Browsing Cand.merc.FIR - Finansiering & Regnskab / MSc in Finance & Accounting by Title

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Nedbrydning af værdiskabelsen under Nordic Capitals ejerskab af Kompan A/S

Estimering af exit pris samt analyse af værdiskabelsen sammenlignet med empiriske undersøgelser

Latocha, Joachim (Frederiksberg, 2012)

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Abstract:

The object of this thesis is to determine the sources of value creation and provide the reader with an in-depth analysis on how a private equity fund can create value during ownership of a portfolio company. The thesis is a case based analysis focusing on the leveraged buyout of the Danish playground manufacturer Kompan. The company had previously been listed on the stock exchange but was taken private in March 2005 by one of the leading Nordic based private equity funds called Nordic Capital. To determine the sources of value creation a research method based on a recently published German study is used. This makes the findings of this thesis comparable with other empirical studies. The thesis is divided into two main sections: The first part of the thesis seeks to estimate the return on Nordic Capitals equity investment in Kompan under the assumption that the investment was exited by December 2011. In order to do this an enterprise value as of this exit date has been estimated and the resulting internal rate of return (IRR) on Nordic Capitals equity investment has been estimated at approx. 25%. This corresponds to a value creation of approx. DKK 1.08bn for Nordic Capital during the nearly 7 year investment period. The second part of the thesis seeks to separate and quantify the value creation both on absolute, relative and IRR basis. The findings of this decomposition shows that value creation was mainly driven by leverage (39%) and by operational improvements in the form of EBITDA growth and the Free Cash Flow effect (56%). A further analysis of the large increase in EBITDA shows, however, that most of the operational effects are a direct result of the 11 add-on acquisitions during the ownership period. Only about 13% of the operational value creation can be attributed to organic initiatives. The analysis shows the relative value contribution of each driver is in line with empirical research. Only the market effect has had less on an effect in this case than what is normally seen in other buyout cases. The thesis proves the fact that high IRRs can be achieved by private equity funds despite only small improvements in profitability and low organic growth. Since IRR has not been “played” by interim cash flows it is possible to conclude that the investment return created from this transaction has been high compared to other private equity transactions, especially given the long holding period.

URI:

http://hdl.handle.net/10417/3166

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joachim_latocha.pdf (2.253Mb)

Nedsættelse af selskabsskattesatsen

I et samfundsøkonomisk og virksomhedsmæssigt perspektiv

Wilhelm, Karina (Frederiksberg, 2014)

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Abstract:

The purpose of this thesis is to analyze and evaluate the impact of the gradual reduction of the Danish tax rate from 25% in 2013 to 22% in 2016. The thesis examines and discuss the reduction of the corporate tax rate from both a socio-economic perspective and a business perspective. The reduction of the corporate tax rate is analyzed from a socio-economic perspective by looking at the historical development of the corporate tax rates; the impact from expansionary fiscal policy; which conditions will influence on the corporate tax in Denmark and abroad; and finally how the corporate tax rate does effect the ability to be competitive. The results of the socio-economics analysis shows that the income from the corporate tax represents 2% of the gross domestic product and only 24% of the companies contribute to the corporate tax. The reason why the government decreases the corporate tax rate is to achieve economic growth and to reduce unemployment. However, the analysis of the expansionary fiscal policy shows that the corporate tax is an insufficient instrument to achieving growth and employment. On the other hand, the reduction of the corporate tax rate has a competitive advantage by attracting and increasing foreign investments. From a competitive point of view, the decreasing of the corporate tax rate will improve investments and thereby create growth. The business perspective of the reduction of the corporate tax rate, is investigated through analysis of what consequence the reduction of the corporate tax rate has in relation to the company’s annual report; how the companies can optimize the corporate tax; and finally by a survey how the companies perceive the reduction of the corporate tax rate. From the business perspective, the reduction of the corporate tax rate has to be taken into account in the annual report on the deferred tax for the income year 2013. The companies may in their planning of tax try to achieve a lower taxation during the period from 2013 to 2016. Based on the companies’ responses to the survey it is indicated that the reduction of the corporate tax rate will lead to activities that will create growth. This thesis finds that the reduction of the corporate tax rate only has a little impact from both a socio-economic perspective and a business perspective.

URI:

http://hdl.handle.net/10417/4444

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karina_wilhelm.pdf (809.6Kb)

Non-Linear Derivatives in Foreign Exchange Hedging

Helgason, Stefan D. (Frederiksberg, 2013)

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URI: http://hdl.handle.net/10417/4251

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stefan_d_helgason.pdf (1.020Mb)

Nordic Capital’s exit of Falck A/S

An analysis of the IPO decision

Bjerregaard, Mads Lund; Dalgaard, Joachim Permin (Frederiksberg, 2011)

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Abstract:

In April 2010 the general sentiment in the market for IPOs was positive, with other large Danish companies owned by Private Equity (PE) funds were close to IPOs. In June 2010, the Danish producer of ingredients, Chr. Hansen, completed their IPO, the first Danish IPO in 5 years. It was said that Chr. Hansen’s successful IPO would accelerate the IPO of Falck, as it showed that the markets was capable for handling IPOs – the window of opportunity was now open. Falck was continuously claimed to be very near an IPO in the media. Therefore it came as a surprise when Nordic Capital announced the sale of 36 % of their shares to The Lundbeck Foundation in December 2010, and the IPO was taken completely off the table in April 2011 as Nordic Capital sold the remaining 44 % shares to Lundbeck, Kirkbi and the management of Falck. This goal of this thesis was to evaluate Nordic Capital’s exit of Falck, describing both the market conditions that were cited as the primary reason for not going public, the fair value of Falck equity and Lundbeck’s offer price of 85 DKK pr. share in relation to the former two. The market conditions are quantified with the use of a modified version of Jason Draho’s (2000) model, which views the going public decision as a real option. In this, the value of the option to time the market fluctuates with the market conditions, and when the IPO is completed, this value is lost. We therefore see the option as an opportunity cost of the IPO, to be included together with all other costs, such as underpricing, filing fees and the underwriter spread. Together with traditional valuations methods, we find that the fair value of Falck equity as of 01.01.2011 was 9,102 mDKK, and the cost of the proposed IPO was 948 mDKK. We found that at that time, that Nordic Capital’s net proceeds of the IPO was slightly higher than a sale to Lundbeck, corresponding to a benefit of 0.5 DKK per share. We also found that for that decision to be changed, either market volatility should increase to at least the levels of late 2008 where volatility was at its highest, or that expectations for the required underpricing to attract investors should exceed the historical average of Danish IPOs.

URI:

http://hdl.handle.net/10417/2468

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mads_lund_bjerr ... oachim_permin_dalgaard.pdf (4.133Mb)

Nordic Capitals exit of Falck.xlsm (3.215Mb)

Normalitetsanalyse af aktieafkast og implikationer af normalitetsbrud for den moderne porteføljeteori

Rytter Jensen, Lars (Frederiksberg, 2009)

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Abstract:

This thesis deals with the modern portfolio theory and the key assumption that asset returns are normally distributed. The purpose of the thesis is to examine whether realized stock returns are normally distributed and what implications non-normality might have for the modern portfolio theory. An examination of the returns of several stock indices indicates that stock returns do not seem to be normally distributed. This is consistent with numerous empirical studies of stock returns. By examining different return frequencies, normality in the distribution of daily, weekly and monthly returns are rejected. Especially the distribution of daily and weekly returns exhibit abnormal high levels of kurtosis which means that the distribution of returns have much fatter tails than the normal distribution. It is also shown that the financial crisis in 2008 have a great impact on my results as an exclusion of the period means that monthly returns seem to be approximately normally distributed. This highlights the fact that research of normality in stock returns is sensitive to the period chosen, as volatility seems to cluster. The rejection of the assumption of normally distributed returns has practical importance for most institutional investors. The fatter tails of returns indicate that the risk of portfolios may be greater than expected when using normally distributed returns. Therefore the risk of portfolios seems to be underestimated and makes the mean-variance approach insufficient in describing the real risk of portfolios. Other measures of risk need to be included in a modified portfolio theory that focuses on more than just the standard deviation. Inclusion of the third and fourth distribution moment might give a better description of risk but has not yet been fully tested. Several other adjustments to the modern portfolio have been suggested. But optimization of portfolios with stable distributions or models that allow time varying variance does not seem to solve the problem concerning normality completely. From this thesis it is clear that the modern portfolio theory is an insufficient risk model. While using a wider spectrum of distribution moments to describe risk seems more accurate, it will never be possible to fully describe the risk of investing in portfolios. For lack of a complete description of risk we have to settle for the current models. However, the importance of understanding the weaknesses of the models and theories are crucial.

URI:

http://hdl.handle.net/10417/375

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lars_rytter_jensen.pdf (2.285Mb)

OECD´s Composite Leading Indicators som sandsynlighedsfaktor i Black-Litterman-modellen

En aktivallokeringsmodel for danske pensionskasser.

Wahl-Rasmussen, Nikolaj Andreas (Frederiksberg, 2013)

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Abstract:

Through the eyes of a Danish pension fund, this thesis seeks to implement economic forecasts to improve asset allocation and earn an excess return over a benchmark. By doing so, the model diverts from the classical sole use of historical data to calculate expected returns. The benchmark asset weights are constructed based on typical investment strategies in Danish pension funds. The Black-Litterman model uses the benchmark as entry point and adds subjective information to improve portfolio returns. The composite leading indicators (CLI) are published monthly by the OECD, and used as input in the allocation model - using the indicator for the entire OECD membership nations. As a result the asset indices are as well extracted on a monthly basis ultimo, to prevent asset allocation prior to release of forecasts. Expected returns and covariance are calculated on rolling 12-month historic data. The asset allocation model used in this thesis is the Idzorek’s version of the Black-Litterman model incorporating a bayesian aspect to the certainty provided to the individual views. Four views are constructed to represent each of the four economic phases. A Black-Litterman view is a view on two or more assets relative performance expressed in excess returns over the risk free rate. The thesis has four different paradigms based on the two dimensions:  How the forecasts provide confidence to the views – categorical vs. dynamic approach.  Access to data in/out of sample. The thesis analyzes the expected returns and risk of the four paradigms, due to the impact of the incorporated views. Each paradigm has a benchmark (the same for all four paradigms), an unconstrained Black-Litterman-portfolio and two constrained portfolios; the tangency and minimum-variance. The last part of the analysis focuses on the ex-post returns of all the paradigms’ portfolios. Despite the dynamic paradigms ability to be more precautious in the view shifts, the portfolios that generate the highest returns over the entire period of analysis are the Black-Litterman and tangency porfolios from the optimized categorical paradigm (“analyseparadigme 3”), both beating the benchmark with a large margin of excess return. Although the correlation between ex-ante and ex-post risk premiums is doubled for the best performing portfolio, the actual correlation figure is low hence the model is not able to perfectly predict future returns. However the correlation of excess returns between the benchmark and the portfolio is high and the excess return of the portfolio accelerates with ex-post performance of the benchmark.

URI:

http://hdl.handle.net/10417/4050

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nikolaj_andreas_wahl-rasmussen.pdf (1.679Mb)

Offshore-vindmøller

En attraktiv investeringscase for danske pensionskasser?

Elgaard, Mikkel; Høst Lassen, Anders (Frederiksberg, 2013)

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URI: http://hdl.handle.net/10417/4043

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mikkel_elgaard_og_anders_hoest_lassen.pdf (4.958Mb)

Model.xlsx (140.4Kb)

On The Accuracy of Comparable Firm Selection Methods for Multiple Valuation

Overgaard Knudsen, Jens; Kold, Simon Vesterby (Frederiksberg, 2015)

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URI: http://hdl.handle.net/10417/5449

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simon_vesterby_kold_og_jens_overgaard_knudsen.pdf (2.943Mb)

Optimalt valg af realkreditlån

En analyse af en privat låntagers valg af realkreditlån givet låntagers renteforventninger

Ødemark Poulsen, Camilla; Bonvang, Zarah Højme (Frederiksberg, 2015)

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Abstract:

The purpose of this thesis is to analyze and evaluate the optimal type of mortgage loan for a private borrower based on his interest rate expectations. The Danish mortgage market is a unique financing model and for a Danish property owner, the cheapest way of financing. The optimal choice of loan is being evaluated from a cost perspective and the thesis is limited to include three generic types of loans with maturity of 30 years; fixed 3 % mortgage loan and two types of adjustable interest rate loans called F1 (repricing every year) and F5 (repricing every fifth year). The three types of loans are compared by estimating the total interest costs for each loan. In the thesis, a model for estimating interest rate costs is developed. The model is based on simulations of interest rate term structures. The model is derived from the Vasicek model, which contains three parameters; mean reversion, mean reversion rate and volatility. To cover a wide spectrum of differences in interest expectations, three generic interest rate term structures are introduced. These are called Japanese scenario, Goldilocks scenario and reflation scenario. The optimal choice of loan is evaluated both with and without the possibility to convert. During the thesis it has been necessary to make assumptions in regards to the model and its input parameters and these assumptions will influence the results of the analysis. Models and assumptions are criticized continuously throughout the thesis while their impacts on the results are being discussed. Conclusively, both of the analyses show that F1 is the most favorable loan in the Japanese scenario, while the fixed rate mortgage loan is the most favorable in the reflation scenario. In the Goldilocks scenario the conclusions are not clear. The conducted analyses show that the fixed rate mortgage loan and the F1 loan are equally favorable in this scenario. The cost of the loan is not the only factor that determines the decision making regarding mortgage loan. A significant factor is the borrower’s risk preferences. This factor's impact on the conclusions is being discussed throughout the thesis.

URI:

http://hdl.handle.net/10417/5613

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camilla_oedemar ... g_zarah_hoejme_bonvang.pdf (6.148Mb)

Optimering af ejendomsbaserede mixed-asset porteføljer

En analyse af konsekvenserne ved valg af optimeringsteori

Strecker, André Nikolai; Dalsgaard, Nicolai (Frederiksberg, 2016)

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Abstract:

Real estate investments are characterized by heteroskedastic variance, liquidity risk and high transaction costs and, thus separating them from the assumption of independent and identically distributed data and the efficient market hypothesis. The thesis investigates the pros, cons and differences between the classic mean variance portfolio optimization theory by Harry Markowitz and the more recent theory by Cheng, Lin & Liu in order to determine the validity of the underlying assumptions as well as estimate an optimal real estate allocation in a mixed-asset portfolio. The empirical data represents the Danish market from 1990 to 2014. The thesis uses a neo positivistic perspective in order to generate objective and unbiased results, create new knowledge and add value to the theoretical field of real estate investments. By applying desmoothing theory by David Geltner the thesis discovers appraisal bias to cause a significant risk reduction in the periodic real estate return as well as autocorrelation within the periodic returns which is a clear violation of the I.I.D. assumption. Hence de-smoothing is essential to all real estate indices regardless of the chosen optimization approach. Without de-smoothing the ex post real estate volatility is underestimated by 77% relative to the de-smoothed estimates. Neglecting the ex-ante volatility implied by liquidity risk causes the mean variance approach to underestimate the total risk of real estate investments compared to Cheng, Lin & Liu. The estimated deviations are most significant with shorter holding periods and tend to decline as the investment horizon increases. For the one-year holding period, the ex-ante risk caused by illiquidity consists of up to 57% of the total risk. The heteroskedastic variance causes investment horizon to influence portfolio optimization due to yearly increases in the average periodic risk. Using the Cheng, Lin & Liu approach the optimal investment horizon varies from two to seven years depending on the expected time-on-market and level of transactions costs. The corresponding real estate allocation varies from 8,94%, when the time-on-market and transaction costs are low, to 3,22% when the time-on-market and transaction costs are high. The mean variance approach estimates an optimal allocation of 22,12% given the same level of risk aversion. Based on Cheng, Lin & Liu’s ability to adjust for real estate characteristics the thesis recommends an allocation in line with those findings.

URI:

http://hdl.handle.net/10417/6189

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Andre_Strecker_Nicolai_Dalsgaard.pdf (13.43Mb)

Passive aktieinvesteringsstrategier – direkte eller indirekte ejerskab?

En analyse af indirekte kontra direkte ejerskab, fra privat investorens synsvinkel. Derudover redegørelse for investeringsforeningsmodellen og de nyere ETF’ere, hvis popularitet har været støt stigende de seneste år

Høi, Kim (Frederiksberg, 2011)

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Abstract:

In recent years, the market for indirect ownership of equity investments has experienced a significant boom, both globally and in Denmark. Consequently, the Danish private investor’s usage of Danish mutual funds represents a substantial part of his/hers total equity investments. A great percentage of these indirect investments are however allocated in actively managed funds. In broad-spectrum, active funds have repeatedly been proved to underperform the overall market and passive fund’s net return, once the active fund’s yearly costs are subtracted. The main objective of the thesis has therefore been to present and calculate the following passive alternatives, to the actively managed strategy: 1) direct investment in the Danish stock index “OMXC20”, 2) indirect investment in Danish benchmark funds, 3) indirect investment in “Exchange Traded Funds” (ETF’s). ETF’s have gained a great amount of popularity globally, but are still an unknown strategy to many Danish private investors. ETF’s have various similarities to the Danish mutual fund model, one being that they are both traded at public stock exchanges. Furthermore, they are often passively managed and have lower yearly costs, than most Danish benchmark funds. The thesis starts by explaining the different conditions concerning Danish mutual funds and ETF’s. Subsequently, the various types of costs, which the Danish private investor will incur in relation to the 3 strategies, are defined and examined. Thus, the foundation is laid is for the actual analysis of the strategies. The yearly costs are then calculated, after the various assumptions have been discussed and determined. Conclusively, the net return after tax is estimated, on the basis of different investment volumes and conditions, and most importantly 2 types of means: retirement savings and regular cash financing. The thesis concludes, that direct investment is by far the most profitable strategy, regardless of what means are used. However, there are certain considerations that need to be addressed, regarding the associated risks and the investor’s workload. If indirect ownership is still preferred, the private investor is best of with investing in Danish benchmarks funds, when using regular cash financing. In the case of retirement savings however, the private investor will gain a higher, yearly net return, by using ETF’s.

URI:

http://hdl.handle.net/10417/2534

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Hardcopy bilag ... gsberegning, depotomk.xlsx (44.68Kb)

kim_hoei.pdf (4.896Mb)

Softcopy Bilag ... k Direkte investering.xlsx (4.736Mb)

Softcopy Bilag ... center og nettoafkast.xlsx (80.31Kb)

Passiv investering i aktieindeks

En efter skat analyse af investeringsalternativer for en dansk privatperson på frie midler

Nyboe Rasmussen, Mikkel; Nordentoft, Frederik (Frederiksberg, 2014)

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Abstract:

Three alternatives to passive equity index investing are analyzed for a Danish individual on available funds. The premise is that the passive investment strategy is relevant to many. This thesis complements a vast range of literature by focusing on the execution of the strategy. Several options exist in a non-transparent market. Danish investment funds are criticized for being expensive. Exchange Traded Funds (ETFs) have not been evaluated as an alternative. Investing directly in stocks is recommended by experts, but the degree of complexity in executing the strategy is unclear. Performance comparison of the alternative strategies remains. In this thesis, research for costs, tax treatment, availability, ‘ease of use’ and hidden risks are being undertaken for each alternative. By simulating equity index returns, net tax consequences are identified in a base case. Sensitivity analysis is performed to identify trends. The results reveal that investing directly in index stocks overall provides the highest net tax return. This is especially evident on a long term time horizon. This strategy, however, turned out to be the most difficult of the three investigated to implement. An easier approach is the ETF-strategy. Lower return is apparent compared to direct investment in stocks. Despite this, ETFs proved to be legit on available funds. This includes when investor experiences negative ‘anden kapitalindkomst’, smaller amounts invested or a short to medium term time horizon. ETFs are best when benchmark index experiences low expected return or low standard deviation. Assessing ETFs on a risk adjusted basis reveals that ETFs outperform competing strategies the first 15 years. The easiest approach is the Danish investment funds. This strategy is preferred above ETFs only in certain situations. This includes a low annual expense ratio, or when benchmark index is characterized by high expected return, high standard deviation or low payout ratio. To choose the best alternative, investor needs to decide how much involvement one is willing to handle in executing a passive investment strategy. Then, by assessing the amount invested, time horizon, level of ‘anden kapitalindkomst’ and characteristics of wanted benchmark index, the investor is now able to decide on one alternative to optimize the investment decision.

URI:

http://hdl.handle.net/10417/4871

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mikkel_nyboe_rasmussen_og_frederik_nordentoft.pdf (4.337Mb)

Påvirkning på risikoadfærden i de finansielle institutioner ved ECBs ageren som lender of last resort

Nilsson, Troels Alsbo (Frederiksberg, 2010)

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Abstract:

The theory of Lender of Last Resort (LLR) is originally dated back to the British banking system around year 1900. The function of a LLR is to prevent financial crises by problems in individual financial institutions or markets. The LLR lend freely in times of crisis, at a penalty rate, on the basis of collateral that is marketable in the ordinary course of business when there is no panic. The intervention of LLR to offer unlimited liquidity to financial institutions induces moral hazard by encouraging financial institutions to alter their behavior in a way that transfer the risk to the LLR. Moral hazard, because of intervention of the LLR, can be difficult to measure because of the costs of any intervention is delayed, thus more likely not to be associated with earlier actions of a LLR. The European Central Bank (ECB) works with other international institution to maintain financial stability. However in the euro area ECB acts as a central bank and crisis lender, which makes ECB the LLR for the financial institutions in the euro area. The uncertainty and instability in the financial market have been very high in the period from mid-2007 to mid-2009, especially in October 2008 compared to the previous past five years. In the euro area this has led to the intervention from ECB as the LLR. During the financial turmoil and the crisis since 2007, ECB has acted as the LLR to ensure stability for financial institutions in the euro area; by offering unlimited liquidity through market operations and cutting the refinancing rate several times. To determine the risk behavior and moral hazard under such circumstances, behaviors are explained with utility functions, where investors optimize their utility depending on their risk preferences. Loans within financial institutions are regarded as their main investments. The risk profile in financial institutions depends on the economic cycle, where investors tend to be more risk seeking in times of expansion and boom and more risk averse in times of economic contraction and recession. From analyzing loans, leverage and solvency in financial institutions it is possible to evaluate their risk behavior. There was a decline in risk aversion and increased risks in financial institutions until 2008. Hereafter the findings indicate increased risk aversion, but simultaneously ECB as the LLR minimizes this increase. Without the present of ECB as a LLR, the financial institutions in the euro area are expected to reduce their risk exposure further. In the future the awareness of the presence of the ECB as a LLR and their willingness to provide the entire financial market with unlimited liquidity is probably to influence the financial institutions to be even more risk seeking in the next period of economic expansion and boom.

URI:

http://hdl.handle.net/10417/1300

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troels_alsbo_nilsson.pdf (1.628Mb)

Paying for equity research under MiFID II and MiFIR

Challenges with unbundling research and execution

Milandt, Camilla Dot; Egholm Jørgensen, Jonas (Frederiksberg, 2015)

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Abstract:

The current structure of the equity market in Europe is to pay for research trough dealing commissions. The European Commission’s Markets in Financial Instruments Directive (MiFID) has regulated the EU financial markets, since its implementation in 2007. On 2 July 2014 the update for MiFID entered into force. The update included a new directive and a regulation, MiFID II and MiFIR. MiFID II must be transposed into national law by June 2016. MiFID II and MiFIR must apply in practice January 2017. The European Securities and Market Authority (ESMA) were asked to give technical advice on the areas within both the directive and the regulation. It is in their draft technical advice that the treatment of research as an inducement in this context appears the first time. This categorisation of research demands unbundling. The thesis examines the challenges and consequences arising from unbundling research and execution. In addition to presenting the idea behind unbundling, the thesis seeks to convey and stress the implications of unbundling, under which arguments of proponents and opponents are reviewed. The review is based on the responses to ESMA’s consultation on their draft technical advice for the Commission; to which there was a general reluctance found within the responses from the market participants. They disagreed with ESMA’s treatment of research as an inducement. The concerns raised by the market participants are mapped using quantitative methods and on the basis of this the main concerns are found. These were that ESMA went beyond their mandate from the Commission, unbundling will create an un-level competitive playing field for the European market and the investment managers regulated by the legislation, and that there are already policies in place that regulate the conflicts resulted from paying research through dealing commissions. The majority of the concerns are found valid. When examining the concerns and current practices, it was found that there is already an initiative in place in some countries and the use of it is spreading rapidly, namely the use of commission sharing agreements. The thesis elaborates on the use of these and stresses proposed advantages and disadvantages. Our studies indicate that there are less invasive alternatives to mandating a ban on research commissions. Otherwise, it was found to have unintended consequences for the equity business.

URI:

http://hdl.handle.net/10417/5913

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camilla_dot_mil ... nas_engholm_joergensen.pdf (9.628Mb)

Performanceevaluering af aktivt forvaltede investeringsforeninger

En empirisk analyse af performance i aktivt forvaltede investeringsforeninger med investeringsmandat i europæiske og amerikanske large cap aktier i perioden 1995-2014

Wørtz, Casper Rump (Frederiksberg, 2015)

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Abstract:

This paper provides insight into the performance of two different categories of European-based actively managed mutual funds in the period from 1995 to 2014, investing in European and US large cap equities. Based on a dataset consisting of 358 Europe large cap funds and 197 US large cap funds, I examined stock picking skills as well as market timing abilities by employing single-factor CAPM as well as a multifactor model in the analyses. Furthermore, I examined whether one can identify performance persistence among the two fund categories based on their one year lagged absolute and risk-adjusted return. Finally, by exploiting the advantages of stock return dispersion, this study employed an alternative method in order to uncover whether abnormal performance of the examined funds systematically varied over time. My results suggest that there is no evidence that neither the average Europe large cap fund nor the average US large cap fund possessed stock picking skills in the period examined indicated by their net returns. Even though the average estimates of alphas for the two fund categories differed, I found no conclusive evidence of a performance-related difference between the two geographically separated investment mandates. When applying models to uncover the funds' ability to time market, the results suggest insignificant negative market timing abilities, which implies that stock picking skills were underestimated in the simple models relying on the assumption of a constant beta. In relations to performance persistence when using net returns, I found evidence that especially prior losers extend their poor performance to subsequent periods with abnormal performance estimates being statistically negative. Finally, this paper concludes that the average abnormal performance is not related to the level of stock return dispersion. However, the difference between good and poor performing funds expands in periods with high levels of dispersion, suggesting that a "skilled" manager is worth more in such an environment.

URI:

http://hdl.handle.net/10417/5584

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casper_rump_woerts.pdf (1.752Mb)

Performanceevaluering af den tekniske analysemetode glidende gennemsnit på det danske aktiemarked

Kildegaard, Henrik (Frederiksberg, 2011)

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Abstract:

Moving average is a technical analysis method used by investors to time the buying and selling of stocks. Several studies of moving average have been done upon markets other than the Danish stock market and most of these studies conclude the method is likely to generate a positive return. It is uncertain, however, whether moving average will be able to generate a positive return in the Danish stock market, which is why this will be investigated in this thesis. Moving average is a technical analysis method used by investors to time the buying and selling of stocks. Several international studies have shown the moving average method is likely to generate a positive return; however, it is uncertain whether the same is the matter for the Danish stock market, which will be investigated in this thesis. To investigate the performance of moving average on the Danish stock market a performance evaluation has been made. This evaluation is done based on the methodological approach of former studies. 224 indicators are tested over a period of 15 years. The top five performing indicators are chosen by taking transaction costs into consideration and these indicators are tested in a separate period of 10 years. The thesis concludes there is no significant difference between the return of the moving average strategy and the return of a passive buy-and-hold strategy when taking transaction costs into consideration. However, the study reveals that four out of five indicators have greater risk adjusted return than the risk adjusted return from a passive buy-and-hold strategy. The same four indicators are significantly over performing compared to CAPM requirements. The performance of the moving average on the Danish stock market varies; in addition to this the transaction costs have a great influence on the return, particularly considering short term moving average indicators. Looking forward it would be interesting to investigate whether the four over performing indicators would result in the same positive return if the data or method is changed.

URI:

http://hdl.handle.net/10417/1526

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Bilag 2.xlsx (9.571Mb)

Bilag 3.xlsx (825.1Kb)

Bilag 4.xlsx (20.32Kb)

Bilag 5.xlsx (93.97Mb)

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Performanceevaluering af tekniske indikatorer

Ljungbeck, Christian (Frederiksberg, 2015)

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Abstract:

The results of this thesis are built upon a foundation and theoretical discussion of the proponents of technical analysis on one side and modern financial theory on the other side. Among others things, the proponents of technical analysis rely on behavioral finance and a momentum effect in validating the usefulness of technical analysis. On the other hand, modern financial theory discredits technical analysis from having any predictive power in forecasting future stock returns referring to models such as the efficient market hypothesis and the random walk hypothesis. This thesis investigates the circumstances of technical analysis, and more specifically, a series of technical indicators. The paper conducts an empirical analysis of 713 technical indicators from five different categories and back tests them on the American stock index Standard & Poor’s 500 over the past 61 years from July 1954 to June 2015. The five categories of technical indicators are moving averages, support and resistance, channels, bollinger bands, and on balance volume. In the thesis the test period, in which the performance of the technical indicators is analyzed, is divided into three sub periods each of 17 years of length as well as an out-of-sample period of ten years from 2005 to 2015. The results from the analysis support the use of a number of the technical indicators during the first two sub periods in which they highly outperformed the passive benchmark investment in the stock index. A large fraction of the best performing indicators during the first sub period reappear during the second sub period. During the third sub period drastic reductions are observed in the results produced by the best technical indicators compared to the first two sub periods, and the results are only a marginal improvement over the benchmark. Interestingly, none of the best performing indicators during either of the first two sub periods continues to outperform benchmark and deliver abnormal returns during the third sub period. The out-of-sample experiment shows similar results as the third sub period. Once again the results are only a minor improvement over the benchmark, and none of the previously best performing indicators in either of the sub periods are among the top indicators in the out-of-sample period. In fact, some of the best performing indicators that generated extraordinary returns during the first two sub periods are among some of the worst performing indicators during the out-of-sample experiment. The results indicate that after the end of the second sub period it would have been difficult for an investor to predict and choose which indicator would be most likely to produce the highest returns in the future based on the historic performance of the technical indicators. Based on the findings in the analysis the results lead the author to the conclusion that it appears that the efficiency of the market has improved in recent times, and that it is unlikely that the extraordinary returns, that some of the indicators generated during the first two sub periods, will be produced by technical indicators in the future.

URI:

http://hdl.handle.net/10417/5854

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