This thesis wants to explore the forecasting potential of the multi-factor models to predict excess returns of the aggregated portfolio of the European stock mar- ket. These factors provided by Fama and French and Carhart are well-known in the field of asset pricing, we also add several financial and macroeconomic factors according to the literature. We establish a benchmark model of ARIMA and we compare the forecasting errors of OLS and the LSTM neural networks. Both models take the lagged excess returns and the inputs. We measure the performance with the root mean square error and mean absolute error. The results suggest that neural networks are in this particular task capable of bet- ter predictions given the same input as OLS but their forecasting error is not significantly lower according to the Diebold-Mariano test. JEL Classification C45, C53, C61, E37, G11, G15 Keywords Stocks, European market, Neural networks, LSTM, Factor Models, Fama-French, Predic- tions, RMSE Title Does LSTM neural network improve factor mod- els' predictions of the European stock market?

ESG investing is a hot subject in today’s world with socially responsible investments under management reaching 35.3 trillion in the beginning of 2020. Corporations today are highly affected by social and government pressure to take on corporate social responsibility. This rise in corporate social responsibility has led to a need for a deeper understanding of what lies beneath the ESG score and how this affect financial performance. In this study we disassemble the ESG score into its 10 subcategories and test how risk and financial return get affected by investing in a high scored portfolio compared to a low scored one. The study is carried out from the start of 2012 to the end of 2021. When testing our portfolios, the Fama-French five-factor model is applied, and we find results that shows that the alpha is positive and significant in 16 out of 20 portfolios. Our findings suggest that investing in low scored portfolios produce higher excess return than both the top portfolio and the market and that a portfolio consisting of low scored corporations have a higher Sharpe ratio in general than a portfolio consisting of high scored stocks. Furthermore, we find results indicating that for most of the ESG subcategories, investing in the portfolios with high ESG subcategory scores will provide significant excess return to the market.

This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. The method adopted in order to answer the question is the construction of a negatively screened portfolio. The negative screening is done on an industry basis to see if excluding firms that engage in activities related to ESG risks would increase or decrease portfolio performance. Costs or benefits are primarily estimated as the intercept, also referred to as alpha, from Carhart’s (1997) four-factor model but is complemented by both the CAPM and the Fama-French three-factor model. The results of this study indicate no significant findings, as measured in alpha, achieved from the negative screening. However, the findings suggest a lower Sharpe ratio in the screened portfolio, and that negative screening may be associated with a lower systematic risk similar to what previous research has found.

Previous scholars have viewed expenditures on ESG (environmental, social, governance) in two distinct ways. In one way, it has been viewed as wasteful if it does not directly contribute to the business. The other perspective being that by addressing ESG-issues, one can improve businesses by improving society. In recent times, ESG has become an increasingly common topic due to the increased awareness and debates regarding the environment and sustainability. The increased attention toward ESG issues has resulted in increased ESG reporting by firms. As a result, shareholders and stakeholders can address more of their concerns by knowing how ESG-friendly a firm is. With the increased attention given to ESG in recent years, its actual effects on a firm becomes increasingly interesting. The relationship between ESG and firm performance and the relationship between ESG and stock return has been studied by several researchers over the years. The different studies have come to different conclusions regarding these relationships and the relationships are still inconsistent. In this paper, the relationship between ESG-scores and firm performance, as well as ESG-scores and stock returns in Swedish large-cap firms is examined. This study aims to investigate the relationship between ESG-scores and firm performance and the relationship between ESG-scores and stock returns. Furthermore, the study measures firm performance by measuring total asset turnover, net profit margin, and operating profit margin. Stock returns are measured with the use of historical yearly stock returns. The relationships are investigated with regression analysis. This study has a quantitative approach, where secondary data between the years 2016-2020 has been extracted from the database Refinitiv Eikon. The study finds that the relationship between ESG-scores and total asset turnover is negative, meaning that increased ESG-scores result in less efficient use of assets. The relationship between ESG-score and net profit margin is insignificant, and no conclusion can be drawn from that relationship. The relationship between ESG-scores and operating profit margin is positive, meaning that customers are willing to pay more for a firm's sustainable practices. The relationship between ESG-scores and stock returns is insignificantly negative; thus, we cannot draw any conclusions regarding the relationship, but it could indicate that ESG-scores are accounted for in the stock price.

No description available.

本研究目的欲探討實施費率自由化第一及第二階段後之情形，即在2006年第二階段實施後，台灣產物保險公司及各險種個別之資金成本，以檢視兩階段自由化實施後是否顯著影響國內產險業。而資金成本為公司每段期間內應支付資金提供者之期望報酬，故以此可做為日後公司經營之參考指標。研究期間為2002年至2008年，分別由一因子模型及多因子模型解釋台灣產物保險業之資金成本，及系統風險(β)的變化是否會影響其資金成本之變動。利用資本資產定價模型(Capital Asset Pricing Model, CAPM)及Fama-French三因子模型(Fama-French Three-Factor Model, FF3F)求得公司資金成本，再透過完備資訊方法(The Full-information Industry Beta Method, FIB)了解不同險種間之系統風險及資金成本。實證結果顯示： 1. 無論在整體產險公司或是不同險種間，由FF3F模型所估計之資金成本均高於由CAPM模型所估計之資金成本。說明CAPM模型無法反映公司規模及財務危機因子(淨值市價比因子)之溢酬，而造成資金成本之低估。 2. 經CAPM模型及FF3F模型之估計，顯示台灣產險業之資金成本均低於國外產險業之資金成本，如美國。說明台灣產險業於資本市場之融資成本較低，造成其資本效率偏低，投資人變相縱容產險公司從事高風險性資產之投資。 本研究由台灣實證資料，顯示現行產險業資金取得成本低，導致其資本效率偏低，且投資人無法由市場資訊檢視其保險本業是否根據成本之考量來定價，故主管機關應於費用完全自由化後，加強產險業經營之監理，導正產險市場經營模式，避免因核保循環(underwriting cycle)而影響公司財務穩健。 關鍵詞：費率自由化、資金成本、資本資產定價模型、Fama-French三因子模型、完備資訊方法。

Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used.

We examine the effect of merger announcements on the stock performance of acquirers' industry rivals in the context of Chinese and US deals between 1994 and 2017. Our analysis reveals that investors of rivals are able to earn abnormal returns during days around merger announcement, meaning that markets are not fully efficient as implied by the Efficient market hypothesis. We conclude that in a reaction to the announcement, US rivals achieve generally negative abnormal returns with higher magnitude and volatility compared to Chinese rivals. Additionally, we observe that Chinese investors' perception of mergers turned out to be more conservative after the Global financial crisis. During days around the merger announcement, signs of rivals' abnormal returns also differ on whether the target is public or private in both countries. Rivals operating in industries that are substantially supported by Chinese government such as real estate, pharmaceuticals, and chemicals experience positive reaction on mergers of their competitors. Furthermore, we find that industries with increasing im- portance in Chinese developing economy such as banking, telecommunications, and cyclical consumer products show a positive reaction of rivals' returns on merger announcements while in the developed US economy, a negative...

Background: The Swedish fund savings have developed strongly over the past two decades. Together with this development, the knowledge that the earth's population is facing an extensive climate challenge has also increased. For many people today, living sustainably has become a central aspect of everyday life, and when it comes to investing their savings, the majority of Sweden's fund savers state that sustainability is something that is taken into account when choosing an investment. Investments in funds that based on measuring tools, show a high degree of sustainability have thus increased. This raises the question of whether these sustainable funds can generate a higher alpha and thus a better risk-adjusted return than the less sustainable alternatives available on the market. Previous studies have shown differences of opinion, which means that it is relevant to examine how these different types of funds perform against each other in the Swedish market.   Purpose: The aim of this study is to analyze whether fund savers that are investing in sustainable funds can generate a higher alpha and thereby a better risk adjusted return than fund savers that invests in less sustainable alternatives.   Methodology: The study was conducted with a quantitative method and a deductive approach. Sustainability ratings have been collected for 253 funds from a measuring institute. For these 253 funds, data in the form of net asset value have been collected between the period 2016 - 2020 monthly. These funds have then been evaluated based on risk-adjusted returns where regression analysis has been the groundwork for finding answers to whether alpha has been achieved compared to the market or not. Results obtained have then been statistically examined through various tests.   Conclusion: After completed study, there were no signs that studied sustainable funds have given rise to a better risk-adjusted return than the less sustainable alternatives available on the market. Of the 253 funds included in the study, only five funds showed a risk-adjusted return statistically different from zero, where three had a negative return and two a positive return. When the 253 funds were divided into four different quartiles based on sustainability ratings, it appeared that the funds with a positive risk-adjusted return were placed in quartile four, which was the one with the highest sustainability rating. However, this may be based on chance and a result of two in a sample of 253 gives clear indications that efficiency prevails in the market.

Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shareholder activism and cause-based investing. Although international SRI markets such as that of the United States of America and the United Kingdom are sophisticated and established markets, the South African SRI market is still relatively new and is yet to reach its full potential. Thus, as a growing market, little research regarding the long term risk-adjusted performance of SRI funds in South Africa has been conducted. The long term risk-adjusted performance of the sample of SRI funds was measured through the use of five risk-adjusted performance measures, namely the Treynor ratio, Sharpe ratio, Jensen’s alpha, Sortino ratio and Omega ratio, and through the use of three performance measurement models which included the capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model. The risk-adjusted performance of the sample of SRI funds was measured with the intent to establish if these funds out- or underperformed against three benchmark categories, namely the Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) SRI Index, a matched sample of conventional investment (non-SRI) funds and the FTSE/JSE All Share Index. The probable effect of the 2007/08 global financial crisis was also measured to analyse whether such a hazardous market event affected the performance of the SRI funds. According to the results and findings, the risk-adjusted performance of the SRI funds has improved over the research period. However, the SRI funds neither outperformed nor underperformed against the three benchmark categories over the research period. The performance measurement models’ analysis indicated that the SRI funds were less sensitive to market fluctuations, more exposed to small capitalisation portfolios, more growth-oriented, and exhibited significant momentum after the period of the 2007/08 global financial crisis. Furthermore, the analysis indicated that the SRI funds significantly underperformed against the non-SRI funds during the Performance of socially responsible investment funds in South Africa research period. Mixed results were obtained with regards to the probable effect of the 2007/08 global financial crisis on the performance of the SRI funds.