This paper aims to examine if firms listed on Nasdaq Stockholm with dividend exposure yield higher risk-adjusted returns than firms without dividend exposure. Using a data set consisting of observations between 2000-2017 we test the difference in mean risk-adjusted return, measured by the Sharpe ratio, between securities with different levels of dividend exposure. We divide our sample into portfolios, categorized in the first stage independently of investment style, size and book-to-market ratio, and in the second stage on dividend exposure, that are regrouped annually. We measure the performance in terms of the geometric mean monthly returns, the risk as standard deviation of returns and the risk-adjusted performance measured with the Sharpe ratio. Following our empirical study, we find indications of a value effect in the Swedish capital market and draw upon three main conclusions. First, for all but one portfolio, the risk decreases with an increased degree of dividend exposure. Second, securities with high-dividend exposure tend to yield higher risk-adjusted returns relative to securities with no-dividend exposure. Third, the effect of dividend exposure on risk-adjusted performance appears to be most significant on mid firms and growth firms

No description available.

The review of the ethical funds literature shows the significant growth of the Socially Responsible Investments (SRI) in the last few decades. The increase of the interest towards SRI indicates that ethical issues have become more essential for the investors. However the number of surveys reveals that financial performance remains of an important concern for the socially responsible investors. Therefore the benchmark analysis of the expected returns and management fees of the ethical mutual funds is chosen as a topic for this thesis research. The risk-adjusted measures are used to analyze and compare the performance of the ethical and non-ethical mutual funds in United Kingdom. The analysis does not indicate the significant difference in the expected returns between the two groups of funds. However this study concludes that on average ethical funds charge higher management fees. Thus investing in ethical funds is more costly but gives about the same returns as investing in conventional funds.

The supply of ethical funds has increased greatly in Sweden during recent years. The purpose of the thesis is to examine how ethical these funds really are and further-more investigate their financial development. The investment criteria’s for ethical mutual funds that are managed by Swedish companies and institutes are analysed and compared. A content analysis over every fund’s holdings has been done in order to see to what extent they live up to their own ethical standards and to what degree they differ from other mutual funds. The analysis of the ethical funds financial development have been done over the pe-riod 2003-03-31 – 2006-03-31 and financial measures such as Sharpe, M2 RAP and Jensen’s alpha are used. In addition, the fees of the funds are compared, both with each other and with other funds of similar character. The results of the analysis show that the majority of the ethical funds cannot be treated as more ethical than other funds. Regardless of their similarity to other funds they have a slightly worse risk ad-justed performance development than index. So despite the fact that the funds are more or less identical to other funds from an investment perspective the outcome will be higher risk exposing and/or lower returns than their inner indexes. / Utbudet av etiska fonder har ökat kraftigt i Sverige under de senaste åren. Uppsatsens mål är att kartlägga hur etiska dessa fonder verkligen är samt att undersöka deras finansiella utveckling. Investeringskriterierna för de etiska ak-tiefonder som är förvaltade av svenska företag och institut är analyserade och jämförda. En innehavsanalys av varje fonds aktieinnehav är gjord för att se i vilken utsträckning de lever upp till de etiska krav de själva satt upp och till vil-ken grad de skiljer sig från övriga aktiefonder. Analysen av de etiska fondernas finansiella utveckling är gjord över perioden 2003-03-31 – 2006-03-31 och finansiella mått såsom Sharpe, M2 RAP och Jensen’s alpha har använts. Dessutom har fondavgifterna jämförts, både med var-andra och med andra fonder av liknande karaktär. Resultaten av analyserna vi-sar att majoriteten av de etiska fonderna knappast kan betraktas som mer etiska än andra fonder, samtidigt som de har en något sämre riskkorrigerad utveckling än index. Det vill säga, trots att de till största del är identiska med vanliga aktie-fonder rent innehållsmässigt, så blir utfallet högre riskexponering och/eller läg-re avkastning än deras inbördes index.

No description available.

<p>The supply of ethical funds has increased greatly in Sweden during recent years. The purpose of the thesis is to examine how ethical these funds really are and further-more investigate their financial development. The investment criteria’s for ethical mutual funds that are managed by Swedish companies and institutes are analysed and compared. A content analysis over every fund’s holdings has been done in order to see to what extent they live up to their own ethical standards and to what degree they differ from other mutual funds.</p><p>The analysis of the ethical funds financial development have been done over the pe-riod 2003-03-31 – 2006-03-31 and financial measures such as Sharpe, M2 RAP and Jensen’s alpha are used. In addition, the fees of the funds are compared, both with each other and with other funds of similar character. The results of the analysis show that the majority of the ethical funds cannot be treated as more ethical than other funds. Regardless of their similarity to other funds they have a slightly worse risk ad-justed performance development than index. So despite the fact that the funds are more or less identical to other funds from an investment perspective the outcome will be higher risk exposing and/or lower returns than their inner indexes.</p> / <p>Utbudet av etiska fonder har ökat kraftigt i Sverige under de senaste åren. Uppsatsens mål är att kartlägga hur etiska dessa fonder verkligen är samt att undersöka deras finansiella utveckling. Investeringskriterierna för de etiska ak-tiefonder som är förvaltade av svenska företag och institut är analyserade och jämförda. En innehavsanalys av varje fonds aktieinnehav är gjord för att se i vilken utsträckning de lever upp till de etiska krav de själva satt upp och till vil-ken grad de skiljer sig från övriga aktiefonder.</p><p>Analysen av de etiska fondernas finansiella utveckling är gjord över perioden 2003-03-31 – 2006-03-31 och finansiella mått såsom Sharpe, M2 RAP och Jensen’s alpha har använts. Dessutom har fondavgifterna jämförts, både med var-andra och med andra fonder av liknande karaktär. Resultaten av analyserna vi-sar att majoriteten av de etiska fonderna knappast kan betraktas som mer etiska än andra fonder, samtidigt som de har en något sämre riskkorrigerad utveckling än index. Det vill säga, trots att de till största del är identiska med vanliga aktie-fonder rent innehållsmässigt, så blir utfallet högre riskexponering och/eller läg-re avkastning än deras inbördes index.</p>

Syfte: Syftet med studien är att öka investerares förståelse angående hur olika finansiella instrument som emitterats av samma bolag skiljer sig åt. Inledning: Den ökade utvecklingen av de finansiella marknaderna har skapat ett ökat utbud av finansiella instrument. Flera företag har även emitterat flera olika finansiella instrument, vilket innebär att investerare står inför ett val av vilket instrument de vill exponera sig emot. Tidigare forskning är oense angående hur dessa instrument skiljer sig åt, då resultaten från tidigare studier har visat sig vara beroende på var studierna genomförs. Metod: Tidigare studier har använts som grund vid skapandet av studiens hypoteser, vilket innebär att studien är av en deduktiv karaktär. Studiens syfte innebär att stora mängder data analyseras vilket medför att studien är kvantitativ. Studien genomfördes på svenska bolag som emitterat minst två stycken finansiella instrument. Genom att skapa olika jämförelseportföljer som innehåller respektive tillgångsslag kunde vi analysera skillnaderna mellan portföljerna och därmed svara på studiens frågeställning. Resultat: Resultatet visar att det existerar skillnader mellan olika finansiella instrument som emitterats av samma bolag. Vilket innebär att investerare måste noggrant utvärdera sina valmöjligheter innan de genomför en investering, då risken är högre för finansiella instrument som har en högre rösträtt.  Nyckelord: Risk, avkastning, riskjusterad avkastning, finansiella instrument, investerare / Purpose: The purpose of this dissertation is to enhance investor’s understanding about the differences between various financial securities that are issued by the same company. Introduction: The development of the financial markets has created an increased range of financial securities. Same companies have also issued various financial securities, which means that the investors face the dilemma of choosing between the options. Previous researches disagree on how these various securities differ from each other, because their results have shown to be dependent on the location of investigation. Method: Previous studies have been used as the basis for the formulation of this study’s hypothesis, which means that it has a deductive character. The purpose of the study requires large amounts of data to be analyzed, which entails that a quantitative method has been used. The study has analyzed Swedish companies that have issued at least two different securities. By creating various portfolios that contain each security class we have been able to analyze the differences and to answer our research question. Conclusion: The result shows that there are some differences between various financial securities issued by the same company. This means that investor must carefully evaluate their options before implementing an investment, since the risk is greater for securities with superior voting power.  Key Words: Risk, return, risk-adjusted return, financial securities, investors

As a consequence of a turbulent financial market with recurring recessions, the Basel regime was developed, an institutional change with the purpose to create enhanced financial stability through increased capital requirements and increased scrutiny of internal procedures. The Basel regime is an often recurring element in social debates where various aspects are discussed, one of which is whether it maintains its purpose to secure financial stability or whether it is cost effective, and if not, who gets affected by these potential costs. The majority of previously conducted research within this area agrees with the opinion that changes in the regulatory framework within the financial markets, such as the Basel regime, has led to reduced risk of bankruptcy for the banks which has contributed to increased global financial stability. However, research illustrates that these types of changes in the regulatory framework impose a financial burden leading to contradictions in the division of these costs between costumers and shareholders. This dissertation has been conducted from a shareholders perspective, out of which the study ́s three hypothesis has been created from. The data in this study is built upon the stock price from the three largest available banks’ shares (based on total assets), in the 26 countries which are represented in the Basel committee from (2007) to (2013). Calculations of the shares’ systematic risk (beta-value), return, and risk-adjusted return (Treynors ratio) throughout a period of time have been conducted in order to later be tested and lead to statistically significant results and thereby display whether the hypotheses were valid or not. The result of the study indicated that the systematic risk of these shares have declined from (2007) to (2013), which is a confirmation that the Basel regime has fulfilled its purpose in reducing the risk within the banks. However, the study has not been able to show that the return or risk-adjusted return had been condensed, a result which suggests that it is not the banks’ shareholders who carries the costs for alterations of the regulations within financial markets. / Till följd av en turbulent finansiell marknad med återkommande finanskriser utvecklades Baselregimen, en institutionell förändring med syftet att skapa ökad finansiell stabilitet genom bland annat ökade kapitalkrav och skärpta tillsynskrav av interna processer. Baselregimen är ofta förekommande i samhälleliga debatter där olika aspekter diskuteras, så som huruvida den lyckas uppfylla sitt syfte om att skapa ökad finansiell stabilitet eller om huruvida den är kostsam och vem som i så fall drabbas av eventuella kostnader. Majoriteten av tidigare forskning är överens om att regelförändringar inom finansiella marknader, så som Baselregimen, lett till minskad konkursrisk i banker vilket bidragit till ökad global finansiell stabilitet. Dock påvisar forskningen att denna typ av regeländringar är kostsamma, vilket leder till motsägelser kring hur kostnadsfördelningen mellan kunder och aktieägare ser ut. Valet föll i denna uppsats på att studera aktieägarnas perspektiv, vilket studiens tre hypoteser skapats utifrån. Datan har i denna studie utgjorts av aktiekurser från tre av de tillgängliga största bankernas aktier (baserat på totala tillgångar), i de 26 länder som finns representerade i Baselkommittén från år (2007) till år (2013). Beräkningar av bankaktiernas systematiska risk (betavärde), avkastning och riskjusterade avkastning (Treynors kvot) över tiden har genomförts för att sedan testats och leda fram till statistiskt signifikant påvisbara resultat och därmed huruvida hypoteserna förkastas eller inte. Studiens resultat påvisar att den systematiska risken i bankaktierna har sjunkit från år (2007) till år (2013), vilket är en bekräftelse på att Baselregimen uppnått sitt syfte om att sänka risken i bankerna. Dock har inte studiens resultat kunnat påvisa att bankaktiernas avkastning eller riskjusterade avkastning sjunkit, ett resultat som tyder på att det inte är bankernas aktieägare som får bära kostnaden för regelförändringar inom finansiella marknader.

The purpose of this paper is to determine whether the adoption of a simple trend-following quantitative method improves the risk-adjusted returns across various asset classes within a South African market setting. A simple moving average timing model is tested since 1925 on the South African equity and bond markets and within a tactical asset allocation framework. The timing solution when applied to the JSE All Share Index, RSA Government Bond Index and within an equally weighted portfolio improved returns, while reducing risk. Testing the model within sample by decade highlighted periods of inferior return performance providing evidence to support prior research (Faber, 2007) that the timing model acts as a risk reduction technique with limited to no impact on return. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. The Sin-stocks contained stocks from four different sectors, alcohol, gambling, tobacco and weapons while the companies for the SRI-portfolio was chosen from the FTSE4Good index. The regression models were chosen to follow both the CAPM, and the Fama &amp; French three factor model and the regressions were in the end conducted with the GARCH model which showed results that both the SRI-portfolio and the Sin-portfolio had a general excess return over the market. The two portfolios were also compared with the help of Sharpe Ratio and Jensen’s Alpha. The Sharpe ratio as well as the Jensen’s Alpha showed that the Sin-portfolio had the highest risk-adjusted returns. In conclusion, the SRI-portfolio as well as the Sin-portfolio both outperformed the market during the time period 2001-2021 and they were both less volatile than the market.