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A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio TheoryAbo Al Ahad, George, Gerzic, Denis January 2017 (has links)
This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. We also investigate if the Capital Asset Pricing Model is valid by doing a test similar to Fama and Macbeth’s of 1973. Based on earlier studies in the field and our own study we come to the conclusion that high beta stocks does not outperform low beta stocks in the Swedish stock market 1999-2016. We believe that this relationship arises from inefficiencies in the market and irrational investing. By doing this study we observe that, the use of beta as the only risk factor for explaining expected returns on stocks or portfolios is not correct.
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Environmental, Social and Governance-Ratings and Risk in SwedenEngström, Fredrika, Martinsson, Sanna January 2020 (has links)
Sustainability and Corporate Social Responsibility (CSR) are increasingly important subjects in today's society. To measure a company's Corporate Social Performance (CSP); the ESG-rating has been developed throughout the years. As investors and the public are starting to acknowledge a company's sustainable actions and the importance of these, more and more companies choses to be rated using ESG-rating. As the knowledge around the subject has started to increase, we want to find out if it affects the risk of a company or an investment? Theories relating to the topic, such as stakeholder theory, suggests that satisfying all of a company’s stakeholders creates value for a company. Previous studies in the topic has interpreted this as high ESG-ratings should equal lower risks for the company. Additionally, previous studies in the relationship between sustainability and profitability shows a positive correlation between the two, meaning that companies that incorporate sustainability in general have higher profits. The purpose of this study is to investigate if high ESG-ratings could lead to lower firm’s risk in Sweden. There has been a lot of previous research in the area, but none focusing on Sweden. The majority of the previous studies have concluded that there exists a negative relationship between CSP and a firm’s risk, which indicates that if a company would integrate CSR it could lower the risk. This study will include 145 Swedish companies with 2,610 firm-year observations from the period 2001-12-21 to 2019-12-31. The risk measures used are; Total Risk (Volatility), Systematic Risk (Beta) and Idiosyncratic Risk. As for the ESG-ratings, the data is obtained from ASSET4 from the database Thomson Reuters Eikon as the measure of CSP. Furthermore a multiple regression analysis is performed to statistically investigate the relationship between a company's ESG-rate (and the three pillars Environmental, Social and Governance) and risk. The study concluded that there exists a statistically significant positive relationship between Volatility and Idiosyncratic Risk and the ESG-score for Swedish firms. As for the individual pillars; Environmental (ENV), Social (SOC) and Governance (GOV); the result indicated that there existed a statistically significant positive relationship between Volatility and Idiosyncratic Risk with the two pillars; ENV and GOV, respectively. This suggests that the higher ESG-score, ENV and GOV-scores of Swedish firms the higher Volatility and Idiosyncratic Risk. Neither Volatility or Idiosyncratic risk showed a statistically significant relationship with the social pillar. Consequently we are not able to confirm the relationship between Volatility and Idiosyncratic Risk with the Social pillar. Regarding Beta, the study found no statistically significant relationship with the ESG-score, as well as for the individual pillars; Environmental, Social and Governance. Therefore we are not able to confirm a relationship for Beta and the ESG-score, ENV, SOC and GOV-scores. As a final remark this study concluded the opposite as for previous research and consequently this thesis has contributed with new knowledge within the area of ESG-rating and risk for Swedish companies.
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Volba optimálního portfolia cenných papírů jakožto investiční hlavolam / Optimal Stock Portfolio Selection as an Investment ConundrumBradová, Klára January 2010 (has links)
The portfolio theory is microeconomic discipline which deals with the exploration of capital markets and assets that are traded on them. This diploma thesis is focused on optimal stock portfolio selection. The main aim is to find a final portfolio fulfilling the requirements. The first part provides the theory needed for the subsequent establishment of a practical case of the optimal portfolio. The second part is devoted to the actual calculations leading to finding the portfolio with the desired rate of return.
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Optimalizace portfolia akcií na čs. kapitálovém trhu / Stock Portfolio Optimalization on Czech Capital MarketŠebestíková, Sabina January 2009 (has links)
The master's thesis is focused on Stock portfolio optimalization on Czech capital market. The analysis of each stock, estimation and portfolio optimalization proposal are included. In the practical part the Fundamental analysis is applied. The portfolio optimalization is estemated by portfolio theory which is consist in the relationship between stock price and market trends represents by PX Index and expressing correlation of them by beta coefficient.
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Så glimrande var aldrig guldet : Kvantitativ undersökning om guldets värde bevaras eller ökar vid börsnedgång i Sverige under covid-19Jarlbäck, Julia, Fick, Patrik January 2020 (has links)
When the financial markets start to shake investors start looking for a safe asset for protection. When people talk about a safe asset, they for the most part refer to gold. But is that really the case? There are few studies about gold as a safe haven however they do not concern the Swedish financial market. That is the purpose of this research; to examine if gold could act as a safe haven in the financial market in Sweden. This is of interest since there is an economic crisis caused by covid19 at this particular moment. The result could help us understand how investors could use gold in their portfolio of investments. To do this we have gathered daily returns from OMXS30, gold, and a 10-year Swedish government bond. With a statistical model we answered the question. When the financial markets start to shake investors start looking for a safe asset for protection. When people talk about a safe asset, they for the most part refer to gold. But is that really the case? There are few studies about gold as a safe haven however they do not concern the Swedish financial market. That is the purpose of this research; to examine if gold could act as a safe haven in the financial market in Sweden. This is of interest since there is an economic crisis caused by covid19 at this particular moment. The result could help us understand how investors could use gold in their portfolio of investments. To do this we have gathered daily returns from OMXS30, gold, and a 10-year Swedish government bond. With a statistical model we answered the question.
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Catastrophe Bond : What are they and why invest in them? / Katastrofobligationer : Vad är det och varför investera i dem?Ingelgård, Mathilda January 2016 (has links)
For a little over twenty years, the niched asset class catastrophe bonds have existed. Despite of their now relatively long existence, they are still unknown to many and are usually only available for large, institutional investors, mainly within the insurance market, pension funds and hedge funds. Catastrophe bonds differ from traditional assets for many reason, the main one being the risk dependent of a predetermined event within a geographic area, such as an earthquake in Tokyo or a hurricane in Miami. Because the risk is dependent of other factors than traditional asset classes, there is a widespread knowledge of the possibilities to diversify the portfolio by investing in catastrophe bonds, which have a low covariance with other assets in the portfolio. Other asset classes who have similar characteristics have proved to be hedge funds, real estate, infrastructure and agriculture. The lack of competence some people have worried about investors have to be able to invest in these niched asset classes have been found to be relevant for all asset classes, not just these non-traditional assets. Also, it is always difficult to know when an investor is taking more risk than they are being compensated for, moreover this is individual for all investors. Lastly, catastrophe bonds contribute with public welfare in addition to the economic advantage; catastrophe bonds show low volatility and high returns while raising capital to help regions affected by natural catastrophes. / I drygt tjugo år har nu det speciella tillgångsslaget katastrofobligationer funnits, trots detta är det relativt okänt och anses vara en investering endast för de stora aktörerna inom främst försäkringsbranschen, pensionsfonder och hedgefonder. Katastrofobligationer skiljer sig från traditionella tillgångsslag av en rad anledningar, den främsta för att risken beror på en fördefinierad händelse inom ett geografiskt område, såsom en jordbävning i Tokyo eller en orkan i Miami. Tack vare att risken beror på andra faktorer än klassiska tillgångsslag finns en bred vetskap inom branschen att detta är ett enkelt sätt för att skapa diversifiering i portföljen och katastrofobligationer har låg samvariation med övriga tillgångar i portföljen. Andra tillgångsslag som har liknande egenskaper och också skapar diversifiering har visat sig vara hedgefonder, fastigheter, infrastruktur och jordbruk. Det kan konstateras att det är svårt att avgöra om det faktiskt föreligger en kunskapsbrist för specifikt katastrofobligationer eller om detta gäller tillgångar, likväl som det ofta är en subjektiv bedömning ifall den risk som tas också blir kompenserad tillräckligt. Slutligen bidrar obligationerna med en viss samhällsnytta utöver den ekonomiska nyttan, katastrofobligationer uppvisar låg volatilitet och hög avkastning samtidigt som att de frigör kapital för katastrofdrabbade områden.
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Utländska investeringar på den svenska fastighetsmarknaden - Incitament för investering med fokus på asiatiska investerare / International investors on the Swedish Real Estate Market - Investment incentives focusing on Asian investorsRunestam, Ludvig, Wiksell, Henrik January 2016 (has links)
International real estate investors have shown interest in the Swedish real estate market since the second half of the 1990s. The entrance period was marked with a large amount of infused foreign capital, which was a result of flexible real estate transactions to low prices. Since then, the international interest for the Swedish real estate market has increased and the forecast says that it will continue. The majority of the foreign capital has been invested indirectly, through funds, but direct investments also occur. In recent years, the Asian capital invested in the Swedish real estate market has increased, with the main reason being a strive for risk diversification. The purpose of this study is to investigate the motives and incentives of foreign investors when investing in Swedish real estate. A secondary objective is to research whether there may be difficulties for foreign operators to perform real estate business in Sweden. Furthermore, a deeper analysis about the increased interest from Asia is performed. The study has been carried out through interviews with experienced people in the real estate business. Recognized reports and transaction data have also been analyzed. The analysis in this thesis shows that the interest from foreign investors vary depending on the fluctuation in economic activity. Sweden is considered to be politically and economically stable, with a good potential for future growth. Therefore, the interest from foreign investors has not been negatively affected over time. Factors that contribute to foreign interest in the Swedish real estate market are the good liquidity, low transaction costs and a high transparency. There are various incentives to invest in a foreign market, but international diversification has emerged as the most important incentive. Other main motives are the possibilities of return, the ability to increase the return and to risk-adjust returns over other kind of assets. The main problems that have arisen when foreign investors have capitalized in Sweden have had strong ties to the cultural, legal and political aspects. Today these problems are rare, mainly because foreign investors are more well informed and have been established for a long time on the market. Although many investors are using hedging for currency exposure, the currency is considered to be relatively stable and therefore entails less risk. In recent years Asian investors have shown great interest in the Swedish real estate market. However, Asian investors have only made a few major investments in the market. The introduction of retirement funds in Southeast and East Asia has led to a lot of capital being collected, and to diversify the risk the capital will have to be invested in global real estate. The increased interest suggests that further investments are to come in the future. / Intresset från utländska aktörer för fastighetsinvesteringar på den svenska fastighetsmarknaden växte fram under andra halvan av 1990-talet. Perioden präglades av ett stort inflöde av utländskt kapital, vilket var ett resultat av flexibla fastighetsköp till bra priser. Det utländska intresset för den svenska fastighetsmarknaden har sedan dess vuxit ännu mer och det finns mycket som pekar på att utvecklingen kommer att fortsätta i samma riktning. Den största delen av det utländska kapitalet har investerats indirekt genom fonder, men även direkta investeringar förekommer. De senaste åren har mängden asiatiskt kapital som sökt sig till marknaden ökat, främst på grund av riskspridning. Denna studie syftar till att utreda vilka motiv och incitament som ligger till grund för det utländska intresset att aktivera sig på den svenska fastighetsmarknaden. Med det som utgångspunkt fokuserar studien även på huruvida det kan förekomma problem för utländska aktörer att utföra fastighetsaffärer i Sverige. Vidare har en djupare analys kring det ökade intresset från Asien utförts. Studien har utförts med hjälp av intervjuer med nyckelpersoner inom fastighetsbranschen samt genom analys av erkända rapporter och transaktionsdata. Genom analys kan det konstateras att vilken typ av aktörer som valt att investera på svenska marknaden varierat under konjunktursvängningarna. Intresset för marknaden har trots detta inte varit hämmande. Detta på grund av att Sverige anses vara politiskt och ekonomiskt stabilt med goda tillväxtförutsättningar. Faktorer som bidragit till utländska investeringar på den svenska marknaden är en god likviditet, låga transaktionskostnader och en hög tranparensnivå. Det finns olika incitament för att investera på en främmande marknad, där internationell diversifiering har framträtt som det mest betydelsefulla incitamentet. Andra incitament är att få avkastning, förmågan att öka sin avkastning samt få en riskjusterad avkastning över andra tillgångsslag. De problem som har uppstått när utländska aktörer aktiverat sig i Sverige, har haft stark anknytning till kulturella, legala och politiska aspekter. Idag märks dessa problem inte av då utländska investerare är mer pålästa och varit etablerade en längre tid på marknaden. Flertalet utländska investerare hedgar mot valutaexponering, detta trots att valutan anses vara relativt stabil idag och medför därför en mindre risk. Asiatiska aktörer har på senare år visat stort intresse för den svenska fastighetsmarknaden. De har emellertid endast gjort ett fåtal större investeringar på marknaden. Aktörer från Sydost- och Östasien har i och med införandet av pensionsfonder erhållit mycket kapital som ska allokeras i fastigheter med syftet att risksprida. Det intensifierade intresset tyder på att investeringarna på sikt kan komma att öka.
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Revenue Diversification to Improve and Maintain Service Offerings of Nonprofit OrganizationsHeengama, Ganga Kosala Bandara 01 January 2019 (has links)
Leaders of nonprofits businesses adopt revenue diversification strategies to create innovative program services, creative ways to source materials, utilize volunteers and community partnerships, and identify business solutions related to solving societal problems. To continue providing services, it is crucial for nonprofit leaders to maintain adequate financial resources. The purpose of this single-case study was to explore revenue diversification strategies used by 3 leaders of a nonprofit organization in western California of the United States using Markowitz's modern portfolio theory as the conceptual lens. Data were collected through in-depth semistructured interviews and examination of organizational documents, internal archival data, and online databases. Through thematic analysis, 8 revenue diversification themes emerged: adding income streams; establishing practical financial performance measures; establishing operating reserve; achieving financial health, sustainability, and resilience; building organizational capacity; adopting transparency; achieving efficiency and effectiveness; and conducting active surveys. Additionally, 10 recommendations were identified: developing written procedurals, developing a process improvement strategy, engaging in contingency planning, increasing transparency and governance, using metrics for donor attrition and retention, developing and upgrading technology, increasing staff capacity, creating an employee handbook, conducting active surveys to reinforce additional services, establishing performance measures. These findings may have implications for positive social change, including the potential to contribute to nonprofit leaders' models of effective strategies with processes to grow income sources to support organizational sustainability and support a leader's ability to improve and maintain service offerings, while avoiding dependence on single source of revenue.
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Avkastning till vilket pris som helst? : En kvantitativ studie om portföljval ur ett oetiskt perspektivKapell, Jamie, Lundholm, Alfred January 2021 (has links)
Purpose: The purpose of this thesis is to analyze how different portfolio compositions on the Stockholm Stock Exchange perform in relation to its risk between the years 2008-2020. The thesis analyzes how an unethical portfolio performs in comparison with a value portfolio, growth portfolio, random portfolio and OMX30 index. Theory: This thesis is based on the effective market hypothesis, Portfolio theory, Holding Period Returns, Sharpe ratio, Fama & French's three factor model and Oparat T-test. Method: A quantitative study with a deductive approach. The study collected data between 2008-01-01 and 2020-12-31 to see what portfolio construction generated the most returns. Results: The unethical portfolio generated the worst returns in relation to its risk. The random portfolio had the highest returns, however the value portfolio generated the best returns in relation to its risk. Conclusion: The conclusion for this thesis can be seen as that it is not worthwhile to invest in Swedish unethical companies listed on Nasdaq. To increase returns, investors should review other securities to invest in as unethical stocks neither maximize profits nor contribute to a better planet. However the unethical portfolio has a higher return than the OMX30 index. / Syfte: Syftet med denna uppsats är att analysera hur olika portföljsammansättningar på Stockholmsbörsen presterar i relation till dess risk mellan åren 2008-2020. Där uppsatsen analyserar hur en oetisk portfölj presterar i jämförelse med en värdeportfölj, tillväxtportfölj, slumpmässig portfölj och OMX30 index. Teori: Denna studie grundar sig i den effektiva marknadshypotesen, Portföljteori, Holding Period Returns, Sharpekvot, Fama & Frenchs tre faktors modell och Oparat T-test. Metod: En kvantitativ studie med ett deduktivt förhållningssätt. Forskningen har bestått av datainsamling för aktier under perioden 2008-01-01 till 2020-12-31 för att undersöka vilken portföljsammansättning som genererar högst avkastning. Resultat: Den oetiska portföljen genererar minst avkastning i relation till dess risk. Den slumpmässiga portföljen genererar högst avkastning men värdeportföljen genererar högst avkastning i relation till dess risk. Slutsats: Slutsatsen för denna uppsats kan ses som att det inte är lönt att investera i svenska oetiska bolag noterade på Nasdaq. För att höja avkastningen bör investerare se över andra värdepapper att investera i då oetiska aktier varken vinstmaximerar eller bidrar till en bättre planet. Den oetiska portföljen har en högre avkastning än OMX30 index dock.
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Kryptovalutor som en investeringsmöjlighet / Cryptocurrencies as an investment opportunityTuomela, Sanna, Perez, Daniela January 2020 (has links)
I denna uppsats undersöker vi kryptovalutor ur ett ekonomiskt och finansiellt perspektiv. Vi skapar en optimal portfölj av de 28 största kryptovalutorna enligt marknadsvärdet den 3 mars 2020 genom av att använda oss av Markowitz (1952) portföljvalsteori. Den optimala portföljen jämförs med en marknadsportfölj som är skapad av de 100 största kryptovalutorna enligt marknadsvärdet, för att bilda oss en uppfattning om kryptovalutamarknaden och hur man kan utnyttja kryptovalutor i investeringssyfte. CAPM används för att kunna se relationen mellan risk och avkastning mellan den optimala portföljen och marknadsportföljen. Vi kommer även att undersöka om CAPM ger samma resultat som Markowitz portföljvalsteori. Den optimala portföljen jämförs dessutom med den svenska aktiemarknaden för att undersöka om den optimala kryptovalutaportföljen påverkas av trender på den svenska aktiemarknaden. / This thesis studies cryptocurrencies from an economic and financial perspective. The research is carried out by constructing an optimal portfolio of the 28 biggest cryptocurrencies according to market capital on the 3rd of March 2020 by using Markowitz (1952) portfolio optimization theory. The optimal portfolio is then compared to the market portfolio, which is constructed of the hundred largest cryptocurrencies according to market capital, to study the cryptocurrency market. CAPM is also used to find out the risk-return relationship and to see if CAPM gives us the same optimal portfolio as Markowitz portfolio optimization theory. The optimal portfolio is also compared to the Swedish stock market index, OMXS30, to study if the optimal portfolio is affected by trends in the Swedish stock market.
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