L'objectif principal de ce travail est de contribuer au débat initié par Roll (1977) et Basu (1977) depuis plus d‟une trentaine d‟années sur l‟invalidité du MEDAF à expliquer la formation des prix des actifs financiers. Cette étude se focalise plus particulièrement sur la capacité suggérée du ratio rendement du dividende à être un proxy de risque indépendant du bêta. Elle teste l‟aptitude d‟une stratégie value très populaire basée sur l‟effet « rendement du dividende » à réaliser des performances anormales. Les résultats montrent que les bonnes performances de la stratégie Dow 10 ne sont attribuables ni à sa capacité de sélectionner des titres performants ni à son aptitude à anticiper les mouvements du marché. De plus, mis en compétition avec la régression de Litzenberger et Ramaswamy (1979) et un modèle répliquant la méthodologie de Fama et French (1993), le modèle d‟évaluation des actifs financiers de Sharpe s‟impose comme le meilleur modèle de prévision des rentabilités. Afin de montrer que le coefficient bêta capture l‟effet « rendement du dividende », nous suggérons une nouvelle formulation du MEDAF. Nous proposons une décomposition du coefficient bêta en deux facteurs de risque : un risque systématique de base et un risque lié au facteur rendement du dividende. Globalement, l‟hypothèse de l‟efficience des marchés semble être vérifiée. En effet, l‟application de notre modèle améliore de 3% le pouvoir explicatif du MEDAF et les coefficients de notre régression sont significatifs au seuil de 1%. L‟effet « rendement du dividende » est un facteur de risque déjà capturé par le bêta de Sharpe. / The main objective of this work is to contribute to the debate initiated by Roll (1977) and Basu (1977) since more than thirty years on disability of the CAPM to explain the financial assets pricing. This study focuses specifically on the ability of the suggested ratio of dividend yield to be an independent risk proxy beta. It tests the ability of a value strategy based on the popular "dividend yield" effect to achieve abnormal performance. The results show that the good performances of the Dow 10 are not attributable to its ability to select stocks with high scores or his ability to anticipate market movements. Moreover, being in competition with the regression of Litzenberger and Ramaswamy (1979) and a model replicating the methodology Fama and French (1993), the Sharpe‟s asset pricing model stands out as the best model for forecasting returns. To show that the beta captures the dividend yield effect, we propose a new formulation of the CAPM. We propose a decomposition of beta into two risk factors: a systematic basis risk and a risk factor related to dividend yield. Overall, the efficient market hypothesis seems to be verified. Indeed, the application of our model improves the explanatory power of 3% of the CAPM and our regression coefficients are significant at 1%. The “dividend yield” effect is a risk factor already captured by the Sharpe‟s regression.

Denna studie har undersökt huruvida det är möjligt att på Nasdaq OMX Stockholm generera systematiska överavkastningar i samband med att aktier börjar handlas exklusive rätt till utdelningar. Samtliga utdelningstillfällen har undersökts under perioden 2007-2011 vilket givit en total observationsmängd på 699 stycken tillfällen. Genom att ha tagit hänsyn till eventuella marknadsfluktueringar och vikta dessa med bolagets unika risk, i form av betatal, har resultaten även justerats för normalavkastningar under den undersökta dagen. Resultaten från Large Cap, Mid Cap samt Small Cap har sedan jämförts. Resultaten visar att överavkastningar är möjliga under dagen då aktien slutar handlas inklusive utdelning, samt att effekten är större för de mindre bolagen. / This study, has examined the possibility of achieving abnormal returns in the Swedish stock market on the day when stocks no longer trade with its dividend rights. All stocks on Nasdaq OMX Stockholm had been analyzed during 2007-2011, a total of 699 observations. By also including market fluctuations and weight of these fluctuations with the stock’s unique risk, the results have been adjusted for the normal return during the observed day. The results from Large Cap, Mid Cap and Small Cap have then been compared to one another. The overall result shows that abnormal returns are possible on the day stocks no longer trade with the rights of dividends. The result also shows larger, abnormal returns for smaller companies.

Market Timing Strategy is an active investment strategy, which is based on the signals of indicators, for the investors to make their investment decisions. However, there has always been the question on which variable is a good indicator, that would provide superior returns for the investment. Bond to Equity Yield Ratio (BEYR) is a new indicator widely researched by many academics in the field of finance and extensively applied by practitioners of the financial markets during the last two decades. Efficient Market Hypothesis (EMH) is a theory in finance which states that stock prices are always reflected with the relevant information and beating the market from predicting the trend of future stock prices is not possible. Therefore, if the market is in accordance with EMH, market timing strategy is not useful and passive investment strategy is better than active investment strategy. Although extant literatures have proved BEYR as a good indicator to be used in market timing strategy, the focus of the existing research is on the financial markets in the United States, the United Kingdom, and the Europe; the study on Asian financial markets is very limited. The main objective of the research is mainly motivated by this knowledge gap. This study will use extreme value strategy as an active trading strategy to conduct research on the market timing ability of BEYR in three Asian financial markets: Japan, Malaysia and Singapore. In addition, passive trading strategy will be used to compare with active trading strategy in each country to identify whether the markets comply with weak form of EMH. Deductive approach of quantitative research is conducted and three main hypotheses are developed to achieve the research objective. The empirical findings from our research and the responses to the main hypotheses can be summarized as active trading strategy does perform better than passive trading strategy for all countries and the market timing ability of BEYR is not as good as the traditional indicators: dividend yields and earning yields for all countries. Therefore, the financial markets of all counties under scrutiny do not comply with weak form of EMH. However, it is worthy to take note that the sample period chosen for this research includes the period when the Global Financial Crisis occurred in 2008. Therefore, it is assumed that the impact of the financial crisis is the main reason contributing the difference between the findings from our research and the existing literatures. Moreover, the difference in the nature of financial market can be considered as another underlying factor for the new perspective on BEYR resulting from our empirical results.

BAKGRUND: Investerare har försökt slå marknaden så länge kapitalmarknader har funnits. En investeringsstrategi som använts är ”Dogs of the Dow”. Investeringsstrategin bygger på att investera i de bolagen med högst utdelningsandel. Vedertagna ekonomiska teorier förespråkar även att investeringar i stabila utdelningsbolag ger möjlighet att generera riskjusterad överavkastning. Det finns idag motstridiga bevis från olika aktiemarknader huruvida det går att skapa riskjusterad överavkastning genom placeringar i högutdelande bolag. SYFTE: Syftet med studien är att undersöka om det går att skapa högre riskjusterad avkastning än SIX Return Index (.SIXRX) genom att placera i de aktierna med högst direktavkastning på Stockholmsbörsen. Vidare syftar studien att undersöka både huruvida ”Dogs of the Dow”- strategin och en investeringsstrategi i stabila utdelningsbolag kan generera riskjusterad överavkastning jämfört med index på Stockholmsbörsen. GENOMFÖRANDE: Det skapas två portföljstrategier där den ena utgår från ”Dogs of the Dow” och den andra utgår från placeringar i stabila utdelningsaktier. Studien är en kvantitativ undersökning där data samlas in från välrenommerade databaser. Portföljerna innehåller tio bolag som rebalanseras varje år för att sedan justeras för risk och transaktionskostnader. SLUTSATS: Studien presenterar inga bevis för att det går att skapa riskjusterad överavkastning med utgångspunkt i ”Dogs of the Dow”-strategin på Stockholmsbörsen. Däremot visar studien att det med hjälp av placeringar i stabila utdelningsbolag går att skapa riskjusterad överavkastning på Stockholmsbörsen men utan statistiskt signifikans. / BACKGROUND: Investors have been trying to beat the market for as long as capital markets have existed. An investment strategy used to outperform the market is “Dogs of the Dow”. The investment strategy is based on investing in the companies with the highest dividend yield. Economic theories argue that investments in companies with stable dividend payouts are able to create risk-adjusted excess returns. There are contradictory evidence from different markets whether it is possible to earn risk-adjusted excess return through high-yield investments. PURPOSE: The purpose of the study is to investigate whether it is possible to earn higher risk- adjusted returns than the SIX Return Index (.SIXRX) through investing in the highest dividend yield companies on the Stockholm Stock Exchange. The study aims to investigate whether the “Dogs of the Dow” strategy and an investment strategy in companies with stable dividend payouts can generate risk-adjusted excess return compared to the SIX Return Index. COMPLETION: There are two portfolio strategies, one of which is based on ”Dogs of the Dow” and the other is based on investments in companies with stable dividend payouts. The quantitative study collects data from reputable databases. The portfolios contain ten companies that are rebalanced each year and the returns are adjusted for risk and transaction costs. CONCLUSION: The study presents no evidence that it is possible to earn risk-adjusted excess return with the “Dogs of the Dow” strategy on the Stockholm Stock Exchange. However, the study shows that investments in companies with stable dividend payouts can earn risk-adjusted excess return on the Stockholm Stock Exchange but without statistical significance.

This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. In this paper, three single-ratio strategies are investigated along with three multi-ratio strategies, chosen on the basis of popularity among private investors, according to our observations. We also compare these strategies’ returns to the returns of the ten best performing funds, over the last ten years, found on SEB’s and Handelsbanken’s fund lists. We find that both multi and single-ratio strategies generated alpha values and that single-ratio strategies performed well, relative to multi-ratio strategies, considering their simplicity. The current portfolio composition from screening stocks based on low P/E, P/B and high dividend yield alone are also associated with less risk, expressed in volatility, than portfolios that would be composed based on the multi-ratio methods. We even find that one of the more complex strategies, Graham Screener, underperformed single-ratio strategies, when comparing yearly alpha values over 15 and 17 years, respectively. The funds’ alpha values are also very poor compared to both single and multi-ratio strategies considering the managers’ likely investment experience and complex investment systems. In sum, our empirical data suggests that excess returns were indeed attainable during the investigated time-periods by following a rule-based investing philosophy in conjunction with single or multi-ratio strategies, and unless the investor has sublime experience and knowledge, he or she is probably better off using this type of investing rather than making investment decisions in a discretionary manner.We also conclude that the Stockholm Stock Market probably suffered from lower market efficiency, from the perspective of the Efficient Market Hypothesis, and lower screening abilities and tools, such as Börsdata, among investors in the beginning of the testing periods, which could be one reason as to why these ratio strategies worked as well as they did. However, the results are still interesting because complexity does not seem to imply value (extra alpha generation) of significant magnitude, if at all. What does seem to imply value, are the minimization of human interactions with investment models and emotional stability.

This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. The research aims to assess the risk-adjusted returns of these strategies and compare the performance of the EWP and the VWP. The results indicate that all the tested quantitative investment strategies beat the market. Moreover, the VWP achieve higher annual returns compared to the EWP. However, when considering risk-adjusted returns, the EWP generally demonstrate superior performance. Specifically, the EWP incorporating momentum monthly rebalancing exhibit the largest risk-adjusted returns.

Att kunna förklara och förutse aktiers avkastning är av stort intresse för aktörer inom finansbranschen. Kunskap inom ämnet kan leda till mer framgångsrika investeringsstrategier och en mer träffsäker analys av ett företags värde. I syfte att bättre kunna förklara aktiers avkastning har flera olika strategier utvecklats. En av dessa modeller är CAPM, som försöker förutse aktiers avkastning genom bland annat dess risk. Modellen har fått utstå omfattande kritik, bland annat för att den exkluderar viktiga variabler och utgår från orealistiska antaganden. Andra strategier använder sig av olika nyckeltal i försök att förklara aktiers avkastning. Tidigare forskning visar att det finns variabler som bidrar till att förklara avkastning. Vad som är säkert är att ingen modell är perfekt, men vissa kan fungera bättre än andra.  Avsikten med studien är 1) att analysera CAPM:s tillförlitlighet på den svenska aktiemarknaden, och 2) analysera om nyckeltalen beta, direktavkastning, företagets storlek, P/E-tal, och skuldkvot kan förklara variationer i aktiers avkastning. För detta ändamål undersöks 80 aktier på Stockholmsbörsen under tidsperioden 2010-2021. Detta för att utreda om det finns en statistiskt signifikant skillnad mellan den faktiska avkastningen och den avkastning som aktierna bör ha enligt CAPM, samt om de nyckeltal som används i studien har ett statistiskt signifikant samband med avkastning.  Resultaten visar att det finns en statistiskt signifikant skillnad mellan den faktiska avkastningen och den enligt CAPM förväntade avkastningen under studieperioden. Slutsatsen är att CAPM inte kan förutse avkastning på Stockholmsbörsen. Resultaten visar också att avkastning har ett positivt samband med direktavkastning och ett negativt samband med skuldkvot under studieperioden. Variablerna P/E, beta och företagets storlek har inte statistiskt signifikanta samband med avkastning på Stockholmsbörsen. / To be able to explain and predict stock returns is of great interest in finance. Knowledge in the matter can result in more successful investment strategies and a more accurate analysis of a company's value. Many different strategies have been developed in order to better be able to explain stock returns. One of these is the CAPM, which aims to predict a stock’s return by estimating its risk. The model has been subject to much critique, for example because it excludes significant variables and contains unrealistic assumptions. Other strategies use key performance indicators in attempts to explain stock returns, and previous research shows that there in fact are variables that help explain variations in stock returns. Even though no model is perfect, some may work better than others.  The purpose of this study is 1) to analyse the performance of CAPM on the Swedish stock market, and 2) analyse if the key performance indicators beta, P/E ratio, dividend yield, firm size and debt ratio can explain variations in stock returns. For this purpose the return of 80 stocks on the Swedish stock market are investigated between 2010-2021. This is done in order to determine if there is a significant difference between the actual returns and the returns predicted by CAPM, and also if the key performance indicators used in this study have had a significant relationship with returns.  The results show that there is a significant difference between actual returns and the returns predicted by CAPM during the time period investigated. From this the conclusion is drawn that CAPM is not able to predict returns on the Swedish stock market. The results also show that stock returns have a positive relationship with dividend yield and a negative relationship with debt ratio during this time period. However, the variables P/E, beta and firm size do not have a significant relationship with stock returns.

På en effektiv marknad ska förändringen i aktiepriset under ex-dagen vara sådan att en investerare är indifferent till att genomföra en transaktion inklusive eller exklusive utdelning. Trots det pekar flertalet empiriska studier på att så inte är fallet. I denna studie använder vi prisfallskvoten enligt Elton och Gruber (1970) för att undersöka kursbildning kring ex-dagen på Stockholmsbörsen åren 2013-16 samt om det finns skillnader i priskorrigering mellan olika grupper av aktier. Vi finner att aktierna på Stockholmsbörsen i genomsnitt föll med 76 % av utdelningsbeloppet och således har det funnits en ex-dagseffekt. Vidare visar studien att ex-dagseffekten är större i bolag med låga utdelningsbelopp och låg direktavkastning. Resultaten i studien visar även en signifikant positiv avvikelseavkastning under ex-dagen men avkastningen anses vara för liten för att motivera systematisk handel.

Bakgrund: Det finns många aktier att välja mellan på aktiemarknaden. För en person som aldrig tidigare har handlat med aktier kan det vara svårt att veta vilken investering som efter en tid kan generera ett högre värde än det satsade kapitalet. Relativvärdering är en investeringsstrategi som kan tillämpas för att identifiera dessa aktier. Syfte: Syftet med studien är att undersöka om värdemultiplarna P/E-talet, P/BV-talet och direktavkastning kan generera överavkastning genom investeringar i undervärderade aktier i finansbranschen. Om så är fallet, därefter påvisa vilken av värdemultiplarna som genererar högst avkastning. Metod: Studien har att tillämpat en kvantitativ metod med deduktiva inslag. Värde- och tillväxtportföljer har komponerats med värdemultiplarna P/E-talet, P/BV-talet och direktavkastning. Värdemultiplarna har beräknats fram med sekundärdata från databasen Thomson Reuters EcoWin Pro och årsredovisningar. Resultat: Studiens resultat påvisar att det går att generera överavkastning med relativvärdering som investeringsstrategi. Majoriteten av värdeportföljerna presterade bättre än tillväxtportföljerna. Portföljen som hade den högsta överavkastningen var värdeportföljen baserat på P/BV-talet. / Background: The capital stock market consists of many different shares. For a person who has never acted in shares, it can be difficult to know which investment over time that could generate a higher value than the invested capital. Relative valuation is an investment strategy that can be applied to identify these shares. Objective: The aim of this study is to investigate whether key ratios P/E-ratio, P/BV-ratio and dividend yield can generate excess returns by investing in undervalued stocks in the financial industry sector. If so, then demonstrate which of key ratios that generates the highest return. Method: This study has applied a quantitative approach with deductive features. Value and growth portfolios have been composed by key ratios P/E-ratio, P/BV-ratio and dividend yield. Key ratios have been calculated on secondary data from the database Thomson Reuters EcoWin pro and annual reports. Results: Our results demonstrate that it is possible to generate excess returns with the relative valuation as an investment strategy. The majority of the value portfolios performed better than the growth portfolios. The portfolio that had the highest excess return over the total period was the value portfolio that consisted of P/BV-ratio.

Problemformulering: Går det att uppnå en signifikant återkommande överavkastning samt riskjusterad överavkastning i förhållande till den svenska aktiemarknaden genom systematiskt följande av investeringsstrategin “Dogs of the Dow”? Syfte: Syftet är att undersöka huruvida teorin ”Dogs of the Dow” är applicerbar på den svenska aktiemarknaden i sökandet efter en signifikant återkommande överavkastning i förhållande till marknaden. Med detta hoppas det finnas en positiv differens av den riskjusterade överavkastningen gentemot index. Metod: Studien samlar in primärdata för empirin via SIX Trust, SIX Edge samt från Riksbankens hemsida. Sekundärdata härstammar från vetenskapliga artiklar uthämtade från främst JStor och EBSCO Host. Även studentlitteratur, tidigare studier utgör sekundärdata. Studien tillämpar befintliga teorier för att via modeller studera studiens syfte. Resultat: Resultatet anses av författarna vara imponerande. Portföljerna sammansatta i enlighet med investeringsstrategin ”Dogs of the Dow” presterar till de skådade faktorerna i genomsnitt över lag bättre än jämförelseindexen SIXRX och SIX30RX. Resultaten kan dock inte fastställas statistiskt men författarna önskar skilja på statistisk och praktisk signifikans då en möjlig kumulativ effekt genererar enorm förmögenhetsutveckling. / Problem: Is it possible to receive a reoccurring significant abnormal return as well as risk adjusted abnormal return against the Swedish stock market through systematic appliance of the investment strategy ”Dogs of the Dow”? Objective: The objective is to study whether the theory ”Dogs of the Dow” is applicable on the Swedish stock market in the search of a significant reoccurring abnormal return against the market. The hopes are to find a positive difference between the risk adjusted abnormal return and index. Method: The study collects the primary empirical data through SIX Trust, SIX Edge as well as from the Swedish central bank. The secondary data is derived from scientific articles, student literature, and previous studies. Models are used to study the objective. Results: The authors find the results to be impressive. The portfolios structured through the investment strategy “Dogs of the Dow” outperform the comparison indices SIXRX and SIX30RX in general on all the observed accounts. The results can although not be stated as statistically significant within any reasonable confidence levels, but the authors would like to emphasize the difference between the terms statistically and practically significant. This since cumulative gains could contribute to a massive gain of wealth which could be practically significant for the long-term investor.