Bakgrund:CAPM räcker i flera tillfällen inte till för att estimera framtida avkastning. Vissa av prisavvikelsernafrån CAPM är väldokumenterade och har bestått över tid, vilket har lett till uppkomsten avkorrigerande faktorer. En modell som använder sig av två sådana korrigerande faktorer är Fama ochFrenchs tre-faktormodell. Den har testats flertalet gånger på den svenska marknaden där den visat gehögre förklaringsgrader än CAPM. År 2012 samt år 2014 presenterades två nya multifaktormodeller,som genom test på börsmarknaden i USA lyckats fånga upp prisavvikelser bättre än trefaktormodellen.Syfte:Denna studie ämnar undersöka om Fama och Frenchs fem-faktormodell samt Hue, Xue, Zhang´s Qfaktormodelltillför förklaringsvärde för Stockholmsbörsens avkastning i jämförelse med Fama-Frenchs trefaktormodell. Studien analyserar även modellernas konjunkturkänslighet samt faktorernasbetydelse.Metod:Forskningsprocessen är av deduktiv karaktär. Befintliga teorier i form av multifaktormodeller förprissättning av aktier testas med hjälp av empiriska observationer från den svenska marknaden.Studien tillämpar ett kvantitativt tillvägagångssätt och ekonometriska verktyg används för attsäkerställa statistisk signifikans.Resultat:Studien visar att Q-faktormodellen inte tillför förklaringsvärde jämfört med FF3M. FF5M ger resultatsom marginellt överträffar FF3M gällande dess förklaringsgrad. Anledningen till att FF5M presterarbättre bör rimligen ligga i faktorn HML. Resultaten visar också att modellerna är instabila i kortatidsperioder men tenderar ge bättre prediktioner i lågkonjunktur relativt till högkonjunktur. / Background:CAPM isn’t in some cases sufficient for explaining expected stock return. Some of CAPM´smispricing errors are well documented and time persistent which has led rise to the usage of correctivefactors. One model that make use of two such corrective factors are the Fama and French three factormodel. It´s been comprehensively tested on the Swedish market where it has shown to achieve higherexplanatory power then the CAPM. In the year of 2012 and 2014 two new Asset Pricing Models wereintroduced, which on the US stock market better captured many of the best known anomalies.Aim:The aim of the study is to test if the Fama and French five factor model as well as the Q-factor model,could contribute to increased explanatory power beyond the three factor model. The study also analyzethe models cyclical sensitivity as well as the individual factor significance.MethodologyThe knowledge building process takes a deductive approach. Existing theories in the form of assetpricing models are tested based on empirical observations in the Swedish market. The research take aquantitative approach and make use of econometric tools in order to ensure statistic accuratesignificance.Result:This research shows no contribution of explanatory power for the Q-factor model, beyond thatachieved from the Fama and French three factor model. The five factor model achieve marginallyhigher explanatory power compared to the tree factor model. The most likely reason why FF5Machieve better results than the Q-factor model is believed to lie in the usage of the factor HML. Theresults also shows that all of the tested models are very instable when used in a short time perspective.Although there are some clear indication on increasing explanatory power in recession compared to inan ongoing bull market.

This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. We test the models on cross-sectional Swedish stock-market data between 2003 and 2015 from the Large-, Mid- and Small Cap-lists and their respective precursors. The models are tested in their ability to explain portfolios sorted on firm beta-values, on a twelve-year period as well as a six-year period characterized by changing market directions and high market volatility.  In our study, we support the presence of changing risk-return relationship in up and down market states by estimating separate market betas with the risk-free rate as threshold. However, we do not find the isolated and volatile period to give rise to a larger difference in the up and down market betas. We consistently find the models to have a decreasing explanatory power on the portfolios of firms with lower beta values. We also find the largest difference in the up and down market betas occurring in the low beta portfolios, suggesting that this is causing measurement problems in the models. While making the models conditional, the measurement problem with the static beta seems to be reduced for the portfolios where the difference between up and down betas differ most. In the applied context, we conclude the conditional dual beta adds explanatory power in the models when the market beta differs in up and down market states.  The insights of this thesis support the method of making the market-beta conditional as suggested by Pettengill, Sundaram & Mathur (Pettengill, et al., 1995), in new multifactor models.

Le résonateur matriochka est conçu à partir de résonateurs coaxiaux ré-entrants créant ainsi des sauts d’impédances (SIR). La thèse développe alors des innovations théoriques sur la technologie matriochka en proposant des modèles analytiques précis sur le comportement fréquentiel et du facteur de qualité du résonateur. Les modélisations mettent en relief l’existence de degrés de liberté au sein du résonateur matriochka induisant une flexibilité du rapport de forme du résonateur. Les degrés de liberté créent ainsi une multitude de configurations du résonateur matriochka pour une fréquence fondamentale et un facteur de qualité donnés. Par conséquent, une optimisation en volume est réalisée pour concevoir deux filtres en bande L et C afin de minimiser leur encombrement. Une étude de la tenue en puissance dans le vide est également effectuée pour le filtre en bande L. Une méthode conjointe d’optimisation de la tenue en puissance et de minimisation en volume est alors proposée pour ce filtre. Ainsi, les modélisations et les optimisations sont employées afin de concevoir et de fabriquer deux filtres hyperfréquences. Le premier est un filtre de transmission en bande L conçu pour l’application de navigation Galileo qui propose une alternative d’encombrement et une tenue en puissance dans le vide élevée. Enfin, le second est un filtre de réception en bande C conçu, fabriqué et mesuré pour l’application de télémesure qui propose de meilleures performances en réjection et un volume réduit par rapport à l’existant. Finalement, la technologie matriochka est une alternative de résonateur par rapport à l’état de l’art en proposant, selon les configurations, un rejet élevé des harmoniques et un volume réduit pour une fréquence fondamentale et un facteur de qualité donnés. / The matriochka resonator is based on reentrant coaxial Stepped Impedance Resonator (SIR). So, the thesis develops theoretical innovations on the matriochka technology offering accurate analytical models on the frequency and the quality factor behaviors of the resonator. The models prove the existence of degrees of freedom within the matriochka resonator which allows to get different form factors of the resonator. The degrees of freedom create many configurations of the matriochka resonator for a fundamental frequency and a quality factor. Consequently, a volume optimization is realized to design a L-band filter and a C-band filter. A multipactor study is also carried out for the L-band filter. So, a joint optimization method of the multipactor and the volume minimization is proposed for this filter. Thus, the models and optimisations are used in the order to to design and fabricate the microwave filters. The first one is a transmission L-band filter for the navigation application Galileo which offers a volume alternative and a high power in the vaccum. Then, the second one is a reception C-band filter for the telemetry application which offers wide spurious free-performance and a low volume compared to the state of the art. Finally, for a frequency and a quality factor and depending on the configurations, the matriochka technology offers an alternative of the resonator volume, and it offers a wide spurious free- performance and a low volume compared to the state of the art.