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Examining the Factors that Impact the Discount to Net Asset Value and the Difference in Discount between Different Investment Companies
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Undersökning av de faktorer som påverkar substansrabatten och skillnaden i substansrabatt mellan olika investmentbolag (Swedish)
Abstract [en]

A discount to the net asset value of Swedish investment companies is something that have existed for decades and a general explanation for the cause have not been found.

The aim of this thesis is to find the the factors that impact the discount to net asset value of Swedish investment companies. The result will later be used to for comparison to gain a better understanding of the different causes behind the discount and in what way they differ among the companies. This will be done by using regression analysis.

The results indicate that unlisted holdings contribute greatly to the discount but can't be used as a general explanation for the discount as investment companies which only hold listed holdings trade at a discount as well. Furthermore when foreign ownership or institutional ownership of the investment companies increase, the discount decreases as it signals to the market that their value is fair.

Abstract [sv]

En substansrabatt hos svenska investmentbolag är något som har existerat i årtionden, men ändå har ingen generell förklaring till dessa kunnat hittats.

Detta kandidatexamensarbete syftar att försöka hitta de variabler som ger upphov till substansrabatt hos svenska investmentbolag. Resultatet används sedan för att med jämförelse förstå de olika orsakerna som ger upphov till rabatten och varför det inte är samma förklaring mellan de olika bolagen.

Resultaten indikerade att olistade bolag bidrar stort till rabatten men att det inte kan användas som en generell förklaring då det finns investmentbolag med en portfölj som bara innehåller listade bolag men som ändå har en substansrabatt. Vidare visar det sig att substansrabatten minskar när andelen utländsk eller institutionellt ägande av investmentbolaget ökar eftersom det signalerar till marknaden att det nuvarande priset är attraktivt.

Place, publisher, year, edition, pages
2019.
Series
TRITA-SCI-GRU ; 2019-172
Keywords [en]
Discount to net asset value, investment company, regression analysis
Keywords [sv]
Substansrabatt, investmentbolag, regressionsanalys
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-254310OAI: oai:DiVA.org:kth-254310DiVA, id: diva2:1334823
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: 2019-07-03 Created: 2019-07-03 Last updated: 2019-07-03Bibliographically approved

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CiteExportLink to record
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