Abstract The study attempts to filter the public trading data, based on TESC and TEJ to get the proxy variable of insiders¡¦ trading. We estimate the proxy variable of insider trading according to the Security and Exchange Act. The correlation between the daily return and time-series proxy variables are significant and the proxy variable is a factor for the return. The paces of information releasing are different by capital levels. When the capital is under 40 billion, the information will be released within 4 days. The portfolio of the proxy variable in 4 factors Fama and French model is only effective in small capital levels. In the aspect of the price levels, the time series proxy variables are significant but the effects are different among the levels of price. The portfolio of the proxy variable in 4 factors Fama and French model is only effective in the lower price levels

This thesis investigates whether the estimation of the cost of equity (or the expected return) in the Swedish market should incorporate an adjustment for a company’s size. This is what is commonly known as the size-effect, first presented by Banz (1980) and has later been a part of models for estimating cost of equity, such as Fama & French’s three factor model (1992). The Fama & French model was developed based on empirical research. Since the model was developed, the research on the size-effect has been divided and today there are empirical studies contradicting its existence. Arguments against the size-effect are to some extent supported by the fact that there is no solid theoretical explanation for it. It seems however that market participants in the Swedish markets do adjust for the size.A limitation of the Fama & French model is that market data is required for the estimation. Our starting point is to investigate if there is a presence of the size-effect in the Swedish markets using a modified version Fama & French model. In our modified model a proxy for the market value of the firm has been introduced, namely the firms turnover. This is motivated by the fact data regarding a company’s turnover is available for private firms as well. In the case that size-effect is observable using the turnover as a proxy this would allow to extend the model to estimate the cost of equity for private firms. In the case where a consistent estimated marginal effect of the turnover is observed, our model could be used to estimate cost of equity with reasonable precision. Historical data on Swedish companies from each of the OMX Large, Mid & Small cap lists is used in a regression setting to investigate if any statistical significant results can be observed on whether the logarithm of the turnover affects the expected return.Our results indicate that the marginal effect of the turnover is positive, contradicting previous research and economic intuition that size of a company should be negatively correlated (or uncorrelated) with the expected return. By investigating the internal and external validity of the results, comparison to previous research and assessing data quality, we conclude that errors originating from these factors are not plausible to cause the unintuitive results. We therefore conclude that the use of turnover as a proxy for market value is not viable, which may be attributed to the fundamental relationship between the turnover and cost of equity in valuation formulas. Conclusively we cannot draw any further conclusions regarding presence of size-effect in the Swedish equity markets and discard the possibility of using our modified model for estimating cost of equity for private firms.

Syftet med uppsatsen är att undersöka om fusioner och förvärv genomförda av svenska börsnoterade företag mellan år 1990 och år 2005 har skapat något värde för det köpande företagets aktieägare. För att besvara syftet har en kvantitativ studie i form av en eventstudie gjorts, där det köpande företagets faktiska avkastning tre år efter transaktionstillfället har jämförts med en beräknad förväntad avkastning utifrån Fama och Frenchs trefaktormodell. Resultatet tyder på att fusioner och förvärv faktiskt har skapat värde för det köpande företagets aktieägare på lång sikt, men detta kan inte fastställas statistiskt.

[pt] Este trabalho objetivou realizar um estudo de caso para analisar a performance da ação da Lojas Americanas (LAME 4), negociada na BMeFBOVESPA, utilizando quatro modelos de previsão de retornos esperados. Os modelos escolhidos foram: CAPM (Capital Asset Pricing Model) de Sharpe (1964), Lintner (1965) e Mossin (1966), modelo de 3 fatores de Fama e French (1992), modelo de 4 fatores de Fama, French e Carhart (1997) e o modelo APT (Arbitrage Pricing Theory) de Ross (1996). A metodologia foi estruturada em duas partes: utilização de regressões múltiplas para verificar a significância dos fatores em cada modelo e comparação dos resultados para indicar aquele que se mostrou mais adequado para explicar o comportamento do ativo. Por fim, o modelo de três fatores de Fama, French revelou-se mais apropriado. / [en] The objective of this study was to conduct a case study to analyze the performance of the Lojas Americanas stock (LAME 4), traded on the BMeFBOVESPA, using four expected returns prediction models. The chosen models were CAPM (Capital Asset Pricing Model) of Sharpe (1964), Lintner (1965) and Mossin (1966), model of 3 factors of Fama and French (1992), model of 4 factors of Fama, French and Carhart (1997) and the APT (Arbitrage Pricing Theory) model of Ross (1996). The methodology was structured in two parts: the use of multiple regressions to verify the significance of the factors in each model and the comparison of the results to indicate the one that was more adequate to explain the behavior of the asset. Finally, the three-factor model of Fama, French was found to be more appropriate.

[pt] A intenção do presente estudo é avaliar o desempenho do mercado acionário brasileiro, no período pós-estabilização econômica, através da utilização dos modelos financeiros APT e CAPM a fim de verificar qual deles é melhor capaz de retratar o desempenho das ações. O modelo CAPM foi comparado a dois modelos APT distintos: o Modelo de Três Fatores de Fama e French, e o Modelo APT Unificado ao CAPM proposto por John Wei, onde foram utilizados fatores macroeconômicos além do fator de mercado. Em todos os modelos o prêmio de risco se mostrou relevante. O Modelo de Três Fatores apresentou melhor capacidade explicativa em relação ao CAPM. Todavia, este modelo apresentou uma anomalia do mercado brasileiro, tendo as empresas de pequeno porte apresentado retornos menores que as empresas grandes. A utilização deste modelo implicaria na crença que esta anomalia irá perdurar no futuro. No modelo APT Unificado ao CAPM não foi possível rejeitar a hipótese da inexistêcia de prêmio de risco de todos fatores simultaneamente. Além disso, o ganho de poder explicativo do modelo quando comparado ao CAPM foi insignificante. / [en] This study analyses the Brazilian stock market after the stabilization of the local economy using the APT and CAPM models to evaluate which of them better reflect stock performance. The CAPM was compared to two different APT models: Fama and French Three Factor Model, and An Asset Pricing Theory Unifying the CAPM and APT as proposed by John Wei based on macroeconomic factors and the market premium. For all models the market premium was a relevant variable. The Fama and French Three Factor Model was superior in explaining stock returns than the CAPM, although the size factor for the Brazilian market had an anomaly behavior: large companies outperformed small companies. The use of this model implies that this anomaly will continue in the future which is against the risk-return theory. For model Unifying the CAPM and APT it was not possible to reject the hypothesis that all variables are statically different than zero simultaneously. The increase in explaining power of the model was marginal compared to the CAPM.

None

Baker and Wurgler (2002) proposed market timing theory and indicated the observed capital structures are the outcomes that managers timed the equity market and took advantages of timing when information asymmetry is low and stock price is high. But many scholars argue that Baker and Wurgler¡¦s timing proxy is noisy, this study attempts to use the concept of Huang and Ritter (2009) to test market timing effect on capital structure more directly by cost of equity. The cost of equity in this study is estimated by Fama and French three factors model with five-year rolling regression which is different from Huang and Ritter (2009). The empirical results show that publicly traded firms in Taiwan Stock Exchange from 1996 to 2007 tend to issue debt when the cost of equity is high and issue equity when the cost of equity is low which means the timing of financing behavior exists but it has no long-lasting effect on capital structure. Indicating that the observed capital structures of publicly traded firms in Taiwan Stock Exchange aren¡¦t the outcomes that managers timed the equity market which is not identical to the perspectives of Baker and Wurgler (2002) and the speed of adjustment of capital structure of publicly traded firms in Taiwan Stock Exchange is very fast.

Bakgrund:CAPM räcker i flera tillfällen inte till för att estimera framtida avkastning. Vissa av prisavvikelsernafrån CAPM är väldokumenterade och har bestått över tid, vilket har lett till uppkomsten avkorrigerande faktorer. En modell som använder sig av två sådana korrigerande faktorer är Fama ochFrenchs tre-faktormodell. Den har testats flertalet gånger på den svenska marknaden där den visat gehögre förklaringsgrader än CAPM. År 2012 samt år 2014 presenterades två nya multifaktormodeller,som genom test på börsmarknaden i USA lyckats fånga upp prisavvikelser bättre än trefaktormodellen.Syfte:Denna studie ämnar undersöka om Fama och Frenchs fem-faktormodell samt Hue, Xue, Zhang´s Qfaktormodelltillför förklaringsvärde för Stockholmsbörsens avkastning i jämförelse med Fama-Frenchs trefaktormodell. Studien analyserar även modellernas konjunkturkänslighet samt faktorernasbetydelse.Metod:Forskningsprocessen är av deduktiv karaktär. Befintliga teorier i form av multifaktormodeller förprissättning av aktier testas med hjälp av empiriska observationer från den svenska marknaden.Studien tillämpar ett kvantitativt tillvägagångssätt och ekonometriska verktyg används för attsäkerställa statistisk signifikans.Resultat:Studien visar att Q-faktormodellen inte tillför förklaringsvärde jämfört med FF3M. FF5M ger resultatsom marginellt överträffar FF3M gällande dess förklaringsgrad. Anledningen till att FF5M presterarbättre bör rimligen ligga i faktorn HML. Resultaten visar också att modellerna är instabila i kortatidsperioder men tenderar ge bättre prediktioner i lågkonjunktur relativt till högkonjunktur. / Background:CAPM isn’t in some cases sufficient for explaining expected stock return. Some of CAPM´smispricing errors are well documented and time persistent which has led rise to the usage of correctivefactors. One model that make use of two such corrective factors are the Fama and French three factormodel. It´s been comprehensively tested on the Swedish market where it has shown to achieve higherexplanatory power then the CAPM. In the year of 2012 and 2014 two new Asset Pricing Models wereintroduced, which on the US stock market better captured many of the best known anomalies.Aim:The aim of the study is to test if the Fama and French five factor model as well as the Q-factor model,could contribute to increased explanatory power beyond the three factor model. The study also analyzethe models cyclical sensitivity as well as the individual factor significance.MethodologyThe knowledge building process takes a deductive approach. Existing theories in the form of assetpricing models are tested based on empirical observations in the Swedish market. The research take aquantitative approach and make use of econometric tools in order to ensure statistic accuratesignificance.Result:This research shows no contribution of explanatory power for the Q-factor model, beyond thatachieved from the Fama and French three factor model. The five factor model achieve marginallyhigher explanatory power compared to the tree factor model. The most likely reason why FF5Machieve better results than the Q-factor model is believed to lie in the usage of the factor HML. Theresults also shows that all of the tested models are very instable when used in a short time perspective.Although there are some clear indication on increasing explanatory power in recession compared to inan ongoing bull market.

In financial markets, momentum effect can be defined as the tendency of prices to maintain their short term movements. On the other hand, reversal effect is usually understood to be the change in direction of long term price movements. This paper examines whether momentum and reversal effects were in evidence in the Brazilian stock market between January 1999 and June 2012. After calculating 1296 trading strategies, no evidence of reversal effect is found. With regard to momentum effect, some weak evidence is presented for the very short term. Exposure to risk factors can explain returns on strategies, including returns on momentum strategies. The results are borne out with different market proxy specifications and size subsamples. When compared to previous studies, the results raise the question of whether the reversal effect is vanishing from the Brazilian stock market and whether the traces of momentum are sufficient to confirm its existence. Furthermore, evidence of seasonality is found for June in momentum strategies and for November in both reversal and momentum strategies. Subsequent tests reveal that the effects of seasonality are limited to small stocks. / Nos mercados financeiros, o efeito momento pode ser definido como a tendência dos preços em manter seus movimentos de curto prazo. Por outro lado, o efeito contrário é geralmente entendido como a mudança na direção dos movimentos de longo prazo dos preços. O presente trabalho examina a existência dos efeitos momento e contrário no mercado acionário brasileiro no período compreendido entre janeiro de 1999 e junho de 2012. A partir do cálculo de 1296 estratégias de investimento, nenhuma evidência de efeito contrário é encontrada. Com relação ao efeito momento, observou-se apenas uma fraca evidência no curtíssimo prazo. A exposição aos fatores de risco é capaz de explicar os retornos das estratégias, inclusive os retornos das estratégias de momento. Os resultados são robustos ao se utilizar diferentes especificações de proxy de mercado e subamostras de valor de mercado. Quando comparados a trabalhos anteriores, os resultados colocam em questão se o efeito contrário está desaparecendo no mercado acionário brasileiro e se as fracas evidências do efeito momento são suficientes para confirmar sua existência. Ademais, são observadas evidências de sazonalidade no mês de junho nas estratégias de momento e, no mês de novembro, em ambas as estratégias. Testes posteriores revelam que esses efeitos de sazonalidade estão restritos à subamostra de baixo valor de mercado.

Submitted by Luiz Fernando Alves Jr (luizfalvesjr@yahoo.com.br) on 2011-09-14T17:50:22Z No. of bitstreams: 1 Dissertacao Luiz Alves Jr.pdf: 640831 bytes, checksum: 63a6f4da7dee84ca741e9567c860b77e (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2011-09-14T19:26:29Z (GMT) No. of bitstreams: 1 Dissertacao Luiz Alves Jr.pdf: 640831 bytes, checksum: 63a6f4da7dee84ca741e9567c860b77e (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2011-09-14T19:26:45Z (GMT) No. of bitstreams: 1 Dissertacao Luiz Alves Jr.pdf: 640831 bytes, checksum: 63a6f4da7dee84ca741e9567c860b77e (MD5) / Made available in DSpace on 2011-09-14T19:27:22Z (GMT). No. of bitstreams: 1 Dissertacao Luiz Alves Jr.pdf: 640831 bytes, checksum: 63a6f4da7dee84ca741e9567c860b77e (MD5) Previous issue date: 2011-08-14 / Fama & French (1993) Three Factors Model is an extension of the Sharpe-Lintner & Black (1972) asset-pricing model, the CAPM. In this model, the market value and ratio price to book value of the firms are incorporated as explainable variables to the CAPM, adding to the market-risk factor β of the model. The Three Factors Model was originally developed to the American stock market and then successfully rolled-over to several different countries markets. Some studies have been done to the Brazilian case however the lack of data has compromised the results. The aim of this work is to test the Fama & French (1993) model to the Brazilian stock market using a new methodology to build the portfolios. The innovation in this work is the usage of a moving data-base that incorporates new stocks to the portfolios as they debut in the stock market and reaches the liquidity parameters for the model. In the previews works, the databases were made of fixed sets of stocks. This methodology aims to mitigate the lack of data problem in the Brazilian stock market. The period of analysis is from 2000 to 2011, and the stocks used to build the portfolio are those with reliable data and the ones that present at least one trade per 2 months. The analysis of the Three Factors Model were made using the Black, Jensen & Scholes (1972) linear regression approach, the same applied by Fama & French (1993) in their work. Sixteen portfolios were used as the dependent variables. They were built trough the crossing of 4 groups of stocks organized according to their market value (ME) and their ratio price to book value (ME/BE). Two portfolios were built as the independent variables. They are a set of stocks that mimic the market value risk factor, the SMB portfolio, and the price to book-value risk factor, the HML portfolio. The method used to estimate the parameters of the equation was the Ordinary Least Square. The results found for the Brazilian stock market were very similar to the ones found by Fama & French (1993). The first one was the same empirical contradictions of the CAPM found by Fama & French (1993) for the American market. The Betas from the CAPM had no apparent relation to the expected return of the stocks. Next, the Three Factors Model presented a higher explaining (R²) power to the portfolios returns and was statistically significant to 15 of the 16 tested portfolios. The coefficient of the regressions related to the risk factors SMB and HML presented, in the vast majority, the same signals of the ones found by Fama & French (1993). A small discrepancy was found in some HML coefficients and it was explained by the performance of the Brazilian economy and stock market in the period. At last the Three Factors Model proved itself a much better tool to evaluate the risk factors of Brazilian stocks then the CAPM. / O modelo de três fatores de Fama & French (1993) é uma extensão do modelo de precificação de ativos de Sharpe (1963), Lintner (1965) e Black (1972), o CAPM. Em Fama & French (1993), o valor de mercado e o valor contábil das empresas são adicionados como variáveis explicativas ao fator de risco de mercado β do CAPM. O objetivo deste trabalho é testar o poder explicativo do modelo de três fatores para o mercado acionário brasileiro. A inovação deste trabalho foi a utilização de um universo de ações móvel, no qual os títulos que são lançados na Bovespa no período de análise vão sendo incorporadas à base de dados conforme atingem os requisitos do modelo. Trata-se de uma abordagem inovadora, já que tradicionalmente o universo de ações que compõe a amostra é rígido do início ao fim do período de análise. Esta abordagem foi desenvolvida com o intuito de mitigar o problema de falta de dados do mercado acionário brasileiro. O período de análise foi de 2000 à 2011, e as ações utilizadas foram todas aquelas que possuíam um histórico confiável e apresentaram pelo menos um negócio à cada dois meses. A análise do Modelo de Três Fatores foi realizada utilizando a metodologia de séries temporais de Black, Jensen e Scholes (1972), da mesma forma que Fama & French (1993). Como variável dependente foram utilizadas 16 carteiras, oriundas do cruzamento das ações dividas em 4 percentis iguais pelos seus valores de mercado (ME), e 4 percentis iguais pela razão valor de mercado pelo valor contábil (ME/BE). Como variáveis independentes foram construídas duas séries de retorno que replicam os fatores de risco valor de mercado, SMB, e a razão valor de mercado pelo valor contábil, HML. Estas foram construídas pela diferença dos retornos das ações de maior ME e menor ME; e pela diferença do retorno das de maior ME/BE, pelas de menor ME/BE. O método de estimação dos coeficientes das regressões utilizado foi o dos mínimos quadrados ordinários. Os resultados do Modelo encontrados para a bolsa brasileira foram similares àqueles encontrados por Fama & French (1993). O Modelo apresentou maior poder explicativo para os retornos dos portfolios analisados que o CAPM, e mostrou-se estatisticamente significante para 15 das 16 carteiras. Os coeficientes das regressões relativos aos fatores de risco SMB e HML apresentaram, em sua maioria, os mesmo sinais que os encontrados por Fama & French (1993). Foi encontrada uma discrepância relativa ao sinal do fator HML para as carteiras de maior ME/BE, cuja explicação está atrelada ao momento da economia e mercados no período. Por fim, o Modelo e a discrepância foram reavaliados dividindo-se o período de análise em pré e pós-crise de 2008. O modelo mostrou maior poder explicativo para o período pós-crise que para o pré-crise. A mesma discrepância do sinal de HML foi encontrada no pré-crise, entretanto não foi verificada no pós-crise.