京都大学 / 0048 / 新制・課程博士 / 博士(工学) / 甲第20350号 / 工博第4287号 / 新制||工||1664(附属図書館) / 京都大学大学院工学研究科都市社会工学専攻 / (主査)教授 小林 潔司, 教授 大津 宏康, 准教授 松島 格也 / 学位規則第4条第1項該当 / Doctor of Philosophy (Engineering) / Kyoto University / DFAM

Investing in the Swedish stock market has over time proven to be an effective way to increase wealth. Nationally speaking, Sweden’s population is also one of the best in the world at investing their savings. Four out of five swedes invest at least some part of their private savings into mutual funds which approximately amounts to 8.4 million people. Consequently, in 2022, the aggregated amount of household wealth invested into fund shares and stocks was a staggering 3.1 trillion Swedish crowns. With such a huge interest in the stock market it is important to understand how risk-adjusted returns should be evaluated. Traditionally there has been a choice between active and passive investment strategies, depending on how the investor views the market's pricing of securities. This study investigates, using the Carhart four-factor model, how asset pricing varies over time depending on different levels of market volatility. The theories that have been used for this study are mainly the efficient market hypothesis and the adaptive market hypothesis. With these as a starting point, various asset pricing models have been tested (Carhart four-factor model & CAPM) and examined with statistical tests to produce reliable results. The results of this study can be used to draw conclusions that both theoretically and practically contribute to the expanding body of knowledge regarding factor models and Smart Beta investment strategies, specifically in the Swedish stock market. The study suggests that the Carhart four-factor is a reliable method to determine risk-adjusted returns in the Swedish stock market, mainly when it’s used during normal market conditions. It also appears that, based on the study’s observation of alpha, the dynamics of asset pricing in the Swedish stock market are more in line with the adaptive market theory rather than the efficient market theory. This insight can be used as an argument for how the Swedish stock market can be assumed to behave. In turn, this can give investors more understanding for which risk factors are considered significant during different times of market volatility, and how their risk premiums should be discounted when valuing securities. By emphasizing the importance of various risks being priced in different ways during different times of market volatility it is possible to manage the risk exposure of security portfolios in a more accurate and desirable way. Finally, it can be stated that the results are both on par with previous research that advocates and opposes factor models. The study found the effectiveness of the Carhart four-factor model in explaining the risk-adjusted returns to vary over time and that it cannot be assumed with statistical certainty to improve upon the CAPM in all market climates.

We develop an expanded asset evaluation model dubbed the environmental, social and governance (ESG) model, which includes a sustainability factor that accounts for the value of ecological and natural capital. We incorporate a sustainability factor into the Fama-French [2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22] five-factor model plus the momentum factor. Further, we expand previous models by basing ours on microeconomic principles of value maximization and the macroeconomic principles of ecological economics. We estimate the sustainability factor premium and its factor loadings and find that following sustainable strategic management practices reduced the cost of equity by 1.6% to 2.9% per year worldwide. This implies that in 2018, sustainable strategic management practices increased world GDP by $1.3 to $2.3 trillion. Our results support previous research that there is a negative relationship between sustainability performance and the cost of capital.

The random walk is a powerful model. Chemistry, Physics, and Finance are just a few of the disciplines that model with the random walk. It is clear from its varied uses that despite its simplicity, the simple random walk it very flexible. There is one major drawback, however, to the simple random walk and the geometric random walk. The limiting distribution is either normal, lognormal, or a levy process with infinite variance. This thesis introduces an new random walk aimed at overcoming this drawback. Because the simple random walk and the geometric random walk are special cases of the proposed walk, it is called a generalized random walk. Several properties of the generalized random walk are considered. First, the limiting distribution of the generalized random walk is shown to include a large class of distributions. Second and in conjunction with the first, the generalized random walk is compared to the geometric random walk. It is shown that when parametrized properly, the generalized random walk does converge to the lognormal distribution. Third, and perhaps most interesting, is one of the limiting properties of the generalized random walk. In the limit, generalized random walks are closely connected with a u function. The u function is the key link between generalized random walks and its difference equation. Last, we apply the generalized random walk to option pricing.

As previous researchers have discussed the paradigm of risk and return, this study also suggests illiquidity as a good proxy for risk. An illiquid asset, thus higher risk, should generate high return. As Amihud (2002) originally applies an illiquidity measure from daily return and turnover, this thesis elaborates on his average market illiquidity measure AILLIQ on assets of Nasdaq First North Growth Market. Over a five-year period returns are estimated using the CAPM together with the illiquidity proxy on Swedish growth assets. Results are in line with intuitive thoughts of a positive relationship between risk and return. The hypothesis of zero impact is rejected and concludes that illiquidity can have an impact on expected return.

Collateralization in over-the-counter (OTC) derivatives markets has grown rapidly over the past decade, and even faster in the past few years, due to the impact of the recent financial crisis and the particularly important attention to the counterparty credit risk in derivatives contracts. The addition of collateralization to such contracts significantly reduces the counterparty credit risk and allows to offset liabilities in case of default. We study the problem of valuation of OTC derivatives with payoff in a single currency and with single underlying asset for the cases of zero, partial, and perfect collateralization. We assume the derivative is traded between two default-free counterparties and analyze the impact of collateralization on the fair present value of the derivative. We establish a uniform generalized derivative pricing framework for the three cases of collateralization and show how different approaches to pricing turn out to be consistent. We then generalize the results to include multi-asset and cross-currency arguments, where the underlying and the derivative are in some domestic currency, but the collateral is posted in a foreign currency. We show that the results for the single currency, multi-asset case are consistent with those obtained for the single currency, single asset case.

This study explores the influence of inflation on the monthly total stock returns and stock pricing of Swedish banks. The research question is systematically examined througha cross sectional and time series analysis, utilizing Fama-French, Carhart, and Fama-Macbeth metodologies. Contrary to the initial hypothesis, the outcomes from the Fama-French-Carhart regression, incorporating the inflation factor, reveal a consistently negative effect of inflationon stock returns across Swedish banks. This unexpected result challenges the anticipated relationship between inflation and stock returns. Furthermore, the assessment of risk premiums via the Fama-Macbeth regression does not identify a statistically significant risk premium for inflation exposure. These findings contribute to understanding the dynamics between inflation and the financial performance of Swedish banks, prompting further inquiry into the factors influencing stock returns in the presence of inflationary pressures.

The U.S. forest products industry has witnessed an unprecedented period of mergers and acquisitions in the last decades. The overall goal of this thesis is to examine the impact of these activities on the financial performance and market power of the U.S. forest products industry in the last several decades. The first part of this thesis evaluated the mergers by event study. The results revealed that the equity market reacted positively to these mergers; the position of a firm and the relative transaction size explained most of the variations of the cumulative abnormal returns; and the risk for most of the selected 14 acquiring firms had changed after the mergers. The second part examined the market power of the U.S. paper industry by the new empirical industrial organization approach. The results indicated that the oligopoly power remained significant at the 1% level over the whole sample period; whereas the oligopsony power had dropped dramatically and become insignificant at the 5% level in recent 30 years.

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