Notre thèse explore les facteurs de risque et les modèles des facteurs sur le marché boursier chinois A-share. Notre étude est basée sur le contexte du modèle facteur de Fama-French (FF). Tout d'abord, au chapitre 1, nous réexaminons l'applicabilité du Modèle Fama-French à Trois Facteurs (FF3F) et du dernier Modèle Fama-French à Cinq Facteurs (FF5F), compte tenu de plusieurs caractéristiques spéciales du marché boursier chinois. Les résultats empiriques montrent que le Modèle FF3F peut expliquer la majorité des variations de séries chronologiques des rentabilités des actions chinoises A-share. Au cours de la période d'échantillonnage, le marché bêta et le facteur SMB sont des déterminants importants pour expliquer la variation transversale des rentabilités des actions, cependant nous ne trouvons aucune prime de valeur. D’après la comparaison des performances des modèles FF3F et FF5F en présence de facteurs de rentabilité et d'investissement, le Modèle FF5F ne semble pas capturer plus de variations de rentabilités espérées que le modèle à trois facteurs, à l'exception des six portefeuilles pondérées en valeurs qui formés à partir de la taille et de la rentabilité opérationnelle.Dans le chapitre 2, nous examinons si les facteurs FF, SMB et HML, sont des proxys d'innovations de variables d'état sélectionnées (rendement de dividende agrégée, taux de T-bonds en un mois, l’écart de terme et l’écart de défaut) qui décrivent, sur la période recherche, les opportunités futures d'investissement sur le marché boursier chinois A-share. Les régressions chronologiques et les régressions des séries transversales sont réalisées sur cinq modèles comparatifs en utilisant l'approche à deux étapes Fama-MacBeth. Les facteurs FF ne perdent pas leur pouvoir explicatif, avec ou sans la présence des innovations des quatre variables d’états sélectionnées, à la fois dans les examens de séries chronologiques et les examens transversaux. Nous trouvons que l'information contenue dans l'innovation de rendements de dividende agrégés semble totalement capturée par la combinaison du marché bêta et du facteur de taille. Les facteurs FF ont pu jouer un rôle limité de capturer d'opportunités d'investissement alternatives représentées par les innovations des quatre variables d'état sélectionnées.Dans le chapitre 3, nous étudions si les facteurs FF sont des proxys de facteurs de risque de détresse et si différentes méthodes de construction des facteurs entraînent des résultats différents. Les résultats empiriques suggèrent qu'il n'y a pas de preuve significative que les facteurs FF représentent un risque de détresse sur le marché boursier chinois A-share. En comparant les résultats des régressions des séries chronologiques à partir de deux méthodes différentes, la performance du facteur de risque de détresse basé sur le DLI semble légèrement meilleure que celui basé sur le O-score. Cependant, le facteur de risque de détresse n'est pas un déterminant important des rentabilités transversales moyennes, et les facteurs FF ne peuvent pas représenter le facteur de risque de détresse dans la section transversale du marché boursier chinois A-share. / This dissertation is to explore the risk factors and factor models on Chinese A-share stock market based on the context of Fama-French (FF) factor model. First of all, chapter 1 re-examines the applicability of Fama-French Three-Factor (FF3F) Model and the latest Fama-French Five-Factor (FF5F) Model considering several special features of Chinese stock market. FF3F Model can explain a majority of time-series variation of the Chinese A-share stock returns. The market beta and SMB are important determinants in explaining the cross-sectional variation in the average stock returns over the sample period; however, we find no value premium. Comparing the performance of both FF3F Model and FF5F Model on Chinese A-share stock market, in the presence of profitability and investment factors, FF5F Model seems not capture more variations of expected stock returns than the three-factor model except the six value-weighted portfolios formed on size and operating profitability.Chapter 2 examines whether FF factors SMB and HML proxy for the innovations of selected state variables (aggregate dividend yield, one-month T-bill rate, term spread and default spread) that describe future investment opportunities on Chinese A-share stock market during the research period. Both time-series and cross-sectional regressions are performed on five comparative models using Fama-MacBeth two-stage approach. FF factors don’t lose their explanatory power with or without the presence of the innovations of selected four state variables in both the time-series and cross-sectional examinations. We find that the information contained in innovation of aggregate dividend yields seems totally captured by the combination of market beta and size factor. FF factors might have played a limited role in capturing alternative investment opportunities proxied by innovations of the selected four state variables.Chapter 3 investigates whether FF factors proxy for distress risk factor and whether different methods of constructing factors result in the different outcomes. The empirical results suggest that there is no significant evidence that FF factors are proxying for distress risk on Chinese A-share stock market. Comparing the time-series regression results by using two different methods, the distress risk factor constructed based on DLI seems to perform slightly better than that constructed based on O-score in capturing time-series average returns. However, the distress risk factor is not an important determinant of cross-sectional average returns, and FF factors cannot proxy as distress risk factor in the cross-section on Chinese A-share stock market.

Syfte: Syftet med studien är att analysera och utvärdera Carharts fyrfaktormodells och Fama- Frenchs trefaktormodells prestanda vid portföljavkastning på den svenska aktiemarknaden, under perioden 2011–2020. Teori: Denna studie grundar sig i den effektiva marknadshypotesen, Fama och Frenchs trefaktormodell samt Carharts fyrfaktormodell. Metod: En kvantitativ studie med ett deduktivt förhållningssätt. Undersökningen utför tester på den svenska aktiemarknaden under perioden 2011–2020 genom en regressionsanalys. Upptäckter: Carharts fyrfaktormodell har en högre justerad förklaringsgrad än trefaktormodellen, vilket drivs av modellens förmåga att förklara avkastning på portföljer sorterade efter storlek och momentum. Originalitet: Studien särskiljer sig på grund av avsaknaden av forskning på den svenska aktiemarknaden. Vidare bidrar studien till ett forskningsområde för små öppna ekonomier, där den svenska aktiemarknaden ingår. / Purpose: The purpose of the study is to analyze and evaluate Carhart's four-factor model’s and Fama-French's three-factor model's performance in portfolio returns on the Swedish stock market, during the period 2011–2020. Theory: This study is based on the effective market hypothesis, Fama and French's three- factor model and Carhart's four-factor model. Method: A quantitative study with a deductive approach. The survey performs tests on the Swedish stock market between the period 2011-2020 through a regression analysis. Findings: Carhart's four-factor model has a higher adjusted degree of explanation than the three-factor model, which is driven by the model's ability to explain returns on portfolios sorted by size and momentum. Originality: The study differs due to the lack of research on the Swedish stock market. Furthermore, the study contributes to a research area for small open economies, where the Swedish stock market is included.

Capital Asset Pricing Model (CAPM) is an equilibrium model to test relationship between expected return and market risk (Sharpe, 1964). The model research on pricing and return when the securities market reaches equilibrium and investors are rational and investing by diversification based on Markovitz portfolio theory (Markovitz, 1952). Fama and MacBeth (1973) proposed a cross-sectional testing methodology on CAPM and this regression method has been widely used in testing CAPM in developed markets since then. While CAPM is hard to explain more and more market anomalies (excessive return in smaller market value company) in cross section regression, Fama and French (1992) added two more factors (SMB and HML) and proposed three factor model. The empirical results show that three factor model is superior to CAPM in developed markets. Relevant studies have been conducted by Manjuunatha (2006) and Trimech et al. (2015) but show different results. This dissertation will use Fama-MacBeth cross section approach to test CAPM and Fama-French's three factor model in Chinese and Polish stock market respectively. Following Fama and MacBeth (1972) and Shweta and Anil (2015), three sub periods of Polish and Chinese stock market returns ranging from 2007 to 2018 are examined. The empirical results in this thesis...

The aim of this thesis is to examine an empirical relationship between multifrac- tality of financial time series and its returns. We approach the multifractality of a given time series as a measure of its complexity. Multifractal financial time series exhibit repeating self-similar patterns. Multifractality could be a good predictor of stock returns or a factor which can be used in asset pricing. We expected that capturing the complexity of a given time series by a model, a positive or a negative risk premia for investing into "more multifractal assets" could be found. Daily prices of 31 stock indices and daily returns of 10-years US government bonds were downloaded. All the data were recorded between 2012 and 2021. After estimation the multifractal spectra, applying MF-DFA method, of all stock indices, we ordered all stock indices from the lowest to the most multifractal. Then, we constructed a "multifractal portfolio" holding a long position in the 7 most multifractal and holding a short position in the 7 least multifractal stock indices. Fama-MacBeth regression with market risk premia and multifractal variable as independent variables was applied. Multi- fractality in all examined financial time series was found. We also found a very low negative risk premia for holding "a multifractal...

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Sustainability has become a major societal trend and interest in sustainable investments has increased among investors. The purpose of this study is to investigate how sustainability affects Swedish funds' returns and risk. Since research on the impact of sustainability on funds focuses mostly on investments outside Sweden, this study has limited itself to Swedish funds to fill the gap in research. The study analyzes 67 Swedish funds during 2015-2019 using various models such as CAPM, Fama-French three-factor model and Sharpe ratio. Furthermore, the funds' sustainability is measured using Morningstar's sustainability rating. Results show no signs of linear regression between sustainability and results from different models and the results of the study are not statistically significant. Thus, the study concludes that it is not sustainability that affects risk and return among the Swedish funds, but there may be other factors that have not been taken into account in this study. However, previous research shows that sustainable funds perform better and are more stable during times of crisis. This study has not examined the Swedish funds during times of crisis, but this may be an interesting topic for future research. / Hållbarhet har blivit en stor samhällstrend och intresset för hållbara investeringar har ökat bland investerare. Syftet med denna studie är att undersöka hur hållbarhet påverkar Sverigefonders avkastning och risk. Eftersom forskning kring hållbarhetens påverkan på fonder fokuserar mestadels på investeringar utanför Sverige har denna studie avgränsat sig till Sverigefonder för att fylla luckan i forskningen. Studien analyserar 67 Sverigefonder under 2015-2019 med hjälp av olika modeller såsom CAPM, Fama-French trefaktormodell och Sharpekvot. Vidare mäts fondernas hållbarhet med hjälp av Morningstar hållbarhetsbetyg. Resultat visar inga tecken på linjär regression mellan hållbarhet och resultat från olika modeller samt studiens resultat är inte statistiskt signifikanta. Därmed är studiens slutsats att det inte är hållbarhet som påverkar på risk och avkastning bland Sverigefonderna utan det kan vara andra faktorer som inte tagits hänsyn till i denna studie. Däremot visar tidigare forskning att hållbara fonder presterar bättre och är mer stabila under kristider. Denna studie har inte undersökt Sverigefonderna under kristider men detta kan vara ett intressant ämne för framtida forskning.

[pt] Este trabalho busca analisar a divergência observada, quanto à aplicabilidade do prêmio de risco por tamanho, entre a proposta apresentada pela TBG – Transportadora Gasoduto Bolívia-Brasil e a resposta da ANP - Agência Nacional de Petróleo para estimação do custo de capital próprio que balizará a tarifa máxima de transporte de gás natural para a empresa regulada. Tanto a TBG quanto a ANP adotaram o Capital Asset Price Model – CAPM como modelo para estimação do custo de capital próprio, no entanto, a proposta da TBG considerou o prêmio de risco por tamanho, ao passo que a resposta da Agência Reguladora não acatou a inclusão desse prêmio, conforme consta na nota técnica nº 007/2018-SIM de 16 de julho de 2018. Para analisar a divergência em relação ao prêmio de risco por tamanho, foi o utilizado modelo de três fatores de Fama e French (1993), que considera, além do risco sistemático adotado no CAPM, os fatores tamanho e índice B/M (book-to-market) para mensuração do custo de capital próprio. Os resultados encontrados, com base no modelo de três fatores de Fama e French (1993), não indicam aplicabilidade do prêmio de risco por tamanho para estimação do custo de capital próprio no mercado regulado de transporte de gás natural, pois os coeficientes dos fatores small minus big (SMB) e high minus low (HML) não apresentaram resultados com significância estatística para diversas das carteiras analisadas. Adicionalmente, as empresas de menor porte (small) e de alto índice B/M (high) apresentaram, entre julho de 2009 e junho de 2018, retornos médios inferiores às empresas maiores (big) e de baixo índice B/M (low), não evidenciando a existência de prêmios de risco por tamanho e por valor. / [en] The purpose of this study is to analyze the divergence observed regarding the applicability of the size risk premium, between the proposal presented by TBG - Brazilian Transporter Gasoduto Bolívia-Brasil and the response of ANP - National Petroleum Agency, in the estimation of the cost of equity that will define the maximum rate for the transport of natural gas to the regulated company. Both TBG and ANP adopted the Capital Asset Price Model (CAPM) model, however, TBG proposal considered the size risk premium while ANP response did not accept the inclusion of this premium as stated in technical note no. 007/2018-SIM of July 16, 2018. To analyze this divergence was used the Fama and French three factor model (1993) that considers, besides the systematic risk adopted in the CAPM, the factors size and B/M (book-to-market) index for measuring the cost of equity. The results obtained, based on Fama and French three factors model (1993), do not indicate the applicability of the size risk premium for estimative of the cost of equity in the regulated natural gas transportation market, since the small minus big (SMB) and high minus low (HML) factor s coefficients did not present statistical significant results for some of the analyzed portfolios. In addition, smaller and high B/M companies presented, between July 2009 and June 2018, lower average returns than bigger and low B/M companies, not evidencing the existence of size and value risk premiums.

Det ökade fokuset på hållbarhet har gjort miljö-, social- och styrningsfaktorer (ESG) till kritiska faktorer när man fattar investeringsbeslut. Denna studie beskriver och analyserar sambandet mellan ESG-screening och finansiella prestandan hos portföljer inom STOXX Europe 600-indexet mellan 2019 och 2023. Studien tillämpar en kvantitativ ram för att analysera tre portföljer, var och en med olika tröskelvärden för ESG-screening, och undersöker om högre ESG-rating korrelerar med högre avkastning. Genom att tillämpa CAPM tillsammans med Fama Frenchs trefaktormodell samt prestationsmått som Sharpekvoten, Beta och Jensens Alfa, syftar studien till att ge en fördjupad jämförelse av portföljer med olika ESG-kriterier mot det europeiska aktieindexet. Resultaten visar att ESG-screenade portföljer inom STOXX Europe 600 inte överträffade indexet i hänsyn till deras riskjusterade avkastning. Denna studie bidrar till diskussionen om de ekonomiska fördelarna med hållbara investeringar, genom att visa att även om ESG-screenade portföljerna har högre hållbarhetsgrad, leder de inte nödvändigtvis till förbättrade finansiella resultat på de europeiska marknaderna. / The increasing focus on sustainability has made Environmental, Social and Governance (ESG) factors critical elements when making investment decisions. This study evaluates the relationship of ESG screening and the financial performance of portfolios within the STOXX Europe 600 index between 2019 and 2023. Using a quantitative framework, this study analyzed three portfolios – each with different ESG-screening thresholds – to investigate whether higher ESG-rating correlates with higher financial returns. By applying CAPM and the Fama-French three-factor model along with performance metrics such as the Sharpe ratio, Beta and Jensen’s Alpha, the study aims to provide an in-depth comparison of portfolios with ESG-criteria against the European stock index. The results indicate that ESG-screened portfolios within STOXX Europe 600 did not outperform the unscreened index, in terms of risk-adjusted returns.  This study adds to the ongoing discussion about the financial benefits of sustainable investing by showing that whilst ESG-screened portfolios have higher sustainability measures, they do not necessarily lead to improved financial results in the European markets.

本研究目的欲探討實施費率自由化第一及第二階段後之情形，即在2006年第二階段實施後，台灣產物保險公司及各險種個別之資金成本，以檢視兩階段自由化實施後是否顯著影響國內產險業。而資金成本為公司每段期間內應支付資金提供者之期望報酬，故以此可做為日後公司經營之參考指標。研究期間為2002年至2008年，分別由一因子模型及多因子模型解釋台灣產物保險業之資金成本，及系統風險(β)的變化是否會影響其資金成本之變動。利用資本資產定價模型(Capital Asset Pricing Model, CAPM)及Fama-French三因子模型(Fama-French Three-Factor Model, FF3F)求得公司資金成本，再透過完備資訊方法(The Full-information Industry Beta Method, FIB)了解不同險種間之系統風險及資金成本。實證結果顯示： 1. 無論在整體產險公司或是不同險種間，由FF3F模型所估計之資金成本均高於由CAPM模型所估計之資金成本。說明CAPM模型無法反映公司規模及財務危機因子(淨值市價比因子)之溢酬，而造成資金成本之低估。 2. 經CAPM模型及FF3F模型之估計，顯示台灣產險業之資金成本均低於國外產險業之資金成本，如美國。說明台灣產險業於資本市場之融資成本較低，造成其資本效率偏低，投資人變相縱容產險公司從事高風險性資產之投資。 本研究由台灣實證資料，顯示現行產險業資金取得成本低，導致其資本效率偏低，且投資人無法由市場資訊檢視其保險本業是否根據成本之考量來定價，故主管機關應於費用完全自由化後，加強產險業經營之監理，導正產險市場經營模式，避免因核保循環(underwriting cycle)而影響公司財務穩健。 關鍵詞：費率自由化、資金成本、資本資產定價模型、Fama-French三因子模型、完備資訊方法。

Subject background and discussion: In recent decades, issues of human rights, labor and environmental change has been hot topics world wide, which also has influenced the financial market. More and more investors use socially responsible investing (SRI) screens when constructing their portfolios. One form of SRI screen is to choose companies that have satisfied employees. Existing theory says that employee satisfaction is an intangible asset to the firm that will positively affect a firm’s performance in the future. Intangible assets are often unrecognized by the market and thereby not incorporated in the stock price. The efficient market hypothesis has been studied and debated for several decades. Proponents of the EMH argue that all available information is incorporated in the stock price, thus it is not possible to systematically beat the market. However, EMH is controversial, since research has shown different results regarding the possibility to make abnormal return from various investing strategy. Research question: Is it possible to make abnormal returns by investing in a portfolio of worldwide firms with top scores on the SRI screen employee satisfaction? Purpose: The main purpose of this study is to examine investor’s possibility to make abnormal return with controls for multiple risk factors by investing in worldwide firms with top scores in employee satisfaction. One sub-purpose is to examine how the market values intangibles depending on the degree of market efficiency. Another sub-purpose of the study is to test two different portfolio weighting methodologies, equally- and value weighted, and observe the differences between them. Theory: This study deals with the efficient market hypothesis and the concepts of SRI, employee satisfaction, intangible assets and several risk-adjusted measurements. Method: We have chosen to perform a quantitative study with a deductive approach to answer our research question. We used a sample size of 696 firms based on “Great Place to Works”- lists of companies with high employee satisfaction to construct sex portfolios with different holding periods and strategies. These portfolios have been explored and tested significantly with both equally and value weighted methods. Result/Analysis: The study finds significant evidence of an average annual abnormal return of 3,66% and 2,43% for our main portfolio over the market for equally- and value weighted, respectively, using the three-factor model. When adjusting for momentum, thus employing the four-factor model, all the predictive variables still identify strong persistence in the abnormal return, with statistical significance. Conclusion: The results show that it is possible to make abnormal returns, during the observed time period, regardless of the weighing methodology, although the equally weighted received higher abnormal returns. Thus, the market efficiency appears to be in weak form and does not fully value intangibles.