No description available.

Previous academic literature examining the performance of private equity funds has documented that the average private equity fund has failed to outperform public equity markets. This underperformance coupled with a greater risk-return trade-off has failed to discourage investment in private equity markets. In fact, private equity firms have enjoyed record amounts of fund raising over the past several years. This phenomenon has been characterized as a puzzle and its investigation within the academic literature has only just begun. Using a unique and current data set covering private equity returns and their underlying cash flows, we examine performance measurements of private equity funds in the context of their relationships with one another and with public markets; as well as, examine the characteristics of the funds and their managers that drive these relationships. Our findings suggest that private equity investors are partially motivated by misinterpreted performance measurements and that this misinterpretation is compounded by fund reported residual values. These findings have important policy implications for both private equity fund managers and investors.

Recent studies have reported that open-end fund has its performance persistence. However, those studies didn¡¦t mention the factors of performance persistence. Therefore, investors knows the character of the types of fund, but unable to determine which individual fund have the character given the type of fund. The main purpose of this study is to provide investors a new way to select funds. First, investors can select high performance funds in the past period and aim to pick the individual funds which fit the character of high performance persistence. This study is divided into two parts. In first part, the researcher use Spearman's Rank Correlation Coefficient Test to examine the existence of performance persistence. In second part, the study aims to use Panel Data Analysis to examine the impact of 10 factors on the performance persistence in different type of funds, and periods. Samples in the study are chosen from 160 Taiwan open-end equity funds during 2004-2011. The return rate data is rolling data. In order to remove the difference of the risks of the funds, simple return rates were transferred into Jensen¡¦s Alpha. The conclusions are shown as below¡G 1. In short term, Time of Establishment often has a positive effect on fund performance persistence. 2. In short term, Net Asset Value often has a negative effect on fund performance persistence. In long term, net asset value often has a positive effect on fund performance persistence. 3. In short and middle term, Average Investment Amount always has a positive effect on fund performance persistence. 4. Almost in all type of funds and all periods, Stock Holding Rate has a negative effect on fund performance persistence. 5. Almost in all type of funds and all periods, The Score of Monitoring indicator has a negative effect on fund performance persistence.

共同基金在台灣是一個新興的投資理財管道，根據財政部證管會的統計資料得知，臺灣的共同基金數目已由民國八十年的27個增加到八十六年的129個，其總淨值亦由77l億台幣攀升到4691.61億台幣，顯示投資的人口正以大幅度之姿向上竄升，其投資群也由早期的機構投資者、股票族逐漸漫延到社會大眾，而投資人的動機亦曲純粹增加個人的財富，進一步擴展到籌措子女的教育準備金或個人退休養老金的規劃目標。 傳統的基金績效評估方法，大部分的研究重點均著眼於以資本資產定價模型（Caftal Asset Pricing Model ，簡稱CAPM）為理論來建立績效評估指標；或者以基金經理人的選股能力(Stock Selection)與擇時能力(Market Timing)做為評估標準；近年來亦有以投資組合為基礎的持股比率分析法。以上種種的研究，大部分都是以基金淨資產價值（Net Asset Value，簡稱NAV）與市場報酬率的變化來作為整體績效的評估基準。因此，在這樣的一個基礎上，基金淨資產價值的預測對於投資人而言就變得非常重要。如果，投資人可事先預測到各個基金的淨資產價值的未來走向，再運用上述的績效評估方法來衡量其績效，那麼投資人即可更早一步得到投資的訊息，並選取在未來績效良好的基金作為投資的重點。 因此，本研究的目的乃是企圖運用類神經網路的預測能力來建構國內共同基金淨資產價值的預測模型，並和傳統統計方法做一比較。而本研究的結果證實了倒傳遞類神經網路模式，確實在臺灣共同基金之年終淨資產值的預測上，優於傳統統計方法中的線性及非線性之迴歸分析模式。

A discount to the net asset value of Swedish investment companies is something that have existed for decades and a general explanation for the cause have not been found. The aim of this thesis is to find the the factors that impact the discount to net asset value of Swedish investment companies. The result will later be used to for comparison to gain a better understanding of the different causes behind the discount and in what way they differ among the companies. This will be done by using regression analysis. The results indicate that unlisted holdings contribute greatly to the discount but can't be used as a general explanation for the discount as investment companies which only hold listed holdings trade at a discount as well. Furthermore when foreign ownership or institutional ownership of the investment companies increase, the discount decreases as it signals to the market that their value is fair. / En substansrabatt hos svenska investmentbolag är något som har existerat i årtionden, men ändå har ingen generell förklaring till dessa kunnat hittats. Detta kandidatexamensarbete syftar att försöka hitta de variabler som ger upphov till substansrabatt hos svenska investmentbolag. Resultatet används sedan för att med jämförelse förstå de olika orsakerna som ger upphov till rabatten och varför det inte är samma förklaring mellan de olika bolagen. Resultaten indikerade att olistade bolag bidrar stort till rabatten men att det inte kan användas som en generell förklaring då det finns investmentbolag med en portfölj som bara innehåller listade bolag men som ändå har en substansrabatt. Vidare visar det sig att substansrabatten minskar när andelen utländsk eller institutionellt ägande av investmentbolaget ökar eftersom det signalerar till marknaden att det nuvarande priset är attraktivt.

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.

<p>Title: The appraiser’s choice of valuation method – factors that influences the choice of company valuation methods</p><p>Seminar date: 04/06/07</p><p>Course: Master thesis in Business Administration, 10 Swedish credits.</p><p>Authors: Anne Benedicks and Veronica Öberg</p><p>Advisor: Eron Oxing</p><p>Profession of category: Financial analysts, auditors and company lawyers.</p><p>Key words: Company valuation, valuation methods, cash flow analysis, comparative valuation, the net asset value method.</p><p>The Main Issue: What is of decisive importance when choosing a special company valuation method?</p><p>Purpose: The purpose of this paper is to identify, analyse and evaluate the most common methods of valuation for financial analysts, auditors and company lawyers and those factors that influences the choice of method.</p><p>Method: A multiple survey has been implemented for the actual profession categories. Primary data was collected through semi-structured interviews and a questionnaire survey.</p><p>Theoretical: The theoretical frame of reference is based upon the paper’s dependent variable, i.e. the role of the appraiser. The appraiser is dependent of following undependent variables: comparative valuation of company, situations of valuation, relevant information, the processes of valuation, the methods of valuation and common custom valuation.</p><p>Empiricism: Material from the interviews and the questionnaire survey shows how the professional category respectively acts when they valuate a company and why and which valuation method is used. According to the interviews the financial analysts often uses comparative evaluation, the auditor uses the cash flow analysis while the lawyer chooses the net asset value method.</p><p>Conclusion: The result of this paper considerable agrees to earlier research within the field. The main underlying factor for the appraiser to choose a certain evaluation method is simply depending on the actual situation. Example of other determining factors is customer relations, access to relevant information and which type of business under evaluation.</p> / <p>Yrkesgrupper: Finansanalytiker, revisorer och jurister.</p><p>Problemformulering: Vad är avgörande för att en specifik företagsvärderingsmetod väljs?</p><p>Syfte: Syftet med uppsatsen är att identifiera, analysera och utvärdera vilka de vanligast förekommande värderingsmetoderna är för finansanalytiker, revisorer och jurister samt vilka faktorer som påverkar valet av metod.</p><p>Metod: En flerfallstudie har gjorts hos de berörda yrkeskategorierna. Primärdata samlades in genom semistrukturerade intervjuer samt enkätundersökning.</p><p>Teoretisk referensram: Den teoretiska referensramen utgår från uppsatsens beroende variabel, värderarens roll. De oberoende variabler som värderaren är beroende av är: relativ företagsvärdering, värderingssituationer, informationskällor, värderingsprocessen, värderingsmetoder och god värderingssed.</p><p>Empiri: Material från intervjuer och enkätundersökning visar på hur respektive yrkeskategori handlar i en företagsvärderingssituation samt varför och med vilken värderingsmetod. Enligt intervjuerna använder finansanalytikern oftast jämförande värdering, revisorn väljer kassaflödesanalys medan juristen väljer substansvärdemetoden.</p><p>Slutsats: Uppsatsens resultat överensstämmer på ett bra sätt med tidigare forskning inom området. Den största bakomliggande faktorn till att värderaren väljer en viss värderingsmetod beror oftast på situationen. Exempel på andra avgörande element är relationen till kunden, tillgång till information samt vilken typ av företag som ska värderas.</p>

Title: The appraiser’s choice of valuation method – factors that influences the choice of company valuation methods Seminar date: 04/06/07 Course: Master thesis in Business Administration, 10 Swedish credits. Authors: Anne Benedicks and Veronica Öberg Advisor: Eron Oxing Profession of category: Financial analysts, auditors and company lawyers. Key words: Company valuation, valuation methods, cash flow analysis, comparative valuation, the net asset value method. The Main Issue: What is of decisive importance when choosing a special company valuation method? Purpose: The purpose of this paper is to identify, analyse and evaluate the most common methods of valuation for financial analysts, auditors and company lawyers and those factors that influences the choice of method. Method: A multiple survey has been implemented for the actual profession categories. Primary data was collected through semi-structured interviews and a questionnaire survey. Theoretical: The theoretical frame of reference is based upon the paper’s dependent variable, i.e. the role of the appraiser. The appraiser is dependent of following undependent variables: comparative valuation of company, situations of valuation, relevant information, the processes of valuation, the methods of valuation and common custom valuation. Empiricism: Material from the interviews and the questionnaire survey shows how the professional category respectively acts when they valuate a company and why and which valuation method is used. According to the interviews the financial analysts often uses comparative evaluation, the auditor uses the cash flow analysis while the lawyer chooses the net asset value method. Conclusion: The result of this paper considerable agrees to earlier research within the field. The main underlying factor for the appraiser to choose a certain evaluation method is simply depending on the actual situation. Example of other determining factors is customer relations, access to relevant information and which type of business under evaluation. / Yrkesgrupper: Finansanalytiker, revisorer och jurister. Problemformulering: Vad är avgörande för att en specifik företagsvärderingsmetod väljs? Syfte: Syftet med uppsatsen är att identifiera, analysera och utvärdera vilka de vanligast förekommande värderingsmetoderna är för finansanalytiker, revisorer och jurister samt vilka faktorer som påverkar valet av metod. Metod: En flerfallstudie har gjorts hos de berörda yrkeskategorierna. Primärdata samlades in genom semistrukturerade intervjuer samt enkätundersökning. Teoretisk referensram: Den teoretiska referensramen utgår från uppsatsens beroende variabel, värderarens roll. De oberoende variabler som värderaren är beroende av är: relativ företagsvärdering, värderingssituationer, informationskällor, värderingsprocessen, värderingsmetoder och god värderingssed. Empiri: Material från intervjuer och enkätundersökning visar på hur respektive yrkeskategori handlar i en företagsvärderingssituation samt varför och med vilken värderingsmetod. Enligt intervjuerna använder finansanalytikern oftast jämförande värdering, revisorn väljer kassaflödesanalys medan juristen väljer substansvärdemetoden. Slutsats: Uppsatsens resultat överensstämmer på ett bra sätt med tidigare forskning inom området. Den största bakomliggande faktorn till att värderaren väljer en viss värderingsmetod beror oftast på situationen. Exempel på andra avgörande element är relationen till kunden, tillgång till information samt vilken typ av företag som ska värderas.

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.

In the present work we study the economic capital of pension funds and their possible extension into the new concept of Solvency II. The main task is to examine the risks that are characteristic for pension fund activity. We use several modified stress simulations, which we model using a virtual model of pension fund. Primarily we focus on changes in net asset value (NAV) which is used in standard formula for calculation of the solvency capital requirement (SCR). In conclusion, we evaluate the possible impact of applications Solvency II to pension funds, the resulting economic capital and solvency of modeled pension fund.