Sammanfattning   Syfte: Syftet med denna studie är att undersöka huruvida det är möjligt att uppnå riskjusterad överavkastning, genom att tillämpa aktierekommendationer som investeringsstrategi. Studien ämnar även att undersöka vilken grad av marknadseffektivitet som råder på Stockholmsbörsens Large Cap-lista.   Metod: Vi har inhämtat samtliga utfärdade rekommendationer för Stockholmsbörsens Large Cap-lista genom att använda databasen Refinitiv Eikon, rekommendationerna är inhämtade på månatlig basis och illustreras av den aggregerade, procentuella andelen för respektive typ av rekommendation. Den valda tidsperioden är 2015-01 till 2019-12. Tre portföljer har bildats som representerar köp, behåll och sälj. För att bedöma vilka aktier som platsar i de respektive portföljerna, så använder vi oss av en rekommendationsgrad (60%), detta för att en rekommendation ska kunna betraktas som entydig. Den totala avkastningen för respektive portfölj mäts därefter i relation till rådande riskfri ränta, vilket möjliggör att undersöka eventuell förekomst av riskjusterad överavkastning. Det statistiska programmet Stata har därefter använts för att bedöma huruvida avkastningen för respektive portfölj, såväl som ytterligare variabler som är inkluderade i värderingsmodellerna, är av statistisk signifikans. Värderingsmodellerna som tillämpas är Fama French Trefaktormodell och Capital Asset Pricing Model (CAPM).   Resultat: Studien kommer fram till att det är möjligt att uppnå riskjusterad överavkastning, detta genom att tillämpa säljportföljen. Signifikanta resultat (95%) uppvisades både vid tillämpning av Fama French Trefaktormodell och CAPM som värderingsmodell. Övriga portföljer uppvisade ej signifikanta resultat.   Slutsats: Slutsatsen från studien är att är möjligt att generera riskjusterad överavkastning genom att använda sig av aktierekommendationer som investeringsstrategi. Detta resultat är dock endast möjligt att uppnå genom att använda säljportföljen. Signifikant riskjusterad överavkastning kunde ej påvisas för köp- och behållportföljen, vilket indikerar att det inte finns något mervärde för en investerare att tillämpa dessa porföljer givet denna strategi. Resultatet från studien indikerar även att det råder en marknadseffektivitet av den medelstarka graden på den svenska aktiemarknaden. Dock gäller detta antagande ej för säljportföljen vars resultat strider mot den medelstarka graden av marknadseffektivitet.   Nyckelord: Aktierekommendationer, överavkastning, investeringsstrategi, portföljstrategi, effektiva marknadshypotesen, marknadseffektivitet, Fama French, CAPM, Large Cap

Denna uppsats undersöker om två olika momentumstrategier applicerat på mindre bolag i Sverige kan generera överavkastning. Momentumstrategier är investeringsstrategier som bygger på historisk prisdata och enligt den effektiva marknadshypotesen ska dessa inte kunna ge en överavkastning på en svagt effektiv marknad. Flertalet studier har dock hittat bevis för att dessa fungerar, och även att momentumavkastningen ofta är större för mindre bolag än stora bolag. Studiens urval är samtliga bolag som är noterade på NASDAQ Stockholm under tidsperioden 2007-2016. Vi följer Fama och Frenchs (2008) storleksdefinitioner och sorterar in bolagen i tre kategorier efter deras börsvärde (stora, små och mikrobolag) och vi bygger sedan portföljer med bolagen som kategoriseras som små. Portföljernas avkastning riskjusteras med Fama och Frenchs (1993) trefaktormodell. Studien finner att ingen av momentumstrategierna genererar en statistiskt signifikant överavkastning på den svenska marknaden under perioden.

Hållbarhet är ett begrepp som har blivit allt mer populärt under senare år och med detta blir efterfrågan på hållbara aktier större. Inom den finansiella världen benämns ofta begreppet hållbarhet i form av ESG vilket står för environmental, social och governance. Områdena representerar kriterier som används för att bedöma olika tillgångars grad av hållbarhet. Eftersom kategorierna inom ESG skiljer sig mellan varandra är det av intresse att analysera dessa enskilt.  Syftet med studien är att analysera E-, S- och G-aktier och dess avkastning i Sverige med hjälp av Fama och Frenchs femfaktormodell för tidsperioden 2010–2019. Portföljer har skapats för respektive område inom ESG för att bedöma deras individuella prestation samtidigt som de jämförs med ett markandsindex. För att analysera avkastning i förhållande till risk har ekonometriska analyser genomförts i form av regressionsmodeller för tidsseriedata samt för pooled tvärsnitts- och tidsseriedata. För att se hur portföljerna har presterat i förhållande till marknaden jämförs de även med indexet OMXS30 med hjälp av framtagna finansiella nyckeltal.  Samtliga av våra regressioner uppvisade positiva men icke-signifikanta intercept. Detta gör att vi inte kan säkerställa ett signifikant samband mellan hållbarhet och avkastning. Portföljerna erhöll sedan en högre Sharpekvot i förhållande till marknadsportföljen. Detta kan ses som en indikation på att investerare med höga hållbarhetspreferenser kan dra nytta av att investera hållbart. Resultatet från Jensens alfa tyder även på att portföljerna överavkastar gentemot marknaden, däremot kan vi inte konstatera huruvida resultaten från Sharpekvoten och Jensens alfa är signifikanta eller ej. / Sustainablitiy is a relativley new term that, under recent years, has grown to become popular. With the acknowladgement of sustainablitity it has also becom sought-after to invest in sustainable assets. In the financial world sustainability often refers to the term ESG which means environmental, social and governance. The categories represent criteria that is used to determine different assets degree of sustainability. Since the categories of ESG differ from each other it is therefore of interest to analyze them individually.  The aim with this study is to analyze E-, S-, and G-stocks and their return in Sweden while using the Fama and French five factor model during the period of 2010-20219. Portfolios are constructed for each category within ESG to evaluate their individual performance, they are also compared to a market index. Econometric tests are produced to analyze the risk and return of the portfolios through time series and pooled cross section and time series regressions. In order to study how the portfolios perform they are compared with the Swedish market index OMXS30 through produced financial measurements.  The results from the regression tests show positive, but insignificant intercepts for all of the models. Therefore, we cannot ensure a significant relation between sustainability and return. Furthermore, the portfolios received a higher Sharpe ratio than the market portfolio OMXS30. This indicates that investors with strong preferences for sustainability may benefit from buying ESG-stocks. The result from Jensen’s alpha also indicate that the portfolios outperform the market. Although, we cannot establish if the results from the Sharpe ratio and Jensen’s alpha are significant or not.

No description available.

This research investigates brand equity’s role in mitigating the impact of the COVID-19, a complex crisis, on firms’ stock performance. It also compares a high brand equity stock (HBES) portfolio with the overall market during three periods of the crisis (downturn, upturn, and total disturbance). To delineate brand equity’s influences across different periods of the COVID-19 crisis, I distinguish between three market periods: (1) market downturn; (2) market upturn; (3) total disturbance. Furthermore, the excess returns of the HBES portfolio with the overall market, containing all the firms listed collectively on the Center for Research in Security Prices (CRSP), NYSE, AMEX, and NASDAQ, are compared. The Fama-French (FF; Fama and French, 1993) method is used to examine the brand equity’s effects on stock return and risk factors, namely volatility and beta. Using the Behavioral Portfolio Theory (BPT), this research shows brand equity insulates firm performance during the COVID-19 crisis by improving stock return and mitigating risks. However, brand equity effects vary across the three market periods, improving stock return and reducing volatility in the downturn. Nevertheless, brand equity does not buffer stock return in the upturn. Overall, during the total disturbance period, brand equity protects stock return and diminishes risk. The comparative findings indicate brand equity is a strong protector of stock return in the downturn, while it is more effective in reducing risk in the upturn. The findings advance research by providing evidence pertaining to brand’s role in mitigating the impact of unpredictable market shocks and crises, such as the COVID-19 pandemic, on stock performance. While brands are mostly viewed as drivers of sustained competitive advantage and profitability, their protective role in times of crisis is noteworthy. The findings can potentially help marketing and brand managers justify marketing spending and aid them in crafting strategies to enhance firm performance during crises similar to the COVID-19. The marketing-finance interface can benefit from insights offered by the COVID-19 pandemic, as such crises are becoming prevalent and are capable of damaging various stakeholder’s outcomes (firms, investors, customers).

Investing has become increasingly popular among individuals in recent years,this has led to multiple investing strategies formalizing. One of them being factorinvesting, a strategy where investors search for companies with certain strongfirm specific financial metrics through screening. Many researchers try to findwhich these metrics are, and which of them has an effect on the cross-sections ofstock returns. This study examines the relationship between the three metrics,earnings-to-price, dividend yield, debt over equity and the European stock marketbetween January 2010 to December 2022. This is done by using the two-stageregression model suggested by Fama and Macbeth (1973). Our results show thatthere is an anomaly in the European stock market and that there is a firmcharacteristic risk associated with these metrics. This suggests that when lookingat individual firms, investors are willing to pay a premium for the metrics studiedin this paper and it is therefore important to take them into account whenscreening for individual companies. As the previous research is mainly focusedon the American stock market and emerging markets in Europe, our thesis fills agap by providing a view on factor premiums in the European market as a whole.

Les deux premiers chants de Lucain témoignent d’une utilisation novatrice des discours directs dans l’épopée. Présentés sous forme de triades de paroles juxtaposées –le dialogue n’est plus possible dans le monde du De bello ciuili- dont l’objectif et le genre sont similaires, ils incitent le lecteur-auditeur de l’Antiquité, rompu aux joutes oratoires des concours de déclamation, à les comparer. L’examen de deux de ces groupes de discours sert de préliminaire à une enquête plus large sur la parole rhétorique, puis sur la parole poétique.Dans la confrontation des discours de la première triade (Curion / César /Laelius, au chant I) se lit la condamnation de l’éloquence traditionnelle fondée sur des valeurs éthiques universellement partagées. Elle est supplantée par une rhétorique sophistique qui redéfinit, exclusivement en fonction des intérêts personnels de l’orateur, tout ce qui a trait au droit, au juste ou à la citoyenneté, notions problématiques dans le contexte de perversion morale du bellum ciuile. L’efficacité de cette nouvelle éloquence est signalée par le succès des trois suasoires qui sont à l’origine des grands tournants narratifs de l’œuvre : Curion décide César à entrer définitivement dans l’affrontement civil (Chant I), Cicéron pousse Pompée à donner le signal du début du combat à Pharsale (Chant VII) et Pothin persuade Ptolémée d’assassiner Magnus (Chant VIII).Dans la comparaison des trois paroles prophétiques de la fin du livre I auxquelles répondent les trois discours du début du chant suivant, effusions angoissées de Romains anonymes (les femmes, les hommes et le vieillard), se dessine un art poétique destiné à justifier les choix génériques du poète pour traiter son sujet. Conformant son œuvre à la médiocrité humaine des masses, il doit renoncer au genre tragique (discours des femmes) ainsi qu’à la célébration épique des héros (discours des hommes) et s’efforcer de proposer, à l’instar du vieillard qui se remémore le passé pour anticiper le futur (le plus long discours de l’épopée, rappelant, par sa place et son sujet, l’ilioupersis d’Enée), une épopée historique qui cherche à percer l’opacité du monde de la guerre civile, dans lequel les dieux ne sont plus anthropomorphes. Empruntant leur esthétique du déchiffrement du réel aux Piérides ovidiennes, ces poétesses humaines, rivales des divines Muses (Métamorphoses V), Lucain refonde alors la persona de son uates. Chantre d’un genre nouveau, pour une épopée renouvelée, le ‘piéridique’ uates du De bello ciuili qui ne peut plus être omniscient –puisque les pensées et les actions des superi lui sont inconnaissables- refuse le patronage des divinités traditionnelles de la poésie, promet à son ‘héros’ César, non la gloire mais l’exécration éternelle et proclame avec défi, qu’il ne devra lui-même l’éternité qu’à la seule puissance de son talent personnel, divines Muses et grands guerriers héroïques des œuvres du passé ayant été congédiés par la guerre civile. / The first two books of Lucan reveal an innovative use of direct speech in epic. Presented as contiguous speech triads – dialogs being impossible in the realm of De bello ciuili – whose purpose and genre are similar, they lead the ancient reader-listener, used to oral debates typical of declamation contests, to compare them. The investigation of two of these speech groups is our first step to a larger inquiry on rhetoric speech, then on poetic speech.Confronting the speech of the first triad (Curion/Caesar/Laelius in book I) reveals the end of traditional eloquence based on universal ethic values. It is superseded by a sophistic rhetoric that redefines (exclusively according to the speaker's private interests) whatever relates to law, justice or citizenship – problematic concepts in the perverse moral context of bellum ciuile. The efficiency of this new eloquence is highlighted by the success of the three suasory performances which cause the work's main narrative turns: Curion convinces Caesar to definitely take part to the civil war (book I), Cicero leads Pompeus to launch the battle at Pharsalia (book VII) and Pothinus persuades Ptolemy to murder Magnus (book VIII).Comparing the three prophetic speeches at the end of book I (which mirror the three speeches at the beginning of the following book), anxious complains of anonimous Romans (the women, the men and the elderly), we identify an ‘art of poetry’ aimed at motivating the generic choices made by the poet to handle his subject. Working along the lines of the human depravity of masses, he may not employ neither the tragic style (the speech of women) nor the epic celebration of heroes (the speech of men), but must suggest – as the old man remembers the past to anticipate the future (the longest speech of the epic reminds Eneas’ Ilioupersis by means of its place and subject) – an historical epic aiming at enlightening the opaque world of civil war, in which the gods are no longer anthropomorphic. Borrowing their deciphering aesthetic to Ovids’ Pierides, human female poets rivaling the godly Muses (Metamorphosis V), Lucan reinvents the persona of his uates. Promoting a new genre, for a renewed epic, the 'pieridic' uates of De Bello Ciuili, which can no longer be omniscient – since the superi's thoughts and deeds are out of his reach – refuses to worship the traditional poetry deities, swears to his 'hero' Caesar not the glory but the eternal hatred and defiantly proclaims that he himself will deserve eternity only through his own talent, the godly Muses and great heroic warriors of ancient works having been dismissed by civil war.

Cette thèse porte sur la prédiction de la détresse financière et son impact sur le rendement des actions. L’objet principal de cette thèse est de : (i) prédire la détresse financière des petites et moyennes entreprises françaises en utilisant plusieurs spécifications économétriques tels que, le modèle Logit, les réseaux de neurones artificiels, la méthode SVM et la régression des moindres carrés partiels, et (ii) d’identifier les facteurs de risque de détresse financière à caractère systématique, explicatifs des rendements des actions, et additionnels au modèle de Fama et French (1993) tels que le momentum, la détresse relative, la liquidité et la Value-at-Risk, sur le marché boursier Français. Cette étude comporte deux parties. La première partie, composée de 2 chapitres, s’interroge sur les principaux indicateurs discriminants entre les petites et moyennes entreprises françaises saines et celles en détresse financière un an et deux ans avant la défaillance. Elle mobilise différentes approches de prédiction et aboutit à des résultats empiriques qui font l’objet d’analyse. La deuxième partie, composée aussi de 2 chapitres, étudie le pouvoir explicatif, du modèle de Fama et French (1993) augmenté de certains facteurs de risque, mais aussi des modèles alternatifs à cette approche dans le contexte français. Les tests portent aussi sur le caractère systématique des facteurs de risque additionnels ou alternatifs, explicatifs des rendements des actions. Les résultats empiriques obtenus font l’objet d’analyse et permettent de proposer des implications managériales aux décideurs. / This thesis focuses on financial distress and its impact on stock returns. The main goal of this dissertation is: (i) to predict the financial distress of French small and medium-sized firms using a number of techniques namely Logit model, Artificial Neural Networks, Support Vector Machine techniques, and Partial Least Squares, and (ii) to identify the systematic risk factors of financial distress that can explain stock returns, in addition to those of Fama and French (1993) such as the momentum, the relative distress, the liquidity, and the Value-at-Risk in the French stock market. This study has been concretized in two parts. The first part, composed of 2 chapters, wonders about the main indicators that can discriminate between distressed and non-distressed French small and medium-sized firms one and two years before default. It mobilizes different prediction techniques and leads to the empirical results that are the subject of the analysis. The second part, composed also of 2 chapters, investigates the explanatory power of Fama and French (1993) model augmented by a number of risk factors, as well as alternative models in the French context. The tests also focus on the systematic nature of the additional or alternative risk factors, explaining the stock returns. The obtained empirical results are analyzed and propose managerial implications to decision makers.

本文利用向量自我迴歸模型所得出來的殘差值來模擬未預期到的總體經濟訊息，以期限利差和一個月定存利率來捕捉殖利率曲線，以違約利差和股利收益率來描繪資產報酬的條件機率分布，本文實證未預期到的期限利差和未預期到的違約風險與淨值市價比因子和市值規模因子包含相同的訊息，因此後續檢驗這些能夠捕捉未來投資機會的總體經濟訊息比起Fama-French三因子模型是否對台灣股票橫斷面的平均報酬更具有解釋能力。 實證方法採用Fama-MacBeth(1973)兩階段迴歸方法，Fama-French三因子模型實證結果顯示台灣股票市場存在著負向的淨值市價比效果，但卻不存在著規模效果，這與國外一些學者研究1980年代之後規模效果逐漸消失的結論相同。在實證未預期到的總體經濟訊息模型時，由於被解釋變數為股票超額報酬率，因此常數項應該為不顯著的關係，但此假設強烈的被未預期到的總體經濟訊息模型拒絕，代表此模型可能遺漏了重要的解釋變數。因此，Fama-French 三因子模型對台灣股票橫斷面平均報酬率的解釋能力比未預期到的總體經濟訊息模型更佳。 / The Fama and French factors HML and SMB are correlated with innovations in variables that describe investment opportunities. I find that shocks to term spread and shocks to default spread have the same information with the Fama and French factors HML and SMB. This paper investigates whether a model that includes shocks to the aggregate dividend yield and term spread, default spread, and one-month deposit interest rate can explain the cross section of average return on Taiwan stock market as well as the Fama and French can. Using the Fama-MacBeth (1973) two steps cross-sectional regressions, I find there exists the negative book-to-market effect on Taiwan stock market, but the size effect disappears. Since the dependent variables in the regression is excess returns, the intercept of the cross-sectional regression should be zero. This hypothesis is strongly rejected in the case of the model includes shocks to the Macroeconomics variables and the market portfolio. It means this model omits some important variables, so the Fama and French three-factor model can explain the cross section of average returns better.

在知識經濟時代下，無形資產的對於公司的重要性愈來愈高。有別於在工業時代下的生產重心，著重在大量的土地，機器設備...等有形的資產，在二十一世紀競爭中致勝的關鍵因素卻是那些無實體存在的知識累積，例如：研究發展的能力、員工的素質、顧客關係的維持…等;然而，會計處理對於無形資產卻是停留在歷史的取得成本，而不是現時的市場價值，更甚，有些無形資產根本無法入帳;因此，資本市場如何看待與反應公司的無形資產就是一項有趣的議題。本研究之研究目的是：依據Fama and French (1993)三因子模型，以橫斷面的分析方式，欲控制了系統風險、規模效果和淨值與市價比效果後，進一步分別探討研究發展活動與專利權對於股票報酬之影響，是否擁有投入愈多的研發活動與專利可以在股票市場獲得愈高的報酬？是否研究發展費用與專利權數對於股票報酬有遞延效果的影響？ 樣本期間從民國七十一年到民國九十三年，包含上市與上櫃公司，總共有21717筆觀察值，在研究發展活動方面，本研究採用了當期研究發展費用與依五年資本化後之研究發展費用二種替代變數，專利權方面，採用專利權數與累積專利權數二種代理變數，其實證結果發現： (1)當期研究發展費用溢酬與股票超額報酬呈現顯著的正向相關，將研究發展費用依五年資本化後，資本化後之研究發展費用溢酬仍與股票超額報酬呈現顯著的正向相關。 (2)專利權數之溢酬與股票超額報酬卻是顯著的負相關，累積專利權數之溢酬與股票超額報酬也是呈現顯著的負向關係，可能的原因是：在本研究樣本裡的大部分的專利權數量是非常集中在少部分的公司。 (3)研究發展溢酬對於超額報酬最多有三年的遞延效果，專利權溢酬對於超額報酬至少有五年遞延的效果。 (4)當期研究發展費用溢酬與資本化後之研究發展費用溢酬對於超額報酬有顯著不同的影響，二者比較下，當期研究發展費用溢酬對於股票報酬的影響程度大於資本化後之研究發展費用溢酬。可能的原因是:Fama and French三因子模型某種程度上代表著流量的概念，因此，當期研究發展費用溢酬的效果較為顯著。 (5)在專利權數之溢酬與累積專利權數之溢酬二者之間，對於超額報酬不具有顯著差異性的影響。可能的原因是:大部分的樣本都沒有專利權，因此，專利權數之溢酬與累積專利權數之溢酬沒有太大的差異。 (6)以研究發展與專利來說，二者對於超額報酬具有顯著不同差異的影響。 / Since the change in the global economy in the last decade, from manufacturing and industry-based to knowledge-based, it has created new interest in intellectual capital and increased the demand for measuring and reporting the effect on business and profitability. Nonetheless, accounting conventions based on historical cost often understate their value. Thus, from a practical point of view, how the stock market responses to the innovative activity is an interesting issue. Here, the major objective of this study is, on the basis of the three-factor model in Fama and French (1993), to investigate the relationship between innovation activities in firms and stock returns. That is, the aim in this study is to examine whether the intellectual capital, in particularly focusing on R&D and patents, has impact on stock returns. Does the market provide the premium for the value of the innovation in firms? Do the stocks with more innovation efforts worth the higher market rate of returns? Do R&D and patents have time lag effect on returns? We find that: (1) The return premiums are significantly greater for high-level of R&D than for low-level R&D. The mimicking returns both for the R&D-expense factor and capitalized-R&D factors are significantly positive related to excess stock returns. (2) Contrary to our intuition and expectation, the mimicking returns both for patent count and cumulated patent count are significantly negative associated with excess stock returns. One possible explanation is that the distribution of patented innovation is known to be extremely skewed, implying that a few patents are very valuable and many are worth almost nothing. (3) R&D-related return premiums have 3-year lag effect on excess stock returns at most. As for patent-related return premiums, it shows 5-year lag at least for excess stock returns. (4) R&D expenses have more impact on stock returns than the R&D capitalization. One possible explanation is that the “flow” concept is more suitable than the “stock” concept in the Fama and French (1993) regression of stock returns. (5) There is no difference between patent count and cumulated patent count in explaining stock returns. It is likely that, for a large proportion of the sample, they do not possess any patents. (6) When it comes to compare R&D to patents, we find that there is statistically significant difference between the two in explaining excess stock returns.