Momentum has been a persistent and robust factor in explaining excess future returns, generating great interest from investors and financial analysts. Following the financial crisis of 2008 and the Covid-19 pandemic, there have been instances of significant momentum crashes. US Equity funds are used to gain insights about the properties of momentum and its predictive ability. Momentum performance is evaluated over the period 2000 to 2023. A multifactor model is developed, using factor attribution to explain the impact on fund performance over time by factors such as risk, size, value-growth orientation and momentum. Conclusions can be made that while momentum have previously been successful in predicting future returns, particularly for growth-oriented funds, recent market situations have lead to underperformance. The multifactor model, incorporating size and value-growth orientation, suggests that momentum is not entirely responsible for the poor performance following the Covid-19 crisis. / Momentum har historiskt sett varit en framgångsrik faktor för att predicera framtida avkastning, vilket har skapat stort intresse från investerare och finansiella analytiker. Efter finanskrisen 2008 och Covid-19 pandemin har det skett signifikanta momentumkrascher. Amerikanska aktiefonder används för att undersöka egenskaperna hos momentum och dess prediktiva förmåga. Prestationen av momentum utvärderas under tidsperioden 2000 till 2023. En multifaktormodell utvecklas, som använder faktor-attribution för att förklara hur fonders avkastning påverkas över tid av faktorer såsom risk, marknadsvärde, värde/tillväxt-orientering och momentum. En slutsats dras att även fast momentum har presterat väl historiskt för att predicera framtida avkastning, särskilt för tillväxt-orienterade aktiefonder, så har den senaste tidens marknadsrörelser lett till underprestation. Multifaktormodellen, som innehåller marknadsvärde och värde/tillväxt-orientering, indikerar att momentum inte är en lika stor anledning till underavkastningen efter Covid-19 krisen.

Prior research finds that mutual fund investors have adequate ability to select funds which superior performance remains persistent. Following the work of Keswani and Stolin (2008), we use a fund netflow as a proxy for investors¡¦ preference to examine whether the smart money effect exists. Furthermore, this paper differs from prior research by combining the smart money phenomenon and fund firm¡¦s marketing activities (the advertising expenditure of mutual funds). This paper generates four empirical findings. (1) Mutual funds with positive netflow subsequently have positive Carhart four-factor alpha, that is, the ¡§smart money effect¡¨ exists in Taiwanese mutual fund market. (2) The smart money effect is caused by investors¡¦ buying decisions. (3) The smart money effect is only a short-lived phenomenon. (4) Our evidence shows that advertising of funds can explain the smart money effect in Taiwanese open-end mutual fund market.

Problembakgrund: Studier för sambandet mellan volatilitet och avkastning har för det aggregerade marknadsperspektivet varit odelat enliga i att detta är negativt. Detsamma gäller inte sambandet vid studier på aktier för enskilda företag där ett antal har kunnat observera ett positivt samband. Detta skulle betyda att det är fördelaktigt när en akties volatilitet ökar, vilket går emot tidigare teorier som säger att sjunkande aktiekurser leder till en ökande volatilitet. I en teori har reala optioner presenterats som en förklaring genom dess konvexitet som leder till ett samtidigt ökande värde när volatilitet ökar. Problemformulering: Existerar ett positivt samband mellan volatilitet och avkastning för enskilda aktier noterade på den svenska aktiemarknaden? Syfte: Studiens huvudsyfte ligger i att avgöra om det går att observera ett positivt samband mellan volatilitet och avkastning på företagsnivå. Sambandet kontrolleras för de variabler som indikerar på en relativt stor tillgång reala optioner för att avgöra om ett företags flexibilitet gör att avkastning och volatilitet ökar samtidigt genom de reala optionernas värdeökning i enlighet med den teori presenterad av Grullon, Lyandres och Zhdanov. Ett delsyfte är därefter att undersöka huruvida vanliga prisjämviktsmodellers förklaringsgrad kan förbättras för att utreda om reala optioner har en så betydande effekt för svenska aktiers avkastning att investerare bör ta dessa i beaktande. Teori: Studien avhandlar de två teorier som tidigare presenterats som huvudförklaringar för det asymmetriska sambandet mellan volatilitet och avkastning, hävstångseffekten och volatilitetsfeedback-effekten. Dessutom presenteras den teori som genom ett företags flexibilitet eventuellt förklarar ett symmetriskt samband och de nyckeltal som indikerar på en relativ tillgång reala optioner. För att kunna undersöka detta samband använder vi CAPM, Fama-French tre- och Carhart fyrfaktormodell, samt en vidare modifierad modell som beaktar reala optioner. Metod: För att besvara vår problemformulering har vi valt att genomföra denna kvantitativa studie med en deduktivt ansats. Ett totalurval bestående av 1131 företag på aktiemarknaden mellan åren 1992 – 2011 ligger som grund för de statistiska testen.  Empiri/analys: Resultaten visar på att det inte föreligger ett positivt samband mellan volatilitet och avkastning för enskilda aktier noterade i Sverige, det samband vi finner är signifikant negativt. De undersökta prisjämviktsmodellerna visar på en något ökande förklaringsgrad för de variabler som indikerar reala optioner men utan signifikanta resultat. Dessa resultat skiljer sig från referensstudien på den amerikanska marknaden av Grullon et al. som kunnat visa på ett positivt samband. Slutsats: Ett existerande symmetriskt samband går inte att helt utesluta, resultaten visar däremot på att de teorier som driver ett negativt samband är dominerande på den svenska marknaden. Detta kan bero på exempelvis skillnader i företagsklimat eller juridiska trösklar mellan länder som hämmar ett företags möjligheter till att vara flexibla och att denna effekt därför blir begränsad.

Investing in the Swedish stock market has over time proven to be an effective way to increase wealth. Nationally speaking, Sweden’s population is also one of the best in the world at investing their savings. Four out of five swedes invest at least some part of their private savings into mutual funds which approximately amounts to 8.4 million people. Consequently, in 2022, the aggregated amount of household wealth invested into fund shares and stocks was a staggering 3.1 trillion Swedish crowns. With such a huge interest in the stock market it is important to understand how risk-adjusted returns should be evaluated. Traditionally there has been a choice between active and passive investment strategies, depending on how the investor views the market's pricing of securities. This study investigates, using the Carhart four-factor model, how asset pricing varies over time depending on different levels of market volatility. The theories that have been used for this study are mainly the efficient market hypothesis and the adaptive market hypothesis. With these as a starting point, various asset pricing models have been tested (Carhart four-factor model & CAPM) and examined with statistical tests to produce reliable results. The results of this study can be used to draw conclusions that both theoretically and practically contribute to the expanding body of knowledge regarding factor models and Smart Beta investment strategies, specifically in the Swedish stock market. The study suggests that the Carhart four-factor is a reliable method to determine risk-adjusted returns in the Swedish stock market, mainly when it’s used during normal market conditions. It also appears that, based on the study’s observation of alpha, the dynamics of asset pricing in the Swedish stock market are more in line with the adaptive market theory rather than the efficient market theory. This insight can be used as an argument for how the Swedish stock market can be assumed to behave. In turn, this can give investors more understanding for which risk factors are considered significant during different times of market volatility, and how their risk premiums should be discounted when valuing securities. By emphasizing the importance of various risks being priced in different ways during different times of market volatility it is possible to manage the risk exposure of security portfolios in a more accurate and desirable way. Finally, it can be stated that the results are both on par with previous research that advocates and opposes factor models. The study found the effectiveness of the Carhart four-factor model in explaining the risk-adjusted returns to vary over time and that it cannot be assumed with statistical certainty to improve upon the CAPM in all market climates.

The aim of this study is to evaluate the difference in performance and management fees between ethical and conventional mutual funds registered in Sweden. Our dataset consists of 49 ethical and 254 conventional funds, estimated on a 10-year period of time between January 2005 to January 2015. Jensen’s alpha is used as a measure for risk-adjusted performance and estimated through CAPM single-index model as well as by Carhart’s four-factor model. By adding back the management fees to the net returns and then estimate Jensen’s alpha by Carhart’s four-factor model once again, evidence of any differences in the impact on return between ethical and conventional funds is found. The results obtained from the study show that there is no difference in neither the risk-adjusted returns nor management fees between ethical and conventional funds. It is concluded that Swedish mutual fund investors are not paying a specific price in terms of reduced returns or higher management fees for putting social and ethical values into their financial investment decision.

This essay will compare the capital asset pricing model (CAPM), Fama and French threefactor model and Carhart´s four-factor model, to see which of these models that can explain portfolio excess returns best on the Swedish stock market. This thesis will tempt to validate the three and four-factor models because of the limited amount of research done on the Swedish stock market. The results indicate that the three-factor model improves explanatory power for portfolio returns in comparison to the CAPM, and the four-factor model gives a small improvement in the explanatory power compared to the three-factor model. The results also indicate that all models have a low explanatory power when the market is volatile.

The mutual fund industry in Sweden has grown rapidly over the past years. Research has been made on the topic for over 50 years, however there are still uncertainties about the determinants of fund performance. The purpose of this study was to examine what determines the risk-adjusted performance of mutual equity funds available to Swedish investors.  A side-purpose was included to examine to what extent the Efficient Market Hypothesis holds in Sweden. A simple random sample was conducted where 500 equity funds were included. From Refinitiv/Thomson Reuters Eikon Datastream fund characteristics were downloaded. To find the abnormal return of mutual equity funds, a hybrid Fama-French Carhart factor model was used which includes both domestic Swedish factors and global factors. The model was used to calculate the yearly risk-adjusted performance for each fund using 12 months return. This was denominated Alpha which was used as the dependent variable in the regression models. Further, to determine the characteristics which affect risk-adjusted performance two multiple regression models with six independent variables and three control variables are constructed. Further, a one sample t-test was conducted to test the market efficiency for mutual funds available to Swedish investors. Eight statistical hypotheses were created and tested in which two found a significant result which were that alpha differs from zero and Total Expense Ratio determines the risk-adjusted performance.   To conclude, findings showed only the character Total Expense Ratio determines risk-adjusted performance of mutual equity funds available to Swedish investors. In conclusion the control variables year, geographical focus and currency affect the fund performance. The study is an interesting aspect for Swedish investors and fund managers since the study implies deeper knowledge about the mutual fund industry in Sweden and therefore should be concerned by the variable TER to earn abnormal returns. Further, the study contributes with a theoretical discussion in line with the results concerning Efficient Market Hypothesis, the Diversification Effect and Modern Portfolio Theory. Conclusions are drawn based on our result that the Efficient Market Hypothesis does hold in the Swedish fund market. Although only one character determines the risk-adjusted performance and average investor should choose funds that follow the market, based on the skill level of average investors.

Syfte: Företagens påverkan på samhället kopplat till ansvarsfulla investeringar är inget nytt. De senaste årens ökade kapitalflöden från en bred samling investerare mot hållbara investeringar leder fram till den här studiens syfte: Syftet med uppsatsen är att genom en uppdelning av nordiska finansiella bolag i portföljer utifrån ESG-betyg undersöka om ESG-betyget påverkar den riskjusterade avkastningen i de olika portföljerna. För att svara på denna högaktuella fråga genomför författarna i studien en tidsresa bakåt i tiden bland tongivande forskare, och, i flera fall nobelprisvinnares finansiella teorier för att finna svar. Önskan är att binda samman dessa med 2020-talets investerare och dess frågeställning om hållbara kapitalplaceringar.  Metod: Genom en kvantitativ forskningsansats avser denna att studie att kontrollera om det finns ett samband mellan finansiella bolags ESG-betyg och den riskjusterade avkastningen under perioden 2011 till 2020. Totalt analyseras 48 bolag med ESG-betyg och 84 bolag utan betyg. Resultat och slutsats: Studien visar inget tydligt samband mellan ESG-betyg och riskjusterad avkastning för nordiska finansiella bolag. Examensarbetets bidrag: Studien bidrar till forskningsområdena CSR, ESG-betyg och hållbara investeringar genom att visa på att dessa inte har något tydligt samband till varandra. Det praktiska bidraget visar att fondinvesterare inte bör betala en premie för hållbara fonder samt att det står aktieinvesteraren fritt att välja mellan finansiella bolag med eller utan ESG-betyg. Förslag till fortsatt forskning: Det föreslås att forska vidare på ämnet insiderhandel kopplat till hållbarhet, för att se om företagsledning agerar opportunistiskt på information rörande hållbarhet på ett liknade sätt som vid finansiell information. / Purpose: The link between the impact of corporations on society when it comes to responsible investing is no new thing. The latest years increased capital flows from a wide range of investors to sustainable investing leads to the purpose of this study; The purpose is to investigate how ESG score is impacting the risk adjusted return in a range of portfolios based on the ESG score of the underlying companies. To answer this current question the writers are making a time travel backwards to see what the theories of renounced, and sometimes Nobel Prize awarded, scientists can tell. Then connect these theories with the investors of 2020 and their questions on sustainable investing. Method: Through a quantitative research approach, this study intends to check whether there is a connection between financial companies' ESG score and the risk-adjusted return they provide during the period 2011 to 2020. A total of 48 companies with ESG score and 84 companies without score are analyzed. Result & Conclusions: The study shows no clear relationship between ESG score and risk-adjusted return for Nordic financial corporations. Contribution & Conclusions: The study contributes to the research areas CSR, ESG score and sustainable investments by showing that these have no clear connection to each other. The practical contribution shows that fund investors should not pay a premium for sustainable funds and that it shows that stock investors can freely choose between financial companies with or without ESG score. Suggestions for future research: It is suggested to study the field of insider trading linked to sustainability, to see if that information is valued in the same way as financial information.

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.

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.