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Lam, Kenneth. "Is the Fama-French three-factor model better than the CAPM? /." Burnaby B.C. : Simon Fraser University, 2005. http://ir.lib.sfu.ca/handle/1892/2094.
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Mao, Bin. "An empirical study of the Fama and French three-factor model." Thesis, University of Aberdeen, 2009. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=208283.
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In recent years there has been increasing empirical evidence that appears to support the view that the Fama and French three-factor model is highly effective in capturing the systematic risks associated with equity rates of return. It has equally been recognised that the three-factor model does not have the theoretical sophistication of the Capital Asset Pricing Model (CAPM). This comparison presents a puzzle that hinges on a search for explanations of the sources of the two extra risk factors that are central to the three-factor model. These factors are: first, the size premium (defined as the difference between rates of return on a large size stocks and small size stocks); and, second the value premium (defined as the difference between rates of return on high Book-to-Market stocks and low Book-to-Market stocks). The purpose of this thesis is to offer a careful empirical analysis of the Fama and French three-factor model, which will add to our knowledge about the source of the systematic risks associated with these two factors. The study consists of three sections. In the first section, the three-factor model is tested under the time-varying volatility condition by using Generalized Autoregressive Conditional Heteroscedastic (GARCH) models in two time periods, June 1963-December 1991 and September 1927-December 2005 in the US market. The results indicate that the time-varying volatility does not improve the performance of the three-factor model in explaining the rates of return, but it does enhance the efficiency of the regression model by reducing the value of standard deviation and serial autocorrelation within residuals. In the second and third section, the potential relationship of the value premium with several macroeconomic risk factors, measured as the industrial production, inflation rate, the money supply, and the interest rate, are tested from January 1959 to December 2005 in US market. By using the methodology of the Cointegration test to focus on the long run relationship and conditional volatility by GARCH model to focus on risk relationship, the results suggest that i) the value premium is related to the changes of fundamental risk; ii) there is an asymmetric effect on the price of the value stock and growth stock under different business conditions; iii) and the three risk factors are driven by a similar source of macroeconomic activity change, but the interactive relationship between these three risk factors is essential in explaining the rates of return, thus, they should be used together. Overall, the results in this thesis support the view that the Fama and French three-factor model is a strong model in explaining rates of return, and that the value premium is generated from systemic risk and should be used in the equilibrium asset pricing model. The finding is useful for academics and practitioners alike.
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Marklund, Christian, and Joakim Hansen. "Existerar volatilitetssymmetri? : En studie i volatilitet och reala optioners effekt på Sverigesaktiemarknad." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-90514.
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Problembakgrund: Studier för sambandet mellan volatilitet och avkastning har för det aggregerade marknadsperspektivet varit odelat enliga i att detta är negativt. Detsamma gäller inte sambandet vid studier på aktier för enskilda företag där ett antal har kunnat observera ett positivt samband. Detta skulle betyda att det är fördelaktigt när en akties volatilitet ökar, vilket går emot tidigare teorier som säger att sjunkande aktiekurser leder till en ökande volatilitet. I en teori har reala optioner presenterats som en förklaring genom dess konvexitet som leder till ett samtidigt ökande värde när volatilitet ökar. Problemformulering: Existerar ett positivt samband mellan volatilitet och avkastning för enskilda aktier noterade på den svenska aktiemarknaden? Syfte: Studiens huvudsyfte ligger i att avgöra om det går att observera ett positivt samband mellan volatilitet och avkastning på företagsnivå. Sambandet kontrolleras för de variabler som indikerar på en relativt stor tillgång reala optioner för att avgöra om ett företags flexibilitet gör att avkastning och volatilitet ökar samtidigt genom de reala optionernas värdeökning i enlighet med den teori presenterad av Grullon, Lyandres och Zhdanov. Ett delsyfte är därefter att undersöka huruvida vanliga prisjämviktsmodellers förklaringsgrad kan förbättras för att utreda om reala optioner har en så betydande effekt för svenska aktiers avkastning att investerare bör ta dessa i beaktande. Teori: Studien avhandlar de två teorier som tidigare presenterats som huvudförklaringar för det asymmetriska sambandet mellan volatilitet och avkastning, hävstångseffekten och volatilitetsfeedback-effekten. Dessutom presenteras den teori som genom ett företags flexibilitet eventuellt förklarar ett symmetriskt samband och de nyckeltal som indikerar på en relativ tillgång reala optioner. För att kunna undersöka detta samband använder vi CAPM, Fama-French tre- och Carhart fyrfaktormodell, samt en vidare modifierad modell som beaktar reala optioner. Metod: För att besvara vår problemformulering har vi valt att genomföra denna kvantitativa studie med en deduktivt ansats. Ett totalurval bestående av 1131 företag på aktiemarknaden mellan åren 1992 – 2011 ligger som grund för de statistiska testen. Empiri/analys: Resultaten visar på att det inte föreligger ett positivt samband mellan volatilitet och avkastning för enskilda aktier noterade i Sverige, det samband vi finner är signifikant negativt. De undersökta prisjämviktsmodellerna visar på en något ökande förklaringsgrad för de variabler som indikerar reala optioner men utan signifikanta resultat. Dessa resultat skiljer sig från referensstudien på den amerikanska marknaden av Grullon et al. som kunnat visa på ett positivt samband. Slutsats: Ett existerande symmetriskt samband går inte att helt utesluta, resultaten visar däremot på att de teorier som driver ett negativt samband är dominerande på den svenska marknaden. Detta kan bero på exempelvis skillnader i företagsklimat eller juridiska trösklar mellan länder som hämmar ett företags möjligheter till att vara flexibla och att denna effekt därför blir begränsad.
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Coffie, William. "Capital asset pricing model and the three factor model : empirical evidence from emerging African stock markets." Thesis, Birmingham City University, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.582644.
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This thesis explores two celebrated asset pricing models by investigating whether or not the capital asset pricing model (CAPM) and the Fama-French three factor model apply in Emerging African Stock Markets (EASM). While Sharpe (1964) and Lintner (1965) developed the capital asset pricing model (CAPM), it has been widely tested by finance researchers and applied in practice. The central theme of the CAPM is that the only risk variable that affects asset returns is the market factor (beta). However, empirical evidence suggests that the beta alone is not sufficient to wholly explain variation in asset returns (Jensen, 1968; Jensen et al, 1972). A search for an appropriate asset pricing model has led to the development of multifactor models (Ross, 1976; Fama and French, 1992; Carhart, 1997). Fama and French (1992 and 1993) introduced the size and BE/ME anomalies to the academic literature and advocates that it might be driven by changes in microeconomic factors missed by the single factor CAPM. This study adopts Jensen (1968) version of Sharpe-Lintner CAPM and follows Jensen et al. (1972) and Fama and French (1993) time-series approaches. The study provides substantial evidence of the benefits of volatility as augmenting factor in the classic CAPM in explaining asset returns in a new application to Africa and other emerging markets with similar economic characteristics. It was demonstrated that a pricing model that includes both market risk premium and volatility risk premium significantly captures patterns of returns in Africa than the classic CAPM or Fama-French model. Furthermore, this study makes three more important contributions to the literature on. 1. That beta on its own cannot fully explain risk in Africa per CAPM’s assertion as returns can be related to other non-beta factors. 2. The evidence here produces firm contradiction to the growing literature that size and BE/ME are fundamental risk factors. These two variables are not risk factors and indeed, small and value firms do no attract additional compensation for risk in Africa. 3. Lack of integration of African stock markets with the world market means that country specific risk as measured by volatility is persistent across all five countries and therefore volatility augmented asset pricing model is more appropriate than classic CAPM or multifactor model with size and BE/ME. Unlike Fama-French and liquidity augmented models, this model is underpinned by theory. Even, in circumstances where volatility risk premium is negative as documented elsewhere and in this study for certain assets in Africa; the model provides useful information for portfolio construction/allocation and hedging in line with Merton (1973) ICAPM. emerging African capital markets as follows:
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Gerber, Angela S. "An expanded three-factor model of disordered eating : predicting anorexic and bulimic symptoms /." free to MU campus, to others for purchase, 2004. http://wwwlib.umi.com/cr/mo/fullcit?p1421138.
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Nisol, Gilles. "Three Essays in Functional Time Series and Factor Analysis." Doctoral thesis, Universite Libre de Bruxelles, 2018. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/279894.
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The thesis is dedicated to time series analysis for functional data and contains three original parts. In the first part, we derive statistical tests for the presence of a periodic component in a time series of functions. We consider both the traditional setting in which the periodic functional signal is contaminated by functional white noise, and a more general setting of a contaminating process which is weakly dependent. Several forms of the periodic component are considered. Our tests are motivated by the likelihood principle and fall into two broad categories, which we term multivariate and fully functional. Overall, for the functional series that motivate this research, the fully functional tests exhibit a superior balance of size and power. Asymptotic null distributions of all tests are derived and their consistency is established. Their finite sample performance is examined and compared by numerical studies and application to pollution data. In the second part, we consider vector autoregressive processes (VARs) with innovations having a singular covariance matrix (in short singular VARs). These objects appear naturally in the context of dynamic factor models. The Yule-Walker estimator of such a VAR is problematic, because the solution of the corresponding equation system tends to be numerically rather unstable. For example, if we overestimate the order of the VAR, then the singularity of the innovations renders the Yule-Walker equation system singular as well. Moreover, even with correctly selected order, the Yule-Walker system tends be close to singular in finite sample. We show that this has a severe impact on predictions. While the asymptotic rate of the mean square prediction error (MSPE) can be just like in the regular (non-singular) case, the finite sample behavior is suffering. This effect turns out to be particularly dramatic in context of dynamic factor models, where we do not directly observe the so-called common components which we aim to predict. Then, when the data are sampled with some additional error, the MSPE often gets severely inflated. We explain the reason for this phenomenon and show how to overcome the problem. Our numerical results underline that it is very important to adapt prediction algorithms accordingly. In the third part, we set up theoretical foundations and a practical method to forecast multiple functional time series (FTS). In order to do so, we generalize the static factor model to the case where cross-section units are FTS. We first derive a representation result. We show that if the first r eigenvalues of the covariance operator of the cross-section of n FTS are unbounded as n diverges and if the (r+1)th eigenvalue is bounded, then we can represent the each FTS as a sum of a common component driven by r factors and an idiosyncratic component. We suggest a method of estimation and prediction of such a model. We assess the performances of the method through a simulation study. Finally, we show that by applying our method to a cross-section of volatility curves of the stocks of S&P100, we have a better prediction accuracy than by limiting the analysis to individual FTS.Doctorat en Sciences économiques et de gestion
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Issar, Rajiv Issar. "Market Capitalization and Firm Value: The Size Factor." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/4224.
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Current multifactor valuation pricing models use size (measured by market capitalization) of a firm as one factor to determine the value of a security. The problem with current standard models was that none of them could explain the value of a security consistently and accurately based on current factors and in particular the size factor. The purpose of this quantitative study using existing time-series data over a 10-year period from 2006 to 2015 was to examine the impact of size factor on the realized rate of return of financial securities, while controlling for the impact of market rate of return. There are currently many valuation models but there is no 2-factor model or a model that uses a size factor that includes mid-cap sized securities. The research questions examined mid-cap sized securities for the size factor in a 2-factor model to determine the accuracy of predicting financial returns compared to the current standard Fama-French 3-factor model. The main theoretical framework that guided the study was the efficient market hypothesis that postulates that the price of a stock reflects all relevant available information. Data were collected for historical returns of 15 individual firms and portfolios of securities based on size. Multiple regression analysis methodology was used to examine the impact of size factor on the realized rate of return of financial securities, while controlling for the impact of market rate of return in the modified 2-factor model that included mid-caps. The results of the study indicate that size is a statistically significant factor in a 2-factor model that included mid-caps. The positive social impact of this study is that it could provide greater confidence in financial markets by providing a fair and equitable means of investment and flow of capital for a robust economy.
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Löthman, Robert, and Eric Pettersson. "Can we replace CAPM and the Three-Factor model with Implied Cost of Capital?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-218071.
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Researchers criticize predominant expected return models for being imprecise and based on fundamentally flawed assumptions. This dissertation evaluates Implied Cost of Capital, CAPM and the Three-Factor model abilities to estimate returns. We study each models expected return association to realized return and test for abnormal returns. Our sample covers the period 2000 to 2012 and includes 2916 US firms. We find that Implied Cost of Capital has a stronger association with realized returns than CAPM and the Three-Factor model. Implied Cost of Capital also has lower abnormal returns not accounted for by expected returns. Our results suggest that we can replace CAPM and the Three-Factor model with Implied Cost of Capital.
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Hall, Katherine Achsah Lisa. "Psychopathy: correlates of the MMPI-2-RF and the three-factor model of psychopathy." Diss., University of Iowa, 2018. https://ir.uiowa.edu/etd/6432.
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Psychopathy is a personality disorder characterized by antisocial deviance in the context of interpersonal and emotional detachment. The study of psychopathy in non-forensic samples is an area of growing interest, but one that is limited by the fact that most large-scale epidemiological studies, which collect a wealth of data that could further elucidate the phenotypic correlates, constructs, assessments, and etiologic mechanisms in psychopathy, typically do not include direct assessment of psychopathy construct or measurements. However, if facets of psychopathy could be predicted from other measures, such as broadband inventories of normal personality that are often administered in large-scale investigations, data from college epidemiological studies could be brought to bear light on the study of psychopathy.
This study is two-fold in the investigation of psychopathy. First, the present study replicated the work of Sellbom and colleagues (2012) three-psychopathy scales derived from the Minnesota Multiphasic Personality Inventory-2-Restructured Form (MMPI-2-RF). These scales were developed to assess psychopathy as conceptualized in the PPI-R and include Global Psychopathy (Py-T), Impulsive-Antisociality (Py-IA) and Fearless-Dominance (Py-FD). Second, the present study built upon the three-psychopathy scales by investigating psychopathy’s construct in relation to Cooke and Michie’s (2001) three-facto model. A sample of 151 participants from a Midwestern university were administrated the PPI-R and MMPI-2-RF. The MMPI-2-RF three scales and construct of psychopathy were evaluated using bivariate correlations. Results support previous studies, regarding the Py-T, Py-IA, and Py-FD scales and the three-factor model of psychopathy.
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Rehnby, Nicklas. "Does the Fama-French three-factor model and Carhart four-factor model explain portfolio returns better than CAPM? : - A study performed on the Swedish stock market." Thesis, Karlstads universitet, Handelshögskolan, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-43784.
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This essay will compare the capital asset pricing model (CAPM), Fama and French threefactor model and Carhart´s four-factor model, to see which of these models that can explain portfolio excess returns best on the Swedish stock market. This thesis will tempt to validate the three and four-factor models because of the limited amount of research done on the Swedish stock market. The results indicate that the three-factor model improves explanatory power for portfolio returns in comparison to the CAPM, and the four-factor model gives a small improvement in the explanatory power compared to the three-factor model. The results also indicate that all models have a low explanatory power when the market is volatile.
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O'Neill, Kamila. "Moderator or mediator : the role of dieting in the three factor model of binge eating /." free to MU campus, to others for purchase, 2003. http://wwwlib.umi.com/cr/mo/fullcit?p1418054.
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Côrte-Real, Filipe José Correia. "A look into the cross-section of industry stock returns." Master's thesis, NSBE - UNL, 2013. http://hdl.handle.net/10362/9840.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsAverage stock returns on industry portfolios are related to industry total market equity and industry market equity concentration. Small industries outperform large industries marginally, while high-concentration industries outperform low-concentration industries significantly. The industry concentration premium persists after controlling for firm size and book-to-market equity ratio. A three-factor model using risk factors associated to industry size and industry concentration compares well to the Fama-French three-factor model, capturing return variation of portfolios formed on industry size, concentration, book-to-market equity, debt-to-equity, dividend-to-price, and earnings-to-price. My results are consistent with traditional economic theory and industry strategic analysis.
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Milner, Lisa Michelle. "A comparative validation study of three personality inventories designed to access the five-factor model of personality /." Access abstract and link to full text, 1992. http://0-wwwlib.umi.com.library.utulsa.edu/dissertations/fullcit/9236371.
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McNamara, Maria Organisation & Management Australian School of Business UNSW. "A comparative study of the occupational health and safety outcomes of permanent and temporary hotel workers in Ireland and Australia." Awarded by:University of New South Wales. Organisation & Management, 2009. http://handle.unsw.edu.au/1959.4/43417.
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A substantial body of literature links precarious employment with increased exposure to occupational hazards and adverse OHS outcomes. While a majority of these studies has found that precarious work has adverse effects on OHS outcomes, findings are more mixed with regard to temporary employment (the focus of this study), and there are still many gaps in the research that have yet to be addressed. Various models have been proposed in an attempt to explain the causal mechanisms behind the health effects of precarious employment. However, relatively few studies have empirically investigated these mechanisms. There is also a dearth of research on the effects of precarious work on OHS outcomes in parts of the service sector, such as hospitality, despite the fact that these industries make extensive use of precarious work arrangements. Further, few studies have been based on international comparative data (and even fewer where the focus has been on a particular industry). This thesis seeks to address these gaps by investigating OHS outcomes of hotel workers engaged under different employment arrangements in Ireland and Australia. There are two principle objectives to the study. The first is to examine OHS outcomes, while the second is to test and refine the Quinlan, Mayhew and Bohle (2001) Three Factor Model in an attempt to explain the links between health and precarious employment. It also aims to enhance the understanding of the mechanisms by which these factors interact to influence outcomes. This study defines and tests a health and injury structural model. The structural equation modelling techniques employed have not been used in previous studies in this area and provide a clearer portrayal of the complex relationships between the many variables affecting the OHS of precarious employees in the hotel industry. The OHS outcomes range from exposure to occupational violence and stress to a wide variety of debilitating physical ailments. This research also highlights several indirect or spillover effects of precarious employment. The inconsistencies between both locations are mainly regarding perceived job security, economic and reward pressures and lack of control over working hours. Despite these differences, there are basic similarities between the locations that are important.
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Michaelides, Michael. "Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets." Diss., Virginia Tech, 2017. http://hdl.handle.net/10919/77515.
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The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are found and the original linear regression models are respecified. The respecification results in a family of heterogeneous Student's t models which are shown to account for all the statistical regularities in the data. This family of models provides an appropriate basis for revisiting the empirical adequacy of the CAPM and the Fama-French multi-factor models, as well as other models, such as alternative asset pricing models and risk evaluation models. Along the lines of providing a sound basis for reliable inference, the respecified models can serve as a coherent basis for selecting the relevant factors from the set of possible ones. The latter contributes to the enhancement of the substantive adequacy of the CAPM and the multi-factor models.Ph. D.
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Nordström, Daniel, and Sofia Lindh. "Magic Formula på den svenska aktiemarknaden : Kan en värdeinvesteringsstrategi generera abnormal avkastning på lång sikt?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-414789.
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Att slå marknaden har varit ett kontroversiellt ämne inom akademin under en väldigt lång tid.Enligt EMH, en grundläggande finansteori, är det inte möjligt att “slå marknaden” under enlång tid utan att ta högre risk. Hedgefond-förvaltaren Joel Greenblatt publicerade år 2006 enformel som ska kunna prestera över marknaden till lägre risk, även långsiktigt, The MagicFormula. Denna studie utvärderar en Magic Formula-portfölj på den svenska marknaden i syfteatt undersöka om den kan generera en abnormal avkastning i perioden år 2000-2020. Dettagenomförs genom en kvantitativ analys. Resultaten visar att Magic Formula-portföljensintercept är signifikant skiljt från 0 i Fama & Frenchs trefaktormodell som inkluderar enmarknads-, storleks- och värdefaktor. Eftersom de riskpremier som testats för inte förklararavkastningen dras slutsatsen att antingen är trefaktormodellen bristfällig, eller så existerar enanomali kopplat till strategin.
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Van, der Berg Gerhardus Johannes. "The relationship between the future outlook of market risk and capital asset pricing." Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/26386.
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The most widely used Cost of Capital model is the Capital Asset Pricing Model. The Beta, Which is a key input into the model has proven to be unreliable and provides no correlation with systematic risk. As risk increases, so should the cost of capital of the firm. The Beta is a historic measure of risk and does not capture the future outlook of risk. The future of an organisation and its risk may look very different to the past and therefore the need to calculate the Cost of Capital of a firm based on the future outlook of the firm. The aim of this research was to analyse the different methodologies used to determine the Cost of Capital of a firm in order to determine which models are better ex ante predictor of Cost of Capital in the South African context. Regression analysis was used to make statistical inferences between the measure of risk used and the Cost of Capital model in question. The results of the research has shown that Market Capitalisation and Price to Book ratio are the best proxies for risk when comparing it with the ex ante Cost of Capital models. However, the Three Factor Pricing Model is shown to be the best Cost of Capital model to capture the future outlook of risk.Dissertation (MBA)--University of Pretoria, 2010.
Gordon Institute of Business Science (GIBS)
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Lagnado, Leonardo Mathiazzi. "Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17047.
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This dissertation is aimed at evaluating the risk-return relationship of stocks by incrementing the Fama and French five-factor model (F. FAMA and R. FRENCH, 2015) with two new variables. This was done by creating a six-factor model aimed at capturing the size, value, profitability, investment and governance patterns in average stock returns. An additional seven-factor model was also created by adding a herding factor. Governance and herding were chosen as additional factors because of a hypothesis that they would be relevant in less efficient markets such as Brazil. The evaluation of the two model´s performance versus the traditional five-factor model was performed next, as well as the assessment of relevance of the newly added factors. Testing the six-factor model, it had a similar performance to the five-factor model, and the governance factor proved to be relevant in the Brazilian market. Adding the herding factor weakened the results, although the factor still proved to be relevant in some cases.
O objetivo desta dissertação é avaliar a relação risco-retorno de ações incrementando o modelo de cinco fatores de Fama e French (F. FAMA and R. FRENCH, 2015) com duas novas variáveis. Isso foi feito criando um modelo de seis fatores que busca capturar os padrões de tamanho, valor, lucratividade, investimento e governança nos retornos médios de ações. Um modelo adicional de sete fatores também foi criado adicionando um fator para o efeito manada. A governança e o efeito manada foram escolhidos como fatores adicionais por conta da hipótese de que eles seriam relevantes em mercados menos eficientes como o Brasil. A avaliação da performance dos dois modelos contra o modelo tradicional de cinco fatores foi então realizada, bem como a avaliação da relevância dos novos fatores. Testando o modelo de seis fatores, descobrimos que ele tem uma performance semelhante ao de cinco fatores, e o fator de governança mostrou ser relevante no mercado Brasileiro. Adicionando o fator para o efeito manada enfraqueceu os resultados, embora o fator ainda mostrou-se relevante em alguns casos.
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Boros, Daniel, and Claes Eriksson. "Does size matter? : An empirical study modifying Fama & French's three factor model to detect size-effect based on turnover in the Swedish markets." Thesis, Linköpings universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-117836.
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This thesis investigates whether the estimation of the cost of equity (or the expected return) in the Swedish market should incorporate an adjustment for a company’s size. This is what is commonly known as the size-effect, first presented by Banz (1980) and has later been a part of models for estimating cost of equity, such as Fama & French’s three factor model (1992). The Fama & French model was developed based on empirical research. Since the model was developed, the research on the size-effect has been divided and today there are empirical studies contradicting its existence. Arguments against the size-effect are to some extent supported by the fact that there is no solid theoretical explanation for it. It seems however that market participants in the Swedish markets do adjust for the size.A limitation of the Fama & French model is that market data is required for the estimation. Our starting point is to investigate if there is a presence of the size-effect in the Swedish markets using a modified version Fama & French model. In our modified model a proxy for the market value of the firm has been introduced, namely the firms turnover. This is motivated by the fact data regarding a company’s turnover is available for private firms as well. In the case that size-effect is observable using the turnover as a proxy this would allow to extend the model to estimate the cost of equity for private firms. In the case where a consistent estimated marginal effect of the turnover is observed, our model could be used to estimate cost of equity with reasonable precision. Historical data on Swedish companies from each of the OMX Large, Mid & Small cap lists is used in a regression setting to investigate if any statistical significant results can be observed on whether the logarithm of the turnover affects the expected return.Our results indicate that the marginal effect of the turnover is positive, contradicting previous research and economic intuition that size of a company should be negatively correlated (or uncorrelated) with the expected return. By investigating the internal and external validity of the results, comparison to previous research and assessing data quality, we conclude that errors originating from these factors are not plausible to cause the unintuitive results. We therefore conclude that the use of turnover as a proxy for market value is not viable, which may be attributed to the fundamental relationship between the turnover and cost of equity in valuation formulas. Conclusively we cannot draw any further conclusions regarding presence of size-effect in the Swedish equity markets and discard the possibility of using our modified model for estimating cost of equity for private firms.
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Melo, Emerson Gonçalves de. "Geração solar fotovoltaica: estimativa do fator de sombreamento e irradiação em modelos tridimensionais de edificações." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/3/3143/tde-21062013-105044/.
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Medidas atualmente em curso no país, encaminhadas por agentes do setor elétrico, reforçam a expectativa do desenvolvimento de um mercado fotovoltaico sólido em alguns anos. A flexibilidade dos sistemas fotovoltaicos permite a construção de usinas de diferentes capacidades, estas podem estar concentradas, cobrindo vastas áreas de solo, ou distribuídas em pequenas unidades integradas na arquitetura em meio urbano. Entretanto, pesquisas demonstraram que em países com grande capacidade instalada de sistemas fotovoltaicos, o sombreamento parcial de módulos fotovoltaicos é responsável por perdas médias de 10%. Visando agregar conhecimento ao setor energético e contribuir com o desenvolvimento do mercado fotovoltaico nacional, esse texto tem o objetivo de apresentar os resultados de uma pesquisa, em que foi estabelecido um modelo utilizado para construir um plug-in, que transforma o Google SketchUp em uma ferramenta gratuita para estimar o fator de sombreamento e a irradiação em superfícies selecionadas em um modelo tridimensional de uma edificação. Assim, foi conduzida uma pesquisa bibliográfica responsável por identificar e selecionar modelos utilizados nas diversas etapas envolvidas com a estimativa do fator de sombreamento e irradiação. Realizadas algumas alterações, esses modelos convergiram para um modelo único que foi aplicado ao desenvolvimento de um plug-in, denominado Solar3DBR. O desempenho do Solar3DBR foi avaliado através de comparações com os softwares PVsyst e Ecotect, e também por meio de medições reais realizadas em um experimento onde foi monitorada a irradiância em uma célula fotovoltaica parcialmente sombreada e a irradiação horária em plano inclinado. Os resultados das medições permitiram determinar o fator de sombreamento da célula e estes foram comparados aos resultados da simulação de um modelo tridimensional do sistema através do Solar3DBR. Essas confrontações demonstraram que as simulações realizadas com o Solar3DBR apresentam grande proximidade com os resultados apresentados por PVsyst, Ecotect e medições reais.Measures that are currently underway in the country, forwarded by agents of the electricity sector, reinforce the expectation of developing a solid photovoltaic market in a few years. The photovoltaic systems flexibility, allows plant\'s construction of different capacities, these may be concentrated, covering vast areas of land, as divided into small units, integrated into urban architecture. However, researches have shown that in countries with a large capacity of photovoltaic systems installed, the partial shading of photovoltaic modules is responsible for average losses of 10%. Aiming to add knowledge to the energy sector and contribute to the development of the domestic photovoltaic market, this text aims to present the results of a research, in which was established a model used to build a plug-in that turns Google SketchUp into a free tool, with the ability to estimate the shading factor and irradiation in selected surfaces in a three-dimensional model of a building. Thus, was realized a literature research, responsible for identifying and selecting models used in the various steps, involved in estimating the shading factor and irradiation. After some changes have been implemented, these models converged to a single model that was applied to the development of a plug-in called Solar3DBR. The performance of the Solar3DBR was evaluated through comparisons with the softwares PVsyst and Ecotect, and in actual measurements performed in an experiment. In this experiment irradiance in a partially shaded PV cell and hourly irradiation on inclined plane were monitored. Measurement results allowed to determine the shading factor of the cell, and were compared to simulation results of a three-dimensional model of the system through Solar3DBR. The result of these confrontations demonstrated that the results obtained from the Solar3DBR are similar to the ones presented by PVsyst, Ecotect and actual measurements.
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Dijokas, Paulius, and Dijana Zaric. "Performance of Actively Managed Equity Mutual Funds : Empirical Evidence of the Swedish Market." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-26782.
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During the last decade, investments into the Swedish mutual fund market have increased substantially. The increased popularity of actively managed Swedish equity funds among households and investment companies, correspondingly, funds need to deliver substantial results, raised the importance to evaluate these funds’ performance. This thesis adds to the scarce empirical literature on Swedish equity mutual fund performance. Employing the Fama-French three factor model, it analyzes whether actively managed Swedish equity mu- tual funds outperform the Fama-French benchmarks net- and gross of management fees. The study uses time-series data and constructs equally-weighted portfolios of the 42 Swe- dish based actively managed equity mutual funds investing in Sweden for the period 2003- 2013. The portfolios’ excess returns are calculated by estimating the Fama-French three factor model by means of ordinary least squares (OLS) regression analysis. The empirical results show that actively managed equity mutual funds over performed the Fama-French three factor benchmarks by an average annualized net- and gross excess return of 3.60 and 4.67 percent respectively. Sorting out the funds by the performance into deciles, the find- ings indicate that management fees influence the performance of the equity mutual funds in the sample of our study. The conclusion is made such that there is an indication that Swedish equity funds’ managers are able to add value above passive investing.
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Andrén, Erik, and Oskar Fors. "Actively Managed Investments : A comparison of US hedge and equity mutual funds." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-35570.
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Over the past years, the total assets under management among hedge funds and equity mutual fundshave increased significantly. The question from an investor point of view iswhich investment vehicle can provide the greatest return adjusted for risk. The purpose of this study involves an analysis on the historical net asset values todetermine and evaluate what one can except from actively managed hedge andequity mutual funds. It supports the determination of the most profitable asset, adjusted for risk, as part of a diversified portfolio. The performance is measured net of fees and costs with the inclusion of potential performance fees individual hedge funds may apply. Hedge funds practice different investment approaches depending on what strategy is applied and hence, return levels can vary dramatically. The study is designed to answer questions by comparing net returns and risk-adjusted returns for respective investments and the different hedge fund strategies. With a deductive research approach, the analysis is conducted by applying existing models and theories as the Fama-French three-factor model through time-series regressions measuring excess returns (alpha), risk-adjusted performance measures as Sharpe ratio, M-squared and the Sortino ratio. The results show that hedge funds outperform equity mutual funds in all examined aspects and produce positive monthly net alphas,on average. Equity mutual funds are unable to provide investors with positive excess returns and subsequently fail the purpose of an actively managed fund by providing returns lower than the return of the market. The results are increasingly strengthened with both time-series regressions and performance measures showing homogenous results and reaching the equal conclusions. From the conclusions that hedge funds provide the most profitable investment compared to equity mutual funds, the hedge fund strategy CTA/managed futures strategies perform best in both net and risk-adjusted terms.
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Bradford, Kathleen Ann. "The role of epidermal growth factor and parathyroid hormone related peptide (1-34) in three choriocarcinoma cell lines as a model for implantation of human trophoblast." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.395901.
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來海, 博央, Hirohisa KIMACHI, 拓. 田中, Hiroshi TANAKA, 啓介 田中, Keisuke TANAKA, 康一 吉田, and Koichi YOSHIDA. "長繊維強化プラスチックスにおける巨視的モードⅠ負荷を受ける層間き裂の進展経路." 日本機械学会, 2000. http://hdl.handle.net/2237/9168.
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Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.
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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.
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Jiao, Wenting. "Exploring Risk Factors on Chinese A Share Stock Market - in the Frame of Fama - French Factor Model." Thesis, Rennes 1, 2017. http://www.theses.fr/2017REN1G013/document.
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Notre thèse explore les facteurs de risque et les modèles des facteurs sur le marché boursier chinois A-share. Notre étude est basée sur le contexte du modèle facteur de Fama-French (FF). Tout d'abord, au chapitre 1, nous réexaminons l'applicabilité du Modèle Fama-French à Trois Facteurs (FF3F) et du dernier Modèle Fama-French à Cinq Facteurs (FF5F), compte tenu de plusieurs caractéristiques spéciales du marché boursier chinois. Les résultats empiriques montrent que le Modèle FF3F peut expliquer la majorité des variations de séries chronologiques des rentabilités des actions chinoises A-share. Au cours de la période d'échantillonnage, le marché bêta et le facteur SMB sont des déterminants importants pour expliquer la variation transversale des rentabilités des actions, cependant nous ne trouvons aucune prime de valeur. D’après la comparaison des performances des modèles FF3F et FF5F en présence de facteurs de rentabilité et d'investissement, le Modèle FF5F ne semble pas capturer plus de variations de rentabilités espérées que le modèle à trois facteurs, à l'exception des six portefeuilles pondérées en valeurs qui formés à partir de la taille et de la rentabilité opérationnelle.Dans le chapitre 2, nous examinons si les facteurs FF, SMB et HML, sont des proxys d'innovations de variables d'état sélectionnées (rendement de dividende agrégée, taux de T-bonds en un mois, l’écart de terme et l’écart de défaut) qui décrivent, sur la période recherche, les opportunités futures d'investissement sur le marché boursier chinois A-share. Les régressions chronologiques et les régressions des séries transversales sont réalisées sur cinq modèles comparatifs en utilisant l'approche à deux étapes Fama-MacBeth. Les facteurs FF ne perdent pas leur pouvoir explicatif, avec ou sans la présence des innovations des quatre variables d’états sélectionnées, à la fois dans les examens de séries chronologiques et les examens transversaux. Nous trouvons que l'information contenue dans l'innovation de rendements de dividende agrégés semble totalement capturée par la combinaison du marché bêta et du facteur de taille. Les facteurs FF ont pu jouer un rôle limité de capturer d'opportunités d'investissement alternatives représentées par les innovations des quatre variables d'état sélectionnées.Dans le chapitre 3, nous étudions si les facteurs FF sont des proxys de facteurs de risque de détresse et si différentes méthodes de construction des facteurs entraînent des résultats différents. Les résultats empiriques suggèrent qu'il n'y a pas de preuve significative que les facteurs FF représentent un risque de détresse sur le marché boursier chinois A-share. En comparant les résultats des régressions des séries chronologiques à partir de deux méthodes différentes, la performance du facteur de risque de détresse basé sur le DLI semble légèrement meilleure que celui basé sur le O-score. Cependant, le facteur de risque de détresse n'est pas un déterminant important des rentabilités transversales moyennes, et les facteurs FF ne peuvent pas représenter le facteur de risque de détresse dans la section transversale du marché boursier chinois A-shareThis dissertation is to explore the risk factors and factor models on Chinese A-share stock market based on the context of Fama-French (FF) factor model. First of all, chapter 1 re-examines the applicability of Fama-French Three-Factor (FF3F) Model and the latest Fama-French Five-Factor (FF5F) Model considering several special features of Chinese stock market. FF3F Model can explain a majority of time-series variation of the Chinese A-share stock returns. The market beta and SMB are important determinants in explaining the cross-sectional variation in the average stock returns over the sample period; however, we find no value premium. Comparing the performance of both FF3F Model and FF5F Model on Chinese A-share stock market, in the presence of profitability and investment factors, FF5F Model seems not capture more variations of expected stock returns than the three-factor model except the six value-weighted portfolios formed on size and operating profitability.Chapter 2 examines whether FF factors SMB and HML proxy for the innovations of selected state variables (aggregate dividend yield, one-month T-bill rate, term spread and default spread) that describe future investment opportunities on Chinese A-share stock market during the research period. Both time-series and cross-sectional regressions are performed on five comparative models using Fama-MacBeth two-stage approach. FF factors don’t lose their explanatory power with or without the presence of the innovations of selected four state variables in both the time-series and cross-sectional examinations. We find that the information contained in innovation of aggregate dividend yields seems totally captured by the combination of market beta and size factor. FF factors might have played a limited role in capturing alternative investment opportunities proxied by innovations of the selected four state variables.Chapter 3 investigates whether FF factors proxy for distress risk factor and whether different methods of constructing factors result in the different outcomes. The empirical results suggest that there is no significant evidence that FF factors are proxying for distress risk on Chinese A-share stock market. Comparing the time-series regression results by using two different methods, the distress risk factor constructed based on DLI seems to perform slightly better than that constructed based on O-score in capturing time-series average returns. However, the distress risk factor is not an important determinant of cross-sectional average returns, and FF factors cannot proxy as distress risk factor in the cross-section on Chinese A-share stock market
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Bedros, Hakob. "Utilizing Wavelet to Examine the Relationship between Stock Returns and Risk Factors in CAPM and Fama-French Three-Factor Model : A study of the Swedish stock market." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-65017.
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CONFESSOR, Kliver Lamarthine Alves. "Payout incremental e o modelo de três fatores de Fama e French: um estudo das empresas brasileiras." Universidade Federal de Pernambuco, 2016. https://repositorio.ufpe.br/handle/123456789/18580.
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Dissertação (2016-03-04) - KLIVER LAMARTHINE ALVES CONFESSOR.pdf: 1386264 bytes, checksum: 187856adab13aa330884ca934200e20d (MD5)Made available in DSpace on 2017-04-18T18:39:39Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Dissertação (2016-03-04) - KLIVER LAMARTHINE ALVES CONFESSOR.pdf: 1386264 bytes, checksum: 187856adab13aa330884ca934200e20d (MD5) Previous issue date: 2016-03-04
Este estudo tem o objetivo de analisar se a inclusão do fator Payout no modelo de três fatores de Fama e French (1993) é relevante para explicação do retorno das empresas cotadas na BM&FBOVESPA entre o período de 2004 e 2014. O Payout avalia o nível de pagamento de dividendos. O prêmio pelo fator Payout é obtido pela diferença dos retornos entre as empresas que pagaram Payout Incremental – percentual de dividendos maior do que versa a legislação – e o retorno daquelas empresas que não pagaram dividendos. O método utilizado nesse trabalho baseia-se no modelo de Fama e French (1993), onde o fator Payout foi adicionado aos fatores prêmio pelo risco de mercado (RM-RF), prêmio pelo fator tamanho (SMB) e prêmio pelo fator book-to-market (HML) criando um novo modelo de 4 fatores. O poder explicativo desse modelo foi testado em face do retorno de 12 carteiras criadas a partir da ortogonalização dos desses fatores. Os resultados indicam que o fator Payout é significativo no modelo e que este fator geralmente possui uma relação negativa com o retorno das carteiras. O modelo consegue explicar melhor o retorno de sete dentre as doze carteiras estudadas, dessas destacam-se as carteiras de pequenas, de alto valor e que pagaram dividendos incrementais, pequenas, de baixo valor e que pagaram dividendos incrementais, pequenas, de baixo valor e que não pagaram dividendos, com um poder explicativo de mais de 70%. Para as carteiras grande, de alto valor e que não pagaram dividendos, grande, de baixo valor e que não pagaram dividendos, pequenas, de baixo valor e que pagaram dividendos mínimo, pequenas, de alto valor e que não pagaram dividendos, o modelo explica o retorno em mais de 50% com as variáveis apresentadas. A variável Payout não foi significativa apenas para a carteira pequena, de baixo valor e que pagaram dividendos. Portanto, a inclusão do fator Payout ao modelo de Fama e French (1993) possui relevância para os estudos de avaliação de portfólios. Este estudo contribui para as discussões e aprimoramento dos modelos de precificação de ativos no mercado brasileiro.
This study aims to analyze whether the inclusion of the Payout factor on the three factors of Fama and French (1993) is relevant to an explanation of the return of the companies listed on the BM&FBOVESPA between 2004 and 2014. The Payout evaluates the level of payment of dividends. The premium of the Payout’s factor is obtained by the difference of returns among the companies that paid the dividend percentage – Incremental Payout higher than what legislation suggests – and the return of the companies that did not pay dividends. The method used in this paper is based on Fame and French (1993) model’s, which the Payout factor was added to by the market risk premium (RM-RF), an award by the factor (SMB) size and prize for the book-to-market factor (HML) creating a new model of 4 factors. The explanatory power of this model was tested in the face of the return of 12 portfolios created by orthogonalizing these factors. The results indicate that the Payout factor is significant in the model and that this factor generally has a negative relationship with the return of portfolios. The model can explain better the return of seven from twelve portfolios studied. From these portfolios stands out portfolios with little value, high value and that paid dividends, small, low-value and that paid dividends, small, low-value and that did not pay dividends, with an explanatory power of over 70%. For great portfolios, high value and that did not pay dividends, large, low-value and that did not pay dividends, small, low-value and that paid minimum dividends, small, high value and that did not pay dividends, the model explains the return in more than 50% with the variables presented. The variable Payout was not significant for small, low portfolio value and that paid dividends. Therefore, the inclusion of the Payout factor model of Fame and French (1993) has relevance to portfolio assessment studies. This study contributes to the discussion and improvement of asset pricing models in the Brazilian market.
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Johansson, Tom-Filip, and Tommi Määttä. "Abnormal Returns of Swedish Equity Funds : Are Managers Skilled or Lucky?" Thesis, Umeå universitet, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-56783.
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The fund market has grown substantially during the past decades and the majority of Swedish citizens are invested in funds directly or through pension savings. There is mixed evidence on the performance of Swedish equity funds depending on the method employed and the time period studied. In this study, we set out to estimate abnormal performance using acknowledged methods during a time-period that is both longer and more recent than previous studies. Our sample is survivorship-free and consists of 150 mutual equity funds during January 1993 to December 2011. We use a four-factor model to estimate abnormal performance compared to an index and additional risk factors. We find that the average performance is neutral net of costs and that funds outperform with 1.7 percent before costs, the difference is approximately the average management fee. Over time, we find that the average abnormal performance and the share of funds that have significant outperformance have decreased while the share of significant underperformance has increased. Since the study of fund performance started in the 1960's the twin questions has been; does funds outperform the market and is this a result of pure chance or are managers skilled? Since we observe funds with significant positive and negative abnormal performance, we want to know if the results can attributed to luck or skill. We employ the latest technique, a bootstrap simulation, to test for skill or luck. This is the first study to employ the bootstrap to distinguish skill from luck in sample of Swedish funds. By ranking funds on performance after costs, we find that the performance of the majority of funds can be attributed to skill or "bad skill". The evidence is strongest in the top 95th percentile and above, and from the bottom 50th percentile and below.
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Jomer, Emelie. "Performance of UK Pension Funds : Luck or Skill?" Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-205730.
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Pension funds play a large role in the UK pension system since the returns of the funds determine how large the total pension will be. The future retirees can choose between active and passive fund management where the active management often is more expensive. In this study 102 actively managed UK equity pension funds are analyzed in order to see if managers have sufficient skill to generate risk adjusted return to cover the cost imposed on the investors. The result implies that the active pension funds in aggregate, before expenses, hold a portfolio that imitates market returns during 2000 to 2012. Bootstrap simulations suggest that only eight funds out of the sample of 102 have skilled managers and six of these managers are skilled enough to produce risk adjusted excess return large enough to cover the expenses imposed on the investor.
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Åberg, Andreas, and Henrik Peltomaa. "Överreaktioner på Stockholmsbörsen?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-397863.
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I denna uppsats kommer vi att undersöka om det förekom överreaktioner på Stockholmsbörsen mellan åren 2002 och 2016. Överreaktioner undersöks genom att bilda vinnar- och förlorarportföljer baserat på tidigare månatliga avvikelseavkastningar. Vi ställer en hypotes om att förlorarportföljer kommer att prestera bättre än vinnarportföljer efter portföljformering. Portföljerna utvärderas under ett-, två- och treårsperioder för att undersöka om det förekommer reversals som en investerare skulle kunna utnyttja genom contrarianstrategin. Vår uppsats identifierar kortsiktiga reversals direkt efter portföljformering, men på lång sikt tenderar investerare att erhålla vinst genom att följa en positiv marknadstrenden. Regressionsanalyser med CAPM och Fama-French trefaktormodell genomförs för att få en bättre förståelse av orsakerna som ligger bakom avkastningar i vinnar- och förlorarportföljer. Vi föreslår att reversals inte skapar möjligheter för investerare att nå positivt statistiskt signifikant alfa på Stockholmsbörsen. Möjliga vinster genom contrarianstrategin drivs av faktorer som företagsstorlek och –värde snarare än att investerare överreagerar på marknaden.In this study we will examine if overreactions occurred on the Stockholm Stock Exchange during period 2002-2016. Winner- and loser portfolios were formed based on past monthly returns to see if investors overreact and by doing that cause reversal effects later on. Our study discovers short-term reversals, but in the long run investors benefit by following the overall trend on the stock market. Expanding our study to the Fama-French three-factor model we suggest that reversals in stock prices does not enable investors to gain statistically significant positive alphas on the Stockholm Stock Exchange. On the contrary, returns are driven by the factors of firm size and -value rather than behavioral biases of investors.
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Djerf, Martin, and August Lundgren. "Size and Seasonality : Using Enterprise Value and the January effect to Investigate the Size effect on the Swedish stock market 2000-2019." Thesis, Jönköping University, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49432.
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In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. This resulted in new models being developed, such as the Fama and French three-factor model which takes the size of a company into consideration (Fama & French, 1992). However, since the discovering of the size effect, several researchers have started to question its existence. (Asgharian & Hansson, 2008) Moreover, short after Banz findings, a study by Keim (1983) introduced results that complements the size effect. Keims study suggests that the size effect is present due to the fact that small-cap firms outperform large- cap firms during the month of January. This seasonal anomaly is called the “January effect” and could possibly be the reason for the existence of the size effect. The purpose of this study is to investigate if there is a size effect and/or a January effect present on the Swedish stock market (OMX) when using Enterprise Value as the measure for size. Enterprise Value has been chosen in order to consider the full capital structure of companies, hence, not solely the equity value. In order to answer these research questions, a quantitative study has been conducted on companies being listen on the OMX during the time period 2000-2019. The findings of the research are that there is no size effect present on the OMX. Furthermore, the research has found that there is a January effect present on the OMX. This paper suggests that the January effect might have been the reason for the presence of the size effect in history, but as of now, the size effect has diminished but the January effect still remains.
33
Rönngren, Andreas, and Ding Xu. "Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73545.
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We investigate the activity and performance of 64 Swedish registered mutual equity funds available in the Swedish Premium Pension System from October 2002 to December 2011. Fund activity is measured by applying the holdings based analysis Active Share combined with Tracking Error Volatility (TEV). Active Share is a relatively new measure that compares a fund’s holdings with its benchmark index constituents (Cremers & Petajisto, 2009; Petajisto, 2013). This is used as a proxy for the fund’s stock selection strategy. As a complement, TEV is used as a proxy for the factor timing strategy. Performance are measured by using Jensen’s (1968) model, Fama and French’s (1993) model and Carhart’s (1997) model. We document that Swedish funds in the Premium Pension System are relatively passive in term of Active Share compared to US funds. We attribute this finding to the relative number of stocks held by a fund compared to the market. Swedish equity funds hold a relatively larger share of the number of stocks in the Swedish market while US funds hold a relatively smaller share of the stocks in the US market. We run a panel regression analysis to test the relation between Active Share and various variables. We find that funds with higher TER fees and fewer stocks on average have higher Active Share. There are also indications that TEV is positively related to Active Share. However, the overall explanatory power of the variables is low. We attribute this as evidence that Active Share is an independent measure of fund activity. Overall, we find neutral performance for an equally weighted portfolio of all funds in the PPS. To examine the performance differences between different levels of activity, we sort funds into five portfolios based on Active Share and TEV. The results show that, given a medium-to-low TEV, funds with high Active Share significantly outperform funds with low Active Share. Furthermore, it appears that the fee rebate in the Premium Pension System is important especially for the passive funds. Without the rebate, the passive funds underperform significantly. We run a panel regression analysis on the future fund performance to test the predictive abilities of Active Share and TEV. The results indicate that Active Share does not explain future performance differences. Conversely, TEV is negatively related to future performance which can be explained by fund managers being overconfident
34
Dänhardt, Alexander, and David Gerby. "Nyemissioner i Sverige : Hur valet av motiv och emissionstyp påverkar aktieprestation och bolagsvärde." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-384231.
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Denna studie undersöker huruvida nyemissioners bakomliggande motiv påverkar hur det emitterande företaget värderas efter tillkännagivandet. Fenomenet undersöks på den svenska marknaden, då majoriteten av tidigare forskning bedrivits på utländska handelsplatser. Effekten av olika motiv analyseras för ett urval bestående av 203 observationer under en 14-årsperiod, mellan år 2005-2018, där samtliga nyemissioner genomförts på Nasdaq OMX Stockholm. Studien omfattar både riktade och företrädesmissioner. Avvikande avkastning beräknas på kort och lång sikt i samband med nyemissionernas tillkännagivande med hjälp av tre olika metoder (CAR, BHAR samt FF3M). Således mäts både den kortsiktiga annonseringseffekten såväl som företagets långsiktiga prestation mot index (OMXSPIoch SIXRX). Vidare används även multipel regressionsanalys för att undersöka om samband går att återfinna mellan motiven och avvikande avkastning. Studien finner signifikanta bevis för att underprestation i regel följer nyemissioners tillkännagivande. Negativt avvikande avkastning återfinns i de fall motivet uppges vara antingen rekapitalisation eller generella ändamål. Däremot förekommer ett positivt samband mellan avvikande avkastning och motivet investeringar, vilket indikerar på att dessa företag snarare överpresterar marknaden. Således argumenterar studien för att nyemissioners motiv har betydelse för hur företaget presterar, både på kort och lång sikt, vilket indirekt påverkar företagets värdering.The purpose of this thesis was to examine if the stated motive for a seasoned equity offering (SEO) affects company valuation, post-SEO. This was accomplished by calculating abnormal returns for a sample containing 203 SEOs over a 14 year period between 2005 and 2018. All companies being listed on Nasdaq OMX Stockholm during the time of their respective equity offering. By providing three different measurements for abnormal return (CAR, BHAR, and FF3M) as well as performing multiple regression analysis, the study finds significant evidence for general underperformance following the SEO. This is true for when the motive is stated as recapitalization or general corporate-related purposes. When the motive is stated as investment, the study finds significant evidence for post-SEO overperformance.
35
Hajric, Amina, and Kajsa Larsson. "Utvärdering av CAPM och Fama & French-trefaktormodellen : en studie på den svenska marknaden." Thesis, Högskolan Kristianstad, Sektionen för hälsa och samhälle, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-17214.
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Det är sedan länge känt att det finns en positiv korrelation mellan risk och avkastning. Investerare och bolag kan välja mellan flera olika prissättningsmodeller för att förutspå priset på en aktie. Forskare har, med den kända enfaktormodellen CAPM som utgångspunkt, utvecklat en modell som tar hänsyn till mer än bara marknadsfaktorn. Detta resulterade i framtagandet av Fama & French-trefaktormodellen (FF3) som även inkluderar storleksfaktorn SMB samt värdefaktorn HML. Syftet med studien är att utvärdera två prissättningsmodeller, CAPM och FF3, för att kunna bedöma deras prestanda vid värdering av förväntad avkastning. Tidigare forskning, inom området för nämnda modeller, berör ofta internationella marknader samt modellernas prestanda för portföljer. Vår studie utförs på utvalda enskilda svenska aktier inkluderade på Stockholmsbörsens Large Cap för januari år 2011 till december år 2015, genom att replikera tidigare forskning gjord av Bartholdy & Peare (2005). Utvalda bolag analyseras efter regressioner för modellerna för att kunna utvärdera dessa var för sig, samt för att se om FF3 har en högre justerad förklaringsgrad än CAPM för enskilda svenska aktier. Resultatet av studien visar att både CAPM och FF3 är applicerbara för utvalda enskilda svenska aktier. Ställs FF3 i förhållande till CAPM föreligger skillnad i justerad förklaringsgrad, dock är den ytterst marginell. Sammanfattningsvis bidrar studien med kunskapen om att CAPM och FF3 går att applicera på enskilda svenska aktier, men att det inte föreligger någon större skillnad i val av dessa två modeller.Investors and companies can choose between multiple pricing models to predict the price of shares. With the known one factor model CAPM, researchers have developed a model that consider more than just the market factor. This resulted in the creation of the Fama & French three factor model (FF3), which also includes the size factor SMB and the value factor HML. The purpose of the study is to evaluate two pricing models, CAPM and FF3, to assess their performance when evaluating expected returns. Previous research often deal with international markets and model performance of portfolios. We study selected individual Swedish shares for January 2011 to December 2015 by replicating previous research by Bartholdy & Peare (2005). Selected companies are analysed by regressions for the models to be able to evaluate these separately, and to see if FF3 has a higher degree of explanation than CAPM for individual Swedish shares. The result of the study shows that both CAPM and FF3 are applicable for selected individual Swedish shares. There is a difference in the adjusted degree of explanation between the models but it is marginal. In conclusion, the study contributes with the knowledge that CAPM and FF3 can be applied to individual Swedish shares, but there is no major difference in the choice of these two models.
36
Salmasi, Silvia Vidal. "Governança corporativa e custo de capital próprio no Brasil." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-29012008-121536/.
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Os mecanismos de proteção aos acionistas e credores surgiram prometendo às empresas que realizam investimentos em governança corporativa obter valorização da organização. Isto se daria porque os financiadores estariam menos expostos à expropriação do seu capital por meio de mecanismos de governança corporativa que assegurassem os seus direitos, o que facilitaria a comercialização de suas ações e títulos, o acesso ao mercado de capitais e uma redução do custo de capital, levando, assim, à valorização da empresa. Dentro deste contexto, este trabalho busca analisar a relação entre governança corporativa e o custo de capital próprio em empresas brasileiras de capital aberto. O presente estudo investiga se as empresas que adotam práticas de governança corporativa, medida pelos níveis diferenciados de governança corporativa da Bovespa, possuem um menor custo de capital próprio associado quando comparadas às empresas que não adotam tais práticas. Para o cálculo do custo de capital próprio foram utilizados o CAPM e o Modelo de Três Fatores com o intuito de verificar se a relação com as práticas de governança independe do método adotado. Utilizou-se a regressão linear múltipla para as análises estatísticas tendo como variável dependente o custo de capital próprio e as variáveis independentes de governança corporativa, grau de alavancagem financeira, grau de alavancagem operacional, os setores, o grau de intangibilidade da empresa e o tempo que a empresa está presente na Bovespa. Foi encontrada uma relação positiva do custo de capital próprio, medido pelo CAPM, com as empresas que adotam qualquer um dos níveis diferenciados de governança corporativa, ou seja, o custo de capital próprio é maior para empresas que aderiram a tais práticas. Nas demais análises, a governança corporativa não foi significativa. Dentro deste contexto, não se confirma a hipótese apresentada de menor custo de capital próprio associado à governança corporativa. Assim sendo, a valorização das empresas poderia se dar pelo incremento do fluxo de caixa esperado e não pela diminuição do custo de capital próprio. Pode-se considerar também que a adoção das práticas de governança corporativa estaria relacionada às empresas que possuem um maior risco associado, e que pretendem reduzi-lo adotando medidas de proteção ao acionista minoritário, ou ainda que o beta da empresa que representa o CAPM estaria mostrando um desempenho superior da empresa com relação ao mercado e dentro deste contexto não estaria sinalizando o risco associado, mas sim um melhor comportamento da ação da empresa se comparada ao mercado.Protection mechanisms to shareholders and creditors were created promising that companies that invest in corporate governance would be appreciated. This would be possible because investors would be less exposed to the expropriation of their own capital by means of corporate governance mechanisms that ensure their rights and, accordingly, this would facilitate the sale of their shares and securities, the access to the capital market and a decrease in the cost of capital, appreciating thus the company. In this context, this paper has the purpose of analyzing the relationship between corporate governance and the cost of capital in Brazilian publicly-traded companies. This study determines whether the companies that adopt corporate governance practices, measured by Bovespa\'s (São Paulo Stock Exchange) corporate governance different levels, have a lower cost of capital when compared to companies that do not adopt these practices. To calculate the cost of capital, the CAPM and the Three-factor model were used to verify whether the relationship with corporate governance practices depends or not on the method adopted. The multiple linear regression was used to analyze statistics and the dependent variable was the cost of capital and the independent variables were the degree of financial leverage, the degree of operating leverage, the industries, the company\'s degree of intangibility and the time the company is listed on Bovespa. A positive relationship between the cost of capital, measured by the CAPM, and companies that adopt any of the corporate governance different levels was found, namely, the cost of capital is higher for companies that adhered to these practices. In the other analyses, the corporate governance was not significant. In this context, the hypothesis determining that a lower cost of capital is related to corporate governance is not confirmed. Therefore, the companies could be appreciated by increasing the expected cash flow and not by decreasing the cost of capital. We may also consider that corporate governance practices would be adopted by companies subject to a higher risk and that intend to reduce it by adopting protection measures to the minority shareholder, or that the company\'s beta that represents the CAPM would show a higher performance in relation to the market and, in this case, this would not highlight the risk, but a better performance of the company\'s shares when compared to the market.
37
Wange, Erik, and Tor Wikman. "Bära eller brista - byte av noteringslista? : Nya resultat från svenska aktiemarknaden." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-150457.
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Denna eventstudie syftar till att undersöka hur ett byte av noteringslista påverkar kumulativ onormal avkastning (CAR) 1 till och med 12 månader efter genomfört byte. I studien undersöks därför utförda byten av noteringsplats på den svenska aktiemarknaden under tidsperioden 1995-2009. I studien beräknas onormal avkastning delvis med marknadsmodellen (MM) som grund, men också med Fama & French tre-faktormodell (FF) för att öka reliabiliteten. Vidare undersöks om skillnader i CAR föreligger under olika tidsintervall samt om olikheter förekommer efter att berörda företag delats in i undergrupper baserade på typ av byte, industri samt storlek. Slutligen testas utifall den eventuella kumulativa onormala avkastningen är signifikant skild från noll med student t-test samt om det föreligger skillnader i medelvärde i de olika undergrupperna. Resultatet visar att den genomsnittliga kumulativa onormala avkastningen (CAR) uppgår till – 4,57 % (MM), - 3,74 % (FF) en månad efter bytet, vilket är signifikant på 1 % - nivån. Denna negativa tendens håller i sig och efter 12 månader uppvisas CAR på – 20,20 % (MM), -16,99 % (FF) även dessa statistisk säkerställda på 1 % - nivån. Detta resultat är i linje med liknade studier på andra aktiemarknader. Vi kan alltså dra slutsatsen att detta fenomen även föreligger på den svenska aktiemarknaden samt konstatera att händelsen listbyte är något både företag och aktieägare bör beakta mer varsamt.
38
Jämtander, Jämtander. "Models explaining the average return on the Stockholm Stock Exchange." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40360.
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Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used.
39
Strand, Johanna, and Emilia Karlsson. "Can You Trust Investment Strategies? : An Empirical Study of Five Easily Available Investment Strategies Suitable for All Investors." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-84909.
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This study examines the Swedish Stock Exchange during the time period of 1998-2016. Where the purpose is to investigate and compare five different investment strategies to see if these investment strategies can create excess return on their investments, after adjustment for risk. The investment strategies can be found on the internet, and be used after purchasing a smaller amount of money, therefore the results can be applied to all investors independent on their level of experience. The results for the different investment strategies are not clear, the different tests give mixed results which leaves four of five hypotheses unanswered. However, there is one strategy that can be rejected, it cannot beat the market, which is the Net-Nets strategy. In general, one could thus say that the investment strategies can create higher return compared to the market, but that these returns are random. Therefore, it requires a longer time period for the investor as well as higher risk, since one never knows when this large return will be given.
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Ballout, Rami, and Fredrik Nygård. "Can intangibles lead to superior returns? : Global evidence on the relationship between employee satisfaction and abnormal equity returns." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73263.
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Subject background and discussion: In recent decades, issues of human rights, labor and environmental change has been hot topics world wide, which also has influenced the financial market. More and more investors use socially responsible investing (SRI) screens when constructing their portfolios. One form of SRI screen is to choose companies that have satisfied employees. Existing theory says that employee satisfaction is an intangible asset to the firm that will positively affect a firm’s performance in the future. Intangible assets are often unrecognized by the market and thereby not incorporated in the stock price. The efficient market hypothesis has been studied and debated for several decades. Proponents of the EMH argue that all available information is incorporated in the stock price, thus it is not possible to systematically beat the market. However, EMH is controversial, since research has shown different results regarding the possibility to make abnormal return from various investing strategy. Research question: Is it possible to make abnormal returns by investing in a portfolio of worldwide firms with top scores on the SRI screen employee satisfaction? Purpose: The main purpose of this study is to examine investor’s possibility to make abnormal return with controls for multiple risk factors by investing in worldwide firms with top scores in employee satisfaction. One sub-purpose is to examine how the market values intangibles depending on the degree of market efficiency. Another sub-purpose of the study is to test two different portfolio weighting methodologies, equally- and value weighted, and observe the differences between them. Theory: This study deals with the efficient market hypothesis and the concepts of SRI, employee satisfaction, intangible assets and several risk-adjusted measurements. Method: We have chosen to perform a quantitative study with a deductive approach to answer our research question. We used a sample size of 696 firms based on “Great Place to Works”- lists of companies with high employee satisfaction to construct sex portfolios with different holding periods and strategies. These portfolios have been explored and tested significantly with both equally and value weighted methods. Result/Analysis: The study finds significant evidence of an average annual abnormal return of 3,66% and 2,43% for our main portfolio over the market for equally- and value weighted, respectively, using the three-factor model. When adjusting for momentum, thus employing the four-factor model, all the predictive variables still identify strong persistence in the abnormal return, with statistical significance. Conclusion: The results show that it is possible to make abnormal returns, during the observed time period, regardless of the weighing methodology, although the equally weighted received higher abnormal returns. Thus, the market efficiency appears to be in weak form and does not fully value intangibles.
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Rogers, Ann Kathleen. "Confirmatory factor analysis of three models of attention." Virtual Press, 1995. http://liblink.bsu.edu/uhtbin/catkey/1019479.
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The latent variable structure of the Wide Range Assessment of Memory and Learning (WRAML) test (Sheslow & Adams, 1990) has been suggested to contain an attention factor comprised of the subtests: Finger Windows, Number/Letter, and Sentence Memory. The multidimensional nature of the attention construct has not been addressed in previous studies with the WRAML. The present investigation was designed to investigate the relationship between the WRAML subtests and a diverse battery of attention tests. Three competing latent variable models of the attention construct were developed in which the WRAML subtests were hypothesized to be affected by different components of attention. The battery, administered to 120 males between 9 and 14 years of age consisted of the WRAML subtests, Digit Span, Arithmetic, Coding, Trails A, Trails B, Category Test, Speech Sounds Perception Test, Wisconsin Card Sorting Test, and a Continuous Performance Test.Significant correlations were obtained between all the tests in the battery. Confirmatory factor analysis results suggested that a four factor model of attention (Focus-Execute, Shift, Sustain, Encode) similar to that obtained by Mirsky and others, (1991) was the best data fit. The WRAML subtests were affected by the Encode element of attention in the current analysis.Department of Educational Psychology
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Yalcin, Ozge. "The Performance Evaluation And Persistence Of A Type Mutual Funds In Turkey." Thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614099/index.pdf.
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Literature reveals studies on mutual fund performance analysis and persistency, with various results. Some studies support hort term performance persistence, while the rest claiming no such persistency among the portfolios. This thesis is an attempt to analyze the performances of Turkish open-end mutual funds for the period of 2003-2010 and search for persistency by extending the time period to June 2011.
For performance evaluation, single factor CAPM and ama-French&rsquos Three Factor Model are applied. Persistency analysis is done by tracking the relative fund performances on a monthly basis. The results of this study indicate that for the sample period, Turkish A Type mutual funds neither overperform nor underperform the overall market. Nearly all Jensen&rsquo
s alphas are found to be zero, statistically significant. This is also an implication that the mutual funds are earning their expected returns in an efficient mutual fund market in Turkey. The Fama-French&rsquo
s three factor model shows slightly better performance, on the other hand. The size and book to market equity factors are not found significant in general, however they are found jointly significant in all regressions. Persistency is analyzed by tracking the mutual fund erformances on monthly basis. When some mutual funds showed negative or positive performance persistency during the period individually, but the overall picture demonstrates a balanced distribution of performance groups. The number Loser-Loser performances is slightly more than the other three groups, resulting in a tendency for short term negative persistency for the sample analyzed between the period of January 2003 to June 2011.
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Hukka, Sonja, and Samri Said. "Hållbara trender - presterande fonder? : En kvantitativ studie om hur ESG påverkar Sverigefonders prestation." Thesis, Södertörns högskola, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-45770.
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Sustainability has become a major societal trend and interest in sustainable investments has increased among investors. The purpose of this study is to investigate how sustainability affects Swedish funds' returns and risk. Since research on the impact of sustainability on funds focuses mostly on investments outside Sweden, this study has limited itself to Swedish funds to fill the gap in research. The study analyzes 67 Swedish funds during 2015-2019 using various models such as CAPM, Fama-French three-factor model and Sharpe ratio. Furthermore, the funds' sustainability is measured using Morningstar's sustainability rating. Results show no signs of linear regression between sustainability and results from different models and the results of the study are not statistically significant. Thus, the study concludes that it is not sustainability that affects risk and return among the Swedish funds, but there may be other factors that have not been taken into account in this study. However, previous research shows that sustainable funds perform better and are more stable during times of crisis. This study has not examined the Swedish funds during times of crisis, but this may be an interesting topic for future research.Hållbarhet har blivit en stor samhällstrend och intresset för hållbara investeringar har ökat bland investerare. Syftet med denna studie är att undersöka hur hållbarhet påverkar Sverigefonders avkastning och risk. Eftersom forskning kring hållbarhetens påverkan på fonder fokuserar mestadels på investeringar utanför Sverige har denna studie avgränsat sig till Sverigefonder för att fylla luckan i forskningen. Studien analyserar 67 Sverigefonder under 2015-2019 med hjälp av olika modeller såsom CAPM, Fama-French trefaktormodell och Sharpekvot. Vidare mäts fondernas hållbarhet med hjälp av Morningstar hållbarhetsbetyg. Resultat visar inga tecken på linjär regression mellan hållbarhet och resultat från olika modeller samt studiens resultat är inte statistiskt signifikanta. Därmed är studiens slutsats att det inte är hållbarhet som påverkar på risk och avkastning bland Sverigefonderna utan det kan vara andra faktorer som inte tagits hänsyn till i denna studie. Däremot visar tidigare forskning att hållbara fonder presterar bättre och är mer stabila under kristider. Denna studie har inte undersökt Sverigefonderna under kristider men detta kan vara ett intressant ämne för framtida forskning.
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Finlayson, Eric F. "Stress Intensity Factor Distributions in Bimaterial Systems - A Three Dimensional Photoelastic Investigation." Thesis, Virginia Tech, 1998. http://hdl.handle.net/10919/36504.
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Stress-freezing photoelastic experiments are conducted using two different sets of photoelastic materials to investigate stress intensity behavior near to and coincident with bimaterial interfaces. Homogeneous, bonded homogeneous, and bonded bimaterial single edge-cracked tension specimens are utilized throughout the investigation for comparative purposes. The first series of tests involves machined cracks obliquely inclined to the direction of far field tensile loading. Mixed-mode stress intensity factors are observed and quantified using a simplified analytical algorithm which makes use of experimentally measured data. In this series of tests, the bimaterial specimens consist of a photoelastic material bonded to the same material containing a moderate quantity of aluminum powder (for elastic stiffening purposes). Moderate yet similar increases in stress intensity factors are observed in bonded homogeneous and bonded bimaterial specimens, suggesting the presence of bondline residual stresses (rather than elastic modulus mismatch) as the primary contributing factor. The second series of tests involves the bonding of mutually translucent photoelastic materials whose elastic module differ by a ratio of approximately four to one. Cracks are placed both near and coincident to the bimaterial interfaces. Mode-mixity and increases in stress intensity are found only in bimaterial specimens whose cracks are placed close to the bondline. Using the materials from the first series of tests it is shown that the increases in these near-bondline experiments are due to thermal mismatch properties (incurred during the stress freezing cycles) rather than mechanical mismatch properties.Master of Science
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Daniele, Maurizio [Verfasser]. "Three Essays on Regularization Methods in High-Dimensional Factor Models / Maurizio Daniele." Konstanz : KOPS Universität Konstanz, 2020. http://d-nb.info/1216418632/34.
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Havlíková, Ivana. "Vyhodnocení lomových testů těles z vybraných stavebních materiálů pomocí modelu Dvojí-K." Doctoral thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-355611.
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The purpose of dissertation is the analysis of the calculation of fracture parameters using Double-K fracture model for quasi-brittle specimens with the stress concentrator loaded by three-point bending or wedge splitting. To calculation of these parameters was used the developed DKFM_BUT software in Microsoft Excel application with using of Visual Basic programming language. Furthermore, the adequate shape functions and compliance functions were introduced for the selected wedge splitting test configurations. Main part of this dissertation is the series of comprehensively implemented and evaluated fracture experiments on specimens from advanced building materials, while the attention was paid to the analysis of experimental data. Finally, the selected results obtained using mentioned software support were presented and discussed.
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Zagidullina, Aygul [Verfasser]. "Three Essays on Covariance Matrix Estimation and Factor Models in High Dimensions / Aygul Zagidullina." Konstanz : KOPS Universität Konstanz, 2019. http://d-nb.info/119221594X/34.
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Du, Chenguang. "How Well Can Two-Wave Models Recover the Three-Wave Second Order Latent Model Parameters?" Diss., Virginia Tech, 2021. http://hdl.handle.net/10919/103856.
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Although previous studies on structural equation modeling (SEM) have indicated that the
second-order latent growth model (SOLGM) is a more appropriate approach to
longitudinal intervention effects, its application still requires researchers to collect at least
three-wave data (e.g. randomized pretest, posttest, and follow-up design). However, in
some circumstances, researchers can only collect two-wave data for resource limitations.
With only two-wave data, the SOLGM can not be identified and researchers often choose
alternative SEM models to fit two-wave data. Recent studies show that the two-wave
longitudinal common factor model (2W-LCFM) and latent change score model
(2W-LCSM) can perform well for comparing latent change between groups. However, there
still lacks empirical evidence about how accurately these two-wave models can estimate the
group effects of latent change obtained by three-wave SOLGM (3W-SOLGM). The main
purpose of this dissertation, therefore, is trying to examine to what extent the fixed effects
of the tree-wave SOLGM can be recovered from the parameter estimates of the two-wave
LCFM and LCSM given different simulation conditions.
Fundamentally, the supplementary study (study 2) using three-wave LCFM was
established to help justify the logistics of different model comparisons in our main study
(study 1). The data generating model in both studies is 3W-SOLGM and there are in total
5 simulation factors (sample size, group differences in intercept and slope, the covariance
between the slope and intercept, size of time-specific residual, change the pattern of
time-specific residual). Three main types of evaluation indices were used to assess the
quality of estimation (bias/relative bias, standard error, and power/type I error rate). The
results in the supplementary study show that the performance of 3W-LCFM and
3W-LCSM are equivalent, which further justifies the different models' comparison in the
main study. The point estimates for the fixed effect parameters obtained from the two-wave
models are unbiased or identical to the ones from the three-wave model. However, using
two-wave models could reduce the estimation precision and statistical power when the
time-specific residual variance is large and changing pattern is heteroscedastic
(non-constant). Finally, two real datasets were used to illustrate the simulation resultsDoctor of Philosophy
To collect and analyze the longitudinal data is a very important approach to understand the phenomenon of development in the real world. Ideally, researchers who are interested in using a longitudinal framework would prefer collecting data at more than two points in time because it can provide a deeper understanding of the developmental processes. However, in real scenarios, data may only be collected at two-time points. With only two-wave data, the second-order latent growth model (SOLGM) could not be used. The current dissertation compared the performance of two-wave models (longitudinal common factor model and latent change score model) with the three-wave SOLGM in order to better understand how the estimation quality of two-wave models could be comparable to the tree-wave model. The results show that on average, the estimation from two-wave models is identical to the ones from the three-wave model. So in real data analysis with only one sample, the point estimate by two-wave models should be very closed to that of the three-wave model. But this estimation may not be as accurate as it is obtained by the three-wave model when the latent variable has large variability in the first or last time point. This latent variable is more likely to exist as a statelike construct in the real world. Therefore, the current study could provide a reference framework for substantial researchers who could only have access to two-wave data but are still interested in estimating the growth effect that supposed to obtain by three-wave SOLGM.
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Lee, Moonhyun. "Digital-Based Zero-Current Switching (ZCS) Control Schemes for Three-Level Boost Power-Factor Correction (PFC) Converter." Diss., Virginia Tech, 2020. http://hdl.handle.net/10919/99694.
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With the increasing demands on electronic loads (e.g. desktop, laptop, monitor, LED lighting and server) in modern technology-driven lives, performance of switched-mode power supply (SMPS) for electronics have been growing to prominence. As front-end converters in typical SMPS structure, ac-dc power-factor correction (PFC) circuits play a key role in regulations of input power factor, harmonics and dc output voltage, which has a decisive effect on entire power-supply performances. Universal ac-line and low-power system (90–264 Vrms, up to 300–400 W) is one of the most common power-supply specifications and boost-derived PFC topologies have been widely used for the purpose. In order to concurrently achieve high efficiency and low-cost system in the PFC stage, zero-current switching (ZCS) control schemes are highly employed in control principles. Representative schemes are discontinuous conduction mode (DCM) and critical conduction mode (CRM). Both modes can realize ZCS turn-on without diode reverse recovery so that low switching losses and low-cost diode utilizations are obtainable.
Among various boost-family PFC topologies, three-level boost (TLB) converter has generated considerable research interest in high-voltage high-power applications. It is mainly due to the fact that the topology can have halved component voltage stresses, improved waveform qualities and electromagnetic interference (EMI) from phase interleaved continuous conduction mode (CCM) operations, compared to other two-level boost PFC converters. On the other hand, in the field of universal-line low-power applications, TLB PFC has been thoroughly out of focus since doubled component counts and increased control complexity than two-level topologies are practical burden for the low-cost systems. However, recent researches on TLB PFC with ZCS control schemes have found that cost-competitiveness of the topology is actually comparable to two-level boost PFC converters because the halved component voltage stresses enable usage of low voltage-rating components of which unit prices are cheaper than higher-rating ones. Based on the justification, researches on ZCS control schemes for TLB PFC have been conducted to get enhanced waveform qualities and performance factors.
Following the research stream, a three-level current modulation scheme that can be adopted in both DCM and CRM is proposed in Chapter 2 of this dissertation. Main concept of the proposed current modulation is additional degree-of-freedom in current-slope shaping by differentiating on-times of two active switches, which cannot be found from any other single-phase boost-derived PFC topologies. Using the multilevel feature, proposed operations in one switching period consist of three steps: common-switch on-time, single-switch on-time and common-switch off-time. The single-switch on-time step is key design factor of the proposed modulation that can be utilized either in fixed or adjustable form depending on control purpose. Based on the basic modulation concept, three-level CRM control scheme, adjustable three-level DCM control scheme, and spread-spectrum frequency modulation (SSFM) with adjustable three-level DCM scheme are proposed in Chapter 3–5, respectively.
In each chapter, implemented control scheme aims to improve different performance factors. In Chapter 3, the proposed three-level CRM scheme uses increased single-switch on-time period to reduce peak inductor current and magnitude of variable switching frequency. It is generally accepted fact that CRM operations suffer from high switching losses and poor efficiency at light load due to considerable increment of switching frequency. Thus, efficiency improvement effect by the proposed CRM scheme becomes remarkable as load condition goes lighter. In experimental verifications, maximum improvement is measured by 1.2% at light load (20%) and overall efficiency is increased by at least 0.4% all over the load range. In Chapter 4, three-level DCM control scheme adopts adjustable single-switch on-time period in fixed switching-frequency framework. The purpose of adjustable control scheme is to widen the length of non-zero inductor current period as much as possible so that discontinued current period and high peak current of DCM operations can be minimized. Experiment results show that, compared to conventional two-level DCM control, full-load peak inductor currents are reduced by 20.2% and 17.1% at 110 and 220 Vrms input voltage conditions, respectively. Moreover, due to turn-off switching energy decrements by the turn-off current reductions, efficiency is also improved by at least 0.4% regardless of input voltage and load conditions. In Chapter 5, a downward SSFM technique is developed first for DCM operations of boosting PFC converters including two-level topologies. This chapter aims to achieve significant reduction of high differential-mode (DM) EMI amplitudes from DCM operations, which is major drawback of DCM control. By using the simple linearized frequency modulation, peak DM EMI noise at full load condition is reduced by 12.7 dBμV than conventional fixed-frequency DCM control. On top of the proposed SSFM, the adjustable three-level DCM control scheme in Chapter 4 is adopted to get further reductions of EMI noises. Experimental results prove that the collaborations of SSFM and adjustable DCM scheme reduce the EMI amplitudes further by 2.5 dBμV than the result of SSFM itself. The reduced EMI amplitudes are helpful to design input EMI filter with higher cut-off frequency and smaller size.
Different from two-level boosting PFC converters, TLB PFC topology has two output capacitors in series and inherently suffers from voltage unbalancing issue, which can be noted as topological trade-off. In Chapter 6, two simple but effective voltage balancing schemes are introduced. The balancing schemes can be easily built into the proposed ZCS control schemes in Chapter 3–5 and experimental results validate the effectiveness of the proposed balancing principles.
For all the proposed control schemes in this dissertation, detailed operation principles, derivation process of key equations, comparative analyses, implementation method with digital controller and experimental verifications with TLB PFC prototype are provided.Doctor of Philosophy
Electronic-based devices and loads have been essential parts of modern society founded on rapid advancements of information technologies. Along with the progress, power supplying and charging of electronic products become routinized in daily lives, but still remain critical requisites for reliable operations. In many power-electronics-based supplying systems, ac-dc power-factor correction (PFC) circuits are generally located at front-end to feed back-end loads from universal ac-line sources. Since PFC stages have a key role in regulating ac-side current quality and dc-side voltage control, the importance of PFC performances cannot be emphasized enough from entire system point of view. Thus, advanced control schemes for PFC converters have been developed in quantity to achieve efficient operations and competent power qualities such as high power factor, low harmonic distortions and low electromagnetic interferences (EMI) noises. In this dissertation, a sort of PFC topologies named three-level boost (TLB) converter is chosen for target topology. Based on inherent three-level waveform capability of the topology, multiple zero-current switching (ZCS) control schemes are proposed. Compared to many conventional two-level PFC topologies, TLB PFC can provide additional degree-of-freedom to current modulation. The increased control flexibility can realize improvements of various waveform qualities including peak current stress, switching frequency range, harmonics and EMI amplitude. From the experimental results in this dissertation, improvements of waveform qualities in TLB PFC with the proposed schemes are verified with comparison to two-level current control schemes; in terms of efficiency, the results show that TLB PFC with the proposed schemes can have similar converter efficiency with conventional two-level boost converter in spite of increased component counts in the topology. Further, the proposed three-level control schemes can be utilized in adjustable forms to accomplish different control objectives depending on system characteristics and applications. In each chapter of this dissertation, a novel control scheme is proposed and explained with details of operation principle, key equations and digital implementation method. All the effectiveness of proposals and analyses are validated by a proper set of experimental results with a TLB PFC prototype.
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Pacheco, Juliano de Oliveira. "AC-DC Cuk converter based on three state switching cell with power factor correction applied in battery charger." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=14579.
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CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel SuperiorThis work presents the study and implementation of an ac-dc Ćuk converter based on the three state switching cells applied in charger stations for electric vehicles. This converter has, as main characteristics, reduction of conducting power losses in the semiconductors, a single stage topology and current source behavior for both input and output terminals. As drawbacks, the topology presents: the voltage across the semiconductors is equal to the sum of the input and the output voltages, and a difference between the current values through the semiconductors caused by an inappropriate layout of the power prototypes or by a lack of symmetry between the control signals. The analysis of the converter is made through the qualitative and quantitative studies, beyond the analysis of the semiconductor losses which are presented as well. The current and voltage of the battery are controlled by the average current mode technique, which consist in a fast current control loop if compared with the terminals battery voltage control loop. The topology is design for 1 kW output power, 220 V in input voltage and 162 V in the output terminals (12 batteries in series connection). Experimental results for resistive load, as well batteries, are shown in order to verify the functionalities of the topology and its characteristics.
Este trabalho apresenta o estudo e desenvolvimento de um conversor ca-cc Ćuk baseado na cÃlula de comutaÃÃo trÃs estados para aplicaÃÃo em carregadores de baterias para veÃculos elÃtricos. As principais caracterÃsticas deste conversor sÃo: a reduÃÃo das perdas por conduÃÃo nos interruptores controlados, um Ãnico estÃgio de processamento de potÃncia e caracterÃstica de fonte de corrente na entrada e na saÃda. Como inconvenientes a topologia apresenta: a tensÃo sobre os semicondutores igual à soma das tensÃes de entrada e saÃda e o desequilÃbrio de corrente atravÃs dos componentes quando hà assimetria no layout da placa de potÃncia ou nos sinais de comando dos interruptores. Um estudo teÃrico à realizado atravÃs das anÃlises qualitativa e quantitativa, alÃm das anÃlises do processo de comutaÃÃo e das perdas nos componentes do conversor. Para controlar o fluxo de potÃncia da rede elÃtrica para as baterias à utilizada a estratÃgia de controle modo corrente mÃdia, sendo que, a mesma apresenta uma malha de corrente rÃpida que monitora a corrente de entrada e uma malha de tensÃo lenta que supervisiona a tensÃo sobre os terminais da bateria. Neste trabalho à realizado o projeto do carregador de baterias para aplicaÃÃo em veÃculos elÃtricos com 1 kW de potÃncia, tensÃo de entrada eficaz de 220 V e tensÃo de saÃda de 162 V, correspondente a 12 baterias conectadas em sÃrie. Um protÃtipo com as especificaÃÃes indicadas foi construÃdo e testado experimentalmente em laboratÃrio e os resultados de simulaÃÃo e experimentais obtidos sÃo utilizados para validar a anÃlise teÃrica e o projeto realizado. Foram realizados testes com carga puramente resistiva e em seguida com um banco de baterias, que comprovaram o funcionamento da topologia.