過去的實證研究指出，在討論當期的會計盈餘穩健性時，研究者必須要控制期初會計盈餘穩健性的水準。具體而言，期初會計盈餘穩健性與本期會計盈餘穩健性的負向關係，會稀釋我們對當期會計盈餘穩健性的解釋效果。基於這個理由，本研究以期初市價對淨值比做為期初會計盈餘穩健性的代理變數，去檢視我國1999年至2004年會計盈餘的穩健性以及探討盈餘穩健性與外資法人持股比例之關聯性。穩健原則之定義，係以 Basu(1997)模型做為衡量穩健性的指標。研究結果發現，我國企業近年來之會計盈餘存在穩健原則之特性，而期初市價對淨值比與盈餘穩健程度之間呈現顯著之負向相關。至於針對外資持股與盈餘穩健性之關聯性的分析，在控制期初市價對淨值比的影響之後，本研究未能找到外資持股比例之高低對盈餘穩健程度有顯著影響之證據。然而，在期初市價對淨值比最高的組別中，盈餘穩健程度與次期外資持股比例之間存在正向之關係。這個現象意味著對於期初盈餘穩健性很高的公司而言，其在當期之盈餘若相對較穩健，則次期之外資持股比例將會較高。但是，在本研究改以工具變數衡量外資持股比例之後，不論是當期或次期的外資持股比例，其與盈餘穩健程度之間則均未存在顯著之關聯性。彙總而言，利用1999年至2004年的資料，本研究發現，期初會計盈餘穩健性與本期會計盈餘穩健性有顯著的負向關係；無論有無控制期初會計盈餘穩健性，我國的會計盈餘均具有穩健性的特性；未能得到非常充份的證據去宣稱外資對於我國會計盈餘穩健性有系統性的影響。 / Prior empirical studies indicate that researchers have to control for the level of beginning-of-period earnings conservatism when discussing earnings conservatism in the current period. The negative association between beginning-of-period earnings conservatism and earnings conservatism in the current period will dilute the effect of our explanation of earnings conservatism in the current period. Using beginning-of-period price-to-book ratios to proxy for beginning-of-period earnings conservatism, this study examines earnings conservatism in Taiwan during the period from 1999 to 2004, and discusses the relationship between earnings conservatism and shareholding ratios of foreign institutional investors. The definition of earnings conservatism is based on Basu(1997). The empirical results show that earnings in Taiwan demonstrate the characteristic of earnings conservatism in recent years, and that beginning-of-period price-to-book ratios are negatively associated with the level of earnings conservatism. As for the analysis of the link between shareholding ratios of foreign institutional investors and earnings conservatism, this study fails to find the evidence that shareholding ratios of foreign institutional investors have significant impacts on earnings conservatism after controlling for the level of beginning-of-period price-to-book ratios. However, in the portfolio of the highest beginning-of-period price-to-book ratios, there is a positive relationship between earnings conservatism and shareholding ratios of foreign institutional investors in the next period. This result means that firms with the highest level of beginning-of-period earnings conservatism will have higher shareholding ratios of foreign institutional investors in the next period if their earnings in the current period are relatively more conservative. However, when this study uses the instrumental variable to measure shareholding ratios of foreign institutional investors, shareholding ratios of foreign institutional investors, whether in the current or next period, do not have a significant relationship with the level of earnings conservatism. In summary, using data from 1999 to 2004, this study finds that there is significantly negative association between beginning-of-period earnings conservatism and earnings conservatism in the current period, and that earnings in Taiwan demonstrate the characteristic of earnings conservatism whether controlling for the level of beginning-of-period earnings conservatism or not, but this study fails to obtain sufficient evidence to assert that foreign investment has systematic effects on earnings conservatism in Taiwan.

Background: There is a general belief that value stocks, historically, have created a greater return of investment compared to growth stocks. Investors can, through key ratios, compare companies to one another and thereby gain a solid appreciation whether a company is overvalued or undervalued relative to other comparable companies. The problem for investors is how to identify these value stocks and exploit mispricing in the market. Aim: The purpose of this study is to analyze investment strategies that are based on the Price-to-Book ratio on the Swedish stock market. Completion: To meet the purpose, the study is based on a deductive foundation with a quantitative method. Two investment strategies are investigated based on the Price-to-book ratio. The first strategy sorts the material following the value of the multiple, whereas the other strategy relies on regression analysis where interest on own capital is used as an explaining variable. Results: To only look at the price-to-book ratio, in order to distinguish undervalued stocks, does not work in the Swedish stock market during the period of 31-03-04 to 31-03-2015. It can be concluded that the combination used in the developed strategy works to identify value stocks that have a significantly higher cumulative return compared to the OMX Stockholm Price Index. / Bakgrund: Det finns en övertygelse om att värdeaktier historiskt har skapat högre avkastning än tillväxtaktier. En investerare kan genom värderingsmultiplar och nyckeltal jämföra bolag med varandra och skapa sig en uppfattning huruvida ett bolag är över- eller undervärderat relativt jämförande bolag. Problematiken ligger i hur en investerare skall identifiera värdeaktier och utnyttja felprissättningar på aktiemarknaden. Syfte: Syftet med studien är att analysera investeringsstrategier baserade på multipeln Pris/Bokfört värde på den svenska aktiemarknaden. Genomförande: För att uppfylla syftet utgår studien från en deduktiv ansats med en kvantitativ metod. Två investeringsstrategier undersöks baserade på multipeln Pris/Bokfört värde. Den ena strategin sorterar materialet utefter multipelns värde och den andra strategin genomförs med hjälp av regressionsanalys där räntabilitet på eget kapital används som förklarande variabel. Resultat: Att endast utgå från Pris/Bokfört värde, för att urskilja undervärderade aktier fungerar inte på den svenska aktiemarknaden under åren 2004-2015. Det kan fastställas att kombinationen i den utvecklade strategin fungerar för att identifiera värdeaktier som har en markant högre kumulativ avkastning jämfört med OMXSPI.

Submitted by Rodrigo Geraldes (santorogeraldes@gmail.com) on 2015-01-07T20:21:13Z No. of bitstreams: 1 Dissertação - Rodrigo Geraldes.pdf: 932680 bytes, checksum: 9210f1d5ccf8429d91b3f739768aa595 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2015-01-07T20:29:59Z (GMT) No. of bitstreams: 1 Dissertação - Rodrigo Geraldes.pdf: 932680 bytes, checksum: 9210f1d5ccf8429d91b3f739768aa595 (MD5) / Made available in DSpace on 2015-01-08T13:33:39Z (GMT). No. of bitstreams: 1 Dissertação - Rodrigo Geraldes.pdf: 932680 bytes, checksum: 9210f1d5ccf8429d91b3f739768aa595 (MD5) Previous issue date: 2014-12-18 / Este trabalho busca compreender melhor as fontes de retorno de ações de valor e crescimento e os determinantes da convergência do indicador preço sobre valor patrimonial (P/B). Foram criados seis carteiras durante o período de 2001 a 2013, sendo elas classificadas de acordo com o seu múltiplo (P/B) e sua capitalização de mercado. O retorno divido entre dividendos e ganhos de capital, este foi dividido em: (1) crescimento do valor patrimonial, (2) convergência do indicador preço sobre valor patrimonial (P/B), devido a reversão de rentabilidade, crescimento e retorno esperado e (3) efeito drift. Também buscou-se determinar quais os principais fatores macro que afetam a convergência do indicador P/B. Foi realizada uma regressão linear múltipla utilizando como variáveis independentes a valorização do Ibovespa, PIB, juros reais, surpresa inflacionária e dummies (small, growth e value). A carteira big growth apresentou o melhor desempenho, seguido da carteira small value. O retorno de dividendos foi mais importante para os portfólios big em relação à small e para as carteiras value em relação às growth. Ao analisar o ganho de capital, verificou-se que o crescimento do valor patrimonial é maior para empresas growth, enquanto o efeito da convergência é mais importante para empresas valor. Verificou-se que o retorno do Ibovespa, surpresa inflacionária e o baixo valor de mercado influenciam positivamente a convergência do P/B. Já o pagamento os juros reais, PIB e a dummy growth influenciam negativamente. / This work seeks to better understand the sources of return in value and growth stocks, also to understand the main determinants of the convergence in price-to-book ratios. Six portfolios were created during 2001 to 2013 according to their P/B ratio and market cap. The return was divided between dividends and capital gains, the last was broken into: (1) growth of book value per share, (2) convergence in price-to-book ratios due to mean reversal in profitability, growth and expected returns, and (3) Drift effect. We also tried to determine the main factors that affect the convergence of P/B. Multiple regression was performed using as independent variables the returns of Ibovespa, GDP, interest rates, unexpected inflation and dummies (small, growth and value). The big growth portfolio was the best performance, followed by the small value portfolio. Dividends return was more important for big than value portfolios. When analyzing capital gain returns, it was found that book value growth is more important for growth companies, while the convergence of P/B is higher for value. It was found that the returns of Ibovespa, unexpected inflation and low market cap have a positive influence on convergence. On the other hand, interest rates, GDP and growth dummy have a negative influence.

Some individual investors follow institutional investors in trading, a phenomenon called herding, that leads to excess market volatility and mispriced stocks. Individual investors who herded suffered from inferior investment performances and monetary losses, and the impact is broader in an individual investor dominant market such as Taiwan. Behavioral finance is the theoretical base of herd behavior. The purpose of this causal-comparative study was to examine individual investor herd behavior as related to characteristics of stocks in the Taiwan stock market. The research questions addressed what differences in individual investor herd behavior, if any, existed by market capitalization, price-to-book (P/B) ratio, and industry affiliation. The target population was the individual investors who traded in Taiwan Stock Exchange (TWSE) between January and December 2016. Participants were a purposive sampling of the target population with the exclusions of individual investors who traded illiquid stocks or exchange sanctioned stocks only. Data were collected through a subscription of TWSE data. The extent of individual herding estimated with Lakonishok, Shleifer, and Vishny's measure was 0.04. The 3 characteristics of stocks were separately and as a whole related to individual herding. The findings confirmed more serious sell-herding than buy-herding. The result from the logistic regression extended the knowledge of more serious herding in low P/B ratio stock with other variables controlled and different extents of herding by industry affiliation. The findings may improve individual investor financial literacy that may result in the positive social change of the alleviation of both herding and inferior investment performance.

This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. In this paper, three single-ratio strategies are investigated along with three multi-ratio strategies, chosen on the basis of popularity among private investors, according to our observations. We also compare these strategies’ returns to the returns of the ten best performing funds, over the last ten years, found on SEB’s and Handelsbanken’s fund lists. We find that both multi and single-ratio strategies generated alpha values and that single-ratio strategies performed well, relative to multi-ratio strategies, considering their simplicity. The current portfolio composition from screening stocks based on low P/E, P/B and high dividend yield alone are also associated with less risk, expressed in volatility, than portfolios that would be composed based on the multi-ratio methods. We even find that one of the more complex strategies, Graham Screener, underperformed single-ratio strategies, when comparing yearly alpha values over 15 and 17 years, respectively. The funds’ alpha values are also very poor compared to both single and multi-ratio strategies considering the managers’ likely investment experience and complex investment systems. In sum, our empirical data suggests that excess returns were indeed attainable during the investigated time-periods by following a rule-based investing philosophy in conjunction with single or multi-ratio strategies, and unless the investor has sublime experience and knowledge, he or she is probably better off using this type of investing rather than making investment decisions in a discretionary manner.We also conclude that the Stockholm Stock Market probably suffered from lower market efficiency, from the perspective of the Efficient Market Hypothesis, and lower screening abilities and tools, such as Börsdata, among investors in the beginning of the testing periods, which could be one reason as to why these ratio strategies worked as well as they did. However, the results are still interesting because complexity does not seem to imply value (extra alpha generation) of significant magnitude, if at all. What does seem to imply value, are the minimization of human interactions with investment models and emotional stability.

Under det senaste decenniet har antalet fastighetsbolag som noterats på den svenska marknaden ökat markant, och idag är var tionde bolag på börsen ett fastighetsbolag. Denna ökning speglar ett uppsving för fastighetsinvesteringar, som medfört ett ökat inflöde av likviditet i sektorn. Ett inflöde som i sin tur har drivits av ett historiskt lågränteläge, vilket resulterat i att institutionella investerare ökat sin allokering till fastighetssektorn. Fastighetsbolag har generellt sett handlats till substansrabatt över tid, vilket innebär att deras marknadspris är lägre än deras underliggande tillgångar, men på senare tid har förekomsten av substanspremier ökat. Vilket istället innebär att marknadspriset är högre än deras underliggande tillgångar.  Denna studie syftar till att förklara variationen i substansrabatten över studieperioden genom att använda två typer av variabler, bolagsspecifika och makroekonomiska, samt undersöka förekomsten  av diskrepanser mellan delsektorerna bland de noterade fastighetsbolagen. Analysen gjordes med hjälp av paneldataregressioner, där de undersökta bolagen, under en 20-årsperiod, analyserades för tids- och tvärsnittsvariation. Resultatet visar att de undersökta variablerna kan förklara 14% av substansrabattens totala variation under undersökningsperioden. Resultatet visar även förekomsten av sektorspecifika skillnader, där fastighetsbolag verksamma inom industri och logistik, över tid, handlats till substanspremie till skillnad från de övriga undersökta sektorerna. / The number of real estate companies in Sweden has increased significantly over the last decade, and today one in ten listed companies is a property company. This increase reflects a rise in property investment, which has led to an increase in the inflow of liquidity into the sector. This inflow, has, in turn, been fuelled by historically low interest rates, which has encouraged institutional investors to increase their allocations to the real estate sector. While real estate companies have generally traded at a discount to NAV, meaning that their market capitalization is lower than their underlying assets, the prevalence of NAV premiums has increased. This means that their market price is higher than that of their underlying assets.  The aim of this study is to explain the variation in the discount to NAV over the study period using two types of variables, company-specific and macroeconomic variables, and to investigate whether or not sub-sectoral differences among listed real estate companies exist. The analysis was carried out using panel data regressions, where the studied companies were analyzed for time and cross-sectional variation. The results show that the variables examined can explain 14% of the total variation in the NAV discount over the sample period. In addition, the result also proves the existence of sub-sector-specific differences in NAV discount, with real estate companies focused on industry and logistics properties traded at NAV premium in comparison to the rest of the sub-sectors.

How capital structure influences corporate performance and value has been in the interest of researchers and scholars for more than half a century, but an answer is yet to be found. The main objective of the present paper is to contribute with data for this cause and hopefully help to clarify this mystery. The method that was used was by analyzing the impact of debt on profitability and market valuation through linear regression. The study examined 17 Swedish property companies listed on Nasdaq OMX Large Mid and Small Cap over a 6 year period (2007-2012). The authors found a slightly negative relationship between debt-to-equity and profitability measured by return on equity (ROE) as well as by return on assets (ROA). However, significance was only found in terms of return on assets. The authors found no relationship between debt-to-equity and market valuation measured by price-to-earnings (P/E) nor price-to-book (P/B).

Bakgrund: Denna studie är ett test av investeringsstrategi baserad på relativvärdering av multiplar. Den multipel som kommer att studeras som investeringsstrategi är Price-to-Book (P/B). Valet av multipel på P/B beror på att det är en väl omskriven multipel som fortfarande väcker frågeställningar avseende betydelsen av bokfört värde i kombination med marknadsvärde. Syfte: Syftet med denna studie är att undersöka och analysera multipeln P/B som investeringsstrategi för aktier. Vidare syftar studien till att undersöka aktier med låga respektive höga P/B från de olika börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Genomförande: Sex portföljer skapas baserat på låga respektive höga P/B från de marknadsvärdemässiga börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Portföljerna ombalanseras årligen och följs mellan 2006 och 2016. Resultat: Fyra av sex portföljer har högre ackumulerad avkastning än jämförelseindex före och efter riskjustering. Dock hindrar svag statistisk evidens påvisande av överavkastning över tid. På motsvarande vis finnes svaga säkerställda skillnader i avkastning mellan låga och höga P/B. Ej heller förefaller det förekomma signifikanta skillnader i avkastning och risk mellan portföljer på Small, Mid och Large Cap. / Background: This study is a test of an investment strategy based on relative valuation of multiples. The multiple to be studied is Price-to-Book (P/B). P/B is chosen because although previously researched, the implications of book values paired with market values are still not well understood. Aim: The aim of this study is to examine and analyze the multiple P/B as an investment strategy for stocks. Moreover, this study intends to examine stocks with low and high P/B: s from the Small, Mid and Large Cap on the Stockholm Stock Exchange. Completion: Six portfolios are created based on low and high P/B: s respectively from the market value-based stock exchange lists Small, Mid and Large Cap on the Stockholm Stock Exchange. The portfolios are rebalanced annually and are followed between 2006 and 2016. Results: Four out of six portfolios exhibit higher levels of cumulative returns than the chosen stock index before and after adjusting for risk. However, weak statistical evidence prevent conclusive showings of excess returns over time. Similarly, we find weak support for differences in returns between low and high P/B: s. Neither does there seem to exist significant differences in return and risk between the Small, Mid and Large Cap.

Abstract The steel industry has been known as 'The mother of all industries '. With the emerging incidents such as Asian financial meltdown, industrialization of the China, and the policy of macro economic controls by the China government, the stock index of the steel industry has fluctuated violently. Despite the economy of China is to be adjusted upwards, in the foreseen future, the global steel supply will be probably exceed the demand. Such phenomenon definitely causes the pressure on the market that it also attracts much attention of the relevant stockholders. Current research investigates the most suitable model for valuating the stock price of the steel industry that would provide valuating methods to the corporate management and investors for decision making and investment. This research has studied 19 companies of steel industry of Taiwan listing companies with 6 approaches including the ¡¥Discounted Free Cash Flow Models¡¦, ¡¥Price to Earning Ratio¡¦, ¡¥Price to EBITDA Ratio¡¦, ¡¥Price to Sales Ratio¡¦, ¡¥Price to Book Value Ratio¡¦ and ¡¥Edwards-Bell-Ohlson Model¡¦ to valuate their reasonable intrinsic value from 2000 to 2005. The test of Theil¡¦s U is then applied to evaluate the approaches in order to justify the best valuation model. This study indicates the following results¡GThe Price to Book Value Ratio is the best valuation model since its smallest Theil¡¦s U value. The Price to Earning Ratio is the most unsuitable model for this evaluation purpose with a highest Theil¡¦s U value.

In the field of sustainable finance, Environmental-, Social- and Governance-ratings (ESG) have become an acknowledged measurement of a firm's sustainability performance. The increased awareness of sustainability issues in today's society is undeniable. However, based upon contradicting results from previous research, it was uncertain if investors were rewarding a firm’s sustainability efforts in the form of a lower cost of equity. The purpose of this thesis has therefore been to examine the relationship between sustainability, risk and valuation as well as stock-price behavior in times of crisis regarding large firms publicly listed in the Nordic countries. In order to fulfil the purpose, various multiple regression models have been conducted on quarterly data from the period between 2011 to 2020. The approach chosen to examine if ESG has a relation to the cost of equity has been to calculate the implied cost of equity inferred from consensus forecasts of future financial development and stock price at each point in time, also known as the ex-ante cost of equity. Since the independent variable ESG-score was not likely to be the sole variable to affect the independent variables in our multivariate regression models, we have followed previous studies in the choice of control variables. The empirical results of this study showed a significantly negative relationship between a firm’s ESG-score and the cost of equity. In addition, our results showed a significantly positive relationship between a firm’s ESG-score and both the price-to-earnings ratio as well as the price-to-book ratio while no significant relationship between a firm’s ESG-score and the enterprise value to earnings before interest and taxes ratio could be established. Finally, the results of this thesis showed that firms with a greater ESG-score generated excess returns during the latest market turmoil of 2020 caused by the Covid-19 outbreak. This thesis challenges the value-destruction view of ESG-efforts since our results indicate that investors are pricing sustainability risk with a negative risk premium in line with the value creation approach. No causality test has been performed during this study, however several possible mechanisms by which ESG impacts the valuation and crisis resistance have been discussed based upon previous research and the theoretical framework. We argue for the reduced cost of equity to reflect diminished information asymmetry, a larger investor base, improved growth and cash-flow opportunities as well as reduced risk for litigations as aconsequence of a more sustainable business conduct. To the best of our knowledge, no previous study on the topic has been conducted on the Nordic markets. This study fills thus a research gap on the relation between sustainability, risk andequity market valuation and we sincerely hope to have contributed to academia with new approaches.