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.

Magister Commercii - MCom / The primary objectives of this research are to determine whether indices constructed from fundamental attributes of ALSI constituents outperform indices weighted by market capitalisations; and whether the performance of fundamental indices could be explained by size and value risk factors. The examination period is 1st January 2000 to 31st December 2009. The JSE ALSI constituent’s fundamental attributes; book values, dividends, earnings and sales together with their market values are extracted from DataStream International. Indices are subsequently constructed according to share’s market values and the four aforementioned fundamental attributes as well as a composite metric. The composite metric is a combination of all four fundamental attributes. Fundamental indices are found to be more mean-variance efficient than cap-weighted indices, whilst displaying moderate value bias and minor size bias. Fundamental indices exhibit lower risk-adjusted returns when rebalanced less frequently, except for sales-weighted indices which justly capture undervalued shares that mean revert throughout the year. Fundamental indexation is therefore, adjudged to be superior to cap-weighted methods and only relatively affected by value effect

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Tre separata skandaler mellan åren 2016–2019 har valts ut för att finna mönster i marknadens reaktion vid offentliggörande av oetiska eller brottsliga gärningar hos Sveriges storbanker. Vidare undersöker studien om kunder ochinvesterare förlåter storbanker enklare vid vissa typer av handlingar, exempelvis oetiska gentemot brottsliga. För att genomföra en analys av dessa tre händelser har bankernas aktiekurs hämtats under den aktuella tidsperioden samt PE 𝑡𝑎𝑙 och företags-och marknadsvärde för varje år. För att undersöka motiven bakom investerares beslut att sälja aktier under tiden av dessa handlingar har ett flertal teorier om investerares beteende studerats och även betydelsen av CSR för investerare och företagen. I samband med skandaler sjunker samtliga aktiekurser för de banker som är involverade. Investerarnas syn på banken förändras och de väljer att sälja aktien men det har inte gått att säkerställa exakt av vilken anledning investerare säljer. Bankernas företagsvärde har inte visat någon signifikant skillnad mellan de aktuella åren, det går inte heller att urskilja någon skillnad i varje enskild bank från år till år. PE 𝑡𝑎𝑙𝑒𝑡 och marknadsvärdet håller en jämn spridning för åren som undersökts. Det leder till antagandet att storbankerna i slutändan inte påverkas på lång sikt av en skandal utan endast tillfälligt, vilket syns i aktiekursen. Vid en av de tre undersökta skandalerna har bankens marknadsvärde ännu inte återhämtats men det antas bero på att skandalen fortfarande är aktiv och att banken därmed inte fått möjlighet att återuppbygga förtroendet.

Bakgrund: En fungerande kapitalmarknad är en förutsättning för en nations innovation,vilket i sin tur är fundamentalt för att uppnå ekonomisk tillväxt. Därav blir förståelsen för hurkapitalmarknaden fungerar av största vikt. En av de vanligaste frågorna investerare ochforskare ställer sig är huruvida marknader är effektiva? Kan investerare utgå ifrån attkapitalmarknaden är effektiv och att alla handlar på samma information? Frågan är viktigeftersom kapitalmarknaden är uppbyggd på ett förtroende hos allmänheten, om dettaförtroende raseras kan det få förödande konsekvenser för nationen, utifrån svårigheter medkapitalallokeringen. Denna studie undersöker, med utgångspunkt från effektiva marknader,fenomenet kallat ex-dagseffekten. Finns det prisavvikelser på marknaden och iförekommande fall, finns det en förklaring till detta? Utifrån det undersöker studien specifiktmikrostrukturen som förklaring till den potentiella prisavvikelsen. Syfte: Syftet med studien är att undersöka, analysera, samt förklara förekomsten av exdagseffektenoch dess relation med mikrostrukturen på OMX Stockholm Large Cap,respektive Mid Cap och Small Cap. Metod: Utifrån studiens behov att sammanställa en större mängd data har en kvantitativforskningsstrategi använts. Studiens sekundärdata är insamlad för utdelande bolag noteradepå OMX Stockholm Large, Mid samt Small Cap mellan årtalen 2016 och 2019. Insamladdata har sedan sammanställts till paneldata, vilken ligger till grund för studiens t-test samtmultipla regressioner. Slutsats: Utifrån studiens t-test påvisas att ex-dagseffekten föreligger på studiens utvaldamarknad. Vidare, utifrån studiens regressioner utläses det att mikrostrukturen har en negativpåverkan på PDR. Då förekomst av mikrostrukturen påvisas kan studien inte uttala sig omhuruvida marknaden som undersökts är ineffektiv eller ej. / Background: A functioning capital market is a prerequisite for the innovation of a nation,which in turn is fundamental to achieve economic growth. Hence, the understanding of howthe capital market operates becomes of paramount importance. One of the most commonquestions investors and researchers ask themselves is whether markets are efficient? Caninvestors assume that the capital market is efficient and that everyone trades on the sameinformation? The question is important because the capital market is built upon publicconfidence, and if this trust is destroyed, it can have devastating consequences for the nation,based on difficulties with capital allocation. This study examines, based on efficient markets,the phenomenon called the ex-day effect. Are there price deviations in the market, and ifapplicable, is there an explanation for this? Based on this, the study specifically examines themicrostructure as an explanation for the potential price deviation. Purpose: The purpose of the study is to investigate, analyze, and explain the existence of theex-day effect and its relationship with the microstructure of OMX Stockholm Large Cap, MidCap and Small Cap. Method: Based on the study's need to compile a larger amount of data, a quantitativeresearch strategy has been used. The study's secondary data is collected for distributingcompanies listed on OMX Stockholm Large, Mid and Small Cap between the years 2016 and2019. Collected data has then been compiled into panel data, which is the basis for the study'st-test and multiple regressions. Conclusion: Based on the study's t-test, it is demonstrated that the ex-day effect is present inthe study's selected market. Furthermore, based on the regressions models the study used, itcan be deducted that the microstructure has an impact of PDR. Since the presence of themicrostructure is detected, the study cannot comment on whether the market examined isinefficient or not.

Thesis advisor: Harold Petersen / Using insights from Hyman Minsky’s Financial Instability Hypothesis (FIH), we develop a theoretical framework for how speculative bubbles may materialize in securities markets. Our model and empirical analysis show that agents place undue emphasis on recent experience of risk and returns when developing future expectations. We use the aggregate investor allocation to equities (aggregate total market capitalization of equities divided by the price of all real liabilities outstanding), Tobin’s Q (the aggregate market price of equities divided by the replacement cost of nonfinancial firms’ assets), Shiller Total Return Cyclically Adjusted Price to Earnings Ratio (TR CAPE), and Shiller Cyclically Adjusted Price to Earnings Ratio (CAPE) as proxy variables for bubbles. We find statistically significant, negative relationships between all four of these proxy variables and two dependent variables, Subsequent Ten-Year Annualized Cumulative Equity Market Returns (Nominal and Real), and also Subsequent 10-year Average Losses, thereby providing evidence against the Efficient Market Hypothesis and suggesting the possibility of speculative bubbles. / Thesis (BS) — Boston College, 2019. / Submitted to: Boston College. Carroll School of Management. / Discipline: Departmental Honors. / Discipline: Economics.

<p>Recent accounting scandals, often led by managers trying to improve results and thereby their own bonuses, have severely damaged the publics view of management. In the aftermath of scandals such as Enron, Parmalat and Skandia, demand has increased for Corporate Governance codes and similar regulation. The Swedish code for Corporate Governance came into effect on July 1, 2005. The code requires all Swedish companies listed on the Swedish Stock Exchange (OMX A- and O-list), with a turnover exceeding 3 billion SEK, to disclose a report regarding Corporate Governance, attached to the annual report.</p><p>The purpose of this paper is to examine whether the new disclosure required by the Swedish Corporate Governance code will have a measurable effect on stock prices. The authors have applied event study methodology examining daily returns around the announcement of the Corporate Governance reports. The listed companies mentioned above were also divided into groups depending on whether or not the report hade been audited, and to which extent the authors found the reports to be transparent. Also, two groups were formed with companies applying SOX, and companies not required to apply the code.</p><p>The results show that a measurable negative effect could be identified on the 1% significancelevel on the day of the event for the whole sample of companies. Companies publishing audited reports found positive Abnormal Returns, but without significance. Negative abnormal returns were found on the 1% significance-level for companies not presenting audited reports. No significant results were found for the groups classified after the degree of transparency. The findings suggest that the market is not fully mature enough to evaluate unaudited reports. The market rewards companies that audit the reports. The conclusion of this paper is therefore that reports regarding Corporate Governance do have a negative effect on stock prices.</p>

Recent accounting scandals, often led by managers trying to improve results and thereby their own bonuses, have severely damaged the publics view of management. In the aftermath of scandals such as Enron, Parmalat and Skandia, demand has increased for Corporate Governance codes and similar regulation. The Swedish code for Corporate Governance came into effect on July 1, 2005. The code requires all Swedish companies listed on the Swedish Stock Exchange (OMX A- and O-list), with a turnover exceeding 3 billion SEK, to disclose a report regarding Corporate Governance, attached to the annual report. The purpose of this paper is to examine whether the new disclosure required by the Swedish Corporate Governance code will have a measurable effect on stock prices. The authors have applied event study methodology examining daily returns around the announcement of the Corporate Governance reports. The listed companies mentioned above were also divided into groups depending on whether or not the report hade been audited, and to which extent the authors found the reports to be transparent. Also, two groups were formed with companies applying SOX, and companies not required to apply the code. The results show that a measurable negative effect could be identified on the 1% significancelevel on the day of the event for the whole sample of companies. Companies publishing audited reports found positive Abnormal Returns, but without significance. Negative abnormal returns were found on the 1% significance-level for companies not presenting audited reports. No significant results were found for the groups classified after the degree of transparency. The findings suggest that the market is not fully mature enough to evaluate unaudited reports. The market rewards companies that audit the reports. The conclusion of this paper is therefore that reports regarding Corporate Governance do have a negative effect on stock prices.

Purpose: The purpose of this thesis is to study the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market over the period January 1st 1993 to December 31st 2011. The findings are analysed with the intention of developing investment strategies and to investigate if behavioural finance can help to explain the existence of seasonal anomalies.  Background: A number of previous studies have found evidence of seasonal anomalies in global stock markets, and by challenging the core assumptions of market efficiency, such anomalies may make it possible to predict the movement of stock prices at certain periods during the year. Consequently, there may be substantial profit-making opportunities that clever investors can benefit from, raising two important questions: (1) can such anomalies be strategically used to outperform the market and (2) why do such cyclical return patterns exist? Method: Daily closing prices from the Singapore Straits Times Index (STI) are used to compute average daily and monthly returns, which are further analysed through the use of statistical significance analysis and hypothesis testing to identify the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market.  The results of the statistical investigation are used to develop investment strategies that are designed to take advantage of both positive and negative effects, and the theories of behavioural finance are applied to help explain why seasonalities occur at certain points in time. Conclusions: This study finds evidence of several seasonal anomalies in the Singapore stock market. Both day-of-the-week effects and month-of-the-year effects are present in the STI over the full sample period. Many of these effects can be explained by behavioural finance, and used to develop investment strategies that outperform the market.

The aim of this study is to examine classical Dow-strategies, Dogs of the Dow and Foolish Four relative to each other and OMXS30GI in order to test if promises of substantial returns would be kept on the Swedish stock market during the period 2002-2019. Our empirical findings show no statistically significant excess-return generated by the Foolish Four-strategy over neither the Dogs of the Dow-strategy nor OMXS30GI. Furthermore, we found that the Dogs of the Dow-strategy produced a statistically significant excess-return over benchmark OMXS30GI, however excess-return does not remain after excluding years of great market turmoil.