<p>Bakgrund: Marknadens riskpremie kan förklaras som den förväntade avkastning en investerare kräver för att acceptera en viss risk. Hur riskpremien skall bestämmas har stått i fokus för omfattande debatter de senaste åren men fortfarande har ingen ultimat lösning infunnit sig. Det finns två huvudsakliga tillvägagångssätt för att uppskatta riskpremien. Det ena att använda historisk data över aktieutvecklingen och därefter förvänta sig att en framtida utveckling kommer att vara likvärdig. Den andra är att göra uppskattningar av den framtida utvecklingen, så som framtida utdelningar, framtida vinster, BNP och inflation och därifrån göra en uppskattning utav riskpremien. Att använda sig av historiska värden har tidigare varit en accepterad metod både i den akademiska och finansiella värden men då den på senare tid har mötts av omfattande kritik, har modeller baserade på uppskattningar av framtiden vuxit sig starkare.</p><p>Syfte: Syftet med denna uppsats är att ge en djupgående beskrivning av hur svenska finansiella företag uppskattar och hanterar riskpremium för den svenska aktiemarknaden. Därigenom fanns en avsikt att studera vilken metod som främst användes, hur viktigt riskpremium i form av ett investeringsinstrument var, och morgondagens betydelse av riskpremium.</p><p>Metod: Författarna använde sig av en kvalitativ metod, där det empiriska materialet samlades in med hjälp av personliga intervjuer. Intervjufrågor av öppen karaktär skickades ut till respondenterna i förväg, och intervjuerna ägde därefter rum i Stockholm och Göteborg. I den teoretiska referensramen användes både så kallad primär och sekundär litteratur för att kunna redogöra en övergripande bild av problemområdet. Den primära litteraturen, som framförallt ligger till grund för kapitel tre, sågs extra viktig att inkludera då den möjliggjorde en minskad subjektivitet som annars hade riskerat att belasta uppsatsen.</p><p>Resultat: Resultaten visade en varierad syn mellan respondenterna där vissa ansåg att riskpremien hade ringa betydelse och andra att det var en mycket viktig variabel. Överlag fanns det dock ett ökat intresse de senaste åren. Även val av metod varierade och vare sig historisk data eller framtida uppskattningar kunde sägas ha ett övertag bland användarna. Avslutningsvis såg författarna ett ökat intresse för de ingående variablerna i modeller som baseras på framtida förväntade värden och kunde därav visa att den framtida debatten sannolikt kommer att behandla vilka variabler som bör inkluderas i denna typ av modeller och hur de bör uppskattas.</p>

This thesis presents an empirical investigation into the Arbitrage Pricing Theory (APT). At the onset of the thesis it is recognised that tests of the APT are conditional on a number of preconditions and assumptions. The first line of investigation examines the effect of the assumed nature of the form of the return generating process of stocks. It is found that stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate factor structure. The second issue we raise is that of the appropriate factors, the role of the market portfolio and the performance of the APT against the Capital Asset Pricing Model (CAPM). The conclusions that we draw are that the APT is robust to a number of specified alternatives and furthermore, the APT outperforms the CAPM in comparative tests. In addition, within the APT specification there is a role for the market portfolio. Through a comparison of the results in chapters 2 and 3 it is evident that the APT is not robust to the specification of unexpected components. We evaluate the validity of extant techniques in this respect and find that they are unlikely to be representative of agents actual unexpected components. Consequently we put forth an alternative methodology based upon estimating expectations from a learning scheme. This technique is valid in respect to our prior assumptions. Having addressed these preconditions and assumptions that arise in tests of the APT a thorough investigation into the empirical content of the APT is then undertaken. Concentrating on the issues that the return generating process must be unique and that the estimated risk premia should be stable overtime the results indicate that the APT does have empirical content. Finally, armed with the empirically valid APT we proceed to analyse the issue of seasonalities in stock returns. The results confirm previous findings that there are seasonal patterns in the UK stock market, however, unlike previous findings we show that these seasonal patterns are part of the risk return structure and can be explained by the yearly business cycle. Furthermore, the APT retains empirical content when these seasonal patterns are removed from the data. The overall finding of this thesis is that the APT does have empirical content and provides a good description of the return generating process of UK stocks.

Les aciers ODS (Oxide Dispersed Strengthened Steels), renforcés par des dispersions de nano-oxydes métalliques (à base d'éléments Y, Ti et O), sont des matériaux prometteurs pour les réacteurs nucléaires de génération IV. La compréhension fine des mécanismes mis en jeu lors de la précipitation de ces nano-oxydes permettrait d'améliorer la fabrication et les propriétés mécaniques de ces aciers ODS, avec un fort impact économique en vue de leur industrialisation. Pour étudier expérimentalement ces mécanismes, une approche analytique par implantation ionique est utilisée dans cette étude, permettant de contrôler différents paramètres de synthèse de ces précipités comme la température et leur concentration. Ce projet a permis de démontrer la faisabilité de cette méthode et d'étudier le comportement d'alliages modèles (à base d'oxyde d'aluminium) sous recuit thermique. Des alliages Fe-10Cr de haute pureté ont été implantés avec des ions Al et O à température ambiante. Les observations de microscopie électronique en transmission ont montré que des nano-oxydes apparaissent dans la matrice de Fe-10Cr dès l'implantation à température ambiante, sans recuit subséquent. Les défauts créés lors de l'implantation ionique sont à l'origine de la mobilité des éléments introduits, permettant la nucléation de ces nanoparticules, de quelques nm de diamètre. Ces nanoparticules sont composées d'aluminium et d'oxygène, et également de chrome. Les examens en haute résolution montrent que leur structure cristallographique correspond à celle d'un composé hors équilibre de l'oxyde d'aluminium (de type γ-Al₂O₃). Les traitements thermiques effectués après implantation induisent une croissance de la taille de ces nano-oxydes, et un changement de phase qui tend vers la structure d'équilibre (de type α-Al₂O₃). Ces résultats sur des alliages modèles s'appliquent entièrement aux matériaux industriels : en effet l'implantation ionique reproduit les conditions du broyage, et les traitements thermiques sont à des températures équivalentes à celles des traitements d'élaboration thermo-mécaniques. Un mécanisme de la précipitation de nano-oxydes dispersés dans des alliages ODS est proposé dans ce manuscrit. / ODS (Oxide Dispersed Strengthened) steels, which are reinforced with metal dispersions of nano-oxides (based on Y, Ti and O elements), are promising materials for future nuclear reactors. The detailed understanding of the mechanisms involved in the precipitation of these nano-oxides would improve manufacturing and mechanical properties of these ODS steels, with a strong economic impact for their industrialization. To experimentally study these mechanisms, an analytical approach by ion implantation is used, to control various parameters of synthesis of these precipitates as the temperature and concentration. This study demonstrated the feasibility of this method and concerned the behaviour of alloys models (based on aluminium oxide) under thermal annealing. High purity Fe-10Cr alloys were implanted with Al and O ions at room temperature. Transmission electron microscopy observations showed that the nano-oxides appear in the Fe-10Cr matrix upon ion implantation at room temperature without subsequent annealing. The mobility of implanted elements is caused by the defects created during ion implantation, allowing the nucleation of these nanoparticles, of a few nm in diameter. These nanoparticles are composed of aluminium and oxygen, and also chromium. The high-resolution experiments show that their crystallographic structure is that of a non-equilibrium compound of aluminium oxide (cubic γ-Al₂O₃ type). The heat treatment performed after implantation induces the growth of the nano-sized oxides, and a phase change that tends to balance to the equilibrium structure (hexagonal α-Al₂O₃ type). These results on model alloys are fully applicable to industrial materials: indeed ion implantation reproduces the conditions of milling and heat treatments are at equivalent temperatures to those of thermo-mechanical treatments. A mechanism involving the precipitation of nano-oxide dispersed in ODS alloys is proposed in this manuscript based on the obtained experimental results, and the existing literature.

High entropy alloys (HEAs), also referred to as complex concentrated alloys (CCAs), are a relatively new class of alloys that have gained significant attention since 2010 due to their unique balance of properties that include high strength, ductility and excellent corrosion resistance. HEAs are usually based on five or more elements alloyed in near equimolar concentrations, and exhibit simple microstructures by the formation of solid solution phases instead of complex compounds. HEAs have great potential in the design of new materials; for instance, for lightweight structural applications and elevated temperature applications. The relation between grain size and yield strength has been a topic of significant interest not only to researchers but also for industrial applications. Though some research papers have been published in this area, consensus among them is lacking, as the studies yielded different results. Al atom being a large atom causes significant lattice distortion. This work attempts to study the Hall-Petch relationship for Al0.3CoFeNi and Al0.3CoCrFeNi and to compare the data of friction stress σ0 and Hall-Petch coefficient K with published data. The base alloys for both these alloys are CoFeNi and CoCrFeNi respectively. It was observed by atom probe tomography (APT) that clustering of Al-Ni atoms in these two base CCAs was responsible for imparting such high values of K. Additionally the high value of K in the CoCrFeNi HEA can also be attributed to the presence of Co-Cr clusters.

Stroke is one of the leading causes of death and adult disability worldwide. The major therapeutic intervention for acute ischemic stroke is the administration of recombinant tissue plasminogen activator (rtPA) to help to restore blood flow to the brain. This has been shown to increase the survival rate and to reduce the disability of ischemic stroke patients. However, rtPA is associated with intracranial haemorrhage and thus its administration is currently limited to only about 5% of ischemic stroke patients. More advanced imaging techniques can be used to better stratify patients for rtPA treatment. One new imaging technique, chemical exchange saturation transfer (CEST) magnetic resonance imaging, can potentially image intracellular pH and since tissue acidification happens prior to cerebral infarction, CEST has the potential to predict ischemic injury and hence to improve patient selection. Despite this potential, most studies have generated pH-weighted rather than quantitative pH maps; the most widely used metric to quantify the CEST effect is only able to generate qualitative contrast measurements and suffers from many confounds. The greatest clinical benefit of CEST imaging lies in its ability to non-invasively measure quantitative pH values which may be useful to identify salvageable tissue. The quantitative techniques and work presented in this thesis thus provide the necessary analysis to determine whether a threshold for the quantified CEST effect or for pH exists to help to define tissue outcome following stroke; to investigate the potential of CEST for clinical stroke imaging; and subsequently to facilitate clinical translation of CEST for acute stroke management.

本研究探討社會網絡網站的使用族群間之價值差異，特別著重於比較不同人格特質的使用者對於社會網絡網站的利益與價值追求上的差異。因此本研究以「方法目的鏈理論」為基礎，透過小樣本之質化方法-「階梯訪談法」，深入訪談社會網絡網站的使用者，了解其對於社會網絡網站認知的「價值階層圖」（HVM）。並進一步依照「階梯訪談法」之質化研究的結論基礎，採用「方法目的鏈理論」中之Associate pattern technique(簡稱APT法)，發放大量結構式問卷，試圖找出不同族群之社會網絡網站使用者重視之使用價值差異。本研究利用Five-Factor Model(FFM)量表之五大人格特質構面分數及使用者之使用型態，成功將社會網絡網站使用者區分成四大族群，分別為「勤勉積極新鮮人」、「網路依賴族」、「職場打拼族」、「網路社交消極族」。並透過APT法繪出其「價值階層圖」（HVM），發現各族群共同重視的使用價值為獲得樂趣與享受與自我實現、建立與他人溫暖關係這三個主要價值。研究亦發現，透過傳統階梯法與大量結構式問卷之APT法，找出之使用者價值大致相同，但在如何取得價值的路徑上略有不同。而四族群重視的屬性、利益、價值及使用型態也略有不同，如網路依賴族使用時間最長，為重度使用者，且是四群中唯一重視安全價值之族群。勤勉積極新鮮人、職場打拼族、網路社交消極族使用頻率與停留時間較短，主要重視價值為與他人溫暖關係、樂趣、自我實現。 本研究為社會網絡網站業者提出的功能改善的建議為：一、針對不同族群使用者量身訂做功能屬性，二、找出不同社會網絡網站之主要使用族群，三、依照社會網絡網站使用者共同重視之使用價值設計其功能。

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This thesis examines the links between economic time-series innovations and statistical risk factors in the UK stock market using principal components analysis (PCA) and the general-to-specific (Gets) approach to econometric modelling. A multi-factor risk structure for the UK stock market is assumed, and it is found that the use of economic 'news' (innovations), PCA, the Gets approach, and different stock grouping criteria helps to explain the relationships between stock returns and economic variables. The Kalman Filter appears to be more appropriate than first-differencing or ARIMA modelling as a technique for estimating innovations when applying the Gets approach. Different combinations of economic variables appear to underpin the risk structure of stock returns for different sub-samples. Indications of a possible influence of firm size are found in principal components when different stock sorting criteria are used, but more definite conclusions require simultaneous sorting by market value and beta. Overall it appears that the major factor affecting the identification of specific explanatory economic variables across different sub-samples is the general economic context of investment. The influence of firm size on stock returns seems in particular to be highly sensitive to the wider economic context. There is an apparent instability in the economic underpinnings of the risk structure of stock returns (as measured by principal components) that might also be a result of changing economic conditions.

Submitted by Carlos Eduardo Shiratori (ceshiratori@gmail.com) on 2017-03-16T14:10:17Z No. of bitstreams: 1 Dissertacao 201703013.pdf: 2320593 bytes, checksum: c7231782f9a6b60a08a669a83bda6e7c (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Carlos, boa tarde Para que seu trabalho esteja de acordo com as normas da ABNT, será necessário realizar alguns ajustes: Primeiramente, foi solicitado alteração do título? Caso não, será necessário retornar ao título que consta em ata: ESTIMAÇÃO DO MODELO APT PARA O MERCADO BRASILEIRO DE FLLS Nas páginas que constam seu nome, o título e São Paulo 2017, deixa-los em letra maiúscula. A ficha catalográfica deve estar após a contra capa, na parte inferior da página. Retirar a numeração das páginas anteriores à Introdução. Em seguida deverá submeter o arquivo novamente. Att on 2017-03-16T16:13:00Z (GMT) / Submitted by Carlos Eduardo Shiratori (ceshiratori@gmail.com) on 2017-03-16T17:55:51Z No. of bitstreams: 1 Dissertacao 201703013.pdf: 2321265 bytes, checksum: 556389bf3029de29cf0ea9ea59b7afbb (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-03-16T18:03:06Z (GMT) No. of bitstreams: 1 Dissertacao 201703013.pdf: 2321265 bytes, checksum: 556389bf3029de29cf0ea9ea59b7afbb (MD5) / Made available in DSpace on 2017-03-17T12:36:20Z (GMT). No. of bitstreams: 1 Dissertacao 201703013.pdf: 2321265 bytes, checksum: 556389bf3029de29cf0ea9ea59b7afbb (MD5) Previous issue date: 2017-02-12 / This thesis seeks to investigate the risk factors that determine the returns of the FIIs traded in the stock exchange and organized counter markets of the BVMF, through the estimation of the APT model, according to the two classic approaches. For this purpose two APT models were estimated one with macroeconomic risk factors and a principal component analysis (PCA) of the returns of the FIIs selected for the sample. The results obtained indicate low explanatory power of the two APT models and, except for the ETTJt interest rate structure, no statistical significance was observed for the macroeconomic risk factors, results different from those obtained by Chan, Hendershott and Sanders (1990) for the US REITs market and similar to the results obtained by Rebeschini and Leal (2016) for the Brazilian stock investment funds market. This may indicate that despite the recent strong growth in the Brazilian FII market, the level of FIIs' Brazilian market development is still low, especially when compared to other assets traded in the Brazilian financial market or similar assets traded in foreign markets. Being observed a large number of FIIs with a single portfolio asset, which, together with the results obtained in previous studies and principal component analysis (PCA), suggest that FII returns are more related to the characteristics of the underlying assets than to risk factors related to market indices. / A presente dissertação busca investigar os fatores de risco que determinam os retornos dos fundos de investimentos imobiliários - FIIs negociados nos mercados de bolsa e balcão organizado da BVMF , mediante a estimação do modelo Arbitrage Princing Theory - APT, originalmente proposto por Ross (1976), conforme as duas principais abordagens. Para tanto foram estimados dois modelos APT um com fatores de risco macroeconômicos e uma Análise de Componentes Principais - PCA dos retornos dos FIIs selecionados para a amostra. Os resultados obtidos indicam baixo poder explicativo dos dois modelos APT e exceto pela estrutura de taxa de juros ETTJt não foi observada significância estatística dos fatores de risco macroeconômicos, resultados diferentes dos obtidos por Chan, Hendershott e Sanders (1990) para o mercado americano de REITs e semelhante aos resultado obtidos por Rebeschini e Leal (2016) para o mercado de fundos de investimento em ações brasileiros. O que pode indicar que apesar do forte crescimento recente do mercado brasileiro de FIIs, ainda é baixo o nível de desenvolvimento do mercado brasileiro de FIIs, principalmente se comparado a outros ativos negociados no mercado financeiro brasileiro ou de ativos semelhantes negociados em mercados estrangeiros, sendo observado ainda um grande número de FIIs com um único ativo em carteira, o que aliado aos resultados obtidos em trabalhos anteriores e na análise de componentes principais (PCA) sugerem que os retornos dos FIIs estão mais relacionados às características próprias dos ativos subjacentes do que à fatores de risco relacionados à índices de mercado.

Made available in DSpace on 2010-04-20T21:00:11Z (GMT). No. of bitstreams: 4 Marina Dal Bianco Negrisoli.pdf.jpg: 10636 bytes, checksum: 6edba86007278369a99863f719aff6f2 (MD5) Marina Dal Bianco Negrisoli.pdf.txt: 116456 bytes, checksum: eb1b0b96873b6d28d5c13228042a8496 (MD5) Marina Dal Bianco Negrisoli.pdf: 443391 bytes, checksum: ec73255b1566fb10d8a7356de52bbf15 (MD5) license.txt: 4886 bytes, checksum: 04a7149a20aab3426496117969fe1139 (MD5) Previous issue date: 2009-01-20T00:00:00Z / The aim of this paper is to study the impact of unexpected shocks on the return of stocks with specific features (high dividend yield, high growth and others), in order to support investors on their understanding of their portfolio risk profile. E.g., this paper studies whether a stock with higher implied growth shows higher elasticity to a non expected inflationary shock than a dividend yield stock. The model used was APT under the three steps estimation methodology developed by McElroy e Burmeister (1998) to show how the sample from Ibovespa performed. The conclusions were: (i) stocks which had higher value in future cash flow were more sensitive to inflation risk, (ii) stock which were large caps were more exposed to market risks, (iii) rational expectations were relevant on stocks performance, (iv) the credit risk and market risk are the most effective factors, within the studied ones, to measure the return of this sample. Despite contraintuitively, the economic cycle and term risks were almost not relevant to explain many of the stocks’ performance. Therefore, this paper supports the investor on their understanding of the factors which affect the performance of a stock other than the premium or discount to the present value of cash flows. / A fim de auxiliar os investidores na compreensão da exposição a risco de seu portfólio, este texto estuda os impactos das mudanças não antecipadas dos fatores econômicos em ações com características específicas (alto fluxo de dividendos, alto crescimento esperado, entre outras). Por exemplo, verifica se uma ação com alto crescimento esperado apresenta maior elasticidade a um choque inflacionário do que uma ação pagadora de dividendos. Esse estudo por meio da metodologia do APT com estimação em três etapas desenvolvida por McElroy e Burmeister (1998) consegue mostrar, para a amostra estudada de ações do Ibovespa, como: (i) as ações que tem maior parcela do seu valor no futuro são as que possuem maior exposição ao risco de inflação e ao risco de prazo; (ii) as ações de empresas grandes (Large Caps) são as mais sensíveis ao risco de mercado; (iii) o fator expectacional é relevante na análise do desempenho das ações; (iii) há maior sensibilidade das ações de crescimento à inflação do que ao ciclo econômico, (iv) o risco de crédito e o de mercado são os fatores que melhor explicam o desempenho dessa amostra, dentre os estudados. Apesar de contra-intuitivo, os fatores de risco de ciclo econômico e termo quase não ajudam a explicar o retorno de muitos dos portfólios. Dessa forma, o texto auxilia o investidor a entender fatores que influenciam o desempenho de uma ação, além do prêmio ou desconto em relação ao valor presente dos fluxos de caixa.