量價關係，一直以來皆為技術分析學派所廣泛運用，其主張運用過去的股價以及成交量來推測股票未來的走勢，而也有許多的研究以及投資策略皆是從量價關係所出。在國內，小型股也由於其股本小的特性，往往成為有心人士炒作之標的。此外，小型股亦較大型股具有不對稱資訊的性質，而由於成交量背後往往隱藏著許多的資訊，因此投資人利用量與價之間的關係，得到能夠有效預測小型股股價的方法以利其投資。 而本文之研究，將量價關係運用在小型股上，想檢視彼此間有無任何關係存在。本文中我們使用了因果關係檢定，三因子模型，以及縱橫迴歸模型，用來分別檢視小型股與大型股的量價關係。驗證結果發現，在不同的檢驗方式下，都會得到小型股較大型股，有顯著量價影響的關係存在。 / The relation between volume and price is widely used in technical analysis. It predicts future stock price by using past stock price and volume. There are lots of investigations and investment strategies are stemmed from it. In Taiwan, small caps are preferred to be held by the people who would like to manipulate the price because of their small number of capitalization. In addition, compared with large caps, small caps are of asymmetric information to the investors. As there is lot of information hidden behind volume, investors are likely to use the relation between volume and price to get a useful way to predict small caps’ stock price. In this paper, I use granger causality test, three-factor model, and panel data model to test the relation between price/return and volume of small caps and big caps separately. The experiment shows that use different ways, we can verify there exist more obvious relations between volume and price in small caps than in large caps.

資本資產定價模型已被廣泛使用於分析股票風險與要求報酬率之間的關係。然而，個別股票風險Beta是否足以解釋其報酬，也受到愈來愈多的質疑。Fama和French在1993年提出額外兩個因子來解釋股票報酬。我們將應用資本資產定價模型和三因子模型來分析1963年7月至2002年12月之美國的三大股票交易所上市公司。藉由一次改變分析過程中的一部分，以觀察參數估計值是否穩定。結果發現Beta_HML總是顯著且最為穩定，而Beta_SMB並不顯著。Beta經常顯著，但變動情況較大。另外，我們將考慮個別股票本身的變異，亦即將隨機效果納入考量。 / The Capital Asset Pricing Model (CAPM) has been widely used to analyze the relationship between risk and required rate of return on a stock, while it is doubted that individual stock's risk Beta has enough explanatory power for it's returns. Fama and French (1993) proposed two more factors to help explaining stock returns. We use the CAPM and the three-factor model to analyze listed companys in American stock exchanges, during the period from July 1963 to December 2002. We change part of the analyzing process a time to see if the estimates of the parameters are stable. The risk-premium Beta_HML is always significant and it performs most stable, while another risk-premium Beta_SMB is never significant. Beta is usually significant but it varies. Furthermore, we take within-stock variation into account, so random effects are considered.

Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used.

Background: The Swedish fund savings have developed strongly over the past two decades. Together with this development, the knowledge that the earth's population is facing an extensive climate challenge has also increased. For many people today, living sustainably has become a central aspect of everyday life, and when it comes to investing their savings, the majority of Sweden's fund savers state that sustainability is something that is taken into account when choosing an investment. Investments in funds that based on measuring tools, show a high degree of sustainability have thus increased. This raises the question of whether these sustainable funds can generate a higher alpha and thus a better risk-adjusted return than the less sustainable alternatives available on the market. Previous studies have shown differences of opinion, which means that it is relevant to examine how these different types of funds perform against each other in the Swedish market.   Purpose: The aim of this study is to analyze whether fund savers that are investing in sustainable funds can generate a higher alpha and thereby a better risk adjusted return than fund savers that invests in less sustainable alternatives.   Methodology: The study was conducted with a quantitative method and a deductive approach. Sustainability ratings have been collected for 253 funds from a measuring institute. For these 253 funds, data in the form of net asset value have been collected between the period 2016 - 2020 monthly. These funds have then been evaluated based on risk-adjusted returns where regression analysis has been the groundwork for finding answers to whether alpha has been achieved compared to the market or not. Results obtained have then been statistically examined through various tests.   Conclusion: After completed study, there were no signs that studied sustainable funds have given rise to a better risk-adjusted return than the less sustainable alternatives available on the market. Of the 253 funds included in the study, only five funds showed a risk-adjusted return statistically different from zero, where three had a negative return and two a positive return. When the 253 funds were divided into four different quartiles based on sustainability ratings, it appeared that the funds with a positive risk-adjusted return were placed in quartile four, which was the one with the highest sustainability rating. However, this may be based on chance and a result of two in a sample of 253 gives clear indications that efficiency prevails in the market.