The diploma work is focused on a store layout optimization and the related areas. The work is divided into four parts where the first three parts described the theoretical thesis. The first chapter is about the marketing theory -- a customer's behavioral rules in a retail store and a correct store layout. The second chapter is based on the logistics theory and describes the methods of a range of goods categorization according to the different views. The third chapter is focused on the operations research theory and the assignment problem's models. The last chapter describes in detail a real example workflow -- the store layout optimization for Linde Gas Company. The objective is identification of the lucrative areas in the stores, the sold range of goods analysis and the creation of the store layout which will respect a customer's behavioral rules and which will also promote the sales of the selected goods.

Rapporten utgår från olika kategoriseringsmetoder för att på sikt öka servicenivån. Fallföretaget har under den senaste tiden expanderat, vilket bidragit till att de inte längre kan möta efterfrågan. De inköpsstrategier som tidigare använts är inte längre tillräckliga för de nya försäljningsvolymerna. Verksamheten har långa ledtider vilket ställt högre krav på inköpsstrategin och planering. Med hjälp av empiri, studentlitteratur, facklitteratur och observationer redogör rapporten för hur verksamheten kan förbättras genom en fallstudie. Med hjälp av observationer vid besöket hos fallföretaget kunde kartläggning av verksamheten och dess strategier slutföras, vilket ledde fram till rapportens syfte och frågeställningar. Genom att strukturera datan efter de olika metoderna, tillsammans med visuella hjälpmedel som diagram och grafer kunde resultatet gestaltas. Därefter analyserades resultatet för att dra slutsatser kring om det finns någon korrelation mellan teorin och rapportens resultat. Analysen lyfter fram hur kategorisering av metoderna används för att öka servicenivån. Därutöver analyseras för- och nackdelarna med de olika metoderna. Likaså behandlar rapporten vilken kategorisering som är mest lämplig i nuläget samt för framtiden. Det förekommer även diskussioner om olika prognosmodeller och hur man bör gå tillväga för att förbättra lagerstyrningen och höja servicenivån. Validiteten och reliabiliteten av rapporten diskuteras också för att kunna identifiera hur tillförlitlig rapporten är samt om den faktiskt mäter det den önskas mäta. Rapporten redogör för att FSN är den bästa kategoriseringen för fallföretaget. Genom att basera inköpen på prognosmodeller kan verksamheten hitta lämpliga orderkvantiteter. Den framtida inköpsstrategin baseras på kvantitativa modeller vilket bygger på historisk data. Utöver framtida inköpsstrategier föreslås hur verksamheten bör prioritera sina olika produkter för att på sikt höja servicenivån. Slutligen sammanfattas alla rekommendationer för en enklare förståelse av rapportens slutsats. / The report is based on various categorization methods that have been developed to increase the level of service in the long term. The case company has recently expanded, which has contributed to them no longer being able to meet the demand. The purchasing strategies they previously used are no longer sufficient for the new sales volumes. With long delivery times from factories in Asia, the intervals between stock refills are getting longer, which requires foresight. Using empirical data, student literature, non-fiction and observations, the report explains how the business can be improved through a case study. Calculations, formulas and tables are based on student literature and scientific articles. By starting from proven theories, the business's inventory management can be improved. With the help of observations during the visit to the case company, mapping of the business and its strategies could be completed, which led to the report's purpose and issues. By structuring the data according to the different methods, together with visual aids such as diagrams and graphs, the result could be shaped. The results were then analyzed to draw conclusions about whether there is any correlation between the theory and the report's results. The analysis highlights how categorization of the methods is used to increase the level of service. In addition, the advantages and disadvantages of the different methods are analyzed. Discussion about which categorization is most suitable in the current situation and for the future is then highlighted. There are also discussions about different forecast models and how to proceed to improve inventory management and raise the level of service. The validity and reliability of the report are also discussed in order to be able to identify how reliable the report is and whether it actually measures what it wishes to measure. The report states that FSN is the best categorization for the fall company. By analyzing forecast models based on demand from the categorization, a purchasing strategy for the company in the future is estimated. The future purchasing strategy is based on quantitative models, which is based on historical data that the case company currently lacks. In addition to future purchasing strategies, working methods with new products as well as improvement proposals with the work of categorization models are proposed. Finally, all recommendations are summarized for a simpler understanding of the report's discoveries.

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Thesis advisor: Jeffrey J.P. Pontiff / My dissertation includes three chapters on the value premium. In the first chapter, I study whether seemingly innocuous decisions in the construction of the original HML portfolio (Fama and French, 1993) affect our inference on the value premium. I find that the value premium is dramatically smaller than we thought. In sample, the average estimate of the value premium is 0.09% per month smaller than the original estimate of the value premium. Out of sample, however, the difference is statistically insignificant. The results suggest that the original value premium estimate is upward biased because of a chance result in the original research decisions. In the second chapter, I propose an estimate for intangible assets and growth opportunities and examine if this estimate improves book-to-market equity as a measure of value. I find that portfolios sorted on book equity plus the estimate to market equity have lower returns than portfolios sorted on book-to-market equity. The results suggest that intangible assets and growth opportunities diminish book-to-market equity as a measure of value because investors value intangible assets and growth opportunities in an overly optimistic way. In my third chapter, I simultaneously study nine explanations of the value effect to better understand what the dominant value explanation is. I find that duration accounts for most of the value effect and that the eight other explanations account for a negligible part of it. The results suggest that duration is the dominant explanation of the value effect. / Thesis (PhD) — Boston College, 2021. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Det är sedan länge känt att det finns en positiv korrelation mellan risk och avkastning. Investerare och bolag kan välja mellan flera olika prissättningsmodeller för att förutspå priset på en aktie. Forskare har, med den kända enfaktormodellen CAPM som utgångspunkt, utvecklat en modell som tar hänsyn till mer än bara marknadsfaktorn. Detta resulterade i framtagandet av Fama & French-trefaktormodellen (FF3) som även inkluderar storleksfaktorn SMB samt värdefaktorn HML. Syftet med studien är att utvärdera två prissättningsmodeller, CAPM och FF3, för att kunna bedöma deras prestanda vid värdering av förväntad avkastning. Tidigare forskning, inom området för nämnda modeller, berör ofta internationella marknader samt modellernas prestanda för portföljer. Vår studie utförs på utvalda enskilda svenska aktier inkluderade på Stockholmsbörsens Large Cap för januari år 2011 till december år 2015, genom att replikera tidigare forskning gjord av Bartholdy & Peare (2005). Utvalda bolag analyseras efter regressioner för modellerna för att kunna utvärdera dessa var för sig, samt för att se om FF3 har en högre justerad förklaringsgrad än CAPM för enskilda svenska aktier. Resultatet av studien visar att både CAPM och FF3 är applicerbara för utvalda enskilda svenska aktier. Ställs FF3 i förhållande till CAPM föreligger skillnad i justerad förklaringsgrad, dock är den ytterst marginell. Sammanfattningsvis bidrar studien med kunskapen om att CAPM och FF3 går att applicera på enskilda svenska aktier, men att det inte föreligger någon större skillnad i val av dessa två modeller. / Investors and companies can choose between multiple pricing models to predict the price of shares. With the known one factor model CAPM, researchers have developed a model that consider more than just the market factor. This resulted in the creation of the Fama & French three factor model (FF3), which also includes the size factor SMB and the value factor HML. The purpose of the study is to evaluate two pricing models, CAPM and FF3, to assess their performance when evaluating expected returns. Previous research often deal with international markets and model performance of portfolios. We study selected individual Swedish shares for January 2011 to December 2015 by replicating previous research by Bartholdy & Peare (2005). Selected companies are analysed by regressions for the models to be able to evaluate these separately, and to see if FF3 has a higher degree of explanation than CAPM for individual Swedish shares. The result of the study shows that both CAPM and FF3 are applicable for selected individual Swedish shares. There is a difference in the adjusted degree of explanation between the models but it is marginal. In conclusion, the study contributes with the knowledge that CAPM and FF3 can be applied to individual Swedish shares, but there is no major difference in the choice of these two models.

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本文引用Petkova(2006)所制定出來的模型及概念，探討Fama-French因子是否能作為投資機會的預測變數，並分析台灣股票市場風險溢酬(risk premium)與總體經濟變數間的關係。本文使用的總體經濟變數包括：規模效果因子(SMB)、淨值市價比效果因子(HML)、市場因子(market factor)、違約利差(default spread)、期限利差(term spread)、一個月期定存利率(RF)及股利收益率(dividend yield)。除此之外，本文亦以VAR系統表達每個狀態變數的動態特徵，討論公司治理因子與總體經濟變數(macroeconomic variables)間的關聯，並比較總體經濟變數與公司治理因子分別對股票超額報酬的解釋能力。 本研究以台灣股票市場為研究樣本，資料期間為2005年11月至2014年4月，共102個月的月報酬為研究主體。實證結果可發現：（1)本研究的價值型的股票(value stock)具有較高的風險溢酬，成長型股票(Growth stock)擁有較低的風險溢酬；而台灣上市公司也存在顯著規模效果，小市值公司具有較高的風險溢酬，大市值公司擁有較低的風險溢酬。（2)在大市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現正向變動。在小市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現反向變動；違約利差(default spread)則與規模效果因子(SMB)呈現正向變動。 / We use the model and concept that Petkova(2006) formulated to discuss if Fama-French factors can be the predictable variables of investment opportunity and analysis the relationship between risk premium and macroeconomic variables on Taiwan stock market. There are many macroeconomic variables in the article：Size factor(SMB)、book-to-market factor(HML)、market factor、default spread、term spread、one-month deposit interest rate and dividend yield. We capture the dynamic characters of every variables through VAR system to analyze the relationship French-French factors and macroeconomic variables. Furthermore, we compare the relationship between SMB and default spread, HML and term spread through the first step of Fama-MacBeth way. We can make two important conclusions through empirical evidence：(1) The risk premium is higher in value stocks than in growth stock, which means there is prominent book-to-market effect on Taiwan stock market. Moreover, the risk premium is higher in small firms than in large firms, which means there is magnificent size effect on Taiwan stock market.（2) The behavior that default spread has is the same as SMB factor in any book-to-market ratio criteria. However, the behavior that term spread has is the same as HML factor only in big capitalization criteria.

Att slå marknaden har varit ett kontroversiellt ämne inom akademin under en väldigt lång tid.Enligt EMH, en grundläggande finansteori, är det inte möjligt att “slå marknaden” under enlång tid utan att ta högre risk. Hedgefond-förvaltaren Joel Greenblatt publicerade år 2006 enformel som ska kunna prestera över marknaden till lägre risk, även långsiktigt, The MagicFormula. Denna studie utvärderar en Magic Formula-portfölj på den svenska marknaden i syfteatt undersöka om den kan generera en abnormal avkastning i perioden år 2000-2020. Dettagenomförs genom en kvantitativ analys. Resultaten visar att Magic Formula-portföljensintercept är signifikant skiljt från 0 i Fama & Frenchs trefaktormodell som inkluderar enmarknads-, storleks- och värdefaktor. Eftersom de riskpremier som testats för inte förklararavkastningen dras slutsatsen att antingen är trefaktormodellen bristfällig, eller så existerar enanomali kopplat till strategin.

The fund market has grown substantially during the past decades and the majority of Swedish citizens are invested in funds directly or through pension savings. There is mixed evidence on the performance of Swedish equity funds depending on the method employed and the time period studied. In this study, we set out to estimate abnormal performance using acknowledged methods during a time-period that is both longer and more recent than previous studies. Our sample is survivorship-free and consists of 150 mutual equity funds during January 1993 to December 2011. We use a four-factor model to estimate abnormal performance compared to an index and additional risk factors. We find that the average performance is neutral net of costs and that funds outperform with 1.7 percent before costs, the difference is approximately the average management fee. Over time, we find that the average abnormal performance and the share of funds that have significant outperformance have decreased while the share of significant underperformance has increased. Since the study of fund performance started in the 1960's the twin questions has been; does funds outperform the market and is this a result of pure chance or are managers skilled? Since we observe funds with significant positive and negative abnormal performance, we want to know if the results can attributed to luck or skill. We employ the latest technique, a bootstrap simulation, to test for skill or luck. This is the first study to employ the bootstrap to distinguish skill from luck in sample of Swedish funds. By ranking funds on performance after costs, we find that the performance of the majority of funds can be attributed to skill or "bad skill". The evidence is strongest in the top 95th percentile and above, and from the bottom 50th percentile and below.

Diploma thesis covers the topic about different attitudes to DCF valuation. The first part is an introduction into CAPM theory and a multifactor French-Fama model. This part also indicates different views on financial assets and analyzes an issue of setting discount rates, especially the risk-free rate and equity risk premium. The second part of this paper applies the theory into valuation of Microsoft, GAP and Telefónica O2. There are elaborated forecasts of the financial statements and free cash flows (FCFCE, FCFU), the discount rate composition and analyses of the factors HML and SMB. At the end, there are performed various valuations, which results are discussed together with a development of real market prices.