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What are the main factors impacting the discount to net asset value? - A case study of Investor AB
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2017 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Vilka är de huvudsakliga faktorer som påverkar substansrabatten? - En fallstudie av Investor AB (Swedish)
Abstract [en]

The discount to net asset value for investment companies has puzzled both the world of academics as well as the investment companies themselves. This thesis aims to examine how the Swedish investment company Investor AB can combat this market inefficiency by analysing the main factors impacting the discount to net asset value over the time period 2006:M12-2016:M12. A multiple linear regression approach is used in order to find significant factors affecting the discount to net asset value.

The final result in this thesis finds a statistically significant negative relationship between the discount to net asset value and Investor’s cash level and debt equity ratio. Positive statistically significant relationships are found for the share of unlisted holdings of the total net asset value of Investor, the company’s costs, and analysts’ ratings of the company.

Abstract [sv]

Substansrabatten hos investmentbolag har konfunderat både den akademiska världen och investmentbolagen själva. Den här uppsatsen ämnar undersöka hur det svenska investmentbolaget Investor AB kan gå tillväga för att angripa denna marknadsineffektivitet genom att analysera de huvudsakliga faktorerna som påverkar substansrabatten över tidsperioden 2006:M12-2016:M12. Uppsatsens analysmetod är multipel linjär regression.

Det slutgiltiga resultatet visar statistiskt signifikanta negativa förhållanden mellan substansrabatten och Investors kassa, samt skuldsättningsgraden. Statistiska  signifikanta positiva förhållanden finns mellan substansrabatten och andelen onoterade innehav, Investors kostnader, samt andelen köprekommendationer från analytiker som följer Investor.

Place, publisher, year, edition, pages
2017.
Series
TRITA-MAT-K ; 2017:06
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-210162OAI: oai:DiVA.org:kth-210162DiVA, id: diva2:1117015
External cooperation
Investor AB
Subject / course
Applied Mathematics and Industrial Economics
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2017-06-28 Created: 2017-06-28 Last updated: 2017-06-28Bibliographically approved

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