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41	P/B i kombination med marknadsvärde : En studie på Stockholmsbörsen 2006 - 2016 / P/B in combination with market value : A study on the Stockholm Stock Exchange 2006 – 2016 Lundgren, Anton, Ahlgren, Sara January 2017 (has links) Bakgrund: Denna studie är ett test av investeringsstrategi baserad på relativvärdering av multiplar. Den multipel som kommer att studeras som investeringsstrategi är Price-to-Book (P/B). Valet av multipel på P/B beror på att det är en väl omskriven multipel som fortfarande väcker frågeställningar avseende betydelsen av bokfört värde i kombination med marknadsvärde. Syfte: Syftet med denna studie är att undersöka och analysera multipeln P/B som investeringsstrategi för aktier. Vidare syftar studien till att undersöka aktier med låga respektive höga P/B från de olika börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Genomförande: Sex portföljer skapas baserat på låga respektive höga P/B från de marknadsvärdemässiga börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Portföljerna ombalanseras årligen och följs mellan 2006 och 2016. Resultat: Fyra av sex portföljer har högre ackumulerad avkastning än jämförelseindex före och efter riskjustering. Dock hindrar svag statistisk evidens påvisande av överavkastning över tid. På motsvarande vis finnes svaga säkerställda skillnader i avkastning mellan låga och höga P/B. Ej heller förefaller det förekomma signifikanta skillnader i avkastning och risk mellan portföljer på Small, Mid och Large Cap. / Background: This study is a test of an investment strategy based on relative valuation of multiples. The multiple to be studied is Price-to-Book (P/B). P/B is chosen because although previously researched, the implications of book values paired with market values are still not well understood. Aim: The aim of this study is to examine and analyze the multiple P/B as an investment strategy for stocks. Moreover, this study intends to examine stocks with low and high P/B: s from the Small, Mid and Large Cap on the Stockholm Stock Exchange. Completion: Six portfolios are created based on low and high P/B: s respectively from the market value-based stock exchange lists Small, Mid and Large Cap on the Stockholm Stock Exchange. The portfolios are rebalanced annually and are followed between 2006 and 2016. Results: Four out of six portfolios exhibit higher levels of cumulative returns than the chosen stock index before and after adjusting for risk. However, weak statistical evidence prevent conclusive showings of excess returns over time. Similarly, we find weak support for differences in returns between low and high P/B: s. Neither does there seem to exist significant differences in return and risk between the Small, Mid and Large Cap. Price-to-Book (P/B) excess return Jensen’s alpha Sharpe-ratio Treynor index market value book value size small firm effect Price-to-Book (P/B) överavkastning Jensens alfa Sharpe-kvot Treynor index marknadsvärde bokfört värde storlek småbolagseffekt Business Administration Företagsekonomi
42	Analýza specifik odvětví bankovního průmyslu / Analysis of specifics of the banking industry Pavlíková, Ilona January 2017 (has links) Diploma thesis focuses on the analysis of the banking industry, which uses the tools of fundamental analysis. The aim of this thesis is to identify and evaluate the characteristics of the banking industry which distinguishes it from the other sectors. The first part deals with the characteristics of the banking sector, to use global and sectoral fundamental analysis. In the second part there is a comparison of the banking sector with other sectors such as commodity companies, cyclical companies and companies engaged in the production and sale of comsumer goods. The third part is the calculation of the intrinsic value of a company Komerční banka, a.s. A dividend discount model, profit models and an Excess return model are used in the third part.
43	台灣股票市場的長期超額報酬與股票風險溢酬值 / The Equity Excess Return and Risk Premium of Taiwan Stock Market 簡瑞璞, Chien, Dennis Jui-Pu Unknown Date (has links) 已實現投資報酬率與無風險利率之差、被稱為超額報酬，而股票的預期報酬率超過無風險利率的部份則為股票風險溢酬，是許多資產評價模型的重要依據，例如資本資產定價模型。有不同的理論架構解釋說明風險溢酬值，例如；股票風險溢酬的迷思、短期損失的憎惡、生還存留因素和回歸與偏離平均值等等。研究台灣股市的超額報酬與股票風險溢酬，有助投資大眾和企業理性面對股市的預期報酬和風險，對台股才有合理的期望報酬值。分析1967年迄2003年的台灣金融市場，計算過去37年長期的幾何平均年報酬率，以臺灣證券交易所發行量加權股價指數為台股市場報酬率，已實現台股實質年報酬率為6.71%。無風險報酬率使用第一銀行的一年期定期存款利率，實質台幣存款年利率為3.07%，消費者物價指數年增率則為4.80%。以年資料計算的台股實質超額報酬，算術和幾何值分別為12.48%和3.63%(年)，計算月資料算術平均和幾何平均值分別為0.77%和0.25%(月)。過去37年長期的台股超額報酬現象未較歐美市場的情況更加明顯，也比一般市場的預期報酬率低。因資料取得的限制、台股的理論超額報酬方面，1991年迄2003年的近十三年來，經固定股利成長模式和盈餘成長模式的兩種計算方式，台股的實質超額報酬分別為 0.6%和-4.3%，此時期台股的投資報酬率比起台幣存款並不突出、且是低超額報酬。同期的已實現的實質超額報酬值；算術平均1.69%和幾何平均-3.35%。評估目前台股風險溢酬，將十分接近過去37年長期歷史資料得到的超額報酬數值，算術年均值為12.48%(年)和0.77%(月)，幾何平均分別為3.63%(年)和0.25%(月)，低風險溢酬是當前台灣股票市場的一般現象。 / The difference between the observed historical investment return and the risk-free interest rate is the excess return. The equity risk premium, ERP is the expected rate of return on the aggregate stock market in excess of the rate of risk-free security. ERP is one of important factor of many asset-pricing models, including Capital Asset Pricing Model, CAPM. There were many theories and factors to explain the equity risk premium; equity premium puzzle, myopic loss aversion, survivorship bias, mean reversion & aversion and etc. Studying the value of Taiwan equity excess return and risk premium is fundamental for investors and institutions evaluating the expected market investment return and risk. Analyzing the data from year 1967 to 2003 for thirty-seven years long holding period, Taiwan Stock Exchange Capitalization Weighted Stock Index as Taiwan stock market return, the realized real return was 6.71%. One-year bank time deposit rate as NT dollars risk-free asset rate and real interest rate was 3.07% and consumer price index, CPI annual growth rate was 4.80%. The historical real yearly excess return was 12.45% for arithmetic mean and 3.63% geometric mean; the historical real monthly excess return was 0.77% for arithmetic mean and 0.25% geometric mean. Taiwan realized equity excess returns were not higher than the returns in the developed countries and were also lower than the market's expectation. Due to the limits of available data, the theoretical equity excess returns that were calculated on two theoretical models; Constant Growth Dividend Discount Model (dividend yield model) and earnings yield model were 0.6% and -4.3% from year 1991 to year 2003. Comparing the same period of historical realized excess returns of 1.69% for arithmetic mean and -3.35% geometric mean, Taiwan stock market returns were not spectacular. The current equity risk premium of Taiwan stock market is low and should be near the level of the long historical realized equity excess return. 股票風險溢酬超額報酬無風險利率已實現或歷史股市報酬率算術平均幾何平均理論超額報酬股利成長模式盈餘成長模式股票風險溢酬的迷思資本資產定價模型回歸與偏離平均 Equity Risk Premium Excess Return Risk-free interest rate Realized or Historical Stock Market Return Arithmetic Mean Geometric Mean Theoretical Equity Excess Return Dividend Yield Model Earnings Yield Model Equity Premium Puzzle Capital Asset Pricing Model, CAPM Mean Reversion & Aversion
44	A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies Berberovic, Adnan, Eriksson, Alexander January 2017 (has links) Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. We also add price momentum as a sixth factor and add a one-day lag to the factors. The Regime-Switches are obtained from a Hidden Markov Model with conditional Student's t distributions. For the return process we use factor data as input, Student's t distributed residuals, and Student's t copula dependencies. To fit the copulas, we develop a novel approach based on the Expectation-Maximisation algorithm. The results are promising as the quantiles for most of the portfolios show a good fit to the theoretical quantiles. Using a sophisticated Stochastic Programming model, we back-test the predictive power over a 26 year period out-of-sample. Furthermore we analyse the performance of different factors during different market regimes. finance statistics stock market stocks factor factors probability probability distribution students t distrbution students t copula markov chain hidden markov model regime switching stochastic programming optimisation optimization multi factor model arbitrage pricing theory return performance back test expectation maximisation expectation maximization multiple linear regression stochastic process primal-dual interior point qq-plot qq plot excess return market regimes bear market bull market market index index Probability Theory and Statistics Sannolikhetsteori och statistik

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