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Risk och tillväxt för högrisk- och lågriskportfölj : En kvantitativ studie på Stockholmsbörsen år 2008-2010 / Risk and growth for high-risk portfolio and low-risk portfolio : A quantitative study on the Stockholm Stock Exchange year 2008-2010George, Mirza, Bozyel, Silvia January 2012 (has links)
Purpose: The study examines the risk a rising from the acquisition of shares, and its relation to the expected return. We would like to see how a high-risk portfolio is related to a low-risk portfolio. Although studying the portfolios annual performance. Theory: The theories that have been used in the study are, Capital asset pricing model, CAPM and portfolio theory. Method: The study is based on a quantitative method, the time interval is from 2008 to 2010.The annual reports, historical stock prices for companies and the index are used to perform calculations based on the essay theories. Conclusion: The beta value has positive liner correlation with the expected return. When there are bad times in the world, the companies are negatively affected regardless of industry. The Portfolios developed in the same direction during the time period. / Syfte: Studien undersöker riskens förhållande till avkastningen som uppstår vid investering i aktier. Även hur en högriskportfölj förhåller sig till en lågriskportfölj samt portföljernas årliga utveckling. Teori: De teorier som använts i undersökningen är, Capital assets pricing model– CAPM och portföljteori. Metod: Studien utgår från en kvantitativ metod. Tidsintervallet är från år 2008 till 2010. Årsredovisningar, historiska aktiekurser för bolagen samt index används för att kunna genomföra uträkningar som baseras på uppsatsen teorier. Slutsats: Betavärdet har ett positivt linjärt samband med den förväntade kurstillväxt. Vid dåliga tider i världen drabbas alla bolag negativt oavsett bransch. Portföljerna utvecklades i samma riktning under tidsperioden.
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Hemma bra men borta bäst? : En studie om svenska och ryska hedgefonderSchmidt, Alexander, Orhan, Ebuzer January 2012 (has links)
Purpose: The purpose of this study is to examine the difference in return between Swedish and Russian hedge funds while considering the risk taken. Method: This study is based on quantitative data on funds' historical returns from the electronic database Morningstar.se. Additional data is taken from the funds websites, the Swedish National Bank and Fondbolagens förening. Result and conclusion: All hedge funds, both the Russian and Swedish performed better thanthe index. The Russian hedge funds nevertheless performed better than their Swedishcounterparts in all three evaluation methods. / Syfte: Syfte med undersökningen är att granska skillnaderna i avkastning med hänsyn till riskenmellan svenska och ryska hedgefonder. Metod: Denna studie grundas på kvantitativ data om fondernas historiska avkastning från den elektroniska databasen Morningstar.se. Ytterligare data är hämtad från fondernas hemsidor, Riksbanken och Fondbolagens förening. Resultat och slutsats: Alla hedgefonder både de ryska och de svenska presterade bättre än index. De ryska hedgefonderna presterade dock bättre än de svenska i alla tre utvärderingsmåtten.
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The Influence of Corporate Real Estate Ownership on the Risk and Return of StockholdersChung, Po-Hsiang 15 July 2012 (has links)
There are many reasons for companies to hold real estate, including for operating business, production, sales, and providing services. Previous researches show that corporate real estate (CRE) is an important part of company assets, and it will affect stock returns and risk of company. The main object of this study is to investigate the impact of changes in CRE on stock returns and risk of company in Taiwan. Moreover, this study analyzes how CRE affect toward different industry during each business cycle period. Then, we provide some suggestions to stockholders and managers. The data set from 1992 through 2011 in Taiwan stock market, the relationship between CRE and stock returns and risk are analyzed using two stage least squares regression model.
The empirical results show that, on average, higher CRE appears to be associated with higher abnormal return performance and higher total risk. On the other hand, CRE show negative impact on business operation such as lower adjusted return on assets and higher risk of bankruptcy. Furthermore, CRE factor is associated with higher abnormal return performance and higher firm value when company with small asset size, high P/E ratio or newly establish characters. Results also indicate that the impact of CRE on firm¡¦s stock price and risk depend on industries, business cycle period, and firm characters. CRE show negative impact on Textile, Tourism, and Trading and Consumers' Goods Industry. In Food Industry, higher CRE factor is associated with lower system risk and positive impact on business operation.
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Exchange Rate Risk : From a Portfolio Investors Point of ViewStålstedt, Erik January 2006 (has links)
<p>Due to globalization investors have increasing opportunities to invest on international markets for diversification purposes. This thesis illustrates the added risks of investing internationally due to volatile exchange rates. The purpose is to analyze how a volatile</p><p>exchange rate affect the risk and return of a portfolio invested in Sweden, when the investor is located in Japan, United Kingdom or the USA.</p><p>To analyze the effect of exchange rate volatility the focus is on a portfolio consisting of Swedish stocks from the Stockholm Stock Exchange (SSE) O-list. First the risk and return to a hypothetical Swedish investor not exposed to exchange rate volatility is calculated.</p><p>Then the effects the exchange rates had on the risk and return if a US investor, UK investor and a Japanese investor invested in the same portfolio is analyzed. For the historical period 2005 the portfolio generated a return of 34.36% and a risk of 7.7%. The empirical work showed that for the international investors the risk was increased</p><p>with between 1.95% – 410.52% and that the actual return decreased due to weakening currencies against the Krona.</p><p>In an attempt to predict future exchange rate movements the thesis analyses two financial relationships, PPP and IRP, to calculate equilibrium movements. Both PPP and IRP predicted a depreciation of the Dollar and Pound Sterling against the Krona over the next</p><p>period, but an appreciation of the Yen against the Krona over the same period.</p><p>The analytical discussion covers the importance of a well functioning financial system, the institutional effects on exchange rates and the confidence in government policies and their ability to succeed in doing what has been promised.</p>
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AP-fondernas utveckling : en jämförande studie om avkastning och risk mellan åren 2002-2010Keilani, Mohamed, Collaros, Stefan January 2012 (has links)
Bakgrund: Det rådande pensionssystemet i Sverige består av sex så kallade AP-fonder. Genom åren har pensionssystemet flertalet gånger kritiserats för dess låga avkastning. Problem: Vår huvudfråga är att jämföra AP-fondernas risk och avkastning med aktiemarknaden som helhet, detta ska ske med hjälp av två jämförelseindex: MSCI World och SIXRX. Syfte: Syftet med uppsatsen är att jämföra de fyra första AP-fondernas risk och avkastning med aktiemarknaden som helhet under åren 2002-2010. Metod: Vi har använt oss av en kvantitativ metod, genom att samla in information från AP-fondernas årsredovisningar och hemsidor. Vi har samlat in historisk data, som vi sedan har bearbetat och analyserat. Slutsats: De studerade AP-fonderna har presterat sämre än aktiemarknaden. / Background: The current pension system in Sweden consists of six so called AP-funds. Throughout the years the pension system has been criticized for its low return. Problem: We will compare the pension funds’ risk and return with the rest of the stock market as a whole. This will be done by the aid of two comparison registers: MSCI World and SIXRX. Purpose: Our purpose with the essay is to compare the pension funds in the Swedish pension system, their risk and return, with the share market as a whole. Method: We have used a quantitative method, by gathering information from the annual reports and relevant websites. We have also gathered historical data, which has been processed and analyzed. Conclusion: The studied pension funds have achieved lower results than the stock market market.
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Riskjusterad avkastning i nynoteringar på Aktietorget : En jämförelse av Sharpe- och Sortinokvoten / Risk-adjusted return on IPOs on Aktietorget : A comparison of the Sharpe and Sortino ratioFredriksen, Petter, Lundberg, Madeleine January 2017 (has links)
Bakgrund: De senaste åren har en stark underprissättningstrend observerats i det ökande antalet börsnoteringar, vilket har skapat ett starkt investerarintresse. En stor del av dessa nyintroducerade bolag är småbolag, varav de flesta noteras på mindre handelsplatsformer, så kallade MTF:er. MTF:en Aktietorget introducerade flest företag till den svenska aktiemarknaden 2010-2014, varför detta har valts till studiens undersökningsområde.Tidigare studier har bevisat att det finns en hög volatilitet i nyintroduktioner och småbolag, vilket i finansiella sammanhang betyder att en sådan investering är mer riskfylld. Dock saknas liknande studier på downside volatilitet, alltså risken för förlust. Denna studie ämnar därför att jämföra den traditionellt riskjusterade avkastningen i form av sharpekvoten, mot avkastningen justerad för downside risk, den så kallade sortinokvoten. Detta nyare mått på risk är en del av den postmoderna portföljteorin, som tar hänsyn till en mer förlustaversiv investerare. Syfte: Syftet med denna uppsats är att analysera den riskjusterade avkastningen i nynoteringar på Aktietorget för att jämföra med etablerade bolag på OMX Stockholm. Den riskjusterade avkastningen beräknas genom sharpe-respektive sortinokvoten och jämförs sedan för att undersöka eventuella skillnader i bedömningen av aktiernas prestation. Genomförande: Uppsatsen är en eventstudie med deduktiv ansats. Undersökningen har inkluderat nynoteringar på Aktietorget mellan 2010-2014 och jämförelseaktier består av branschindex från OMXSPI.Den riskjusterade avkastningen har beräknats via modifierade kvoter. Samband mellan sharpe-respektive sortinokvoten har undersökts genom icke-parametrisk rangordningskorrelation. Slutsats: Studien kan inte bevisa en signifikant abnormal avkastning i nynoteringar på Aktietorget, men observerar en genomsnittlig överavkastning upp till en månad. De riskjusterade kvoterna har mycket stark rangordningskorrelation, vilket innebär att studiens resultat inte kan motivera en fortsatt användning av sortinokvoten. / Background: In recent years, a strong underpricing trend has been observed in the increasing number of IPOs, which has created a strong investor interest. A large part of these IPO companies are small firms, most of which are listed on smaller trading venues, known as MTFs. The MTF Aktietorget introduced most companies to the Swedish stock market during 2010-2014, so it has been chosen as the area for this research.Previous studies have shown that there is high volatility in new introductions and small companies, which in financial terms means that such an investment contains more risk. However, similar studies on downside risk are lacking. This study therefore aims to compare the traditional risk-adjusted return in the form of the sharpe ratio, against the return adjusted for downside risk, the so-called sortino ratio. This newer measure of risk is part of the postmodern portfolio theory, which takes into account a more loss-aversive investor. Purpose: The purpose of this paper is to analyze the risk-adjusted return in IPOs on Aktietorget and compare it with the return of established companies on OMX Stockholm. The risk-adjusted return is calculated by the sharpe and sortino ratios, respectively, and are later compared with each other to investigate possible differences in the estimation of performance for the stocks. Methodology: This paper is an event study with a deductive approach. The study has included IPOs on Aktietorget between 2010-2014 and comparative stocks, consisted of industry index from OMXSPI.The risk-adjusted return has been calculated using modified ratios and the relationship between the sharp and sortino ratios has been investigated by non-parametric ranking correlations. Conclusion: The study can't prove any significant abnormal return in IPOs on Aktietorget, but observes an average excess return of up to one month. The risk-adjusted ratios have very strong rank correlation, thus empirical results can't motivate the continued use of the sortino ratio.
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Swedish Sustainability Trend : Empirical analysis on the volatility effect of sustainable news on Swedish oil companies using GARCH 1.1Amadu, Abubakari, Al Samarai, Alexandre January 2017 (has links)
Purpose The main purpose of this thesis was to evaluate the investment attractiveness of oil and gas stocks (registered on Nasdaq Stockholm) in face of the increasing campaigns for the adoption of clean energy. The findings can help in the formulation of relevant policy implications on the campaign for a cleaner environment Design/Methodology/Approach The authors assume positivism and objectivity as the philosophical aspects for the purpose of this study. Following these initial considerations, the nature of the study was adopted as quantitative. This follows a longitudinal design and a deductive approach, basing the paper on previous literature in the areas of environmental sustainability, market efficiency, financial news items and their effect on stock volatility in order to test own hypothesis. Theory Following the methodological assumptions and the adoption of a deductive approach, relevant theory was selected to address the focus of previous research on which the research gaps and purpose are based. It also plays a role in introducing the reader to the relevant theories which will aid comprehension of further sections of this paper. Theories surrounding market efficiency, risk and return, the oil and gas industry and sustainability have all been mentioned. Findings In order to fulfil the purpose of the study, the authors studied whether the volatility of oil and gas stocks are affected by clean energy related news. The empirical results suggest that the volatility of oil and gas stocks decline whenever news of clean energy is introduced, implying clean energy news cause lower volatility. To this end, oil and gas stocks are better off whenever clean energy/sustainability news are introduced into the market. Analysis The empirical results seem to point to the fact that oil and gas firms may be benefiting from the investment they have made within the last two decades towards the issue of doing business in a more sustainable and socially responsible manner. It is therefore possible that investors get to reward them whenever news relating to sustainability and clean energy are announced. Conclusions This thesis confirms the attractiveness of oil and gas stocks notwithstanding the increasing campaigns and initiatives aimed at promoting the adoption of clean energy. Research limitations The research was limited in terms of setting since it only covered Sweden and therefore cannot answer questions regarding the overall attractiveness of oil and gas stocks across the globe.
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Analýza výnosnosti, rizikovosti a specifik hedgeových fondů / Analysis of Profitability, Risk and Specifics of Hedge FundsChalupa, Martin January 2015 (has links)
The goal of this Master's Thesis is to analyze the specific characteristics of the hedge funds with a primary focus on profitability and risk of the industry, which has experienced significant growth of the value of assets under management since the beginning of the new millennium. I want to provide a realistic point of view at the whole industry, which is considered as very risky in the eyes of the public. I want to support this point of view with an analysis of the risks and profitability of hedge funds. The single types of hedge funds are compared to each other and also to other asset classes. The first chapter discusses the specifics of hedge funds, so we can easily understand what differs them from the other collective investment funds. I have briefly described the development of the whole industry, which I have supported with graphical and numerical expression. The second chapter is focused on the development of regulation of hedge funds on the US market and on the European continent. The last chapter is dedicated to the analysis of the profitability and risk of hedge funds. The output of this part is the ideal hedge fund for the potential investor.
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Riskjusterad avkastning och korrelation : En jämförelse mellan en aktieinvestering och en fastighetsinvestering / Risk-adjusted Return and Correlation : Comparing a Stock Investment and a Real EstateInvestmentGötesson, Pauline, Åstrand, Savannah January 2021 (has links)
Bakgrund: Både aktieinvesteringar samt fastighetsinvesteringar har blivit populära investeringsalternativ hos den svenska befolkningen. Låga bostadsräntor och nya förmånliga aktiesparformer har bidragit till ett gynnsamt investeringsklimat på både fastighetsmarknaden och aktiemarknaden. Trots osäkerheter relaterade till utbrottet av coronapandemin nådde båda marknader rekordhöga prisnivåer under 2020 och förväntningarna på marknaderna har varit fortsatt höga. Eftersom det saknas tidigare studier på den svenska marknaden kring vilken investering som faktiskt har varit den mest lönsamma samt hur korrelationen ser ut mellan tillgångarna är detta av intresse att studera. Syfte: Syftet med denna studie är att jämföra den riskjusterade avkastningen mellan en aktieinvestering och en bostadsrättsinvestering under olika tidsperioder samt studera korrelationen mellan dessa två tillgångar på lång sikt och under coronapandemin. Metod: Studien har genomförts med en kvantitativ metod samt en deduktiv ansats. Månadsdata för aktieindexet OMXSPI samt prisdata för bostadsrätter på den svenska marknaden har inhämtats för tidsperioden 2011–2020. Den riskjusterade avkastningen och korrelationen har beräknats för att undersöka eventuella skillnader mellan de två tillgångsslagen. Slutligen har signifikanstester gjorts på resultatet och regressioner har genomförts för att analysera sambandet mellan volatilitet och avkastning. Slutsats: Resultatet visade inte på någon signifikant skillnad mellan de två tillgångsslagens avkastning. OMXSPI visade dock på en högre riskjusterad avkastning än bostadsrätter för alla de studerade tidsperioderna. På lång sikt var korrelationen mellan de två tillgångarna starkt positiv och det gick även att se en förstärkt korrelation under coronapandemin. / Background: Stock- and real estate investments are both investments that have become very popular in Sweden. Low mortgage interest rates and new affordable ways to invest in stock have created an investment friendly climate for both the real estate market and the stock market. Despite uncertainties related to the outbreak of the covid-pandemic, both the realestate market and the stock market reached record high levels in 2020 and the expectations on the market have been continuously high. There is a research gap on the Swedish market regarding which investment is the most profitable and how the two investments correlate witheach other, making it a relevant subject to study. Purpose: The purpose with this essay is to compare the risk-adjusted return between an investment in stock and an investment in real estate and study the long-term correlation between these two investments, and the correlation during the covid-pandemic. Methodology: The study was conducted through a quantitative method and a deductive approach. Monthly data for the stock index OMXSPI and real estate price data from the Swedish market were gathered for the time period 2011-2020. The risk-adjusted return and the correlation was calculated to study potential differences between the two investments. Finally, the results were statistically tested, and regressions were conducted to analyze the relationship between volatility and return. Conclusion: The result did not show any significant difference between the return of the two asset classes. However, OMXSPI did show a higher risk-adjusted return than the real estate index for all studied time periods. The correlation between the two asset classes was strongly positive in the long term and it was also possible to see an increased correlation during the covid-pandemic.
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Risk and return management of venture capital companies in the post-investment phaseStranz, Wiebke 31 May 2017 (has links)
Risk and return management is one of the core competencies of venture capital companies (VCCs) as they invest in young, innovative firms with a high return potential, but also high risk potential. Due to the liability of smallness, newness and financial constraints young, innovative firms are constantly under the threat of failure. In the scope of this dissertation are four related studies – three empirical studies and one literature review – analyzing the risk and return management of VCCs. In particular, risk assessment and risk management and value adding activities in the post investment phase were examined. In the first article, authors analyze which risks are relevant over the whole venture capital (VC) investment process and show how VCCs assess and documents risks in their deal documents. The second article studies risk management practices of VCCs. We show that the experience and the skills of the corresponding investment manager have a significantly negative impact on the failure risk of a venture. Article three analyzes value creation measures applied by VCCs. The results suggest that VCCs are highly engaged in supporting ventures in financial and human capital issues as well as in establishing strong governance mechanisms. The fourth article also deals with the foregone topic. This paper provides a literature analysis on value adding activity measures in VC investments, synthesizes the variables measuring the main levers of value adding and identifies directions for improvement in terms of data, variables and methods.:1. Introduction
2. The entire research project
3. Risk and return management of venture capital companies in the post-investment phase
3.1 Risk types and risk assessment in venture capital investments: A content analysis of investors´ original documents
3.2 Risk management in the venture capital industry: Managing risk in portfolio companies
3.3. Value adding activities of venture capital companies: A content analysis of investor´s original documents in Germany
3.4 Value adding activities in venture capital literature: A review on data, variables and methods
4. Further research in the venture capital field
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