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Den oetiska strategin – En kvantitativ studie om oetiska investeringar

Tingåker, Ludvig LU and Bengtsson, Johan LU (2016) NEKH01 20152
Department of Economics
Abstract (Swedish)
Syftet med studien är att, genom kvantitativ analys, jämföra den totala avkastningen inom branscherna tobak, alkohol, spel, vapen samt ett eget konstruerat index bestående av de fyra branscherna med världsmarknadsindex under de senaste 25 åren. I studien testas även ifall det är någon signifikant skillnad i riskjusterad avkastning mellan något av de fem konstruerade indexen och världsindex. Studien genomförs med kvantitativ analys av data hämtad från finansiella databaser. Regressioner görs genom GARCH-metoden och baseras på de finansiella teorierna CAPM, SIM och FFM. Sharpekvot samt Modigliani Squared beräknas och testas för statistisk signifikans. Studien visar på riskjusterad överavkastning på oetiska investeringar. Signifikanta... (More)
Syftet med studien är att, genom kvantitativ analys, jämföra den totala avkastningen inom branscherna tobak, alkohol, spel, vapen samt ett eget konstruerat index bestående av de fyra branscherna med världsmarknadsindex under de senaste 25 åren. I studien testas även ifall det är någon signifikant skillnad i riskjusterad avkastning mellan något av de fem konstruerade indexen och världsindex. Studien genomförs med kvantitativ analys av data hämtad från finansiella databaser. Regressioner görs genom GARCH-metoden och baseras på de finansiella teorierna CAPM, SIM och FFM. Sharpekvot samt Modigliani Squared beräknas och testas för statistisk signifikans. Studien visar på riskjusterad överavkastning på oetiska investeringar. Signifikanta positiva alfavärden på regressioner och statistiskt signifikant högre Sharpekvoter samt Modigliani Squared-värden på ett flertal av de konstruerade indexen, jämfört med världsmarknadsindex, har hittats. (Less)
Abstract
The purpose of this thesis is to, through quantitative analysis, compare the total returns within the industries tobacco, alcohol, gambling, weapon and a constructed index of the four industries combined, with a world market index during the past 25 years. The thesis also tests if there is a significant risk adjusted excess return between any of the indexes and the world market index. The thesis is based on quantitative analysis of data gathered from financial databases. Regressions are made using the GARCH-approach, based on the financial theories CAPM, SIM, and FFM. The Sharpe ratio and Modigliani Squared are calculated and tested for statistical significance. The thesis indicates risk adjusted abnormal returns on unethical investments.... (More)
The purpose of this thesis is to, through quantitative analysis, compare the total returns within the industries tobacco, alcohol, gambling, weapon and a constructed index of the four industries combined, with a world market index during the past 25 years. The thesis also tests if there is a significant risk adjusted excess return between any of the indexes and the world market index. The thesis is based on quantitative analysis of data gathered from financial databases. Regressions are made using the GARCH-approach, based on the financial theories CAPM, SIM, and FFM. The Sharpe ratio and Modigliani Squared are calculated and tested for statistical significance. The thesis indicates risk adjusted abnormal returns on unethical investments. Significant positive alpha values on regressions and statistically significant higher Sharpe ratios and Modigliani Squared values for the majority of the constructed indexes, compared to the world market index, have been found. (Less)
Please use this url to cite or link to this publication:
author
Tingåker, Ludvig LU and Bengtsson, Johan LU
supervisor
organization
alternative title
The Unethical Strategy – A quantitative study of unethical investments
course
NEKH01 20152
year
type
M2 - Bachelor Degree
subject
keywords
Oetisk, GARCH, Sharpekvot, Modigliani Squared, Finans
language
Swedish
id
8569491
date added to LUP
2016-02-11 15:02:38
date last changed
2016-02-11 15:02:38
@misc{8569491,
  abstract     = {The purpose of this thesis is to, through quantitative analysis, compare the total returns within the industries tobacco, alcohol, gambling, weapon and a constructed index of the four industries combined, with a world market index during the past 25 years. The thesis also tests if there is a significant risk adjusted excess return between any of the indexes and the world market index. The thesis is based on quantitative analysis of data gathered from financial databases. Regressions are made using the GARCH-approach, based on the financial theories CAPM, SIM, and FFM. The Sharpe ratio and Modigliani Squared are calculated and tested for statistical significance. The thesis indicates risk adjusted abnormal returns on unethical investments. Significant positive alpha values on regressions and statistically significant higher Sharpe ratios and Modigliani Squared values for the majority of the constructed indexes, compared to the world market index, have been found.},
  author       = {Tingåker, Ludvig and Bengtsson, Johan},
  keyword      = {Oetisk,GARCH,Sharpekvot,Modigliani Squared,Finans},
  language     = {swe},
  note         = {Student Paper},
  title        = {Den oetiska strategin – En kvantitativ studie om oetiska investeringar},
  year         = {2016},
}