This thesis deals with quantification of risk level of securities on Czech capital market. Part of quantification of risk is also assessing the impact of various scenarios on the price of securities. In theoretical part is briefly described scheme of securities market. Then is described history of Prague stock exchange, stock index included index of Prague stock exchange. The following section deals with describing fundamental investment instruments used in thesis. A significant part is devoted to mutual funds from a different angle than normal retail investor knows. The rest of the theoretical part describes the investment decisions based on the investment triangle including risk indicators applied in the practical part. At the beginning of practical are described selected investment instruments. Reader can also find out about their current and possible future market position. Further indicators of risk are applied, selected and described the scenario of events and their impact on the price of the instrument. In the last chapter is chosen one scenario in which risk indicators are calculated.

I denna uppsats kommer vi att undersöka om det förekom överreaktioner på Stockholmsbörsen mellan åren 2002 och 2016. Överreaktioner undersöks genom att bilda vinnar- och förlorarportföljer baserat på tidigare månatliga avvikelseavkastningar. Vi ställer en hypotes om att förlorarportföljer kommer att prestera bättre än vinnarportföljer efter portföljformering. Portföljerna utvärderas under ett-, två- och treårsperioder för att undersöka om det förekommer reversals som en investerare skulle kunna utnyttja genom contrarianstrategin. Vår uppsats identifierar kortsiktiga reversals direkt efter portföljformering, men på lång sikt tenderar investerare att erhålla vinst genom att följa en positiv marknadstrenden. Regressionsanalyser med CAPM och Fama-French trefaktormodell genomförs för att få en bättre förståelse av orsakerna som ligger bakom avkastningar i vinnar- och förlorarportföljer. Vi föreslår att reversals inte skapar möjligheter för investerare att nå positivt statistiskt signifikant alfa på Stockholmsbörsen. Möjliga vinster genom contrarianstrategin drivs av faktorer som företagsstorlek och –värde snarare än att investerare överreagerar på marknaden. / In this study we will examine if overreactions occurred on the Stockholm Stock Exchange during period 2002-2016. Winner- and loser portfolios were formed based on past monthly returns to see if investors overreact and by doing that cause reversal effects later on. Our study discovers short-term reversals, but in the long run investors benefit by following the overall trend on the stock market. Expanding our study to the Fama-French three-factor model we suggest that reversals in stock prices does not enable investors to gain statistically significant positive alphas on the Stockholm Stock Exchange. On the contrary, returns are driven by the factors of firm size and -value rather than behavioral biases of investors.

Abstracts in English, Afrikaans and Zulu / The advancement and development of the financial sector is fundamental for building an efficient economic system that enhances foreign and domestic investments. The aim of this study was to compare the relationship between the price performance of initial public offerings and macroeconomic indicators in the South African and the Nigerian economy. With the increase of IPO listing on both stock exchanges, it is of paramount importance that an analysis and examination of IPO performance and its contribution to the economy is conducted. Using the 91 and 19 initial public offerings that were listed on the Johannesburg Stock Exchange and the Nigerian Stock Exchange respectively during the years 2005 to 2015, price performance was measured by using the market-adjusted abnormal returns and the wealth relative model. The linear ordinary least squares regression model was used to measure the relationship between initial public offering performance and macroeconomic indicators. Based on the mean market adjusted returns, initial public offerings listed between 2005 and 2015 were under-priced. The regression model established that the first day, week and month price changes in Nigeria were 0.19, 0.48 and 0.77 times higher respectively than to South Africa. The regression analysis found that inflation and interest rates were positively correlated with price changes at the end of the first month of trade, whereas gross domestic product growth was not statistically significant. Therefore, to evade financial loss, investment decision making processes should consider factors such as geographic location, interest rates, inflation and the industry prior to making the decision. / Die bevordering en ontwikkeling van die finansiële sektor is fundamenteel vir die ontwikkeling van ʼn doeltreffende ekonomiese stelsel wat buitelandse en binnelandse investering aanmoedig. Die doel van hierdie studie was om die verhouding tussen die prysprestasie van aanvanklike openbare aanbiedinge en makro-ekonomiese aanwysers in die Suid-Afrikaanse en Nigeriese ekonomie te vergelyk. Met die toename in AOA-notering op albei aandelebeurse, is dit uiters belangrik dat ’n ontleding van en ondersoek na AOA-prestasie en sy bydrae tot die ekonomie uitgevoer word. Deur gebruikmaking van die 91 en 19 aanvanklike openbare aanbiedinge wat onderskeidelik op die Johannesburgse Effektebeurs en die Nigeriese Effektebeurs gedurende die tydperk 2005 tot 2015 genoteer is, is prysprestasie gemeet deur gebruikmaking van die markaangepaste abnormale opbrengste en die rykdomrelatiewe model. Die lineêre gewone kleinste kwadrate-regressiemodel is gebruik om die verwantskap tussen die prestasie van aanvanklike openbare aanbod en makro-ekonomiese aanwysers te meet. Op grond van die gemiddelde markaangepaste opbrengste was aanvanklike openbare aanbiedinge wat tussen 2005 en 2015 genoteer is, onderprys. Die regressiemodel het vasgestel dat die eerste dag-, week- en maandprysveranderinge in Nigerië onderskeidelik 0.19, 0.48 en 0.77 keer hoër as in Suid-Afrika was. Die regressieontleding het bevind dat inflasie en rentekoerse ’n positiewe korrelasie gehad het met prysveranderinge aan die einde van die eerste handelsmaand, terwyl bruto binnelandse produk se groei nie statisties beduidend was nie. Derhalwe, om finansiële verlies te ontduik, behoort investeringbesluitnemingsprosesse faktore soos geografiese ligging, rentekoerse, inflasie en die bedryf in aanmerking te neem voordat besluite geneem word. / Ukuqhubekela phambili kanye nentuthuko yomkhakha (sector) yezezimali kubalulekile ekwakheni inqubo yezomnotho esebenza kahle neqhubekela phambili ukutshalwa kwezimali zangaphandle kanye nezangaphakathi ezweni. Inhloso yalolu cwaningo bekuwukuqhathanisa ubuhlobo phakathi kokusebenza kwentengo yama-initial public offerings kanye nezinkomba zama-macroeconomic kumnotho weNingizimu Afrika kanye nowase-Nigeria. Ngokwenyuka kwe-IPO listing kuwo womabili ama-stock exchange, kubaluleke kakhulu ukuthi kwenziwe uhlaziyo nohlolo lokusebenza kwe-IPO kanye nomthelela wakho kumnotho kumele kwenziwe. Ngokusebenzisa ama-initial public offerings ka 91 no 19 kwi-Johannesburg Stock Exchange kanye nakwi-Nigerian Stock Exchange ngokuhambisana phakathi kweminyaka ka 2005 kanye no 2015, ukusebenza kwamanani entengo kwakalwa ngokusebenzisa ama-market-adjusted abnormal returns kanye ne-wealth relative model. Imodeli ye-linear ordinary least squares regression model kwasetshenziswa ukukala ubuhlobo phakathi kwama-initial public offering performance kanye nezinkomba ze-macroeconomic. Ngokulandela i-mean market-adjusted returns, ama-initial public offerings okwafakelwa kuhla phakathi kweminyaka ka 2005 kanye no 2015 kwakufakelwe ngentengo ephansi. I-regression model yathola ukuthi ngosuku lokuqala, ngeviki, kanye nenyanga, ukushintsha kwamanani entengo eNigeria, kwakungu 0.19, 0.48 kanye ne 0.77 ngezihlandla eziphezulu kuneNingizimu Afrika. Uhlaziyo lwe-regression analysis lwathola ukuthi i-infleshini kanye namazinga enzalo achaphazeleka ngendlela enhle ngokuhambisana noshintsho lwentengo ekupheleni kwenyanga yokuqala yokuhwebelana, lapho khona ukukhula kwe-gross domestic project kwakungakhulile kakhulu ngokwezibalo. Ngakho-ke, ukugwema ulahlekelo kwezezimali, izinqubo zokuthatha izinqumo ngotshalo-mali kumele kubonelele izinto ezifana nendawo okuyi-geographical location, amazinga enzalo, i-infleshini kanye nemboni ngaphambi kokuthatha isinqumo. / Finance, Risk Management and Banking / M. Com. (Business Management)

Tidsperioden mellan räkenskapsårets slut och datumet för påskriven revisionsberättelse benämns audit report lag (ARL). Anledningarna till att ARL uppstår har studerats i stor utsträckning, men de konkreta effekterna som uppstår till följd av ARL är mindre studerade. En tidigare studie om ARL:s samband med ökad risk för aktieprisfall på den kinesiska aktiemarknaden visade på ett positivt samband. På grund av detta samband finns ett intresse att studera om ett liknande samband existerar på den svenska aktiemarknaden. Syftet med studien är att förklara ett eventuellt samband mellan lång ARL och ökad risk för aktieprisfall på den svenska aktiemarknaden. Studien använder sig av en deduktiv ansats och en longitudinell forskningsdesign bestående av kvantitativ data för att försöka förklara ett eventuellt samband mellan lång ARL och en ökad risk för aktieprisfall. Datamaterialet bestod av sekundärdata. Studien finner inget samband mellan lång ARL och ökad risk för aktieprisfall på den svenska aktiemarknaden. Däremot visas svaga indikationer på att kort ARL leder till ökad risk för aktieprisfall på den svenska aktiemarknaden. Studien bidrar med utökad kunskap om sambanden mellan ARL och ökad risk för aktieprisfall. Vidare bidrar studien med kunskap för revisorer, bolagsledningar och investerare om vilka konsekvenser ARL kan ha på börsnoterade bolags aktiekurs. / The time period between the fiscal year end and the audit report date is termed audit report lag (ARL). The determinants of ARL have been frequently studied, however the practical consequences of ARL have not been studied to the same extent. A previous study about ARLs association with stock price crash risk on the Chinese stock market showed a positive association. This association made it interesting to study if a similar association exists on the Swedish stock market. The purpose of this study is to explain a possible association between long ARL and an increased stock price crash risk on the Swedish stock market. This study uses a deductive approach and a longitudinal research design consisting of quantitative data to explain a possible association between long ARL and an increased stock price crash risk. The data set consisted of secondary data. The study finds no association between long ARL and an increased stock price crash risk on the Swedish stock market. However, the study does find weak indications that short ARL leads to an increased stock price crash risk on the Swedish stock market. The study contributes with increased knowledge regarding associations between ARL and an increased stock price crash risk. Furthermore, the study contributes with knowledge for auditors, company management and investors of the consequences ARL can have on listed companies’ stock price.

Att finna den mest effektiva strategin för att maximera sin avkastning på aktiemarknaden har varit en fråga som har intresserat investerare i hundratals år. Denna studie avser att undersöka vilken av investeringsstrategierna, Gyllene korset eller Buy and hold som är mest lönsam under perioden 2004 - 2022 på Stockholmsbörsen för att dra slutsatser om marknadens effektivitet. Genom att mäta avkastningen av tio aktier från large-cap listan och tio aktier från mid-cap-listan visade studiens resultat att Buy and hold under perioden gav en högre genomsnittlig avkastning relativt Gyllene korset under parametrarna glidande medelvärde 50, 200. Detta ger stöd för den effektiva marknadshypotesen som säger att det inte går att få överavkastning genom teknisk analys. Studien finner dock stöd för att köpsignalen som gavs vid Gyllene korset skapade stora vinster, och att det snarare var en försenad säljsignal, dödskorset, som var huvudanledningen till att Buy and hold var överlägsen Gyllene korset-strategin. / Finding the most effective strategy to maximize returns in the stock market has been a question that has interested investors for hundreds of years. This study aims to see which of the investment strategies, Golden cross or Buy and hold that is most profitable during the period 2004 - 2022 on the Stockholm Stock Exchange to draw conclusions about the efficiency of the market. By measuring the return of ten stocks from the large-cap list and ten stocks from the mid-cap list, the study's results showed that during the period, Buy and hold gave a higher average return than the Golden cross under the parameters moving average 50, 200. This supports the efficient market hypothesis, which states that it is not possible to obtain excess returns through technical analysis. However, the study finds support that the buy signal given at the Golden cross created large returns, and that it was rather a delayed sell signal, the death cross, that was the reason why Buy and hold was superior to the Golden cross strategy.

Screening models are tools for predicting which stock are the most likely to perform well on a stock market. They do so by examining the financial ratios of the companies behind the stock. The ratios examined by the model are chosen according to the personal preferences of the particular investor. Furthermore, an investor can apply different weights to the different parameters they choose to consider, according to the importance they apply to each included parameter. In this thesis, it is investigated whether a screening model can beat the market average in the long term. It is also explored whether parameter-weight-optimization in the context of equity trading can be used to improve an already existing screening model. More specifically, a starting point is set in a screening model currently in use at a successful asset management firm, through data analysis and an optimization algorithm, it is then examined whether a programmatic approach can identify ways to improve the original screening model by adjusting the parameters it looks at as well as the weights assigned to each parameter. The data set used in the model contains daily price data and annual data on financial ratios for all stocks on the Stockholm Stock Exchange as well as the NASDAQ-100 over the time period 2004-2018. The results indicate that it is possible to beat the market average in the long term. Results further show that a programmatic approach is suitable for optimizing screening models.

Sammanfattning Titel: Sambandet mellan kapitalstruktur och börsvärde: En jämförande studie mellan fastighetsbolag och övriga Large Cap-företag på Stockholmsbörsen Författare: Magnus Hofsberger, Albin Seger Handledare: Katarina Eriksson Bakgrund: Sambandet mellan kapitalstruktur och företagsvärde har sedan Modigliani och Miller (1958) publicerade irrelevansteoremet varit ett hett ämne. Än idag finns det dock inget entydigt svar på hur detta samband ser ut. Diskussionen har även på senare tid blivit ytterst aktuell då flera branscher på den svenska marknaden har ökat sin skuldsättning. Bland dessa branscher är det framförallt fastighetsbranschen som drivit på utvecklingen. Tidigare forskning är oenig och studien upplever att det finns ett kunskapsgap kring hur sambandet mellan kapitalstruktur och börsvärde ser ut på den svenska marknaden. Syfte: Studiens syfte är att undersöka och analysera hur kapitalstrukturen hos bolag noterade på Large Cap på Stockholmsbörsen påverkar deras börsvärde. Dessutom syftar studien att undersöka eventuella skillnader i detta samband mellan fastighetsbolag och övriga Large Cap-företag. Metod: För att besvara studiens frågeställningar och syfte har studien använt sig av en kvantitativ forskningsmetod med en deduktiv ansats samt en paneldataregression för perioden 2018-2022. Resultat: Studien fann att sambandet mellan kapitalstruktur och börsvärde negativt och statistiskt signifikant. Dummyvariabeln för fastighetsbolag var inte statistiskt signifikant. Studien kan därmed konkludera att fastighetsbranschen inte skilde sig från resterande Large Cap-företag. / Abstract Title: The relationship Between Capital Structure and Market Capitalisation: A comparative study between Real Estate Companies and Other Large Cap Firms on the Stockholm Stock Exchange. Authors: Magnus Hofsberger, Albin Seger Supervisor: Katarina Eriksson Background: The relationship between capital structure and market capitalisation has been a hot topic ever since Modigliani and Miller (1958) published the irrelevance-theorem. There is, however, to this day no definite answer on what this relationship looks like. The discussion has become particularly relevant in recent times as several industries in the Swedish market have increased their leverage. Among these industries, it is primarily the real estate sector that has been driving the trend. Previous research has been inconclusive, and the study has identified a knowledge gap regarding the relationship between capital structure and market capitalisation in the Swedish market. Purpose: The purpose of the study is to investigate and analyze how the capital structure of companies listed on the Large Cap segment of the Stockholm Stock Exchange affects their market value. Additionally, the study aims to examine any differences in this relationship between real estate companies and other Large Cap firms. Method: To address the research questions and the purpose of the study, a quantitative research method with a deductive approach in addition to a paneldataregression for the period 2018-2022 was used. Results: The study found that the relationship between capital structure and market capitalisation was negative and statistically significant. The dummy variable for real estate companies was not statistically significant. The study can therefore conclude that the real estate sector did not differ from the remaining Large Cap firms.

Торговля вручную на фондовой бирже постепенно уходит в прошлое. На смену идёт прогресс информационных технологий. Существуют успешные трейдеры, добившиеся высоких результатов при совершении спекулятивных операций на рынке ценных бумаг. Но на их торговые решения влияет множество психологических факторов. Альтернативой психологическим факторам человека на бирже могут быть только трейд-бот, или, торговые роботы. Это особенно актуально для трейдеров, у которых недостаточно времени, чтобы вести торговлю самостоятельно. Торговля с помощью роботов позволяет зарабатывать, занимаясь своими делами. Торговый робот – это программный комплекс, в который заложен алгоритм совершения операций на рынке ценных бумаг. Роботы могут исключить любой вид риска. У компьютерной программы отсутствуют эмоции, присущие человеку, а значит, принятое программой решение является верным в рамках заданного алгоритма, созданного человеком. Гипотеза исследования - разработка методики прогнозирования краткосрочных и среднесрочных трендов с использованием трейд-бота может позволить облегчить торговлю для как начинающих, так и профессиональных трейдеров, также позволит приумножить денежный капитал. / Manual trade on the stock exchange gradually consigns to the past. For change there is a progress of information technologies. There are successful traders who achieved good results when making speculative operations on securities market. But their trade decisions are influenced by a set of psychological factors. Trade bot or trade robots can only be an alternative to psychological factors of the person at the exchange. It is especially relevant for traders who have not enough time to do business independently. Trade by means of robots allows to earn, going about own business. Trade robot is a program complex in which algorithm of making of operations on securities market is put. Robots can exclude any kind of risk. Computer program has no emotions inherent to person, so, decision made by the program is correct within the given algorithm created by the person. Research hypothesis - development of a technique of prediction of short-term and medium-term trends with use of a trade bot is able to afford to facilitate trade for as beginning, and professional traders, monetary capital will also allow to increase.

Studiens syfte är att analysera förhållandet mellan risk, förväntad avkastning och realiserad avkastning inom industri- och finanssektorerna på Stockholmsbörsen. Vidare avser studien att jämföra sektorerna sinsemellan samt med marknaden överlag. Studien riktar sig till privata investerare som förvaltar sina egna aktieportföljer för att bidra med ökad kunskap gällande investering i aktier. Metoden är kvantitativ och det studerade underlaget utgörs av sekundärdata för historiska priser och avkastningar för utvalda aktier från Nasdaq Stockholms mest handlade index, OMXS30. Studien omfattar data mellan perioden 2018-2022. Innehållet är inspirerat av bland annat Rosdiana (2023) och Meric et al. (2010), flera delar av studien är i enlighet med vederbörande. Två hypoteser formuleras och testas, den första nollhypotesen testar risk i förhållande till avkastning och den andra nollhypotesen testar marknadens avkastning i förhållande till industri- och finanssektorernas. CAPM används för att beräkna aktiernas förväntade prestation över bestämd tidsperiod. Alfa tillämpas sedan för att beräkna eventuella skillnader i aktiernas förväntade avkastning och realiserade avkastning. Enligt studiens resultat gav aktierna inom industrisektorn överlag en högre avkastning än både finanssektorn och marknaden. Däremot förkastas ingen av de två nollhypoteserna. / The purpose of the study is to analyze the relationship between risk, expected return and realized return within the industrial and financial sectors in the Stockholm Stock Exchange. Furthermore, the study intends to compare these sectors with each other and with the market overall. The study targets private investors who manage their own stock portfolios and aims to contribute with increased knowledge regarding stock investments. The method is quantitative, and the practiced data consist of secondary data of historical prices and returns from selected stocks in the most traded index in Nasdaq Stockholm, OMXS30. The study covers data from the period 2018-2022. The study is inspired by Rosdiana (2023) and Meric et al. (2010). Two hypotheses are formulated and tested: the first null hypothesis tests risk relative to return, and the second null hypothesis tests market return relative to the industrial and financial sectors. The Capital Asset Pricing Model (CAPM) is applied to calculate the performance of stocks over a specific time period. Alpha is applied to calculate any differences in the shares expected return and realized return. Overall, stocks in the industrial sector yielded higher returns than both the financial sector and the market, but none of the null hypothesis could be rejected.

Given the relative scarcity of capital and the small volume of savings in most African economies at independence, the establishment of stock exchanges and their regulation showed that several countries considered them as strategic financial intermediaries for channelling capital to their national, and even regional, economies. This article examines the Lagos Stock Exchange’s formative years as a political process of Nigeria’s decolonisation and the First Republic. Originally incorporated as a private limited liability company on 15 September 1960, and as the first stock exchange in West Africa and the region’s largest economy, the new financial intermediary defined the relationship between the post-independence state and the growing capital market during a period of considerable political and economic changes. The role of the post-independence state and state-owned enterprises in facilitating the trade on the Lagos Stock Exchange broadens the analytical scope of this investigation to identify the sources of Nigeria’s development finance. While significant efforts were taken to grow private individual participation in the share trade and ownership, the early years of the Lagos Stock Exchange were ultimately marked by the dominance of institutional investors such as state-owned enterprises and private commercial banks.