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Titel: Kapitalkostnadsberäkning för investeringar - En kvantitativ studie av svenska börsnoterade bolag Frågeställningar: Hur beräknas kapitalkostnad primärt i svenska börsnoterade bolag? Skiljer sig beräkningen av kapitalkostnad i svenska börsnoterade bolag beroende på faktorer som företagsstorlek, sektor och företagsmognad? Syfte: Syftet med undersökningen är att få svar på hur beräkning av kapitalkostnad faktiskt går till i börsnoterade bolag i Sverige och huruvida beräkningen varierar i förhållande till faktorerna företagsstorlek, sektor och företagsmognad. Metod: Genom att använda av de nämnda faktorerna kunde företags olikheter lyftas på ett bra sätt. Det studerade urvalet bestod av 25 respondenter som besvarade en enkät. Med hjälp av enkätsvaren kunde hypoteser formas och testas. Slutsats: Undersökningen visar att det finns vissa statistiskt signifikanta samband mellan kapitalkostnadsberäkning och företagsstorlek samt en studerad sektor. Vidare lyfter studien vissa olikheter i riskhantering mellan olika företagsstorlekar. Studien presenterar också vilka metoder som används mest för beräkning av kapitalkostnad, kostnad för eget kapital samt kostnad för lånefinansiering i Sverige. De är Weighted average cost of capital, Capital asset pricing model respektive genomsnittlig kostnad., Title: Cost of capital calculation for investments - A quantitative study of Swedish listed companies Research questions: How is cost of capital generally calculated in Swedish listed companies? Are there any differences in cost of capital calculation methods in Swedish listed companies depending on company size, sector and company maturity? Purpose: This quantitative study intends to highlight how capital cost calculations are made in Swedish companies. Another part of the aim is to investigate connections between cost of capital calculation and the factors company size, sector and company maturity. Method: By using the factors, different company disparities could be projected in a useful way. The examined sample of 25 companies answered a survey. With these answers hypotheses were formed and tested. Conclusion: This study shows that there are some statistically significant connections between cost of capital calculation and company size and one examined sector. Furthermore, the study also highlights the differences in consideration of risk in different company sizes. This study also presents a result about the most common methods for calculating cost of capital,cost of equity and cost of debt in Sweden. These are Weighted average cost of capital, Capital asset pricing model respectively average cost.

Titel: Kapitalkostnadsberäkning för investeringar - En kvantitativ studie av svenska börsnoterade bolag Frågeställningar: Hur beräknas kapitalkostnad primärt i svenska börsnoterade bolag? Skiljer sig beräkningen av kapitalkostnad i svenska börsnoterade bolag beroende på faktorer som företagsstorlek, sektor och företagsmognad? Syfte: Syftet med undersökningen är att få svar på hur beräkning av kapitalkostnad faktiskt går till i börsnoterade bolag i Sverige och huruvida beräkningen varierar i förhållande till faktorerna företagsstorlek, sektor och företagsmognad. Metod: Genom att använda av de nämnda faktorerna kunde företags olikheter lyftas på ett bra sätt. Det studerade urvalet bestod av 25 respondenter som besvarade en enkät. Med hjälp av enkätsvaren kunde hypoteser formas och testas. Slutsats: Undersökningen visar att det finns vissa statistiskt signifikanta samband mellan kapitalkostnadsberäkning och företagsstorlek samt en studerad sektor. Vidare lyfter studien vissa olikheter i riskhantering mellan olika företagsstorlekar. Studien presenterar också vilka metoder som används mest för beräkning av kapitalkostnad, kostnad för eget kapital samt kostnad för lånefinansiering i Sverige. De är Weighted average cost of capital, Capital asset pricing model respektive genomsnittlig kostnad., Title: Cost of capital calculation for investments - A quantitative study of Swedish listed companies Research questions: How is cost of capital generally calculated in Swedish listed companies? Are there any differences in cost of capital calculation methods in Swedish listed companies depending on company size, sector and company maturity? Purpose: This quantitative study intends to highlight how capital cost calculations are made in Swedish companies. Another part of the aim is to investigate connections between cost of capital calculation and the factors company size, sector and company maturity. Method: By using the factors, different company disparities could be projected in a useful way. The examined sample of 25 companies answered a survey. With these answers hypotheses were formed and tested. Conclusion: This study shows that there are some statistically significant connections between cost of capital calculation and company size and one examined sector. Furthermore, the study also highlights the differences in consideration of risk in different company sizes. This study also presents a result about the most common methods for calculating cost of capital,cost of equity and cost of debt in Sweden. These are Weighted average cost of capital, Capital asset pricing model respectively average cost.

För att investerare ska placera kapital mot hållbara investeringar krävs insikt om det finns en premie som valet av hållbara aktiefonder innebär eller om dessa motsvarar eller till och med överavkastar mot konventionella fonder. I denna uppsats undersöker vi hur den riskjusterade avkastningen, mätt som Jensens alpha, ser ut för hållbara och konventionella fonder. Studien undersökte 51 aktiefonder med hemvist i Sverige för åren 2017-2021 där datan samlades in från Avanza och hållbarhetsbetyg från Morningstar användes för klassificering av konventionella respektive hållbara fonder. Resultaten pekar på att hållbara aktiefonder har en riskjusterad avkastning som är 0,2 procentenheter högre än konventionella aktiefonder över hela tidsramen. Studien undersökte även förhållandet mellan riskjusterad avkastning och förvaltningsavgiften och fann ett marginellt positivt samband utifrån en regressionsanalys. Studien bidrar till forskningsområdet genom att närmare undersöka ett individuellt land till skillnad från tidigare studier och på senare årtal vilket ger en mer nutida förståelse för hållbara och konventionella aktiefonder på den svenska fondmarknaden., For investors looking at placing their capital in sustainable equity funds, there is a need for knowledge as to how sustainable funds compare to their conventional peers. Do they demand a premium, have the same returns or even outperform? In this paper we look at the risk adjusted return, Jensen's alpha, on the Swedish fund market between the year 2017-2021 and how sustainable funds compare to conventional ones. The results indicate that sustainable funds outperform conventional funds with 0,2 percentage points over the entire time frame. The study also examined the relationship between fund fees and risk adjusted returns and found a marginal positive relationship from a regression analysis. The study contributes to the scientific field by closer examining a single country for a later time frame, giving a more contemporary understanding of sustainable and conventional funds on the Swedish fund market.

För att investerare ska placera kapital mot hållbara investeringar krävs insikt om det finns en premie som valet av hållbara aktiefonder innebär eller om dessa motsvarar eller till och med överavkastar mot konventionella fonder. I denna uppsats undersöker vi hur den riskjusterade avkastningen, mätt som Jensens alpha, ser ut för hållbara och konventionella fonder. Studien undersökte 51 aktiefonder med hemvist i Sverige för åren 2017-2021 där datan samlades in från Avanza och hållbarhetsbetyg från Morningstar användes för klassificering av konventionella respektive hållbara fonder. Resultaten pekar på att hållbara aktiefonder har en riskjusterad avkastning som är 0,2 procentenheter högre än konventionella aktiefonder över hela tidsramen. Studien undersökte även förhållandet mellan riskjusterad avkastning och förvaltningsavgiften och fann ett marginellt positivt samband utifrån en regressionsanalys. Studien bidrar till forskningsområdet genom att närmare undersöka ett individuellt land till skillnad från tidigare studier och på senare årtal vilket ger en mer nutida förståelse för hållbara och konventionella aktiefonder på den svenska fondmarknaden., For investors looking at placing their capital in sustainable equity funds, there is a need for knowledge as to how sustainable funds compare to their conventional peers. Do they demand a premium, have the same returns or even outperform? In this paper we look at the risk adjusted return, Jensen's alpha, on the Swedish fund market between the year 2017-2021 and how sustainable funds compare to conventional ones. The results indicate that sustainable funds outperform conventional funds with 0,2 percentage points over the entire time frame. The study also examined the relationship between fund fees and risk adjusted returns and found a marginal positive relationship from a regression analysis. The study contributes to the scientific field by closer examining a single country for a later time frame, giving a more contemporary understanding of sustainable and conventional funds on the Swedish fund market.

As previous researchers have discussed the paradigm of risk and return, this study also suggests illiquidity as a good proxy for risk. An illiquid asset, thus higher risk, should generate high return. As Amihud (2002) originally applies an illiquidity measure from daily return and turnover, this thesis elaborates on his average market illiquidity measure AILLIQ on assets of Nasdaq First North Growth Market. Over a five-year period returns are estimated using the CAPM together with the illiquidity proxy on Swedish growth assets. Results are in line with intuitive thoughts of a positive relationship between risk and return. The hypothesis of zero impact is rejected and concludes that illiquidity can have an impact on expected return.

If more people are starting to invest, then the focus on the effective markethypothesis will increase. The hypothesis's basic idea is that stock pricesalready reflect all available information and outperforming the marketthrough investment strategies is not possible. This study presents how twoinvestment strategies, CAN SLIM and Peter Lynch, has performed on andagainst the S&P 500 under a 10 year period. The result of the study showsthat the efficient market hypothesis does not hold and that an excess returncompared to the market is possible. Between the investment strategies therewas a comparison and analysis regarding the Sharpe ratio and the CapitalAsset Pricing Model. Conclusively, the study shows that CAN SLIM is thestrategy that has performed the best under the period that the study is basedon.

As previous researchers have discussed the paradigm of risk and return, this study also suggests illiquidity as a good proxy for risk. An illiquid asset, thus higher risk, should generate high return. As Amihud (2002) originally applies an illiquidity measure from daily return and turnover, this thesis elaborates on his average market illiquidity measure AILLIQ on assets of Nasdaq First North Growth Market. Over a five-year period returns are estimated using the CAPM together with the illiquidity proxy on Swedish growth assets. Results are in line with intuitive thoughts of a positive relationship between risk and return. The hypothesis of zero impact is rejected and concludes that illiquidity can have an impact on expected return.

If more people are starting to invest, then the focus on the effective markethypothesis will increase. The hypothesis's basic idea is that stock pricesalready reflect all available information and outperforming the marketthrough investment strategies is not possible. This study presents how twoinvestment strategies, CAN SLIM and Peter Lynch, has performed on andagainst the S&P 500 under a 10 year period. The result of the study showsthat the efficient market hypothesis does not hold and that an excess returncompared to the market is possible. Between the investment strategies therewas a comparison and analysis regarding the Sharpe ratio and the CapitalAsset Pricing Model. Conclusively, the study shows that CAN SLIM is thestrategy that has performed the best under the period that the study is basedon.

This paper analyzes the asset pricing and portfolio implications of an important barrier to sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market premium increases and demand for stocks declines under ESG uncertainty. In addition, the CAPM alpha and effective beta both rise with ESG uncertainty and the negative ESG-alpha relation weakens. Employing the standard deviation of ESG ratings from six major providers as a proxy for ESG uncertainty, we provide supporting evidence for the model predictions. Our findings help reconcile the mixed evidence on the cross-sectional ESG-alpha relation and suggest that ESG uncertainty affects the risk-return trade-off, social impact, and economic welfare.

This thesis compared the explanatory power on excess return between the Capital Asset Pricing Model and the Fama and French Three Factor Model on the Swedish Market. Fur- thermore, an evaluation of the independent variables included in the Fama and French Three Factor Model was done. This was tested on a sample of 59 listed companies of the Stock- holm Stock Exchange between 2007 and 2015. A total of 16 value weighted portfolios a year were constructed, which were constructed based on the characteristics of the individual companies. Regressions were performed on each portfolio which showed that the Fama and French Three Factor Model outperform the CAPM in explaining returns. Independently the SMB factor contributes the most in explaining excess return which was supported by the Goodness of fit and performed Students t-test. Hence the HML factor seem to be more redundant.

Med hjälp av årlig prisstatistik avseende försäljningar av skogsfastigheter (1995-2020) bedömer studien skogliga investeringars marknadsrisk samt estimerar dess diskonteringsränta. Analysen sker inom de teoretiska ramverken Capital Asset Pricing Theory (CAPM) samt Arbitrage Pricing Theory (APT). Utöver korrelation med marknaden analyseras ett antal riskfaktorer så som inflation, förändringar i bostadspriser, BNP samt förändringar i virkespriser. CAPM beräknas för olika löptider där den riskfria räntan matchas mot investeringens tidshorisont. Resultatet ligger i linje med tidigare forskning och visar att skogliga investeringar har en låg marknadsrisk och troligen kan ge ett skydd mot inflation. Val av korrekt löptid för den riskfria räntan har betydande effekt på den estimerade diskonteringsräntan.

Med hjälp av årlig prisstatistik avseende försäljningar av skogsfastigheter (1995-2020) bedömer studien skogliga investeringars marknadsrisk samt estimerar dess diskonteringsränta. Analysen sker inom de teoretiska ramverken Capital Asset Pricing Theory (CAPM) samt Arbitrage Pricing Theory (APT). Utöver korrelation med marknaden analyseras ett antal riskfaktorer så som inflation, förändringar i bostadspriser, BNP samt förändringar i virkespriser. CAPM beräknas för olika löptider där den riskfria räntan matchas mot investeringens tidshorisont. Resultatet ligger i linje med tidigare forskning och visar att skogliga investeringar har en låg marknadsrisk och troligen kan ge ett skydd mot inflation. Val av korrekt löptid för den riskfria räntan har betydande effekt på den estimerade diskonteringsräntan.

This thesis compared the explanatory power on excess return between the Capital Asset Pricing Model and the Fama and French Three Factor Model on the Swedish Market. Fur- thermore, an evaluation of the independent variables included in the Fama and French Three Factor Model was done. This was tested on a sample of 59 listed companies of the Stock- holm Stock Exchange between 2007 and 2015. A total of 16 value weighted portfolios a year were constructed, which were constructed based on the characteristics of the individual companies. Regressions were performed on each portfolio which showed that the Fama and French Three Factor Model outperform the CAPM in explaining returns. Independently the SMB factor contributes the most in explaining excess return which was supported by the Goodness of fit and performed Students t-test. Hence the HML factor seem to be more redundant.

The care for the environment in investment situations is rising among different groups of investors, due to social and psychological factors. Existing studies on nonpecuniary preferences for the environment are focused on measuring the proportion of individuals with green agendas, whereas we focus on measuring also magnitudes, i.e. how much future wealth are people actually prepared to give up for making a greener investment? Inspired by behavioural finance, we have derived an economic experimental survey to allocate nonpecuniary preferences and thus, the input variables of an extension of CAPM. Using the extension of CAPM that includes environmental preferences and further develop the traditional CAPM assumptions per the addition of the variables e, a1 and a2, we find the linear relationship between green performance of an asset and return. The linear relationship between environmental performance of an asset and return is displayed through the slope: -0.368. Despite the negative relationship, the results show that in 44.6 % of cases, a nonpecuniary preference for the environment is present. The aggregated return, exchanged for a higher environmental score, enumerates to 1.19 percentage points. Our main contribution is that this is the first study to translate survey responses into exactly how the cost of capital for a company is related to its environmental performance.

The green bond market has grown immensely since 2013 and is projected to continue on this growth path in the future. There is no consensus surrounding the effect of green bonds on the issuing firms share price. The purpose of this study is to analyze and compare the effect the announcement of the issuement of green bonds and conventional bonds have on the issuing firm’s share price in Scandinavia. An event study was conducted and we analyzed the cumulative abnormal returns (CARs) of both green and non-green bond issues using the capital asset pricing model (CAPM) in three different event windows. We found positive CARs for both first-time and subsequent issuers of green bonds, with statistical significant positive CARs for subsequent issuers in one of the analyzed event windows. The results also indicate that negative CARs are associated with the issuement of conventional bonds, albeit not statistically significant. This points to the conclusion that the Scandinavian equity market reacts positively to the issuement of green bonds compared to the established negative view of conventional debt.

[ES] El modelo de 3 factores de Fama y French es un modelo de valoración de activos que extiende el modelo CAPM añadiendo el riesgo de tamaño de empresa así como el riesgo de valor. Sin embargo, el CAPM se utiliza en mayor medida en la valoración de empresas y el análisis de inversiones para determinar el coste de los recursos propios o rentabilidad exigida. En este trabajo calcularemos el coste de los recursos propios en la bolsa española mediante el modelo de tres factores de Fama y French con el fin de determinar la dificultad de su aplicación en la práctica profesional y en el ámbito corporativo y así analizar el motivo de su menor uso. En primer lugar, se detallan los diferentes modelos de valoración de activos estudiando su evolución desde el CAPM, predecesor del modelo en cuestión. A continuación, se analiza el uso en el ámbito profesional de la valoración del uso del CAPM, para finalizar con una aplicación práctica. La aplicación práctica se ha llevado a cabo mediante la programación del modelo en R empleando datos de la bolsa estadounidense y posteriormente ha sido adaptado a la bolsa española.

[EN] The widespread use of renewable energy sources and the growing concern about climate change, together with Spain's exceptional weather and solar radiation conditions, have led to an increase in the use of photovoltaics for energy production in the country. Solar power generation has been tightly regulated, although the legal framework has changed frequently over the years. When assessing the potential financial performance of any business venture, legal as well as financial aspects must be considered, but a critical factor is the discount rate used, which must reflect the company's capital cost. Other factors are the period of interest, the firm's activity, market risk, and the level of debt of firms in the sector. The main objective of this study is thus to estimate the discount rate for companies using photovoltaics to produce solar power. We calculate it by employing two financial techniques: capital asset pricing model and historical return analysis. We then evaluate the investment in a photovoltaic plant with a capacity of 5000 kW located in eastern Spain, assuming it started its activity in different years which coincide with changes in the regulatory framework. The results show the relevance of the initial outlay costs for the profitability of photovoltaic power plants.

Anomalier ligger till grund för investeringsstrategier som används för att förvalta biljontals dollar. Anomalier frångår vedertagen teori som implicerar att abnormal avkastning inte är möjlig över tid. En anomali som bevisats ge långsiktig abnormal avkastning är lågriskanomalin. Det råder brist på studier som undersökt om lågriskanomalin existerar på den svenska aktiemarknaden. En studie inom ämnet är av praktisk relevans då resultaten kan ligga till grund för investeringsstrategier som genererar abnormal avkastning. Denna studies syfte är att undersöka om en lågriskanomali existerar på den svenska aktiemarknaden under tidsperioden 2008/01/07 - 2019/12/27. För studien används totalavkastningsdata för bolag noterade på Stockholmsbörsen. Studien skapar hedgeportföljer och undersöker genom regression av prissättningsmodellen CAPM om lågriskportföljer ger högre signifikant abnormal avkastning än högriskportföljer. Studien finner inga statistiskt säkerställda resultat för en lågriskanomali. Det antyder att lågriskanomalin inte existerar på den svenska aktiemarknaden och därför saknar praktisk relevans som investeringsstrategi på nämnda marknad.

The stock market have received a fair amount of attention in the media recently as a result of the ongoing covid-19 pandemic. The question arouse if there is one month in the year that outperforms all other months in the stock market. A well known anomaly in the world of finance referred to as, the January effect, came up to discussion. Earlier studies of this subject have achieved different results and conclusions. Therefore, this study aims to examine if the January effect exists on mid cap and large cap companies on the Swedish stock market. To achieve this, one large cap portfolio and one mid cap portfolio both equally weighted with ten companies each were created. These two portfolios were analyzed with, among others, a well known regression model for season anomalies. The results of this study concludes that the January effect does not exist in neither of the portfolios.

The green bond market offers investors the opportunity to take an explicit focus on sustainable investment projects. However, it is yet to be determined whether this novel asset class offers attractive yields compared to non-green bonds. To address this question, we study European green bonds and how they diverge from conventional bonds in terms of yields. Using a dataset of 88 matched pairs of European green bonds between 2015 and 2019, we document a significant negative green bond premium of -12 bps on average in the secondary market. The green bond premium is defined as the yield differential between a green and a conventional bond while controlling for liquidity. The results suggest that European investors accept a lower financial return in exchange for receiving non-pecuniary benefits and thus challenging the assumptions of classical asset pricing models. Furthermore, we use a matching method and two-step regression to control for liquidity and identify the determinants of the green bond premium. The results show that the negative green bond premium is less pronounced for lower-rated bonds. Moreover, we find support for variations in the green bond premium across different business sectors. Government-related green bonds experience a greater negative green bond premium than green bonds related to financials and industrial corporates.

Denna studie har undersökt om det funnits en lågrisk-anomali på den svenska aktiemarknaden under tidsperioden 2000-2019. Data från 624 företag som har varit aktiva på Stockholmsbörsen under denna period har använts, vilket gett ett urval på 88614 månatliga observationer. Studien har sorterat dessa företag i fem portföljer baserat på betavärde uträknat genom en släpande 60 månaders period, och därefter ombalanserat portföljerna var sjätte månad. Utifrån denna portföljindelning har vi sedan beräknat variabler som Jensens alfa, Sharpekvot och Informationskvot. Alla dessa mått på riskjusterad avkastning har nått samma resultat; portföljer med låg risk har under perioden 2000-2019 systematiskt presterat bättre än portföljer med hög risk. Utöver detta har två t-test gjorts på portföljerna för att verifiera resultaten. Studien finner signifikanta resultat för alla portföljer utom en, vilket stödjer att lågrisk-anomalin existerar på den svenska marknaden.

[ES] El modelo de 3 factores de Fama y French es un modelo de valoración de activos que extiende el modelo CAPM añadiendo el riesgo de tamaño de empresa así como el riesgo de valor. Sin embargo, el CAPM se utiliza en mayor medida en la valoración de empresas y el análisis de inversiones para determinar el coste de los recursos propios o rentabilidad exigida. En este trabajo calcularemos el coste de los recursos propios en la bolsa española mediante el modelo de tres factores de Fama y French con el fin de determinar la dificultad de su aplicación en la práctica profesional y en el ámbito corporativo y así analizar el motivo de su menor uso. En primer lugar, se detallan los diferentes modelos de valoración de activos estudiando su evolución desde el CAPM, predecesor del modelo en cuestión. A continuación, se analiza el uso en el ámbito profesional de la valoración del uso del CAPM, para finalizar con una aplicación práctica. La aplicación práctica se ha llevado a cabo mediante la programación del modelo en R empleando datos de la bolsa estadounidense y posteriormente ha sido adaptado a la bolsa española.

[EN] The widespread use of renewable energy sources and the growing concern about climate change, together with Spain's exceptional weather and solar radiation conditions, have led to an increase in the use of photovoltaics for energy production in the country. Solar power generation has been tightly regulated, although the legal framework has changed frequently over the years. When assessing the potential financial performance of any business venture, legal as well as financial aspects must be considered, but a critical factor is the discount rate used, which must reflect the company's capital cost. Other factors are the period of interest, the firm's activity, market risk, and the level of debt of firms in the sector. The main objective of this study is thus to estimate the discount rate for companies using photovoltaics to produce solar power. We calculate it by employing two financial techniques: capital asset pricing model and historical return analysis. We then evaluate the investment in a photovoltaic plant with a capacity of 5000 kW located in eastern Spain, assuming it started its activity in different years which coincide with changes in the regulatory framework. The results show the relevance of the initial outlay costs for the profitability of photovoltaic power plants.

[ES] El modelo de 3 factores de Fama y French es un modelo de valoración de activos que extiende el modelo CAPM añadiendo el riesgo de tamaño de empresa así como el riesgo de valor. Sin embargo, el CAPM se utiliza en mayor medida en la valoración de empresas y el análisis de inversiones para determinar el coste de los recursos propios o rentabilidad exigida. En este trabajo calcularemos el coste de los recursos propios en la bolsa española mediante el modelo de tres factores de Fama y French con el fin de determinar la dificultad de su aplicación en la práctica profesional y en el ámbito corporativo y así analizar el motivo de su menor uso. En primer lugar, se detallan los diferentes modelos de valoración de activos estudiando su evolución desde el CAPM, predecesor del modelo en cuestión. A continuación, se analiza el uso en el ámbito profesional de la valoración del uso del CAPM, para finalizar con una aplicación práctica. La aplicación práctica se ha llevado a cabo mediante la programación del modelo en R empleando datos de la bolsa estadounidense y posteriormente ha sido adaptado a la bolsa española.

Anomalier ligger till grund för investeringsstrategier som används för att förvalta biljontals dollar. Anomalier frångår vedertagen teori som implicerar att abnormal avkastning inte är möjlig över tid. En anomali som bevisats ge långsiktig abnormal avkastning är lågriskanomalin. Det råder brist på studier som undersökt om lågriskanomalin existerar på den svenska aktiemarknaden. En studie inom ämnet är av praktisk relevans då resultaten kan ligga till grund för investeringsstrategier som genererar abnormal avkastning. Denna studies syfte är att undersöka om en lågriskanomali existerar på den svenska aktiemarknaden under tidsperioden 2008/01/07 - 2019/12/27. För studien används totalavkastningsdata för bolag noterade på Stockholmsbörsen. Studien skapar hedgeportföljer och undersöker genom regression av prissättningsmodellen CAPM om lågriskportföljer ger högre signifikant abnormal avkastning än högriskportföljer. Studien finner inga statistiskt säkerställda resultat för en lågriskanomali. Det antyder att lågriskanomalin inte existerar på den svenska aktiemarknaden och därför saknar praktisk relevans som investeringsstrategi på nämnda marknad.

The stock market have received a fair amount of attention in the media recently as a result of the ongoing covid-19 pandemic. The question arouse if there is one month in the year that outperforms all other months in the stock market. A well known anomaly in the world of finance referred to as, the January effect, came up to discussion. Earlier studies of this subject have achieved different results and conclusions. Therefore, this study aims to examine if the January effect exists on mid cap and large cap companies on the Swedish stock market. To achieve this, one large cap portfolio and one mid cap portfolio both equally weighted with ten companies each were created. These two portfolios were analyzed with, among others, a well known regression model for season anomalies. The results of this study concludes that the January effect does not exist in neither of the portfolios.

The green bond market offers investors the opportunity to take an explicit focus on sustainable investment projects. However, it is yet to be determined whether this novel asset class offers attractive yields compared to non-green bonds. To address this question, we study European green bonds and how they diverge from conventional bonds in terms of yields. Using a dataset of 88 matched pairs of European green bonds between 2015 and 2019, we document a significant negative green bond premium of -12 bps on average in the secondary market. The green bond premium is defined as the yield differential between a green and a conventional bond while controlling for liquidity. The results suggest that European investors accept a lower financial return in exchange for receiving non-pecuniary benefits and thus challenging the assumptions of classical asset pricing models. Furthermore, we use a matching method and two-step regression to control for liquidity and identify the determinants of the green bond premium. The results show that the negative green bond premium is less pronounced for lower-rated bonds. Moreover, we find support for variations in the green bond premium across different business sectors. Government-related green bonds experience a greater negative green bond premium than green bonds related to financials and industrial corporates.

Denna studie har undersökt om det funnits en lågrisk-anomali på den svenska aktiemarknaden under tidsperioden 2000-2019. Data från 624 företag som har varit aktiva på Stockholmsbörsen under denna period har använts, vilket gett ett urval på 88614 månatliga observationer. Studien har sorterat dessa företag i fem portföljer baserat på betavärde uträknat genom en släpande 60 månaders period, och därefter ombalanserat portföljerna var sjätte månad. Utifrån denna portföljindelning har vi sedan beräknat variabler som Jensens alfa, Sharpekvot och Informationskvot. Alla dessa mått på riskjusterad avkastning har nått samma resultat; portföljer med låg risk har under perioden 2000-2019 systematiskt presterat bättre än portföljer med hög risk. Utöver detta har två t-test gjorts på portföljerna för att verifiera resultaten. Studien finner signifikanta resultat för alla portföljer utom en, vilket stödjer att lågrisk-anomalin existerar på den svenska marknaden.

von Daniel Göller, BSc., Universität Innsbruck, Masterarbeit, 2020, (VLID)5123214

The green bond market has grown immensely since 2013 and is projected to continue on this growth path in the future. There is no consensus surrounding the effect of green bonds on the issuing firms share price. The purpose of this study is to analyze and compare the effect the announcement of the issuement of green bonds and conventional bonds have on the issuing firm’s share price in Scandinavia. An event study was conducted and we analyzed the cumulative abnormal returns (CARs) of both green and non-green bond issues using the capital asset pricing model (CAPM) in three different event windows. We found positive CARs for both first-time and subsequent issuers of green bonds, with statistical significant positive CARs for subsequent issuers in one of the analyzed event windows. The results also indicate that negative CARs are associated with the issuement of conventional bonds, albeit not statistically significant. This points to the conclusion that the Scandinavian equity market reacts positively to the issuement of green bonds compared to the established negative view of conventional debt.

The care for the environment in investment situations is rising among different groups of investors, due to social and psychological factors. Existing studies on nonpecuniary preferences for the environment are focused on measuring the proportion of individuals with green agendas, whereas we focus on measuring also magnitudes, i.e. how much future wealth are people actually prepared to give up for making a greener investment? Inspired by behavioural finance, we have derived an economic experimental survey to allocate nonpecuniary preferences and thus, the input variables of an extension of CAPM. Using the extension of CAPM that includes environmental preferences and further develop the traditional CAPM assumptions per the addition of the variables e, a1 and a2, we find the linear relationship between green performance of an asset and return. The linear relationship between environmental performance of an asset and return is displayed through the slope: -0.368. Despite the negative relationship, the results show that in 44.6 % of cases, a nonpecuniary preference for the environment is present. The aggregated return, exchanged for a higher environmental score, enumerates to 1.19 percentage points. Our main contribution is that this is the first study to translate survey responses into exactly how the cost of capital for a company is related to its environmental performance.

[ES] El modelo de 3 factores de Fama y French es un modelo de valoración de activos que extiende el modelo CAPM añadiendo el riesgo de tamaño de empresa así como el riesgo de valor. Sin embargo, el CAPM se utiliza en mayor medida en la valoración de empresas y el análisis de inversiones para determinar el coste de los recursos propios o rentabilidad exigida. En este trabajo calcularemos el coste de los recursos propios en la bolsa española mediante el modelo de tres factores de Fama y French con el fin de determinar la dificultad de su aplicación en la práctica profesional y en el ámbito corporativo y así analizar el motivo de su menor uso. En primer lugar, se detallan los diferentes modelos de valoración de activos estudiando su evolución desde el CAPM, predecesor del modelo en cuestión. A continuación, se analiza el uso en el ámbito profesional de la valoración del uso del CAPM, para finalizar con una aplicación práctica. La aplicación práctica se ha llevado a cabo mediante la programación del modelo en R empleando datos de la bolsa estadounidense y posteriormente ha sido adaptado a la bolsa española.

The emerging green bond market is a novel research area with only a few studies being published in recent years. The increase in interest from issuers, investors, and academia shows the clear need for further investigation of the pricing dynamics affecting the green bond market. This study finds its theoretical foundation in the capital asset pricing model (CAPM), aiming to establish whether investor preferences toward nonpecuniary factors such as sustainability bring investor utility, challenging the original CAPM assumptions. If so, investors would demand lower financial returns as they find utility in the fact that green bonds cater to their sustainability preferences. We study the secondary green bond markets between 2014 and 2018 to investigate if there exists a negative yield premium when comparing a sample of green bonds with their non-green counterparts. The quantitative methodological approach includes OLS and issuer fixed effect regressions. Our differentiated sampling process allows us to construct the largest sample of green bonds compliant with the Green Bond Principles to date. We conclude that there exists a negative green bond premium of -4 to -5 basis points. Our findings also indicate that the green bond premium is not stable over time, with significantly negative yield premiums in 2017 and 2018. Our results remain robust after additional controls for potential liquidity differences, indicating strength in the statistical inferences.

The investment analysis seeks to evaluate the selection of opportunities that will provide the company an economic return consistent with its goals. The companies, in order to remain competitive in the market, need to select relevant projects that will present satisfactory returns, consistent with their capital investments. Therefore, the improvement of the company's management tools is appropriate, in order to improve the choice of new enterprises. The aim of this study was to verify if the use of the Economic Value Added (EVA) methodology in the analysis and pricing of projects adds information to a small firm that uses traditional measures of accounting profit. For that purpose, a descriptive case study was carried out in a firm in the civil construction sector, named Fator Construções. By analyzing a project that was executed by the firm, denominated Project A, it was found that the cost of equity was relevant, when calculated by the current method of analysis already used by the firm. However, when calculating the current value of the monthly EVAs, it possible to observe that the project does not add value to the firm. The research points that with the use of EVA, the result changes completely, demonstrating the importance of considering the real cost of capital in the pricing and analysis of projects. Lastly, the analysis showed the sensitivity of the project's result in relation to the cost of equity., A análise de investimentos busca a avaliação e a seleção de oportunidades que darão à empresa um retorno econômico coerente com suas metas. As empresas, de forma a se manterem competitivas no mercado, precisam selecionar projetos relevantes que apresentarão retornos satisfatórios, condizentes com seus investimentos de capital. Para tanto, o aperfeiçoamento das ferramentas gerenciais da empresa torna-se apropriado, em prol de melhorar a escolha de novos empreendimentos. Dessa maneira, o objetivo desse trabalho foi verificar se a utilização da metodologia Valor Econômico Adicionado (EVA) na análise e precificação de projetos agrega informações e conhecimentos que não seriam alcançados por uma empresa de pequeno porte, com as metodologias utilizadas por ela atualmente. Com esse intuito, foi realizado um estudo de caso descritivo em uma empresa que realiza projetos públicos na área de construção civil, chamada Fator Construções. Ao analisar um projeto que foi executado pela empresa em questão, denominado Projeto A, constatou-se que o custo do capital próprio foi relevante, quando calculado pelo atual método de análise utilizado pela empresa. Porém, quando se calcula o valor presente dos EVAs mensais, é observado que esse projeto não agrega valor à empresa. Com a utilização do EVA, o resultado muda inteiramente, demonstrando a importância de se considerar o real custo de capital na precificação e análise de projetos. A análise do presente estudo evidenciou a sensibilidade do resultado do projeto em relação ao custo do capital próprio.

The investment analysis seeks to evaluate the selection of opportunities that will provide the company an economic return consistent with its goals. The companies, in order to remain competitive in the market, need to select relevant projects that will present satisfactory returns, consistent with their capital investments. Therefore, the improvement of the company's management tools is appropriate, in order to improve the choice of new enterprises. The aim of this study was to verify if the use of the Economic Value Added (EVA) methodology in the analysis and pricing of projects adds information to a small firm that uses traditional measures of accounting profit. For that purpose, a descriptive case study was carried out in a firm in the civil construction sector, named Fator Construções. By analyzing a project that was executed by the firm, denominated Project A, it was found that the cost of equity was relevant, when calculated by the current method of analysis already used by the firm. However, when calculating the current value of the monthly EVAs, it possible to observe that the project does not add value to the firm. The research points that with the use of EVA, the result changes completely, demonstrating the importance of considering the real cost of capital in the pricing and analysis of projects. Lastly, the analysis showed the sensitivity of the project's result in relation to the cost of equity., A análise de investimentos busca a avaliação e a seleção de oportunidades que darão à empresa um retorno econômico coerente com suas metas. As empresas, de forma a se manterem competitivas no mercado, precisam selecionar projetos relevantes que apresentarão retornos satisfatórios, condizentes com seus investimentos de capital. Para tanto, o aperfeiçoamento das ferramentas gerenciais da empresa torna-se apropriado, em prol de melhorar a escolha de novos empreendimentos. Dessa maneira, o objetivo desse trabalho foi verificar se a utilização da metodologia Valor Econômico Adicionado (EVA) na análise e precificação de projetos agrega informações e conhecimentos que não seriam alcançados por uma empresa de pequeno porte, com as metodologias utilizadas por ela atualmente. Com esse intuito, foi realizado um estudo de caso descritivo em uma empresa que realiza projetos públicos na área de construção civil, chamada Fator Construções. Ao analisar um projeto que foi executado pela empresa em questão, denominado Projeto A, constatou-se que o custo do capital próprio foi relevante, quando calculado pelo atual método de análise utilizado pela empresa. Porém, quando se calcula o valor presente dos EVAs mensais, é observado que esse projeto não agrega valor à empresa. Com a utilização do EVA, o resultado muda inteiramente, demonstrando a importância de se considerar o real custo de capital na precificação e análise de projetos. A análise do presente estudo evidenciou a sensibilidade do resultado do projeto em relação ao custo do capital próprio.

Den svenska riksdagen röstade 2018-06-07 ja till regeringens förslag om en ny spellag. Den nya spellagen innebär bland annat införandet av ett licenssystem för spelbolag verksamma på den svenska spelmarknaden. Denna studie undersöker huruvida nyheter om beviljade licenser leder till positiv avkastning hos spelbolagens aktier. För att undersöka effekten av nyheterna utförs en eventstudie med licensierade spelbolag på den svenska och norska aktiemarknaden. Eventstudien undersöker eventfönster som består av en, fem, tio och tjugo dagar där signifikansen testas genom ett t-test. Resultaten visar att den kumulativa genomsnittliga abnormala avkastningen är signifikant för eventfönster med längd av en dag, men icke-signifikant för eventfönster med längd av fem, tio och tjugo dagar.

With background to recent price growth in Swedish real estate and consequently real estate stocks, our aim is to examine the relationship between real estate price development and real estate stock price development. To test our hypothesis, that real estate price development have had an impact on the return of real estate stocks, we built a capital asset pricing model. We divide the return of real estate stocks into two parts, the return in relation to the Swedish market premium and the excess return that is given for the exposure of the real estate market. We found that real estate exposure would treat the investor with an additional return beyond the return given from stock market exposure; hence, real estate price development has contributed to real estate stock returns.

Den svenska riksdagen röstade 2018-06-07 ja till regeringens förslag om en ny spellag. Den nya spellagen innebär bland annat införandet av ett licenssystem för spelbolag verksamma på den svenska spelmarknaden. Denna studie undersöker huruvida nyheter om beviljade licenser leder till positiv avkastning hos spelbolagens aktier. För att undersöka effekten av nyheterna utförs en eventstudie med licensierade spelbolag på den svenska och norska aktiemarknaden. Eventstudien undersöker eventfönster som består av en, fem, tio och tjugo dagar där signifikansen testas genom ett t-test. Resultaten visar att den kumulativa genomsnittliga abnormala avkastningen är signifikant för eventfönster med längd av en dag, men icke-signifikant för eventfönster med längd av fem, tio och tjugo dagar.

With background to recent price growth in Swedish real estate and consequently real estate stocks, our aim is to examine the relationship between real estate price development and real estate stock price development. To test our hypothesis, that real estate price development have had an impact on the return of real estate stocks, we built a capital asset pricing model. We divide the return of real estate stocks into two parts, the return in relation to the Swedish market premium and the excess return that is given for the exposure of the real estate market. We found that real estate exposure would treat the investor with an additional return beyond the return given from stock market exposure; hence, real estate price development has contributed to real estate stock returns.

The emerging green bond market is a novel research area with only a few studies being published in recent years. The increase in interest from issuers, investors, and academia shows the clear need for further investigation of the pricing dynamics affecting the green bond market. This study finds its theoretical foundation in the capital asset pricing model (CAPM), aiming to establish whether investor preferences toward nonpecuniary factors such as sustainability bring investor utility, challenging the original CAPM assumptions. If so, investors would demand lower financial returns as they find utility in the fact that green bonds cater to their sustainability preferences. We study the secondary green bond markets between 2014 and 2018 to investigate if there exists a negative yield premium when comparing a sample of green bonds with their non-green counterparts. The quantitative methodological approach includes OLS and issuer fixed effect regressions. Our differentiated sampling process allows us to construct the largest sample of green bonds compliant with the Green Bond Principles to date. We conclude that there exists a negative green bond premium of -4 to -5 basis points. Our findings also indicate that the green bond premium is not stable over time, with significantly negative yield premiums in 2017 and 2018. Our results remain robust after additional controls for potential liquidity differences, indicating strength in the statistical inferences.

In this thesis, we propose two Gaussian hidden Markov models: univariate Gaussian hidden Markov models with covariate and bivariate Gaussian hidden Markov models. After that they are applied to stock market returns to inspect the return-beta relationship stated inthe capital asset pricing model (CAPM). The relationship is examined under 3 definitions of regimes: market regimes, idiosyncratic regimes and co-regimes. Results show that betas are larger under bullish market regime compared to bearish. Although no consistent patternsin beta are discovered under different idiosyncratic regimes and co-regimes, for each stock the betas do seem to vary considerably across regimes. Our model is also able to capture volatility clustering exhibited in return series.

We propose a spatial capital asset pricing model and a spatial arbitrage pricing theory (S-APT) that extend the classical asset pricing models by incorporating spatial interaction. We then apply the S-APT to study the comovements of eurozone stock indices (by extending the Fama–French factor model to regional stock indices) and the futures contracts on S&P/Case–Shiller Home Price Indices; in both cases, spatial interaction is significant and plays an important role in explaining cross-sectional correlation.

Investors and fund managers have, since the start of financial markets, always been on the lookout for new ways of beating the market. However, researchers of the Efficient Market Hypothesis have shown that markets are usually highly efficient, implying that there are few possibilities of earning returns that are higher than the market returns, on a risk adjusted basis. Prevailing theories, such as the Capital Asset Pricing Model, has shown that increased return must stem from taking on higher risk. Though, this model’s explanatory power has been challenged by numerous researchers who propose different factors, other than market risk, which could hold explanatory power when it comes to returns in the stock market. This area of research is called factor investing, and has shown that factors such as momentum, size, and value, all can lead to outperforming the market.This study examines how a model based on two common factors, quality and value, would have performed on the Swedish stock market. The study is based on five portfolios chosen by the quality and value factors, each one held for 5 years, examined over a 25-year time span and uses the capital asset pricing model as a tool to measure whether or not the selected factors outperform the market. The study has taken a quantitative approach to examining the research question, using a positivistic and objectivistic view.The results of the study show evidence that the quality and value factors can lead to significant outperformance relative to the market index. Both total returns and risk adjusted returns were higher than the market index for some of the portfolios created using the quality and value factors. Furthermore, statistical evidence was found of that CAPM not fully explains all returns, and thus, that the returns are in part explained by the quality and value factors. The findings led to the conclusion that the quality and value factors does, in fact, hold explanatory power beyond that of CAPM. Purchasing qu

Investors and fund managers have, since the start of financial markets, always been on the lookout for new ways of beating the market. However, researchers of the Efficient Market Hypothesis have shown that markets are usually highly efficient, implying that there are few possibilities of earning returns that are higher than the market returns, on a risk adjusted basis. Prevailing theories, such as the Capital Asset Pricing Model, has shown that increased return must stem from taking on higher risk. Though, this model’s explanatory power has been challenged by numerous researchers who propose different factors, other than market risk, which could hold explanatory power when it comes to returns in the stock market. This area of research is called factor investing, and has shown that factors such as momentum, size, and value, all can lead to outperforming the market.This study examines how a model based on two common factors, quality and value, would have performed on the Swedish stock market. The study is based on five portfolios chosen by the quality and value factors, each one held for 5 years, examined over a 25-year time span and uses the capital asset pricing model as a tool to measure whether or not the selected factors outperform the market. The study has taken a quantitative approach to examining the research question, using a positivistic and objectivistic view.The results of the study show evidence that the quality and value factors can lead to significant outperformance relative to the market index. Both total returns and risk adjusted returns were higher than the market index for some of the portfolios created using the quality and value factors. Furthermore, statistical evidence was found of that CAPM not fully explains all returns, and thus, that the returns are in part explained by the quality and value factors. The findings led to the conclusion that the quality and value factors does, in fact, hold explanatory power beyond that of CAPM. Purchasing qu

We propose a spatial capital asset pricing model and a spatial arbitrage pricing theory (S-APT) that extend the classical asset pricing models by incorporating spatial interaction. We then apply the S-APT to study the comovements of eurozone stock indices (by extending the Fama–French factor model to regional stock indices) and the futures contracts on S&P/Case–Shiller Home Price Indices; in both cases, spatial interaction is significant and plays an important role in explaining cross-sectional correlation.

In this thesis, we propose two Gaussian hidden Markov models: univariate Gaussian hidden Markov models with covariate and bivariate Gaussian hidden Markov models. After that they are applied to stock market returns to inspect the return-beta relationship stated inthe capital asset pricing model (CAPM). The relationship is examined under 3 definitions of regimes: market regimes, idiosyncratic regimes and co-regimes. Results show that betas are larger under bullish market regime compared to bearish. Although no consistent patternsin beta are discovered under different idiosyncratic regimes and co-regimes, for each stock the betas do seem to vary considerably across regimes. Our model is also able to capture volatility clustering exhibited in return series.

El trabajo aborda el cálculo de la beta del CAPM, entrando a analizar la problemática asociada, tanto en lo referente al intervalo sobre el que se realiza la evaluación de la rentabilidad, como en distintas alternativas que contemplan el carácter variable con el tiempo de la beta. Dichas alternativas han sido esencialmente los ajustes de mínimos cuadrados de ventana móvil para distintos tamaños de ventana, y el filtro de Kalman. Todas las posibilidades planteadas son aplicadas a activos tanto del NYSE como del Mercado Español, con lo que se consigue un soporte esencial para las conclusiones alcanzadas. Entre dichas conclusiones destacan el deterioro en respuesta al aumentar el tamaño de ventana, la evolución monótona de sus coeficientes de determinación, el buen comportamiento del filtro de Kalman, y la inconsistencia sistemática al cambiar el intervalo de rentabilidad

[EN] The determination of the value of investment projects must take into account the risk-return trade-off present in the market.The fiscal, economic and monetary policies of the various international organizations have an impact upon the market and subsequently on the perception of risk. This study analyses the trend of one of the parameters for risk assessment in valuation processes, between 2011 to 2013, for the specific sector of small and medium-sized enterprises involved in generating electrical energy from alternative sources in Spain.

Am 16. März 2011 veröffentlichte die Europäische Kommission den lange erwarteten Richtlinienvorschlag über eine gemeinsame konsolidierte Körperschaftsteuer-Bemessungsgrundlage (Common Consolidated Corporate Tax Base, CCCTB). Kernelement der vorgeschlagenen CCCTB ist die ihr inhärente Möglichkeit zum vollständigen grenzüberschreitenden Verlustausgleich innerhalb einer Unternehmensgruppe. Es stellt sich die Frage, welchen Einfluss die Einführung eines grenzüberschreitenden Verlustausgleichs im Sinne der CCCTB auf Entscheidungen von Investoren in multinationale europäische Konzerne hat. In kapitalmarktorientierter Betrachtung erfolgt eine Bewertung von Investitionen häufig auf Basis des Capital Asset Pricing Model (CAPM), welchem auch in der Praxis der Unternehmensbewertung große Bedeutung zukommt. Im Rahmen dieser Arbeit wird mit Hilfe einer Monte-Carlo-Simulation gezeigt, welche Auswirkung die Einführung einer grenzüberschreitenden Verlustverrechnung im Sinne der vorgeschlagenen CCCTB auf die Nachsteuer-CAPM-Parameter multinational tätiger europäischer Konzerne hat. Es wird gezeigt, dass die CCCTB (i) zu höheren simulierten Nachsteuerrenditen führt, als bestehende Konzernbesteuerungssysteme. Auch wird deutlich, dass die konzerninterne Diversifikation ebenso wie das unternehmerische Risiko europäischer multinationaler Konzerne als Moderatoren für die Wirkungsweise einer CCCTB auftreten und dass, je höher das Level an Diversifikation innerhalb des Konzerns und je höher das unternehmerische Risiko des Konzerns, desto größer die auf die Einführung der CCCTB zurückzuführende Steigerung der simulierten Renditen ist. Es zeigt sich außerdem, dass (ii) die CCCTB ihre größte Wirkung im Falle moderat positiver bis moderat negativer Erwartungsrenditen entfaltet, insoweit also die Profitabilität des Konzerns ebenso als Moderator für die Wirkung einer grenzüberschreitenden Verlustverrechnung in der CCCTB auftritt. Schlussendlich (iii) lässt sich herleiten, dass Investitionsentsche, In 2011 the European Commission released a proposal for a Council Directive on a Common Consolidated Corporate Tax Base (CCCTB). One of the crucial elements of the proposed CCCTB is the enhanced possibility for intra-group cross-border loss offset. The question rises, how investors of eligible European multinational corporations (MNCs) assess the impact of cross-border loss offset in the CCCTB on their investment decisions. From a capital market perspective investments are frequently valued on basis of the Capital Asset Pricing Model (CAPM), which is of substantial practical relevance in the field of business valuation. This dissertation provides a Monte Carlo simulation to assess the impact of cross-border loss offset as proposed in the CCCTB on after-tax CAPM parameters of European multinational corporations. It is shown that cross-border loss offset in the CCCTB allows for higher expected returns than extant corporate tax systems. The higher the level of diversification in a multinational group and the higher the level of business risk, the stronger is the effect of cross-border loss offset in the CCCTB on expected returns. The CCCTB is found to unfold its strongest impact in the event of moderately positive to moderately negative returns. Firm profitability thus acts as a moderator for the strength of the cross-border loss offset effect in the CCCTB. Finally, and most importantly, it is shown that cross-border loss offset in the sense of the CCCTB is an effective instrument to significantly reduce the level of asymmetry of taxation and the inherent discrimination of risky investments., von Mag. Mag. Marcus Ager, Bakk. Sport, Abweichender Titel laut Übersetzung der Verfassers, Universität Innsbruck, Dissertation, 2016, OeBB, (VLID)887372