I denna studie har vi haft som avsikt att jämföra två modeller som förklarar avkastningen på aktiemarknaden. Modellerna är Capital Asset Pricing Model (CAPM) och Fama-French trefaktormodell(FF3). Undersökningen har gjorts på Nasdaq OMX Nordic Stockholm över perioden 2002 till 2012. Vi har valt att göra denna undersökning för att se huruvida FF3 med två extra faktorer kan förklara avkastningen på aktiemarknaden bättre än CAPM. Sex portföljer konstruerades och vi har visat att FF3 statistiskt signifikant förklarar mer än CAPM för fem av sex portföljer.

Purpose: The purpose of the study is to in a comparative and causal way explore whether there is a relationship between risk and return and also how it is perceived on the Nordic financial markets.Theory: The theoretical frame of reference applied in the thesis is considered relevant inthe perspective of the study?s purpose and research questions. We have among other theories used The Capital Asset Pricing Model, The Efficient Market Hypothesis and various Behavioural finance theories.Method: The study has its starting point in a quantitative approach with a quantitative data analysis supported by secondary data extracted from Thomson Reuters.Empirics: The empirics contains regression analyses made from calculated secondary data of 240 randomly chosen companies from Nasdaq OMX Stockholm, NasdaqOMX Copenhagen, Nasdaq OMX Helsinki and Oslo Bors.Conclusion: The study conclusions show that there are both a negative and positive relationship between volatility and actual return on the investigated markets. Considering this prior statement we can conclude that the Capital Asset Pricing Model can?t correctly describe the actual relationship between the parameters investigated on the current sample.

Previous work by researchers as Eugene F. Fama and Kenneth R. French, show that average return on stocks are related to a firms characteristics like size and book-to-market ratio. These kinds of patterns in average return is not explained by The Capital Asset Pricing Model (CAPM), and are therefore seen as anomalies. Fama and French have proposed a three-factor model, which captures patterns observed in U.S average returns associated with size and value.

This thesis explores some issues regarding estimations of the cost of capital on the Stockholm Stock Exchange through reverse engineering of the Residual Income Valuation model and through usage of the Capital Asset Pricing Model. Previous studies are in conflict of whether the risk premium changes considerably over time or not. Furthermore, the risk premium estimated by CAPM tends to be fairly stable. In this study, reverse engineering of the cost of capital implied by analysts? forecasts shows a significant difference in the risk premium over time.

Denna studie jämför hur Capital Asset Pricing Model (CAPM) och Fama-French trefaktorsmodell förklarar och förutspår avkastning på en global aktiemarknad. CAPM utgår ifrån att investerarna förväntar sig en riskfri ränta adderat marknadspremien multiplicerat med företagens exponering mot marknaden. Fama-Frenchs är en utvidgning av CAPM modellen, där företagens storlek och book-to-market-värde läggs till som förklarande variabler för avkastning. Genom regressionsmodeller och prediktioner för portföljer indelade i storlek och book-to-market jämförs modellerna. Fama-French tycks vara genomgående bättre på att förklara och förutspå avkastning under perioden 1990m07-2013m02 för samtliga portföljer, förutom portföljen för stora företag med medelhögt book-to-market värde.

Sedan 2005 är det genom en förordning av Europeiska unionen bestämt att svenska börsnoterade företag ska nedskrivningstesta sin goodwill. Diskonteringsräntan som appliceras vid denna nedskrivningsprövning är av väsentlig betydelse. Vi replikerar delvis en studie av Carlin & Finch (2009) som beräknade teoretiska diskonteringsräntor enligt Capital Asset Pricing Model (CAPM) och jämförde med de diskonteringsräntor som börsnoterade företag i Australien använt i sin redovisning. Carlin & Finch (2009) ansåg att avvikelserna däremellan kunde förklaras genom utövanden som är diskretionära och att opportunistiskt beteende förekommer när företag sätter sin diskonteringsränta. Vi använder ett underlag bestående av Sveriges största börsnoterade företag, de som är noterade på Large Cap- och Mid Cap-listan på Stockholmsbörsen, och studerar hur andelen som redovisat en enligt CAPM avvikande diskonteringsränta förändrats sedan de nya redovisningsreglerna trädde i kraft år 2005 till år 2009.

Scania?s discount rate - the return requirement of investments - refers to Scania?s WACC or weighted average cost of capital. The capital markets return requirement on equity and the credit market interest cost of borrowing is weighted to become the single discount rate, the WACC. The purpose of this study is to investigate which asset pricing model of APT and CAPM Scania should use in their WACC calculations. The company now uses a group WACC of 11 percent which is used in all company levels.

This paper presents a study of the Swedish public service television broadcaster - Sveriges Televisions (SVT) transfer pricing model. The aim of the thesis is to examine the motives for using transfer pricing from a theoretical perspective and if SVT?s transfer pricing model fulfils these motives. We will also examine any potential managerial problems the existing transfer-pricing model might cause and discuss how these could be solved. We have in our study found that the main motive for using transfer pricing within SVT is to allocate internal resources as efficiently as possible.

The cost of capital for traded companies is basically assessed on information from thefinancial market. Small and non-traded companies are lack of this necessary financialmarket information in order to determine an appropriate equity risk premium and tocompute the cost of capital.In the absence of financial information necessary for an external investor, it is difficult toevaluate a non-traded company with the Capital Asset Pricing Model (CAPM), which isbased on the financial market information. It measures only the systematic risk, which isthe contribution of one share to the market risk of a portfolio. It is therefore important tofind models that reflect the small and non-traded companies? real business value and theirunique characteristics.

One could argue that the most discussed topic in finance is whether or not it is possible to ?beat the market?. Even though many people claim to do this, there is little evidence to support the idea that one can consistently beat the market over a long period of time. There are indeed several examples of investors who have managed to outperform the market consistently for a long time, but the efforts of these individuals or institutions could by many be considered to be pure luck.One of the many strategies that have been evaluated by several researchers and is said to generate a risk adjusted return greater than that of the market, is one based on the P/E-effect. This strategy is based on the financial ratio P/E ? price divided by earnings ? and used by constructing portfolios consisting of stocks with low P/E ratios.

Purpose: The purpose of this master thesis is to investigate how a pricing capability can be developed on a general as well as on a practical level in an industrial company working on the international business-to-business market. Methodology: We have conducted a case study of the work on pricing at Triton. After mapping the events we have evaluated the results. We have conducted interviews with people with information concerning Tritons work in the Pricing area. Theoretical perspectives: The theory includes organization and structure, pricing for the market with emphasis on transactions and theories on how to understand the customer.

Background: Since the early 60?s, the CAPM or Capital Asset Pricing Model, has been an invaluable tool for assessing an asset's expected return, assuming that the asset is added to an already well-diversified portfolio of assets. CAPM theory assume that the unsystematic risk can be diversified and that the systematic, market-specific, risk is determined by the Beta value, from the Greek ?. An investor who takes big risks expect higher returns.One of the CAPM?s basic assumptions is that disruption in the market is not taken into account.

The purpose of this thesis is to ascertain the main determinable factors of Swedish SMEs capital structure decisions and to investigate whether existing capital structure theories are applicable on Swedish SME financing. We have used panel data to run regressions of various capital structure determinants on three measures of capital structure; short- term debt, long-term debt and total debt. We found that growth opportunities, profitability and age are the most important capitalstructures determinants for our sample. Firm size shows a small explanatory result but the effective tax rate and the asset tangibility do not seem to explain the capital structure at all. Thematurity matching principle is considered significant..

Asset management in insurance companies differs from conventional asset management to the extent that respect has to be taken to both assets and the commitments the insurance company has towards its customers. A model that has proven to fit well regarding the matching of assets and liabilities is the Asset Liability Management Model (ALM model). In addition to the matching in the balance sheet, the ALM model can be used in a company's work with strategic portfolio allocation by applying it as a basis for analyzing investment strategies with expected risk and return. From this, the ALM model also becomes relevant for calculating key figures according to the legal framework Solvens II which includes laws and regulations regarding the demands on economical strength (solvens) of insurance companies.Hence, the goal of this masters thesis has been to, on behalf of Bliwa Livförsäkring, create an ALM model to support the asset management department of Bliwa in their work with defining a credible way of analyzing the future risk and return of Bliwa's asset portfolio and insurance undertakings.The ALM model generally consist of four submodels, the scenario model, the liability model, the asset model and the company model, where the scenario model often is named as the core of the ALM model. The course of action has been to develop these submodels individually, with focus on the scenario model.

Capital Asset Pricing Model (CAPM) är den prissättningsmodell som mest frekvent används av aktörer på den finansiella marknaden samt i litteratur för att förklara sambandet mellan risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik eftersom nya empiriska undersökningar demonstrerat att modellen inte längre verkar visa en rättvisande avkastning i förhållande till risk.För att undersöka om den över 40 år gamla modellen fortfarande visar någorlunda rättvisande beskrivningar av verkligheten har vi ställt oss frågan: Går det att med hjälp av historiska data förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden?Vid besvarade av denna fråga har studien syftet Att med hjälp av portföljer studera huruvida sambandet mellan risk och avkastning, vilket postuleras av CAPM, stämmer på den nutida svenska aktiemarknaden.Vi har utifrån vår kunskapssyn kritisk rationalism använt oss av en kvantitativ metod för att försöka ge svar på problemställningen, vilken angreps med ett deduktivt tillvägagångssätt. Den teoretiska referensramen behandlar teorier som portföljval, den effektiva marknadshypotesen och CAPM.