No description available.

No description available.

This paper examines the components of the Capital Asset Pricing Model and the model's uses to analyze portfolios returns. It also looks at subsequent versions of the CAPM including a multi-variable CAPM with the inclusion of selected macro-variables as well as a non-stationary beta CAPM to estimate portfolio returns. A new model is proposed that combines the multi-variable component together with the non-stationary beta component to derive a new CAPM that is more effective at capturing current market conditions than the traditional CAPM with the fixed beta coefficient. The multi-variable CAPM with non-stationary beta is applied, together with the select macro-variables, to estimate the returns of a portfolio of assets in the oil-sector of the economy. It looks at returns during the period of 1995-2001 when the economy exhibited a wide range of variation in market returns. This paper tests the hypothesis that adapting the traditional CAPM to include beta non-stationarity will better estimate portfolio returns in a fluid market environment. The empirical results suggest that the new model is statistically significant at measuring portfolio returns. This model is estimated with an Ordinary Least Square (OLS) estimations process and identifies three factors that are statistically significant. These include quarterly changes in the Gross Domestic Product (GDP), the Unemployment Rate and the Consumer Price Index (CPI). / Master of Arts

Purpose: The purpose of the study is to in a comparative and causal way explore whether there is a relationship between risk and return and also how it is perceived on the Nordic financial markets. Theory: The theoretical frame of reference applied in the thesis is considered relevant inthe perspective of the study’s purpose and research questions. We have among other theories used The Capital Asset Pricing Model, The Efficient Market Hypothesis and various Behavioural finance theories. Method: The study has its starting point in a quantitative approach with a quantitative data analysis supported by secondary data extracted from Thomson Reuters. Empirics: The empirics contains regression analyses made from calculated secondary data of 240 randomly chosen companies from Nasdaq OMX Stockholm, NasdaqOMX Copenhagen, Nasdaq OMX Helsinki and Oslo Bors. Conclusion: The study conclusions show that there are both a negative and positive relationship between volatility and actual return on the investigated markets. Considering this prior statement we can conclude that the Capital Asset Pricing Model can’t correctly describe the actual relationship between the parameters investigated on the current sample. The Capital Asset Pricing Model’s unclear compatibility regarding the relationship makes it impossible to make conclusions about the Efficient Market Hypothesis on any other ground than the observed abnormal return. / Syfte: Syftet med arbetet är att på ett komparativt och kausalt sätt ta reda på om ett samband mellan risk och avkastning existerar samt hur det i sådana fall urskiljs på de nordiska marknaderna. Teorier: Den teoretiska referensramen som appliceras i uppsatsen finner vi vara relevantför studiens syfte och frågeställningar. Vi har bland annat använt oss av teorier som Capital Asset Pricing Model, den Effektiva marknadshypotesen samt olika Behavioural finance teorier. Metod: Studien har sin utgångspunkt i en kvantitativ ansats med en kvantitativ dataanalys stödd av sekundärdata från Thomson Reuters. Empiri: Empirin innefattar regressionsanalyser med kalkylerad sekundärdata från 240 slumpmässigt valda bolag från Nasdaq OMX Stockholm, Nasdaq OMX Köpenhamn, Nasdaq OMX Helsingfors samt Oslo Börs. Slutsatser: Studiens slutsatser visar på både ett negativt och positivt samband mellan volatilitet och faktisk avkastning på de undersökta marknaderna. Med detta som grund dras slutsatsen att Capital Asset Pricing Model inte förmår korrekt beskriva det samband som råder på urvalet. Capital Asset Pricing Model:s otydliga kompatibilitet gör det omöjligt att dra slutsatser kring den Effektiva marknadshypotesens giltighet på andra grunder än observerade tillgångars överavkastning.

Mit zunehmender wirtschaftlicher Bedeutung der Emerging Markets steigt der Bedarf an Unternehmensbewertungen im Kontext dieser Länder. Ihre besonderen Charakteristika erschweren jedoch eine Anwendung der in Industrieländern standardmäßig verwendeten Methoden. Ausgehend von idealisierenden Bedingungen wird in einer integrativen Betrachtung der Frage nachgegangen, wie die vorherrschenden Bedingungen (insbesondere Länderrisiken und Investmentbarrieren) in einem grenzüberschreitenden Bewertungskalkül berücksichtigt werden können.

nÃo hà / This article aims to measure and analyze potential impacts from the financial crisis of 2007 in the sector of transport and vehicles and in Brazil, whose growth in recent years surpassed many other sectors of the economy and the Brazilian Gross Domestic Product. To this end, it was made use of descriptive statistics associated with various forms of risk, and performance of the distributions of nominal daily return of companies that make up this sector, every six months, from 2005 to 2010 was used as benchmark some market and industry indexes. Due to some factors, among them, heavy subjection on credit for the sale of new vehicles and export profile associated with the most important companies in this sector, it was observed that the daily returns of the shares of individual companies, as well as the return of representative aggregated index of this sector, reacted to the crisis with accumulated expressive losses. Some shares have accumulated losses of more than 80% in value, as occurred with TPIS3, and fairly high standard deviation up to 12.66% for WISA4. Both the direction of change as the value of the shares were provided by outline micro founded given by the Capital Asset Pricing Model (CAPM). In the postcrisis period, the industry reacted to a greater extent more than it was expected by fundamentals and the returns of firms and the aggregate index of the sector exceeded all other indexes analyzed in this study. At the same time that the results exceeded the returns of other indices, statistical analyzes were favorable to the sector of transport vehicles and having smaller standard deviation and better indications of Sharpes, Sortino, Treynor and Calmar. / Este artigo visa mensurar e analisar os possÃveis impactos oriundos da crise financeira de 2007 no setor de veÃculos e transportes no Brasil, cujo crescimento nos Ãltimos anos superou o de vÃrios outros setores da economia e do prÃprio Produto Interno Bruto brasileiro. Com este intuito, fez-se uso de estatÃsticas descritivas associadas Ãs diversas formas de risco e de performance das distribuiÃÃes de retorno lÃquido nominal diÃrio das empresas que compÃem este setor, com periodicidade semestral, de 2005 a 2010 e utilizou-se como benchmark alguns Ãndices de mercado e setoriais. Em razÃo de alguns fatores, possivelmente entre eles, forte dependÃncia de crÃdito para a venda de veÃculos novos e do perfil exportador associado Ãs principais empresas deste setor, observou-se que os retornos diÃrios das aÃÃes das empresas individuais, assim como o retorno de um Ãndice agregado representativo desse setor, reagiram à crise com perdas acumuladas expressivas.Algumas aÃÃes sofreram perdas acumuladas de mais de 80% em seu valor, como ocorreu com TPIS3, e desvio padrÃo bastante elevado de atà 12,66% no caso da WISA4. Tanto a direÃÃo da variaÃÃo como o valor das aÃÃes foram previstos pelo arcabouÃo microfundamentado dado pelo Capital Asset Pricing Model (CAPM). No perÃodo pÃs-crise, o setor reagiu em maior intensidade que a prevista pelos fundamentos e os retornos das empresas e do Ãndice agregado do setor superaram o de todos os outros Ãndices analisados neste estudo. Ao mesmo tempo em que os retornos superaram os resultados dos outros Ãndices, as anÃlises estatÃsticas foram favorÃveis ao setor de veÃculos e transportes apresentando menor desvio padrÃo e melhores Ãndices de Sharpe, Sortino, Treynor e Calmar.

Mit zunehmender wirtschaftlicher Bedeutung der Emerging Markets steigt der Bedarf an Unternehmensbewertungen im Kontext dieser Länder. Ihre besonderen Charakteristika erschweren jedoch eine Anwendung der in Industrieländern standardmäßig verwendeten Methoden. Ausgehend von idealisierenden Bedingungen wird in einer integrativen Betrachtung der Frage nachgegangen, wie die vorherrschenden Bedingungen (insbesondere Länderrisiken und Investmentbarrieren) in einem grenzüberschreitenden Bewertungskalkül berücksichtigt werden können.

Titel: Portföljförvaltarens kamp mot index Syftet: Syftet med denna studie är att beskriva och analysera aktiv fondförvaltning genomriskjusterad avkastning. Metod: En kvantitativ studie har genomförts för att uppfylla syftet och besvara studiensfrågeställning för undersökningsperioden 2018–2022. Riskjusterade prestationsmåtten somanvänds är jensens alfa, sharpe- och treynorkvoten. Empiriskt resultat: Studien är baserad på 21 aktivt förvaltade fonder som är registrerad iSverige. Vidare har dessa fonder placeringsinriktning på industrisektorn samt har 80% av sittinnehav på svenska aktier. Slutsats: Mer än hälften av alla fonder genererade ett positivt jensens alfa. Dock visar etttvåsidigt t-test att inget alfavärde var statistiskt signifikant med både 90% och 95%konfidensgrad.Nyckelord: Riskjusterad avkastning, Aktiv fondförvaltning, Treynokvot, Sharpekvot, Jensensalfa, Marknadsindex, Capital Asset Pricing Model (CAPM) och Modern Portföljteori. / Title: Fund manager’s battle against index. Purpose: The purpose of this study is to describe and analyze active funds through riskadjusted returns. Methodology: The study uses a quantitative research method with data from secondarysources that contains fund’s net asset value (NAV). The research period of this study is 2018 to 2022. The study uses jensens alpha, treynor- and sharperatio as risk adjusted measurements. Empirical foundation: This study uses 21 active mutual funds that are registered in Sweden.The mutual funds that were obtained has an investment strategy that focuses on industry.Furthermore, these mutual funds have 80% holdings in Swedish stocks. Conclusion: More than half of the active mutual funds generated a positive jensens alpha.However, according to a two-sided t-test of a 90% and 95% confidence level, none of themutual fund’s alpha showed to be statistically significant and therefore no conclusions weremade.

För att investerare ska placera kapital mot hållbara investeringar krävs insikt om det finns en premie som valet av hållbara aktiefonder innebär eller om dessa motsvarar eller till och med överavkastar mot konventionella fonder. I denna uppsats undersöker vi hur den riskjusterade avkastningen, mätt som Jensens alpha, ser ut för hållbara och konventionella fonder. Studien undersökte 51 aktiefonder med hemvist i Sverige för åren 2017-2021 där datan samlades in från Avanza och hållbarhetsbetyg från Morningstar användes för klassificering av konventionella respektive hållbara fonder. Resultaten pekar på att hållbara aktiefonder har en riskjusterad avkastning som är 0,2 procentenheter högre än konventionella aktiefonder över hela tidsramen. Studien undersökte även förhållandet mellan riskjusterad avkastning och förvaltningsavgiften och fann ett marginellt positivt samband utifrån en regressionsanalys. Studien bidrar till forskningsområdet genom att närmare undersöka ett individuellt land till skillnad från tidigare studier och på senare årtal vilket ger en mer nutida förståelse för hållbara och konventionella aktiefonder på den svenska fondmarknaden. / For investors looking at placing their capital in sustainable equity funds, there is a need for knowledge as to how sustainable funds compare to their conventional peers. Do they demand a premium, have the same returns or even outperform? In this paper we look at the risk adjusted return, Jensen's alpha, on the Swedish fund market between the year 2017-2021 and how sustainable funds compare to conventional ones. The results indicate that sustainable funds outperform conventional funds with 0,2 percentage points over the entire time frame. The study also examined the relationship between fund fees and risk adjusted returns and found a marginal positive relationship from a regression analysis. The study contributes to the scientific field by closer examining a single country for a later time frame, giving a more contemporary understanding of sustainable and conventional funds on the Swedish fund market.

Financial markets, particularly capital and stock markets, play an important role in mobilizing and canalising the idle savings of individuals and institutions to the investment options where they are really required for productive purposes. The prediction of stock prices and returns is carried out in order to enhance the quality of investment decisions in stock markets, but it is considered to be tricky and complicates tasks as these prices behave in a random fashion and vary with time. Owing to the potential of returns and inherent risk factors in stock market returns. Various stock market prediction models and decision support systems such as Capital asset pricing model, the arbitrage pricing theory of Ross, the inter-temporal capital asset pricing model of Merton ,Fama and French five-factor model, and zero beta model to provide investors with an optimal forecast of stock prices and returns. In this research thesis, a stock market prediction model consisting of two parts is presented and discussed. The first is the three factors of the Fama and French model (FF) at the micro level to forecast the return of the portfolios on the Saudi Arabian Stock Exchange (SASE) and the second is a Value Based Management (VBM) model of decision-making. The latter is based on the expectations of shareholders and portfolio investors about taking investment decisions, and on the behaviour of stock prices using an accurate modern nonlinear technique in forecasting, known as Artificial Neural Networks (ANN). This study examined monthly data relating to common stocks from the listed companies of the Saudi Arabian Stock Exchange from January 2007 to December 2011. The stock returns were predicted using the linear form of asset pricing models (capital asset pricing model as well as Fama and French three factor model). In addition, non-linear models were also estimated by using various artificial neural network techniques, and adaptive neural fuzzy inference systems. Six portfolios of stock predictors are combined using: average, weighted average, and genetic algorithm optimized weighted average. Moreover, value-based management models were applied to the investment decision-making process in combination with stock prediction model results for both the shareholders’ perspective and the share prices’ perspective. The results from this study indicate that the ANN technique can be used to predict stock portfolio returns; the investment decisions and the behaviour of stock prices, optimized by the genetic algorithm weighted average, provided better results in terms of error and prediction accuracy compared to the simple linear form of stock price prediction models. The Fama and French model of stock prediction is better suited to Saudi Arabian Stock Exchange investment activities in comparison to the conventional capital assets pricing model. Moreover, the multi-stage type1 model, which is a combination of Fama and French predicted stock returns and a value-based management model, gives more accurate results for the stock market decision-making process for investment or divestment decisions, as well as for observing variation in and the behaviour of stock prices on the Saudi stock market. Furthermore, the study also designed a graphic user interface in order to simplify the decision-making process based upon Fama and French and value-based management, which might help Saudi investors to make investment decisions quickly and with greater precision. Finally, the study also gives some practical implications for investors and regulators, along with proposing future research in this area.