dividend yield companies on the Stockholm Stock Exchange. The study aims to investigate whether the “Dogs of the Dow” strategy and an investment strategy in companies with stable dividend payouts can generate risk-adjusted excess return compared to the SIX Return Index. COMPLETION: There are two portfolio strategies, one of which is based on ”Dogs of the Dow” and the other is based on investments in companies with stable dividend payouts. The quantitative study collects data from reputable databases. The portfolios contain ten companies that are rebalanced each year and the returns are adjusted for risk and transaction costs. CONCLUSION: The study presents no evidence that it is possible to earn risk-adjusted excess return with the “Dogs of the Dow” strategy on the Stockholm Stock Exchange. However, the study shows that investments in companies with stable dividend payouts can earn risk-adjusted excess return on the Stockholm Stock Exchange but without statistical significance.

The aim of the thesis was assess the usefulness of different methods of technical and fundamental analysis in the trading of securities on the stock exchange. Choose the appropriate investment strategy for a particular industry.First has been performed a calculation of the theory efficient markets. For this purpose has been used two tests, correlation tests and runs test. The theory of market efficiency was demonstrated. But still has been performed the calculation of active strategies.Then was made the technical analysis. We used moving averages and oscillators, RSI, ROC and momentum. Based on these tests, we can´t select an appropriate investment strategy.Final test was carry out with using fundamental analysis. Fundamental analysis consist from testing addiction of revenue at coefficient alfa. Sector services shown 0. And at other sectors amount to possitive values. In last of all I advised pasive strategy.

Made available in DSpace on 2015-05-08T14:44:47Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 1401888 bytes, checksum: b42ad9ebc33bc9b9e8aa504e4476c14e (MD5) Previous issue date: 2009-04-30 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This work deepens the discussion in the Technical Analysis field, aligning it premises to the theoretical framework of Behavioral Finance. In this purpose, this paper aimed to make, for the period between the years of 2007 and 2008, an empirical study of the brazilian stock market in the light of Technical Analysis and Behavioral Finance, as well as verifying the performance of technical index as auxiliary instrument for the decision taking. This way, the work is divided in two parts. In the first part, adopting the complementarity hypothesis of behavioral-technique approach in the process of analysis and taking of decision in the stock market, is aimed to establish a relation between Technical Analysis (Dow Theory and Elliott Waves Theory) and Behavioral Finance assumptions in the interpretation of the subprime crisis in the Brazilian stock market, through a documentary research with referring information of the years 2007 and 2008, crisis development period. The results had evidenced the utility of these theories, not only for the analysis of the subprime crisis consequences, as, also, for the examination of financial market agent s behavior in a historical perspective of larger reach. In the second part, adopting the hypothesis that the technical index are capable to assist the investors in the process of decision taking, had been refined the performances of the Exponential Moving Average, Moving Average Convergence/Divergence, Relative Force Index, Stochastic and Directional System, using as base, Brazilian s stock market data referring to the year of 2007. The research results demonstrated that the Assertiveness (A) of the purchase signals is superior to the Assertiveness (A) of the sales signals the results had demonstrated as well, the uselessness of Directional System (DS) as beeper of the market s predominant trend. / Este trabalho aprofunda a discussão no campo de estudos da Análise Técnica, alinhando suas premissas ao arcabouço teórico das Finanças Comportamentais. Neste intuito buscou-se realizar, para o período compreendido entre os anos de 2007 e 2008, um estudo empírico do mercado brasileiro de ações à luz da Análise Técnica e das Finanças Comportamentais, bem como verificar o desempenho de indicadores técnicos como instrumento auxiliar para a tomada de decisão. Desta forma, o trabalho encontra-se dividido em duas partes. Na primeira parte, adotando a hipótese de complementaridade das abordagens técnica-comportamental no processo de análise e tomada de decisão no mercado de ações, busca-se estabelecer uma relação entre os pressupostos da Análise Técnica (Teoria Dow e Teoria da Ondas de Elliott) e das Finanças Comportamentais na interpretação da crise subprime no mercado de ações brasileiro, através de uma pesquisa documental com informações referentes aos anos de 2007 e 2008, período de desenvolvimento da crise. Os resultados evidenciaram a utilidade destas teorias, não só para a análise dos reflexos da crise subprime, como, também, para o exame do comportamento dos agentes do mercado financeiro numa perspectiva histórica de maior alcance. Na segunda parte, adotando a hipótese de que os indicadores técnicos são capazes de auxiliar os investidores no processo de tomada de decisão, foram apurados os desempenhos dos indicadores Média Móvel Exponencial, Convergência/Divergência da Média Móvel, Índice de Força Relativa, Estocástico e Sistema Direcional, tomando como base dados do mercado de ações brasileiro referentes ao ano de 2007. Os resultados encontrados demonstraram que a Assertividade (A) dos sinais de compra é superior à Assertividade (A) dos sinais de venda, bem como apontaram a inutilidade do Sistema Direcional (SD) enquanto sinalizador da tendência predominante do mercado.

Denna studie undersöker indexinkluderingar och indexexkluderingars påverkan på europeiska företags aktiekurser genom att studera bolag som inkluderats i eller exkluderats ur hållbarhetsindexet Dow Jones Sustainability Index Europe under perioden 2017–2019. Vidare undersöks även specifikt svenska bolag som inkluderats, exkluderats eller bibehållit sin plats i indexet under samma tidsperiod. Detta till följd av det ökade intresset och utbudet av ESG- relaterade investeringar i världen, inte minst i Europa. En standardmässig eventstudiemetod baserad på marknadsmodellen används för att på kort sikt undersöka detta eventuella samband. Vi kan i resultatet inte finna några starka bevis på att en annonsering i sig har någon tydlig påverkan på företagens aktieavkastning för vare sig europeiska eller svenska bolag. Däremot finner vi att svenska bolag som behållit sin plats eller inkluderats i indexet visar en positiv genomsnittlig kumulativ avvikelseavkastning (CAR) mellan två och tio dagar efter annonseringsdagen. Det kan trots det inte bevisa indexets relevans för marknaden vilket stödjer tidigare studiers resultat. / This paper examines the impact of index inclusions and index exclusions on the share prices of European companies by studying companies that are included or excluded from the Dow Jones Sustainability Index Europe during the period 2017-2019. Furthermore, Swedish companies that have been included, excluded or retained their place in the index during the same time period are also specifically examined. This due to the increased interest and supply of ESG- related investments in the world, especially in Europe. A standard event study method based on the market model is used to investigate this possible connection in the short term. We cannot find strong evidence that an announcement has any evident impact on companies' return on investment for either European or Swedish companies. On the other hand, we find that Swedish companies that have retained their place or are included in the index show a positive average cumulative abnormal return (CAR) between two and ten days after the announcement date. Despite this, the results cannot prove the index's relevance to the market which supports previous studies.

Den här uppsatsen har undersökt hur offentliggörandet av en inkludering eller exkludering ur Dow Jones Sustainability Index North America (DJSI NA) har påverkat bolagets aktiekurs. Detta för att studera relationen mellan hur bolag presterar ur hållbarhetssynpunkt mot hur de presterar finansiellt. DJSI NA har använts som riktmärke för hur bolag presterar ur ett samhällsperspektiv. En eventstudie har använts som metod, för att undersöka förekomsten av abnormal avkastning till följd av den årliga annonseringen av indexets komponentlista under åren 2017–2019. Studien finner flera signifikanta resultat där nollhypotesen angående att inkludering eller exkludering från DJSI NA inte påverkar en akties avkastning kan förkastas. Resultatet ger dessutom en konkret insikt i hur avkastning för inkluderade bolag utvecklats från 2017 till 2019. Ett starkt positivt signifikant resultat för 2019 kan möjligen visa på att DJSI NA stärker bolagens hållbara identitet och därmed blir av intresse för kapitalförvaltare. / This thesis has explored how the announcement of an inclusion or exclusion from the Dow Jones Sustainability Index North America (DJSI NA) affect stock price. This was done to further investigate the relation between sustainability performance and corporate financial performance. DJSI NA has been used as a benchmark on companies’ sustainability performance. An event study methodology has been conducted to examine the occurrence of abnormal returns due to the annual announcement of DJSI members, during the years 2017- 2019. The findings reveal several significant results where it is possible to reject the null hypothesis that inclusion or exclusion from DJSI NA does not affect stock price. The results also give a substantial insight on the development of abnormal returns from 2017-2019. A strong significant result for 2019, could possibly show that DJSI NA enhances companies’ sustainable identity and is therefore of interest to asset managers.

This paper investigates whether the Dogs of the Dow (or “Dow Dogs”) investment strategy is applicable to the Swedish stock market during the period 1996-2015. The strategy uses dividend yield as a way to identify undervalued stocks. Likely explanations to the strategy’s performance are contrasted between the Overreaction Hypothesis from the field of behavioral finance and the Efficient Market Hypothesis (EMH) from financial economics. The paper follows the original method formed by John Slatter, but is however extended by adding adjustments for risk, transaction costs and taxes to reflect a more realistic market setting. Our empirical findings suggest that the Dow Dogs strategy barely beats the market by 0.02 Sharpe ratio unit points. The strategy’s performance may be rather unimpressive, but it is interesting to acknowledge that the portfolio performed best during the market’s worst downturns. To conclude, our results lack statistical significance and we cannot reject the null hypothesis of no abnormal returns.

<p>An abstract of a dissertation that examines different dimensions of legitimacy stemming from different sources, and how they condition the effects of each other. The traditional literature studies organizational legitimacy as a uni-dimensional phenomenon, however, there are multiple audiences with different systems of values that evaluate organizations and based on the fit with their values grant or withdraw legitimacy from the firm. This dissertation examines three different dimensions of legitimacy (i.e. social, market, and home country) and shows that they may substitute each other in affecting organizational outcomes. This is shown in a financial event study of additions and deletions from the Dow Jones Sustainability Index, a qualitative study of the nature of corporate social responsibility (CSR) in the emerging market of Russia, and a large-scale quantitative analysis of M&A deals, where the acquirer comes from Brazil, Russia, India, China and South Africa (BRICS).</p> / Dissertation