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The Variation in Stock Return for Swedish Property Companies: A fundamental analysis examining the explanation power of key figures concerning the variation in stock returns in Sweden 2008-2016
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

A high average return mostly come at the cost of high risk, predictability can therefore be a fair compensation for taking on risk. To better understand the determinants of asset prices, a good way to start is to study the determinants of risk. The possibility of predicting an increase in an assets value means an opportunity to make money (Royal Swedish Academy of Sciences, 2013). It is therefore interesting from several different perspectives to study key figures concerning profitability, operating efficiency and liquidity to try to create an investment strategy. In this thesis, Swedish property companies have been studied with the aim of providing information on which key figures that are important to study when analyzing listed property companies. This was tested using three different models, as well as a backwards-stepwise regression of the third model. The models were based on the foundations of the Capital Asset Pricing Model and Fama-French Three Factor Model. For each model more variables were added and the purpose was to potentially discover an increasing explanation power with the number of variables, as well as if some variables were specifically interesting. Model 3, the “full property model” was considered the most theoretically justifiable model with an R2 of 43.91 percent. The remaining variation in stock return can be explained by macro factors and behavioral finance.

Abstract [sv]

En hög genomsnittlig avkastning innebär ofta att man även får stå ut med hög risk, som kompensation för risken är det vanligt att i någon mån kunna förutse variationen i avkastning. För att kunna förstå sig på vad som påverkar prissättning av tillgångar, kan man därmed börja med att studera faktorer som påverkar risk. Möjligheten att förutspå prisuppgångar innebär en chans att tjäna pengar (Royal Swedish Academy of Sciences, 2013). Det kan därför vara intressant, ur flera perspektiv, att studera nyckeltal gällande lönsamhet, rörelseeffektivitet och likviditet för att försöka skapa en optimal investeringsstrategi. I den här uppsatsen har svenska fastighetsbolag studerats, med syfte att tillhandahålla information om vilka nyckeltal som är mest relevanta att undersöka när en analys av börsnoterade fastighetsbolag genomförs. Detta testades genom att skapa tre olika modeller, såväl som en bakåt-stegvis-regression av den tredje modellen. Modellerna baserades på grunderna från Capital Asset Pricing Model och Fama-French Three Factor Model. För varje modell adderades fler variabler med syftet att eventuellt se en ökande förklaringsgrad med antalet variabler, samt upptäcka om några variabler vara specifikt relevanta. Modell 3,”fastighetsmodellen”, resulterade i att vara den högst teoretisk rättmätiga modellen med en förklaringsgrad på 43.91 procent. Den återstående variationen i avkastning kan förklaras av makrovariabler samt finansiell psykologi.

Place, publisher, year, edition, pages
2017. , p. 61
Keyword [en]
Stock return, Key figures, Fundamental analysis, Regression analysis, Listed property companies
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-211197Local ID: TRITA-FOB-ByF-MASTER-2017:28Archive number: 486OAI: oai:DiVA.org:kth-211197DiVA, id: diva2:1128113
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Available from: 2017-07-21 Created: 2017-07-21 Last updated: 2017-07-21Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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