Master-Arbeit Univ. St. Gallen, 2007.

Bachelor-Arbeit Univ. St. Gallen, 2007.

Bachelor-Arbeit Univ. St. Gallen, 2008.

No description available.

No description available.

Main interest of this diploma thesis is a transaction known as leveraged acquisition. The goal is to provide detailed overview of these transactions starting from history and development of leveraged acquisitions, key market participants, acquisition financing, leveraged acquisition market and its current trends and analysis of a fictional transaction using advanced financial model. Due to the limited extent of the thesis not all aspects of debt financing and modeling could have been covered in the text.

Using 196 reverse leveraged buyout (RLBO) transactions between 1981 and 2006, I examine the operational benefits to leveraged buyouts (LBO). Operational drivers of firm value are defined as: increases in gross profits, operating income, return on assets, net income, working capital management, and cash flow generation. Initial analysis supports the literature of minimal deterioration of post-IPO performance. Where most studies analyze RLBOs as a whole, I find that when broken into top and bottom performance group pre-IPO, data show performance increases for bottom performers and performance decreases for top performers. Top performing firms pre-IPO lose up to 50% of industry adjusted performance by five years after going public, consistent with the hypothesis that LBO structures increase efficiency.

This paper seeks to unconventionally maximize the volatility of a portfolio through a quartic optimization based on Markowitz’s modern portfolio theory, which generally seeks to do exactly the opposite. It shows that through this method, a daily leveraged exchange traded fund (ETF) strategy investigated by Posterro can be significantly improved upon in terms of its Sharpe ratio. The original strategy seeks to use a combination of momentum trading and tracking error in leveraged ETFs to trade during the last half an hour of the trading day, but it suffers in a low volatility market. By maximizing the volatility to take better advantage of tracking error and momentum, this problem is addressed by both increasing the mean daily return and significantly decreasing the variance of the strategy’s daily returns. GARCH forecasting is also implemented to assist in the maximization of the daily portfolios’ variances, though this does not prove to make a statistically significant difference in the strategy’s performance.

This paper describes our work pricing options in the binomial model on leveraged exchange traded funds (ETFs) with three different approaches. A leveraged exchange traded fund attempts to achieve a similar daily return as the index it follows but at a specified positive or negative multiple of the return of the index. We price options on these funds using the leveraged multiple, predetermined by the leveraged ETF, of the volatility of the index. The initial approach is a basic time step approach followed by the standard Cox, Ross, and Rubinstein method. The final approach follows a different format which we will call the Trigeorgis pricing model. We demonstrate the difficulties in pricing these options based off the dynamics of the indices the ETFs follow.

<p>Syftet med denna uppsats är att skapa mer förståelse kring hur private equity bolag arbetar på den svenska marknaden och vilka investeringskriterier bolagen tittar på inför en eventuell buyout investering samt hur de långsiktigt jobbar med att förädlar sina investeringar. Det är även tänkt att uppsatsen ska ge en generell och informerande kunskap om private equity branschen.</p><p>Författarna har valt att studera två private equity bolag vars fokus ligger på den del som benämns buyout och som är av olika storlek gällande förvaltat kapital samt investeringsområden</p><p>För att lättare uppnå undersökningens syfte har författarna valt att undersöka ett investeringsfall från vardera bolag. Uppsatsen bygger på en flerfallstudie med en metodtriangulering där kvalitativ metod använts i form av två djupintervjuer och kvantitativ metod brukats vid analys av data från investeringsfallen.</p><p>Författarna har genom studien kunnat dra slutsatsen att de viktigaste kriterierna som buyout inriktade private equity företagen fokuserar på är målbolagets mognadsfas, kassaflöde, tillväxtpotential, företagets marknadsposition och trend gällande industrin. Genom analysen har det framkommit att private equity företagen investerar i mogna företag och arbetar med ett aktivt ägande genom styrelsen för att skapa ett långsiktigt värde. Förutom själva återbetalningen av skulderna skapas detta värde genom operationella och strategiska åtgärder där private equity bolagen bistår med sin erfarenhet och kunskap.</p>