O objetivo deste trabalho é comparar diferentes formas de estimação de modelos de apreçamento de ativos. Além dos métodos tradicionais, que utilizam toda a amostra no processo de estimação dos parâmetros do modelo, será utilizado o método rolling, que estima os parâmetros através da utilização de janelas móveis de tamanho fixo. Com isso, utilizando a técnica de backtesting, procura-se averiguar se o método rolling proporciona um ganho na qualidade de ajuste em modelos de apreçamento de ativos. / The aim of this project is to compare methods of estimating asset pricing models. In addition to using traditional methods, which estimate the models parameters by using the entire sample at once, the rolling method will be used. This method estimates the models parameters by using a rolling window of fixed size through the sample. By using backtesting, we seek to investigate whether the rolling approach provides an improvement in the goodness of fit in asset pricing models.

This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conservatism of the insurance companies is compared to that of a sample of commercial banks to check whether they have similar levels of accounting conservatism. The results of the first chapter suggest that the changes in accounting performance, as measured by return over assets, can be partly explained by accounting conservatism, since it is measured by the accumulation of non-operating accruals, skewness of operating cash flow and accruals, book to market ratio, adjusted book to market ratio and Basu's asymmetric measure. All of these four measures give robust evidence that insurance companies' accounts tended to be conservative for the whole sample period, and that the level of conservatism has risen over the years. More interestingly, a t test for the differences in means suggests that accruals conservatism show on average a higher level of accounting conservatism than book value conservatism does. Finally, our results, based on a constant sample consist of 92 banks and 46 insurance companies whose data are available for all the sample years; they suggest that both insurance companies and banks have similar levels of accounting conservatism due to their similar reporting characteristics. The second empirical chapter contributes to the existing literature on equity valuation in two ways. First, it confirms the importance of imposing linear information dynamics when predicting the equity values of insurance companies, because the restricted models result in fewer error metrics. Second, it highlights the role of the accruals components in the equity valuation of US insurance companies by demonstrating that the incorporation of accrual components in the residuals income valuation model suggested by Ohlson (1995) has smaller error metrics than those of aggregate net income. Our results are based on a sample of US insurance companies, which consists of 718 firm-year observations over the period from 2001 to 2012. For instance, our results suggest that total accruals, changes in insurance reserve, changes in account receivables, and deferred acquisition costs have an incremental ability to predict equity market value over abnormal earnings and book values. Furthermore, the predictive ability of changes in insurance reserves is higher than the predictive ability of changes in account receivables and the change in deferred acquisition costs without imposing the LIM structures. However, when the LIM structure is imposed the predictive ability of changes in deferred acquisition costs is higher than the predictive ability of both changes in accounts receivable and changes in insurance reserves. Our final empirical chapter contributes to the literature on accounting anomalies by investigating the value to price anomaly (V/P), where the fundamental value (V) is estimated using the residual income valuation model. Motivated by the findings of Hwang and Lee (2013), Fama and French (2015), and Fama and French (2016), Chapter Four asks whether V/P strategies reflect the risks factor or whether this is better explained by market inefficiency, and whether Fama and French's five-factor model can explain the excess return of V/P. To answer the previous questions we use data from the merger of COMPUSTAT, CRSP, I/B/E/S for all the non-financial firms listed in AMEX, NYSE, and NASDAQ during the period from 1987 to 2015. Our findings suggest that the V/P ratio is positively correlated to future stock returns after controlling for several firm characteristics, which are known to be proxies of common risks. Our results indicate that the omission of risk factors is not likely to be an explanation of the V/P effect. To answer the second question, we compare the performances of different asset pricing models by calculating the GRS F-statistics. Our findings clearly indicate that the five-factor model of Fama and French performs better than either the CAPM or the traditional Fama and French three factor model. These results confirm that the excess returns of V/P strategy vary due to the differences in size, the B/M ratio, operating profit and betas across quintile portfolios. However, these factors cannot explain all the variation in excess returns; moreover, the stocks in the high V/P may be riskier than the stocks in the low V/P portfolios in certain other dimensions.

This study employs widely excepted asset pricing models to test their explanatory power in the context of Istanbul Stock Exchange listed companies between 1990 and 2010. The risk factors, beta, size, book-to-market equity, and momentum are used to form portfolios and their factor loadings are estimated. The results of this study are mostly in line with the previous academic research, and some unique attributes of the return generation mechanism of Istanbul Stock Exchange are reported.

[pt] Esta Dissertação apresenta um modelo para extrair fatores capazes de prever a volatilidade do índice de ações IBOVESPA, representativo do mercado de ações brasileiro. Esta metodologia é diferenciada por utilizar fatores que não incluem ativos da classe de ações. São utilizados fatores extraídos de classes de ativos de crédito, taxas de juros, moedas e commodities para precificar a volatilidade de um índice de ações. Além disso, os fatores são extraídos de painéis de volatilidades filtradas por modelos do tipo GARCH. / [en] It will be presented a model that is able to extract factors capable of predicting the volatility of IBOVESPA market index, which is representative of Brazilian equity market. This methodology is different from others because it won t use any inputs from equity asset classes. It will be used factors extracted from credit risk, interest rates, exchange rates and commodities data for pricing the volatility of an equity index. Besides that, those factors will be extracted from panels of volatility filtered by GARCH models.

Die doel van hierdie studie is om `n omvattende prysbepalingsmodel te ontwikkel vir vinnige bewegende voedselsoorte, met spesifieke verwysing na die mieliemeelbedryf. Deur navorsing wat gedoen is het dit aan die lig gekom dat daar nie `n enkele model bestaan wat prysbepaling in totaal aanspreek nie. Die model wat in hierdie verhandeling ontwikkel is, sal kan dien as `n omvattende prysbepalingsmodel en ook diegene wat nie bekend is met die prysbepalingsproses nie, tot voordeel strek. Hoofstuk 2 bied `n literatuurstudie van die faktore of komponente wat tydens prysbepaling verantwoord moet word. Hoofstuk 3 bied `n empiriese oorsig van die prysbepalingsmetodes wat TWK meulens aangewend het om die pryse van hulle klaarprodukte te bepaal, en hoe `n prysbepalingsmodel aangewend is om die winsgewendheid van die meulens te verhoog. Hoofstuk 4 word gewy aan die ontwikkeling van `n omvattende prysbepalingsmodel wat deur die mieliemeulebedryf en ander vervaardigers van vinnig bewegende voedselsoorte aangewend kan word. Hoofstuk 5 verskaf `n samevatting en riglyne vir verdere navorsing. / Business Management / M.Com. (Business Management)

O objetivo deste trabalho é comparar diferentes formas de estimação de modelos de apreçamento de ativos. Além dos métodos tradicionais, que utilizam toda a amostra no processo de estimação dos parâmetros do modelo, será utilizado o método rolling, que estima os parâmetros através da utilização de janelas móveis de tamanho fixo. Com isso, utilizando a técnica de backtesting, procura-se averiguar se o método rolling proporciona um ganho na qualidade de ajuste em modelos de apreçamento de ativos. / The aim of this project is to compare methods of estimating asset pricing models. In addition to using traditional methods, which estimate the models parameters by using the entire sample at once, the rolling method will be used. This method estimates the models parameters by using a rolling window of fixed size through the sample. By using backtesting, we seek to investigate whether the rolling approach provides an improvement in the goodness of fit in asset pricing models.

Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. This is because these anomalies have been established on respective studies' specific markets and time periods. Researchers that have investigated the issue argue that it is essential to further challenge anomalies by replicating them in other settings to see if the evidence still holds. Hence, the purpose of this study is to examine if the retailers' trading imbalance anomaly can be replicated on Swedish Small Cap listed firms. We have examined this by using cross-sectional regressions in the spirit of Fama and MacBeth. This thesis concludes that the retailers’ trading imbalances cannot be replicated when applied to the chosen setting. We argue that the reasons for this are that retailers’ trading imbalances are not persistent, are not compensated when providing liquidity into the markets, and that it does not contain useful information about future stock returns. In addition, we also argue that inherent differences in the US markets compared to the Swedish Small Cap listed firms are affecting our possibility to successfully replicate the anomaly.

As if today’s society, globalization, digitalization and labor mobility is daily increasing, and individuals are, in one way or another, constantly surrounded by Internet. Technical change, in general, is one of the fundamental engines of economic growth and structural transformation in modern societies. Internet has long been seen as the most disruptive technology of our time, but now new technologies are entering the market, including the concept around Internet of Things (IOT). New dynamics is being put on the market, and companies are forced to re-think their way of working with innovation. The market for IOT is developing, rapidly, which creates a huge pressure on companies to maintain innovative and relevant in the market. Companies are willing to invest, but due to challenges and questions marks, they end up doing nothing. The overall purpose of this thesis was to investigate how IT consulting companies can implement and apply the concept of Internet of Things (IOT), and what type of challenges they were facing. In order to achieve this purpose, this study was empirically grounded in a case study at the Finnish-Swedish IT Consultancy Company, Tieto, at division Telecom and Media located in Stockholm, Sweden. The division is partly responsible the internal research on the topic of IOT, and has as a goal of increasing profitability regarding the use of this disruptive technology. The results indicate that Tieto, as well as other companies, are investigating in the ecosystems of IOT. Companies are also starting to realize the use of partnerships, and that they might be required to join under one, if they want to provide an end-to-end IOT solution. However, the results also indicate that there are several challenges in the progress when adapting and implementing IOT. Some of these challenges were found to be: maturity in the market is slowing down the process; complexities in the partnerships; complexities in the IOT service; the demand of forming new operational models; and the realization of that one cannot be everywhere. Nevertheless, the IOT solutions generate enormous complexitivities, both in the technical aspects and the partner related aspect. The findings of this study have implication on that even though the market is facing many challenges, the future for IOT is looking promising, and IOT is predicted to contribute with tremendous growth within all industry segments. / I dagen samhälle, sker ökning inom globalisering, digitaliseringen och rörlighet i det dagliga arbetet. Individer är, på ett eller annat sätt, ständigt omgivna av Internet. Teknisk förändring, i allmänhet, är en av de grundläggande drivkrafterna för ekonomisk tillväxt och strukturomvandling i det moderna samhället. Internet har länge setts som den mest revolutionerande teknik i vår tid, men nu etablerar sig nya tekniker på marknaden, bland annat konceptet kring Sakernas Internet. Ny dynamik läggs ut på marknaden, och företagen tvingas ompröva sitt sätt att arbeta med innovation. Marknaden för Sakernas Internet utvecklas snabbt, vilket skapar en enorm press på företag bibehålla innovation, för relevans på marknaden. Företag vill investera, men på grund av aspekter och frågetecken, slutar med att de gör ingenting. Det övergripande syftet med denna studie var att undersöka hur IT-konsultbolag anpassade och tillämpade sig till konceptet kring Sakernas Internet (IOT), och vilken typ av utmaningar de stod inför. För att uppnå detta syfte, var denna studie empiriskt grundad på i en fallstudie vid den finsk-svenska IT-konsultföretaget Tieto, vid division Telecom och Media i Stockholm, Sverige. Divisionen är delvis ansvariga interna forskning i ämnet av IOT, och har som mål att öka lönsamheten när det gäller användningen av denna revolutionerande teknik. Resultaten tyder på att Tieto, liksom andra företag, undersöker i ekosystemen kring i IOT. Företagen börjar också inse användningen av partnerskap, och att de skulle kunna verkställas för att det ska kunna erbjuda en end-to-end IOT tjänst. Men resultatet tyder också på att det finns flera utmaningar i utvecklingen när anpassning och genomförande av IOT. Några av dessa utmaningar befanns vara: mognad på marknaden saktar ner processen; komplexiteten i partnerskap; komplexiteten i IOT lösningar; efterfrågan att bilda nya organisationsmodeller; och förverkligandet av att man inte kan vara överallt. Sammanfattningsvis kan man säga att IOT lösningar genererar enorma komplexitiviteter, både i de tekniska aspekterna samt i dem partner relaterade aspekterna. Resultaten från denna studie har återverkningar på att även om marknaden står inför många utmaningar, så ser framtiden för IOT ser lovande ut, och IOT förväntas bidra med en enorm tillväxt inom alla industrisegment

The choice of pricing model for software products is a complex procedure due to the different characteristics compared to physical products. This thesis investigates and compares software pricing models in a B2B setting, and describes how KAM plays a role in executing a pricing model. The research has been conducted as an opportunist case study on Adebro, a technology company in the B2B sector. The thesis have come to the following conclusions, with data from interviews and literature: Perpetual license is, and will continue to be, an attractive pricing model for Adebro. However, a subscription-based usage independent pricing model is also attractive for the future. Implications of switching pricing model would be largest when changing between a perpetual and subscription model, where revenue will have the most visual impact. The most important task for KAM is to communicate the change to current and new customers. KAM and the pricing model must also be structured to support each other to be successful. The thesis contributes to science by providing research on pricing models for manufacturing related software. However, studies concerning the weighting of importance for different pricing parameters would be of interest for the future.

This study examines various approaches used by companies providingsoftware-as-a-service (SaaS) in a business-to-business (B2B) environment to find a pricing strategy. To be able to meet competition in a global market, a good pricing strategy is vital. Pricing is an important part of marketing, which must be congruent with the company's overall objectives. Strategic pricing is made up of different factors represented in the strategic pricing pyramid, which is based on a value-based approach. It is paramount to know your customers and their preferences when designing a pricing strategy and selecting pricing models, price metrics, market segmentation, bundling, and price levels. After having estimated how much value a product or service creates for a customer, this must be communicated to potential customers in order to convince them to purchase your offering. Choosing the right pricing strategy is not a onetime occurrence, but an on-going process. In this qualitative study, three case studies are performed to tie theory to real world practise.