In this thesis we have investigated if there is a risk premium on residential properties with presumption rent in comparison to the other two rental systems, individually-set rent and utility rent. The method chosen was a qualitative method and therefore six interviews were conducted with real estate professionals with at least ten years of experience, five real estate companies and one real estate consultancy company. From the interviews, evidence was found that there are pros and cons regarding the different Swedish rental systems and how it affects an investment on a property. However, investors seem to put more weight on initial rent levels and the expected rental growth. Vacancy risk is considered almost insignificant for investors due to the shortage in residential properties in Sweden. The analysis showed that the initial yield does differ between the rental systems. This is due to the difference in expected rental growth over the investment period. For an investment of 20 years presumption rent is the best alternative. Risks were discussed in the interviews and that every risk associated with each rental system were considered in the calculation. According to the simulations, identified risks affect the calculation which adds a risk premium that should be taken into consideration by the investors. / I denna uppsats har vi undersökt om hyresfastigheter med presumptionshyra behöver en riskkompensation gentemot de två andra hyressystemen, bruksvärdeshyra och egensatt hyra. Uppsatsen är en kvalitativ studie och sex intervjuer har genomförts, fem med fastighetsbolag och en men ett fastighetskonsultbolag. Från intervjuerna gick det att identifiera fördelar och nackdelar med det olika hyressystemet och hur de påverkar en fastighetsinvestering i en hyresfastighet. Från intervjuerna framgick att investerare förlitar sig mer på initiala hyresnivåer och förväntad hyrestillväxt under investeringsperioden. Vakansrisken anses vara mer eller mindre obetydlig för en fastighetsinvesterare givet dagens marknadsläge med den bostadsbrist som finns i Sverige. Analysen påvisade att det finns en skillnad i direktavkastningskravet mellan de olika hyressystem. Denna skillnad beror på skillnaden i förväntad hyrestillväxt över investeringsperioden. För en investering på 20 år är presumptionshyra det bästa alternativet då den får högst kalkylränta. Risker diskuterades i intervjuerna och varje risk förknippad med hyressystemen beaktades i kalkylerna. Enligt simuleringarna påverkar de identifierade riskerna kalkylerna vilket adderar en riskpremie som bör beaktas av investerarna.

This thesis aims to explore if and why there exists a price premium for environmentally certified office properties on the Swedish market. The purpose is to contribute with knowledge within the research field of certified properties and how they are valued by the market. In order to answer the research question, regressions of office transaction data have been performed, of which the main model examined whether environmentally certified office properties generate a price premium compared to non-certified properties. Two additional models were analysed, investigating if certain certifications affect the price premium more than others. The transaction data was provided by the real estate consultancy firm Cushman & Wakefield. Furthermore, in contrast to previous research, a cost variable was included in each model. However, in order to capture the significance of the parameter, regressions excluding the cost variable were as well performed. The result of the analysis suggests that environmentally certified office properties are sold at a 14-26% higher price compared to equal properties which are not certified. In addition, certified properties with BREEAM and LEED appear to be sold at a 28-30% respectively 30-31% higher price than GreenBuilding certified properties. The cost variable did not seem to have any larger impact of the price. Most likely, a large part of the generated price premium is a result of aiming for branding benefits which are received by obtaining environmentally certified properties. / Målet med examensarbetet är att undersöka om och varför det existerar en prispremie för miljöcertifierade kontorsfastigheter som är lokaliserade på den svenska fastighetsmarknaden. Syftet är att bidra med kunskap inom forskningsområdet certifierade fastigheter och förstå hur de värderas av den svenska marknaden. För att kunna besvara forskningsfrågorna har regressionsanalyser genomförts för data innehållande transaktioner av kontorsfastigheter. Huvudmodellen har undersökt om miljöcertifierade fastigheter genererar en prispremie jämfört med icke-certifierade fastigheter. Utöver huvudmodellen har ytterligare två modeller analyserats som undersöker huruvida specifika certifieringar påverkar prispremien. Använd transaktionsdata har inhämtats från fastighetskonsultsföretaget Cushman & Wakefield. Jämfört med tidigare studier har en kostnadsparameter inkluderats i varje modell. För att kunna förstå variabelns signifikans och påverkan har även analyser som exkluderar parametern genomförts. Resultatet av regressionen antyder att miljöcertifierade kontorsfastigheter säljs till ett pris som är 14-26 % högre än jämförbara kontorsfastigheter utan certifiering. Vidare verkar BREEAM- och LEED-certifierade fastigheter säljas till 28-30 % respektive 30-31 % högre pris än GreenBuilding-fastigheter. Kostnadsparametern verkar ej ha en signifikant påverkan på prispremien. Med största sannolikhet utgör strävan efter brandingfördelar en stor del av prispremien vilka erhålls om fastighetsägaren innehar miljöcertifierade fastigheter.

At present, there is no sliding window latch designed and developed for the marine market. Onmar is a company that develops and produces quality products for premium boats. They were asked to supply a latch that is exclusive and is of quality. This request became the basis for the thesis. The aim of the project was to gain an understanding of the concepts of exclusivity and quality to implement them in the design of a latch for premium boats. To ensure that the aim is achieved during the work, two research questions were formulated to be answered through the implementation of the project, which are as follows: Research question 1: How are exclusivity and quality defined and how can these definitions influence the design of an exclusive and quality product for the marine market? Research question 2: What value will a specially designed and developed latch for premium boats add compared to existing latch? The project combined two product development processes. These included concept generation, concept development and prototype creation and further development. Data collection was carried out using both literature and empirical data. The triangulation method was used to increase the reliability of the project. The results show that the investigated concepts are difficult todefine and no previous research regarding the concepts in productdevelopment has been done. The findings show that what indicates product quality and exclusivity within the marine market, is subjective and therefore difficult to define. No previous research on the meanings of these terms within product development were found. Nevertheless, definitions of exclusivity and quality have been defined and were applied as guidelines during the development of the latch for the marine market. A survey carried out to evaluate the final product concept of a latch for the marine market, suggests that the final concept gives a visual impression of exclusivity and quality. Whether a product is perceived as exclusive and whether it gives the impression of quality may depend on more factors than just design. The choice of materials and physical feedback during use are two other factors that can influence a user's impression of exclusivity and quality. The latch developed in this project can be used as a basis for further product development within the exclusive marine market. / I dagsläget finns det inget snäpplås till skjutbara fönster som är utformad och utvecklad för den marina marknaden. Onmar är ett företag som utvecklar och producerar kvalitativa produkter för premiumbåtar. Onmar fick förfrågan om att producera ett exklusivt snäpplås av hög kvalitet. Denna förfrågan blev grunden för detta examensarbete. Syftet med projektet var att presentera ett produktkoncept av ett exklusivt snäpplås för premiumbåtar av hög kvalitet. För att säkerställa att projektets syfte kunde uppnås, skapades två forskningsfrågor som stöd: Forskningsfråga 1: Hur kan exklusivitet och kvalitet definieras inom området utformning av snäpplås för den marina marknaden? Forskningsfråga 2: Hur kan ett exklusivt snäpplås för premiumbåtar tillföra värde till den marina marknaden, jämförtmed befintliga snäpplås? Produktutvecklingsprocessen som tillämpats baserades på enkombination av processerna från Ulrich & Eppinger (2014), samtUllman (2012). Processen inleddes med konceptgenerering och resulterade i ett slutgiltigt konceptval. Datainsamling har genomförts både efter litteratur och empirisk data. För att främja studiens reliabilitet användes metoden triangulering. Resultatet visar att de undersökta begreppen, kvalitet och exklusivitet inom den marina marknaden, är subjektiva och därmed svårdefinierade. Ingen tidigare forskningsresultat om begreppens betydelser inom produktutveckling påträffades. Begreppen har hursomhelst definierats och använts under utvecklingen av snäpplåset för den marina marknaden. En genomförd enkätundersökning om det slutgiltiga konceptet av ett snäpplås för den marina marknaden tyder på att slutkonceptet inger ett visuellt intryck av exklusivitet och kvalitet. Huruvida en produkt upplevs som exklusiv och om den ger intryck av kvalitet kan bero på flera faktorer än bara utformning. Materialval och fysisk feedback vid användning är ytterligare två faktorer som kan påverka en användares intryck av exklusivitet och kvalitet. Snäpplåset som utvecklades i projektet kan användas som underlag för vidare produktutvecklingsarbete inom den exklusivamarina marknaden.

[pt] Muitos pesquisadores acreditam haver relação entre os mercados de dívida externa soberana e corporativa. Esta idéia é corroborada pela observação em países desenvolvidos, cujos mercados de títulos privados são frequentemente acompanhados de ativa negociação e emissão de títulos do governo. A literatura acadêmica sobre o tema sugere que títulos soberanos possuem um papel de referência para a determinação do valor dos ativos corporativos. Em um contexto de mercado favorável para o Brasil, caracterizado pela obtenção do grau de investimento e captações externas frequentes, com custos cada vez mais baixos, analisamos o impacto que uma emissão soberana exerce sobre a liquidez de títulos de empresas brasileiras emitidos no exterior. A principal hipótese é que lançamentos soberanos contribuem para o aumento da liquidez ao reduzir o risco de seleção adversa associado à assimetria de informações. Constatamos que as emissões do governo diminuem o yield spread e bid-ask spread dos títulos corporativos de forma significativa. Esse resultado indica que títulos soberanos atuam como benchmarks e contribuem para o estabelecimento e crescimento do mercado de dívida externa corporativa. / [en] Many researchers believe there is a relationship between sovereign and corporate foreign debt markets. This idea is supported by the observation in developed countries, whose corporate bond markets are often accompanied by active trading and issuance of government bonds. The academic literature on the subject suggests that sovereign bonds have a reference role in the valuation of corporate assets. In a context of favorable market for Brazil, characterized by the investment grade status and regular external funding with lower costs, we analyze the impact a sovereign issue has on the liquidity of securities issued by Brazilian companies in the international market. The main hypothesis is that sovereign issuances contribute to increased liquidity as reduce the risk of adverse selection associated with asymmetric information. We note that government issues lowers the yield spread and bid-ask spread of foreign corporate bonds significantly. This result indicates that sovereign bonds act as benchmarks and contribute to the establishment and growth of the foreign corporate debt market.

Value creation in any stock market is a highly discussed topic with an abundant amount of generalized models aiming to predict future returns. Although no such tool exists yet there are, however, acknowledged models from peer-reviewed journals that have received a lot of attention over the years in examining company performance. This thesis is therefore built on the well-known Fama-French three-factor model. The original Fama-French three-factor model is extended by adding a new size premium and a new value premium, both based upon the spread between the return on invested capital (ROIC) – the weighted average cost of capital (WACC). The purpose of this is to make the returns of a portfolio account for cash flow and debt on top of risk, size, and value premium for a company. This thesis finds that the ROIC-WACC spread adds explanatory power to the existing Fama and French three-factor model on the Swedish stock market. The research method of this study is quantitative and deductive. The considered period is six years between the years 2014 and 2020.

This study examines the impact of risk premium factors on cap rates within Sweden's largest office markets. The research questions address the significance of various micro- and macroeconomic variables on cap rates, as well as the extent of this impact and how it varies across different locations. The study employed a quantitative approach, specifically regression analyses, to examine three different localizations from the years 2003 to 2022. The dataset used included information from JLL and large institutions. The study found that the top three optimized models could explain 80-90% of the fluctuations in office cap rates in the CBD of Stockholm, Gothenburg, and Malmö. To sum up, the 10-year treasury bill and the spread between Baa and Aaa corporate bond yields are the main variables that have the largest impact on cap rates across all locations. The 10-year treasury bill serves as a proxy for the risk-free rate. Nonetheless, the risk-free rate had a relatively lower impact in Malmö compared to Stockholm and Gothenburg's CBD. / Denna studie undersöker effekterna av riskpremiefaktorer på cap rates för Sveriges största kontorsmarknader. Forskningsfrågorna behandlar betydelsen av olika mikro- och makroekonomiska variabler på cap rates, samt omfattningen av påverkan och hur den varierar mellan olika städer. Studien använde ett kvantitativt förhållningssätt, specifikt regressionsanalyser, för att undersöka tre olika områden från åren 2003 till 2022. Datamängden som användes innehöll information från JLL och stora institutioner. Studien fann att de tre mest optimerade modellerna kunde förklara 80-90% av fluktuationerna i cap rate för kontorsmarknaden i Stockholm, Göteborg och Malmö CBD. Sammanfattningsvis är den 10-åriga statsobligationen och spreaden mellan Baa- och Aaa-företagsobligationsräntorna de variablerna som har störst inverkan på cap rates för de tre städerna. Den 10-åriga statsobligationen fungerar som en proxy för den riskfria räntan. Dock har den riskfria räntan en relativt lägre påverkan i Malmö jämfört med Stockholm och Göteborg CBD.

Die Risikoprämie einer Unternehmensanleihe dient prinzipiell der wirtschaftlichen Kompensation für die Übernahme zusätzlicher Risiken gegenüber den Risiken der Benchmark. Allerdings findet sich in der bisher veröffentlichen Literatur eine Vielzahl von den praktischen Messkonzepten, die in vielen Fällen nicht fehlerfrei und problemlos zustande gekommen sind. Daher ist die präzise und quantitative Messung der Risikoprämien von Unternehmensanleihen eine betriebswirtschaftliche Notwendigkeit. In der vorliegenden Arbeit werden im Hinblick auf die Erreichbarkeit drei alternative Messkonzepte bezüglich der Risikoprämien von Unternehmensanleihen vorgestellt und miteinander verglichen. Einige bisherige Studien sind der Auffassung, dass die Risikoprämien von Unternehmensanleihen zumeist von den Nicht-Kreditkomponenten beeinflusst werden. Um diese Marktanomalien zu erklären, verwenden die vorliegenden Untersuchungen das statistische lineare Faktor-Modell. In diesem Zusammenhang wird die Untersuchung von LITTERMAN/SCHEINKMAN (1991) auf die risikobehafteten Unternehmensanleihen übertragen. Im Kern steht die Frage, welche Risikoarten bzw. wie viele Einflussfaktoren wirken sich auf die Risikoprämien von Unternehmensanleihen in wieweit aus. Das Ziel ist ein sparsames lineares Faktor-Modell mit wirtschaftlicher Bedeutung aufzubauen. Somit leistet diese Dissertationsschrift einen wesentlichen Beitrag zur Gestaltung der Anleiheanalyse bzw. zur Portfolioverwaltung.

[pt] Com o advento do novo modelo do setor elétrico a partir de 2004, foi permitida aos agentes de mercado a comercialização de energia no ambiente de contratação livre. Considerando a natureza destas operações e a influência de variáveis meteorológicas na formação e volatilidade dos preços, as decisões no âmbito da comercialização de energia são tomadas sob condições de incerteza, levando os agentes a buscarem estratégias de contratação para maximização do retorno dos ativos e/ou mitigação dos riscos envolvidos. No setor elétrico brasileiro, a gestão do risco de mercado é realizada principalmente por contratos a termo, de forma a reduzir os impactos adversos da flutuação do PLD. Neste contexto, os objetivos deste estudo são avaliar a aplicabilidade de dois modelos de otimização sob incerteza, estágio único e estocástico de dois estágios, na tomada de decisão de uma comercializadora e comparar as decisões recomendadas pelos modelos. Estes modelos utilizaram uma função de preferência que permite representar a variação do nível de aversão ao risco considerando diferentes bandas de preferência, tendo os seus parâmetros determinados pelo método Analytic Hierarchical Process. Para a construção das curvas forward do modelo estocástico de dois estágios, foi ponderado o preço de mercado observado e as 2.000 séries do PLD da previsão oficial do ONS. Os resultados evidenciaram a efetividade na mitigação do risco para os produtos avaliados. Ademais, devido à redução do custo do arrependimento a partir da modelagem do problema de otimização em dois estágios, este modelo apresentou soluções mais rentáveis quando comparado ao modelo de único estágio. / [en] With the advent of the new model for the electricity sector in 2004, market agents were allowed to sell energy in the free market. Considering the nature of these operations and the influence of meteorological variables on the formation and volatility of prices, energy trading decisions are taken under conditions of uncertainty, leading agents to seek contracting strategies to maximize the return on assets or mitigation of the risks involved. In the Brazilian electricity sector, market risk management is mainly accomplished through forward contracts, in order to reduce the adverse impacts of PLD fluctuation. In this context, the objectives of this study are to evaluate the applicability of two optimization models under uncertainty, single-stage and two-stage stochastic, in the decision making of a trading company and to compare the decisions recommended by the models. These models used a preference function that allows representing the variation of the risk aversion level considering different preference groups, having its parameters determined by the Analytic Hierarchical Process. For the construction of the forward curves of the two-stage stochastic model, the observed market price and the 2,000 PLD series of the ONS official forecast were weighted. The results evidenced the effectiveness in risk mitigation for the evaluated products. Furthermore, due to the reduction in the cost of regret from the two-stage optimization problem modeling, this model presented more cost-effective solutions when compared to the single-stage model.

[pt] Entender a formação da estrutura a termo da taxa de juros é de suma importância para a autoridade monetária e demais agentes do mercado. No presente trabalho, replicamos o modelo proposto por Adrian, Crump e Moench (2013) para decompor a curva de juros brasileira e criar séries históricas para as expectativas das taxas de juros futuras, e para os prêmios de risco variantes no tempo. Este modelo gaussiano afim de 5 fatores latentes estima a curva de juros brasileira a partir de um método por mínimos quadrados ordinários em três etapas e obtém a precificação neutra ao risco. Por fim, apesar de a literatura empírica de macroeconomia e finanças reconhecer as limitações dos modelos gaussianos afins, nossas previsões fora da amostra apresentaram resultados ligeiramente superiores ao modelo de random walk. / [en] Understanding the term structure of interest rate has an important role as a tool for the monetary authority and other market players. In the present work, we replicate the model proposed by Adrian, Crump and Moench (2013) to decompose the Brazilian yield curve and create historical series for expectations of future interest rates, and for time-varying risk premiums. This five-factor Gaussian model estimates the Brazilian yield curve using a three-step ordinary least squares method and obtains riskneutral pricing. Finally, although the empirical macroeconomics and finance literature recognizes the limitations of Affine models, our out-of-sample estimations showed results slightly superior to the random walk model.

This paper examines the relative price spreads between dual-class shares issued by the same firm on the Swedish market in order to investigate if a voting premium exists and what factors contribute to it. Previous research has found diverging explanations for the variation in price spreads between dual-class shares. Some find explanatory power in the concentration of ownership whilst others find trading costs and liquidity to determine the size and direction of the voting premium. This study tests factors of control and liquidity against the relative price spread in the Swedish market and in accordance with earlier research, the results indicate that a statistically significant voting premium exists in Sweden, although it is relatively small in comparison to many other markets. The paper contributes to the current pool of research by the choice of market, and by adding up-to-date information regarding the voting premium as well as evidence that increased domestic institutional ownership affects the voting premium negatively. At the same time, foreign institutional ownership has an opposite effect and leads to increased price differences between share classes. The general conclusion of this paper is that while some factors related to control and ownership concentration show significance long-term, other unobserved aspects could provide greater explanatory power of the voting premium in the short term.