Browsing by Author "Hulth, Max"

Now showing 1 - 3 of 3

Är riskjusterad fondavkastning en funktion av fondförvaltarens bakgrund och egenskaper?
(2015-02-06) Hulth, Max; Höjding, Anton; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Avkastning och risk för en aktiefond styrs generellt av flera direkta och indirekta mekanismer, exempelvis relaterade till nationella makroekonomiska faktorer såsom ränteförändring och inflation. Utöver makroekonomiska faktorer finns indirekt mikroekonomisk påverkan, exempelvis relaterad till riskaversion, preferenser och irrationellt beteende hos individen. Därtill påverkas aktiefondernas avkastning och risk av övergripande internationella konjunkturcykler, inkluderande internationell makroekonomi. Studien som här presenteras fokuserar på att undersöka och kvantifiera hur bakgrund och egenskaper hos fondförvaltare systematiskt påverkar avkastning och riskexponering för 42 aktivt förvaltade svenska aktiefonder. Undersökningen inkluderar utbildningsnivå, kön, ålder och erfarenhet hos ansvarig fondförvaltare som förklarande variabler, samt avkastning, risk och riskjusterad avkastning som beroende variabler. Studien använder Sharpekvot, Treynorkvot och Jensens alpha som värderingskvoter för att åskådliggöra riskjusterad avkastning över tid. Undersökningen indikerade en stor genusdiskrepans hos svenska fondförvaltare eftersom endast 3 av 42 undersökta fonder hade en kvinna som ansvarig fondförvaltare. Eftersom utfallet av Treynorkvot och Jensens alpha beror på val av index fokuserade modellstudien på att jämföra riskjusterad avkastning med hjälp av Sharpekvot. Studien demonstrerade att förvaltare med en civilekonomexamen (eller motsvarande utbildning, normalt minst 4 års universitetsutbildning) hade en positiv påverkan på fondens absoluta och riskjusterade avkastning (Sharpekvot), jämfört med förvaltare som hade en kandidat- eller masterexamen. Förvaltare med civilekonomexamen hade även ett generellt lägre risktagande jämfört med förvaltare som hade en kandidatexamen. Det var ett statistiskt signifikant negativ samband mellan förvaltarnas ålder och fondernas Sharpekvot. Det fanns även en icke statistiskt signifikant trend att avkastningen var lägre hos fonder med kvinnliga fondförvaltare jämfört med de fonder som hade en manlig fondförvaltare.
The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques
(2018-07-04) Hulth, Max; Nilsson, Gustav; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
The Capital Asset Pricing Model (CAPM) is a widely used tool to describe the risk-return relationship for stocks. Several studies focusing on asset pricing have during the last decades indicated that the one-factor model CAPM is associated with limitations to explain the cross-sectional and time variation in expected stock returns. Furthermore, the returns of stocks has been suggested to, at least partly, be driven by anomalies. Multi-factor pricing models, such as the Fama French three-factor and the Carhart four-factor models, are therefore considered as suitable alternatives to more accurately capture the risk and return trade-off. This master’s thesis used portfolio sorting techniques and statistical analyses to evaluate the importance of a broad suite of explanatory variables related to asset returns. Book value of leverage, size, book-to-market ratio, price-to-earnings ratio, return on asset, return on equity, and the investment-to-asset ratio were used to describe the risk and return trade-off in the Swedish equity market during the sample period 2004-2017. Results from portfolio sorting supported significant positive correlations between stock returns and the book-to-market ratio, return on asset, and return on equity, respectively. Further, a significant negative correlation between price-to-earnings ratio and stock return was observed. Although not statistically significant in the portfolio sorting, investment-to-asset ratio was significantly negatively correlated with stock returns for the value-weighted portfolios after the market factors from the Carhart four-factor model were taken into account. In contrast, the variables leverage and size were not able to predict cross-sectional differences in stock returns on the Swedish market over the period studied.
What is the optimal capital structure for PS Partner, a private company, in order to maximize the value of the firm?
(2016-06-30) Hulth, Max; Börjesson, Sebastian; University of Gothenburg/Department of Business Administration; Göteborgs universitet/Företagsekonomiska institutionen
This thesis is a study aimed to find the optimal capital structure for PS Partner, a private company active within consulting and recruitment. Since financing decisions and structural partitioning between retained earnings, equity and debt will affect the market value and hence the cost of capital, this study focused on estimating parameters to find an optimal leverage ratio for financing and thereby maximize the value of the firm. The optimal capital structure for the private company was estimated using the trade-off theory by weighing the effects of leverage from the benefit of a tax shield against the disadvantage of increasing the risk for financial distress. Owners of private companies often have a majority of their current wealth invested in the company, whereas they lack financial diversity compared to investors of public companies. It has been argued that several economic models are originally designed for public firms and therefore need to be adjusted prior to use in private firms, e.g. to compensate private investors for the increased risk. In this study, the optimal capital structure was estimated to ≈ 30 % debt of the firm’s value, which generated a market value of approximately 20.4 MSEK, an increase of 5,4% compared to the present value. Without leverage, the required return on equity was estimated to 12 %. At the optimal capital structure, the cost of capital was estimated to 11% with a required return on equity of 15%.