馬可夫轉換模型是Hamilton(1989)所提出，他應用此模型的非線性特性研究美國的景氣循環。本文將此模型應用到財務領域當中，希望能從財務報表所揭露的某些訊息來掌握該公司在不同期間的報酬率變化，本文選用價值資產效果及公司規模效果，這兩各種效果對資產報酬率的解釋能力最為顯著，假使運用的得宜，模型的預測能力高，則投資者根據不同的資產特性轉換投資策略，長期間能獲得較佳的投資報酬率。同時，應用平滑過程使模型對狀態的認定更為精確，但在公司規模效果得到的成效明顯優於價值型資產效果，離群值的影響明顯對模型的推論造成嚴重的影響，最後，本文也就補救方法的可行性與否做為結論。

Zugl.: Mainz, Universiẗat, Diss., 2009.

Submitted by Jorge Silva (jorgelmsilva@ufrrj.br) on 2018-11-08T19:08:26Z No. of bitstreams: 1 2013 - Jadiel Guerra de Moura.pdf: 1576291 bytes, checksum: 1c0321985dce3ecb4b74f06340ecc33d (MD5) / Made available in DSpace on 2018-11-08T19:08:26Z (GMT). No. of bitstreams: 1 2013 - Jadiel Guerra de Moura.pdf: 1576291 bytes, checksum: 1c0321985dce3ecb4b74f06340ecc33d (MD5) Previous issue date: 2013-10-29 / This is a study of the known principles of sustainable management in business environment with social and environmental initiatives, with TV GLOBO?s example. The sustainable potential, pioneering initiatives such as ISO 14001 certification and performance in waste management are covered under the studied models and compared in relation to official standards for sustainability. The bibliographic source which gives the theoretical foundation portfolio primarily comprises the sustainable value of Hart and the main instruments for the sustainable management such as ISO 16000, 26000 standards, reports the GRI indicators and the ISE . The environmental initiatives of the company and the results of performance and environmental care were extracted from published social reports, presentations at conferences, seminars, videos and materials available in various media. Additionally, a questionnaire of commitments to sustainability, interviews and content of programs complement the disclosed data and environmental issues. As a result, we have a evaluation of the range of initiatives, a diagnosis of the potential for creating sustainable value and a comparative analysis of sustainable actions in relation to systems and studied models. / Este trabalho ? um estudo dos princ?pios conhecidos da gest?o sustent?vel no ?mbito empresarial tendo como exemplo as iniciativas socioambientais da TV GLOBO. O potencial sustent?vel, iniciativas como o pioneirismo na certifica??o ISO 14001 e o desempenho na gest?o de res?duos s?o contemplados segundo modelos estudados e comparados em rela??o a par?metros oficiais de sustentabilidade. A fonte bibliogr?fica que d? a fundamenta??o te?rica compreende basicamente o portf?lio de valor sustent?vel de Hart e os principais instrumentos para a gest?o sustent?vel como as normas ISO 16000, 26000, relat?rios do GRI e indicadores do ISE. As iniciativas socioambientais da empresa, bem como os resultados de desempenho e de cuidados ambientais, foram extra?das de balan?os sociais publicados, apresenta??es feitas em congressos, semin?rios, v?deos e materiais disponibilizados em diversas m?dias. Adicionalmente, um question?rio de compromissos com a sustentabilidade, entrevistas realizadas e conte?dos de programas divulgados complementam os dados e os temas socioambientais abordados. Como resultado, temos uma avalia??o do conjunto de iniciativas, diagn?stico do potencial de cria??o de valor sustent?vel e an?lise comparativa de a??es sustent?veis em rela??o aos sistemas e modelos estudados.

Bakgrund: Det finns många aktier att välja mellan på aktiemarknaden. För en person som aldrig tidigare har handlat med aktier kan det vara svårt att veta vilken investering som efter en tid kan generera ett högre värde än det satsade kapitalet. Relativvärdering är en investeringsstrategi som kan tillämpas för att identifiera dessa aktier. Syfte: Syftet med studien är att undersöka om värdemultiplarna P/E-talet, P/BV-talet och direktavkastning kan generera överavkastning genom investeringar i undervärderade aktier i finansbranschen. Om så är fallet, därefter påvisa vilken av värdemultiplarna som genererar högst avkastning. Metod: Studien har att tillämpat en kvantitativ metod med deduktiva inslag. Värde- och tillväxtportföljer har komponerats med värdemultiplarna P/E-talet, P/BV-talet och direktavkastning. Värdemultiplarna har beräknats fram med sekundärdata från databasen Thomson Reuters EcoWin Pro och årsredovisningar. Resultat: Studiens resultat påvisar att det går att generera överavkastning med relativvärdering som investeringsstrategi. Majoriteten av värdeportföljerna presterade bättre än tillväxtportföljerna. Portföljen som hade den högsta överavkastningen var värdeportföljen baserat på P/BV-talet. / Background: The capital stock market consists of many different shares. For a person who has never acted in shares, it can be difficult to know which investment over time that could generate a higher value than the invested capital. Relative valuation is an investment strategy that can be applied to identify these shares. Objective: The aim of this study is to investigate whether key ratios P/E-ratio, P/BV-ratio and dividend yield can generate excess returns by investing in undervalued stocks in the financial industry sector. If so, then demonstrate which of key ratios that generates the highest return. Method: This study has applied a quantitative approach with deductive features. Value and growth portfolios have been composed by key ratios P/E-ratio, P/BV-ratio and dividend yield. Key ratios have been calculated on secondary data from the database Thomson Reuters EcoWin pro and annual reports. Results: Our results demonstrate that it is possible to generate excess returns with the relative valuation as an investment strategy. The majority of the value portfolios performed better than the growth portfolios. The portfolio that had the highest excess return over the total period was the value portfolio that consisted of P/BV-ratio.