Does value investing work on the 21-st century Swedish stock market? We examine the performances of the FScore strategy (Piotroski 2000), the V/P strategy (Frankel and Lee 1998), and a combination of these (Li and Mohanram 2019) on the Swedish stock market between 2000-2020. We find that they produce significant and substantial average raw returns during the period, much above the total return of a comparable market index. However, only the abnormal return of the FScore strategy is statistically significant, even though that of the combined strategy is higher. Based on a very low power of the Fama and French (2015) five-factor model in explaining the returns of the V/P and combined strategies, we argue that the insignificance is most likely due to under-diversification. / Fungerar värdeinvestering på 2000-talets Svenska aktiemarknad? Vi undersöker hur FScore-strategin (Piotroski 2000), V/P-strategin (Frankel och Lee 1998) och en kombination av dessa (Li och Mohanram 2019) har presterat på Svenska aktiemarknaden mellan 2000-2020. Vi finner att de under perioden gett upphov till signifikanta genomsnittliga avkastningar som är klart högre än Stockholmsbörsens totalavkastning. Dock är det endast FScore strategin som ger upphov till signifikant abnormal avkastning, trots att den från den kombinerade strategin är högre. Baserat på att avkastningarna från V/P-och kombinerade strategin knappast kan förklaras av Fama och French (2015) femfaktormodell argumenterar vi för att den statistiska insignifikansen troligtvis härstammar från underdiversifiering.

The subject of the present thesis is the Chern-Simons-Schrödinger system, which is a gauge-covariant Schrödinger system in two spatial dimensions with a long-range electromagnetic field. The present thesis studies two aspects of the system: that of well-posedness and that of the long-time behaviour. The first main result of the thesis concerns the large-data well-posedness of the initial-value problem for the Chern-Simons-Schrödinger system. We impose the Coulomb gauge to remove the gauge-invariance, in order to obtain a well-defined initial-value problem. We prove that, in the Coulomb gauge, the Chern-Simons-Schrödinger system is locally well-posed in the Sobolev spaces $H^s$ for $s\ge 1$, and that the solution map satisfies a weak Lipschitz continuity estimate. The main technical difficulty is the presence of a derivative nonlinearity, which rules out the naive iteration scheme for proving well-posedness. The key idea is to retain the non-perturbative part of the derivative nonlinearity in the principal operator, and to exploit the dispersive properties of the resulting paradifferential-type principal operator, in particular frequency-localised Strichartz estimates, using adaptations of the $U^p$ and $V^p$ spaces introduced by Koch and Tataru in other contexts. The other main result of the thesis characterises the large-time behaviour in the case where the interaction potential is the defocusing cubic term. We prove that the solution to the Chern-Simons-Schrödinger system in the Coulomb gauge, starting from a localised finite-energy initial datum, will scatter to a free Schrödinger wave at large times. The two crucial ingredients here are the discovery of a new conserved quantity, that of a pseudo-conformal energy, and the cubic null structure discovered by Oh and Pusateri, which reveals a subtle cancellation in the long-range electromagnetic effects. By exploiting pseudo-conformal symmetry, we also prove the existence of wave operators for the Chern-Simons-Schrödinger system in the Coulomb gauge: given a localised finite-energy final state, there exists a unique solution which scatters to that prescribed state.

本研究以台灣證券交易所編製之修正股價平均數為研究對象，衡量股價平均數之理論隱含價值，並加以預測。文中假設股票市價與真實價值間靜態均衡無法成立，改以連續收斂型態的動態調整過程，才能對於此種現象加以描述，並假設股價平均數之市價與模型評估值為共整合關係，利用V/P比率來預測股價平均數報酬率，且將投資大眾經常使用之變數（例如E/P、B/P、利率等等）加以比較，所得出之結論如下： (1) V/P比率一階自我相關係數較低，顯示V/P偏離平均值時，較其他比率返回平均數速度快，較能反映市場的走勢與變動。 (2) 短期下並無任一財務比率可以對於股價平均數走勢加以預測，但長期下（未來一年之後），V/P 比率具有相當顯著的預測能力。 (3) 將E/P與B/P納入迴歸式，V/P 比率在未來一至八季期間，仍具有顯著預測能力，可見V/P比率即使與E/P或B/P比率有某種程度的相關，並不影響到V/P 比率的預測能力。 (4) 將總體經濟變數納入迴歸式中，V/P 比率預測能力在短期中會受到些許影響，但經過一年之後，V/P 比率仍然具有相當顯著的預測能力。 (5) 若以過去公司每股盈餘、淨值、股東權益報酬率等財務相關歷史資料，作為未來公司盈餘收益以及成長的預測，會使得V/P 比率受到影響（在短期時預測能力大為降低），但就長期而言（未來第五季之後），此項指標仍然具有預測能力，對於股價平均數水準之評估，仍有一定程度的參考作用。 (6) 分別選取15%、13%、11%、9%及7%等固定折現率，依序求出修正股價平均數的V/P比率，檢定結果與隨時間變動折現率所計算之比率數值相比較，並沒有產生相當明顯的變化。雖然V/P比率的預測能力隨著折現率的下降而減弱，但其變化的趨勢並無絕對穩定的關係，對於「長期下」的預測能力，並不會產生極大的影響。 綜合以上結論，本研究發現：利用Ohlson（1990）剩餘所得模型（residual income model）來估算台灣證券交易所編製之修正股價平均數水準，較易以一般市場上獲取的會計資訊來加以衡量，也較能反映股市基本面價值。即使短期內V/P比率預測能力並不十分明顯，但長期下（一年後）採用V/P比率此項指標，仍能預測未來股價平均數之走勢，且與其他變數比較而言，此預測能力呈現一較穩定之關係。由於國內相關研究甚少直接對股市股價指數做直接的衡量與評估，因此，實務上可以將此估算方法作為一種參考指標，並以此分析未來股價指數水準在長期下之走勢與變動。 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 2 第三節 研究架構 5 第四節 研究流程 6 第二章 文獻探討 7 第一節 國外部分 7 第二節 國內部分 10 第三章 研究方法與設計 13 第一節 研究設計 13 第二節 剩餘所得模型 15 第三節 資料收集與整理 18 第四節 研究方法與實證模式 25 第四章 實證結果與分析 30 第一節 修正股價平均數之檢視 30 第二節 基本面比率對於股價平均數報酬率之預測 32 第三節 V/P衡量方法之優劣比較 36 第五章 結論與建議 50 第一節 研究結論 50 第二節 研究限制與建議 52 參考文獻 54 英文部分 54 中文部分 56

The diploma thesis consists of theoretical and practical part. The theoretical part deals with a definition of important concepts such as philosophy for children, historical development of this program, personality of a child, communication and thinking of pre-school children. The practical part is conceived as a controlled dialogue with children in preschool education, with a great emphasis on expressing their emotions and experiencing a given situation.