More and more events and anomalies that have happened in recent years cannot be explained by traditional models, which leads to a pervasive doubt of the effectiveness of the efficient market hypothesis. In particular, over ninety percent of Taiwan¡¦s stock market investors are individuals, and the noise trading phenomenon is very common and has a great effect upon the return of stock. Hence, the measure of investor sentiment formed by noise traders becomes a task for the researcher studying the factors which effect the stock return in Taiwan. The objective of this paper is to find the investor sentiment proxy variables which can be a significant factor in explaining stock return. This analysis adopts the arbitrage pricing model of the macroeconomic factors. The sample contains data for most listed stocks on the Taiwan Stock Exchange from 1984 to 2002. By combining the stock or company characteristic related to the noise traders¡¦ perception, including market value, stock and etc., and phenomenons effect by investor sentiment, including closed-end fund discount, initial returns on IPOs, and number of IPOs to the arbitrage pricing model , we found that closed-end fund discount and initial returns on IPOs are significant and appropriate to investor sentiment proxy variables. However, the number of IPOs is not significant enough

Closed-end funds (CEFs) are popular investments amongst the Swedish population as they provide diversification to investors and have in many cases historically outperformed the market. In deciding whether to invest in a CEF, the method of valuation differs from classical financial ratios used to value most companies, as the revenue-bringing operations differ significantly. The Net Asset Value (NAV) per share is compared to the market price per share of a CEF, to determine if the share is traded at a discount or premium. The purpose is based upon the rationalization that a share’s market price and the value of the closed-end fund’s underlying assets cannot drift too far apart from each other. In other words, the discount cannot drift too far from its mean over time, as there would be an upward pressure on the share price if the NAV-discount is large, and a downward pressure on the share price if the premium is large. Tests of unit roots and cointegration are applied and analysed in the light of previous findings for discounts in CEFs. Our findings show that the majority of selected CEFs’ prices and NAVs have long-run equilibrium relationships. Additionally, the discount appears to be stationary over time for the majority of CEFs, supporting the notion of mean reversion in the discount. For certain Swedish CEFs, the findings allow for investment decisions to be made upon the deviation from the mean. This study contributes to previous research done on the topic of mean reversion in the financial market as it finds statistical evidence of mean-reverting process for the NAV-discount of Swedish CEFs. The thesis also provides additional value to the plethora of research provided in the financial field as it specifies its findings to the Swedish market of CEFs.

本論文分為兩部分，第一部份為以台灣之封閉型基金探討訊息事件下之投資者敏感性與市場效率性。第二部份為以東南亞六家國家基金探討投資者過渡反應之現象同時研究訊息分類後之訊息效果。 / This dissertation studies investors’ sentiment to dramatic public information events and the news effect on the valuation of closed-end funds. There are two main issues included in this dissertation. For the issue of investors’ sentiment, we employ domestic closed-end funds from Taiwan to test how political information events affect fund share price and net asset value. The political information events employed are the 1996 and 2000 presidential elections in Taiwan, including prominent political events ahead of the elections. For the other issue of news effect on the valuation of closed-end country funds, the six Asian country funds listed on the New York Stock Exchange are employed and the country-specific news are culled from the headlines shown on the front page of The New York Times. For investors’ sentiment, we examine how dramatic political news and events affect closed-end fund data, fund price, and net asset value, using a sample of Taiwan data. We use data from Taiwan, because its stock market has been repeatedly affected by political events. We develop a theoretical model to show how information shocks would affect the discounts on closed-end funds. In designing the model, which is tested below, we start by assuming that the information shock is consistent with market efficiency. Our empirical results show that, even though this assumption is corroborated by three out of four events, the remaining one event in four induces changes which are inconsistent with market efficiency. This provides support for the theory of the preponderance of investors’ sentiment. The results also show that the return on fund share prices and the return of net asset value (NAV) move in the same direction and the impact of information shocks to the return of fund share price and return of NAV have mostly the same sign. Although the results from domestic funds, with fund share prices and NAV that are valued in the identical market, tell us that there exists investors’ sentiment, we intend to resolve what the information effects are on the valuation of closed-end country funds that have fund share prices and NAV valued in two different entities/markets. We use a sample of six Asian country funds, listed on the New York Stock Exchange, to test whether salient country-specific news affects investors’ reaction around the Asian financial crisis period. Our results show that in regular weeks, fund share prices react less to changes in fundamentals. In weeks with salient news appearing on the front page of The New York Times, fund share prices react much more than those in regular weeks. We also find that economic news affects the adjustment process of fund share prices more significantly before and during the Asian financial crisis periods. These results are consistent with the hypothesis that news events play a role in the magnitude of investors’ reaction to changes in the fundamental values of closed-end country funds. As to the reaction of volume to news, the results show that news effect is significant in full sample period. For the reaction of volume to categorized news, economic news is significant in full sample period. In sum, the results from either domestic funds or country funds all show that news events/information do play a role in individual investors’ sentiment. The phenomenon is more conspicuous during a financial crisis period.

The purpose of this master&rsquo / s thesis is to evaluate the performance of investment companies, namely Real Estate Investment Trusts (REITs) and Closed-End Funds (CEFs) in Turkey. In this study, three different models are used to evaluate the risk adjusted performances of Turkish investment companies. These models are: 1) the single-factor CAPM / 2) the Fama-French three-factor model / and 3) the Carhart&rsquo / s four factor model. The results of this study indicate that for the sample period from January 1997 to December 2009, Turkish REITs and Turkish CEFs neither overperform nor underperform the overall market. Intercepts in almost all models are statistically significantly not different from zero, implying that both REITs and CEFs are earning their expected returns. The results are robust to different models used in this study. Among employed models, the Fama-French three-factor model is the best in explaining the returns on both REITs and CEFs. In general, coefficients of the size and the book-to-market equity risk factors are significant and positive. The explanatory power of the regressions does not improve with the Carhart&rsquo / s four-factor model, since momentum factors have statistically insignificant coefficients in all regressions. Findings of this study have an important implication for the efficiency of the Istanbul Stock Exchange. The inability of professional money managers to beat the overall market could be taken as an evidence in favor of the ISE being either semi-strong or strong form efficient. On the other hand, lack of skills on the part of Turkish fund managers might be another explanation for their inability to surpass the performance of the overall market.

Syfte: Syftet med denna studie är att utreda om det finns ett lämpligare investeringsalternativ än de nuvarande investeringsalternativ som finns i det svenska premiepensionssystemet. För att genomföra detta kommer studien att framställa en portfölj av ett svenskt och ett internationellt investmentbolag med en god balans mellan risk och avkastning för en jämförelse av dagens premiepensionssystem. Metod: Studien utgår från historisk data under tio års tid som vidare analyseras Genom bland annat Pearson R modellen. Urvalet består av investmentbolag på den nordiska- samt den amerikanska marknaden. Utöver den kvantitativa studien kommer en intervju att genomföras med en respondent som är kunnig inom området om sparande och pensionsinvesteringar. Avslutningsvis presenteras studiens trovärdighet och metodkritik. Teoretiskt perspektiv: Den teoretiska referensramen utgörs av tidigare teorier som är relevanta för att framställa den bäst lämpade portföljen. Markowitz moderna portföljteori ligger till grund och kompletteras av ytterligare väsentliga mått som exempelvis Sharpekvoten. Vidare tillämpas en utvecklad portföljteori av Grubel & Solnik för ett internationellt perspektiv. Empiri: Empirin/Resultatet består av en presentation av den bearbetade datan som ligger till grund för den analys som genomförs. Slutsats: Studien framställer en portfölj i form av Bure Equity AB och Berkshire Hathaway. I jämförelse med premiepensionens redan befintliga alternativ uppvisar studiens portfölj en avsevärt högre nominell avkastning. Konstellationen av Bure Equity AB och Berkshire Hathaway uppvisar en nominell avkastning på 19,75 % i relation till premiepensionens aktiva sparare som uppvisar en nominell avkastning på 7 %. Den passiva spararen som tilldelas AP7 Såfa uppvisar en nominell avkastning på 11 %. / Purpose: The purpose of this study is evaluate if there is another investment opportunity than the current investment opportunities in the Swedish pension system. In order to do this the study will produce a portfolio of a Swedishand an international investment company with a good balance between risk and return for a comparison of today’s premium pension scheme. Methodology: The study is based on historical data for ten years which further is analyzed through the Pearson R model. The selection consists of investment companies in the Nordic- and the American market. Along with the quantitative study an interview will be made with a representative well familiar with savings and pension investments. Finally the credibility of the study and methodology criticism is presented. Theoretical Framework: The theoretical frame of reference consists of previous theories that are relevant to produce the best-suited portfolio. Markowitz modern portfolio theory is the main theory which is supplemented by additional essential measures as the Sharpe ratio. Furthermore, a developed portfolio theory by Grubel & Solnik is applied to get an international perspective. Result: The result consists of a presentation of the processed data as underlies the analysis being carried out. Conclusions: The study produces a portfolio in the form of Bure Equity AB and Berkshire Hathaway. In comparison with the pre-existing pension options the study’s portfolio shows a significantly higher nominal return. The constellation of Bure Equity AB and Berkshire Hathaway exhibits a nominal return of 19,75 % in relation to the active saver in the premium pension with a nominal return of 7 %. The passive saver assigned to AP7 Safa exhibits a nominal return of 11 %.

Syfte: Syftet med denna studie är att utreda om det finns ett lämpligare investeringsalternativ än de nuvarande investeringsalternativ som finns i det svenska premiepensionssystemet. För att genomföra detta kommer studien att framställa en portfölj av ett svenskt och ett internationellt investmentbolag med en god balans mellan risk och avkastning för en jämförelse av dagens premiepensionssystem. Metod: Studien utgår från historisk data under tio års tid som vidare analyseras genom bland annat Pearson R modellen. Urvalet består av investmentbolag på den nordiska- samt den amerikanska marknaden. Utöver den kvantitativa studien kommer en intervju att genomföras med en respondent som är kunnig inom området om sparande och pensionsinvesteringar. Avslutningsvis presenteras studiens trovärdighet och metodkritik. Teoretiskt perspektiv: Den teoretiska referensramen utgörs av tidigare teorier som är relevanta för att framställa den bäst lämpade portföljen. Markowitz moderna portföljteori ligger till grund och kompletteras av ytterligare väsentliga mått som exempelvis Sharpekvoten. Vidare tillämpas en utvecklad portföljteori av Grubel & Solnik för ett internationellt perspektiv. Empiri: Empirin/Resultatet består av en presentation av den bearbetade datan som ligger till grund för den analys som genomförs. Slutsats: Studien framställer en portfölj i form av Bure Equity AB och Berkshire Hathaway. I jämförelse med premiepensionens redan befintliga alternativ uppvisar studiens portfölj en avsevärt högre nominell avkastning. Konstellationen av Bure Equity AB och Berkshire Hathaway uppvisar en nominell avkastning på 19,75 % i relation till premiepensionens aktiva sparare som uppvisar en nominell avkastning på 7 %. Den passiva spararen som tilldelas AP7 Såfa uppvisar en nominell avkastning på 11 %. / Purpose: The purpose of this study is evaluate if there is another investment opportunity than the current investment opportunities in the Swedish pension system. In order to do this the study will produce a portfolio of a Swedishand an international investment company with a good balance between risk and return for a comparison of today’s premium pension scheme. Methodology: The study is based on historical data for ten years which further is analyzed through the Pearson R model. The selection consists of investment companies in the Nordic- and the American market. Along with the quantitative study an interview will be made with a representative well familiar with savings and pension investments. Finally the credibility of the study and methodology criticism is presented. Theoretical Framework: The theoretical frame of reference consists of previous theories that are relevant to produce the best-suited portfolio. Markowitz modern portfolio theory is the main theory which is supplemented by additional essential measures as the Sharpe ratio. Furthermore, a developed portfolio theory by Grubel & Solnik is applied to get an international perspective. Result: The result consists of a presentation of the processed data as underlies the analysis being carried out. Conclusions: The study produces a portfolio in the form of Bure Equity AB and Berkshire Hathaway. In comparison with the pre-existing pension options the study’s portfolio shows a significantly higher nominal return. The constellation of Bure Equity AB and Berkshire Hathaway exhibits a nominal return of 19,75 % in relation to the active saver in the premium pension with a nominal return of 7 %. The passive saver assigned to AP7 Safa exhibits a nominal return of 11 %.

Bakgrund: Investmentbolag hanterar kapital och investerar i huvudsak i andra aktiebolag. Ett vanligt tillvägagångssätt när det kommer till att värdera ett investmentbolag är att analysera substansvärdet. Trots att information om marknadsvärden på investmentbolagens innehav finns tillgängliga, avviker ofta börsens värdering av investmentbolagen från det så kallade substansvärdet och det uppkommer rabatter och premier. Genom den forskning som gjorts på området saknas det en genomgående uppfattning för vilka förklaringar som påverkar investmentbolagens substansrabatter och premier. Syfte: Syftet med studien är att analysera och undersöka vad som orsakar att investmentbolagen noterade på Nasdaq Stockholm i perioder värderas till en substansvärdepremie/-rabatt. Metod: En kvantitativ forskningsmetod har använts för att besvara studiens syfte. För att besvara studiens syfte har fyra potentiella förklaringar till substansrabatterna/-premiernas uppkomst undersökts. Data har samlats in och kategorisats under respektive investmentbolag under den undersökta tidsperioden. Paneldataanalyser har utförts för att studera eventuella samband mellan potentiella förklaringar och värderingens avvikelse från substansvärdet. Slutsats: I sju av nio fall visade studien att avkastningen på OMXSPI kan förklara substansvärdesförändring med en positiv koefficient. Det vill säga att substansvärdepremie/-rabatten rör sig i en positiv riktning vid en en-procentig förändring i index. Utifrån det lir slutsatsen att det finns relativt starka underlag för att OMXSPI delvis kan förklara investmentbolagens avvikelser från substansvärdet. Studien visar att det inte går att med statistisk signifikans att härleda övriga förklaring till avvikelsen. Därför kan vi inte med säkerhet säga att några av förklaringarna förutom OMXSPI besitter statiska samband med substansvärdepremie/-rabatten i investmentbolagen. / Background: Closed-end funds manage capital and invest mainly in other listed companies. A common approach when it comes to valuate a closed-end fund is to analyse the net asset value. Although information about the closed-end fund holdings is available, the market valuation of the closed-end funds often deviates from the so-called net asset value and discount and premiums arise. Through the research done in this area, there is no comprehensive understanding of which explanations actually affect the closed-end funds NAV discount and premiums. Purpose: The purpose of this study is to analyse and investigate what causes the closed-end funds listed on Nasdaq Stockholm to be valued at a NAV discount or premium during certain periods of time. Method: A quantitative research method has been used to answer this papers purpose. To answer the purpose of the paper, four potential explanations for emerge of NAV discount and premiums have been investigated. Data has been collected and categorized under respectively closed-end fund during the examined period. Panel data models were built to analyse the possible relationship between potential explanations and the valuation deviation to the net asset value. Conclusion: In seven out of nine cases, the study showed that the return on OMXSPI can explain net asset value change with a positive coefficient. That is, the NAV premium / discount moves in a positive direction in the event of a one percent change in the index. Based on this, it is concluded that there is relatively strong evidence that OMXSPI can partly explain the closed-end funds’ deviations from the net asset value. Furthermore, the study shows that it is not possible to derive other explanations for the deviation with statistical significance. Therefore, we cannot say with certainty that the explanations besides OMXSPI have a statistical relationship with the NAV premium / discount in the closed-end funds.

封閉型基金的掛牌買賣價格，與其投資標的淨資產價值（NAV, net asset value）間，總是存在一定程度的差距，且幾乎為10%~20%的折價現象，被視為財務學上的一種異常（anomaly）。早期研究學者們由經濟理性的角度解釋此種現象，認為是基金管理的績效表現、投資標的流動性或是稅制上的差異等等角度來解釋此一現象，但並沒有獲得一致的結論。 近期以來，有學者嘗試從行為財務學的角度，認為封閉型基金的折溢價現象及其幅度的變化，是由於投資人情緒（investor sentiment）的波動所造成。除了傳統的迴歸模式，更有不少學者以嚴謹的計量方式分析，例如財務時間序列的許多技巧。本研究即以時間序列之單根檢定（unit root test）、共整合現象檢定（co-integration test）及Granger因果關係檢定（Granger Causality test）等等方式，分析封閉型基金折溢價現象是否由投資人情緒所造成，及其兩者間是否有共整合現象。 雖然已有部分文獻探討類似議題，但跨國比較分析通常僅限於英、美兩國，且英、美兩國市場連動程度太高，可能影響分析結果的正確性；除此之外，樣本分析期間亦通常不超過十年。本研究以1991-2005年英國掛牌之封閉型基金為研究樣本，並包含投資標的為日本的封閉型基金，進行英國、日本之間的跨國性比較；不但有更足夠的樣本時間長度，亦能驗證是否不同跨國分析亦會有相同結論。 共整合現象檢定及Granger因果關係檢定大致支持行為財務學的角度。但英國、日本跨國比較的結果，似乎並不完全等同於前述英、美跨國比較的結果。建議後續可從掛牌國與投資標的區域連動程度較低的封閉型基金作為研究方向。 / The closed-end funds discounts have been an interesting phenomenon for a long period. Some theories based on economic rationale try to solve the puzzle but fail to get consistent conclusions. Recently some theories based on behavioral finance, such as the investor sentiment hypothesis, have been proposed to solve this puzzle. This study examines the investor sentiment hypothesis based on various time-series tests and finds some interesting results. Briefly, our conclusions are as follows: 1. The discounts can vary widely between funds and seem to be persistent in our sample period. 2. The local market indices are cointegrated with the domestic closed-end funds discounts and the information is flowed from the market to the closed-end funds, which support the investor sentiment hypothesis. 3. The causality relationship between the foreign closed-end funds and the local indices is not obvious. Based on this, the market segmentation hypothesis seems to hold in our sample, which indicates that investing in the foreign funds provide investors with the benefit of diversification. For future researches, we suggest that more the foreign funds should be included in the sample and the classification of the degree of investor sentiment and the categories of funds can also be improved.

Closed-end funds’ (CEF) discount and discount fluctuations have been puzzling researchers for decades. Up to date, there are no multidimensional or cross-sectional variables that have been proved to influence CEFs simultaneously. Fact is that, earlier research and theories on the subject are contradictious and several suggestions on the origin of the CEF’s discount and its fluctuations have been proposed. To mention a few, investor sentiments, taxation issues, dividend policies, agency costs and agency problems are considered to influence these discounts. The purpose of this report is to examine the relationship between micro- and macroeconomic variables fluctuations, and how these can explain the discount fluctuation of the Swedish CEFs. This report focuses upon the CEFs traded at NASDAQ OMX Stockholm, which have been selected through a comprehensive multistage selection process. 10 CEFs were selected. Monthly data for calculating micro- and macroeconomic variables was collected for the period March 2003 – February 2013, which resulted in approximately 1 200 observations. OLS regression analysis, Fixed- and Random Effect Models and Hausman tests were conducted. The findings conclude that some of this report’s chosen micro- and macro variables influence on the Swedish CEFs’ discount fluctuation, although these findings are conditioned. The CEFs’ individual characteristics or traits result in a significant impact on the fluctuation of CEFs’ discount. Hence, only by controlling these characteristics, multidimensional or cross-sectional micro- and macroeconomic variables can be proved to affect the CEFs’ discount fluctuation.

Hoarding a too large cash reserve is often unfavourable due to lost investment opportunities. Similarly, an insufficient cash reserve can be detrimental, as one might fail to meet payment obligations. Finding the optimal balance is nothing that is done in the blink of an eye, particularly when the underlying variable is stochastic, e.g., the life span of a human being. Resscapital is a fund manager investing in the secondary and tertiary markets for life insurance policies, also known as the life settlements market. They are currently on a mission to set up a closed-end fund where one of the main challenges is balancing the invested capital and the amount of capital set aside for payment obligations. The stochastic nature of life insurance policies entails the difficulty to foresee future premium payments and face value payouts. Without a model forecasting the cash flows, decisions regarding the cash reserve are based on nothing better than a guesstimate. Thus, with the aim to help determine the minimum cash reserve required to cover the payment obligations, this thesis was initiated. By developing a methodology based on general theory, the objective of this thesis is reached and the purpose fulfilled. The proposed model uses Monte Carlo simulation to generate scenarios that eventually creates a distribution of required cash reserves. Following the inversion principle, the remaining lifetime for each and every individual is simulated from their empirical distribution of survival probabilities, respectively. After simulating the occurrences of demise, an algorithm builds up the cash flows for the entire fund term for that specific scenario based on predetermined parameters. Since cash flows stem from both assets and management, the portfolio must be revalued continuously, demanding a gradual evaluation of the cash flows during the fund term. Repeated a large number of times, the quantile corresponding to any confidence level is attained by using a Value at Risk methodology. Analysis of the results and sensitivity analysis on the parameters provides a deeper understanding of the underlying factors, revealing, among other things, that longevity risk for policies with short life expectancy is a key driver of the required cash reserve. Furthermore, validation of the model shows that the results are sufficient and serve the purpose well.