30 resultados para Graham, Brandon
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Euroopan Unionin hyväksymän IAS-asetuksen mukaan kaikkien julkisesti noteerattujen yritysten on siirryttävä käyttämään tilinpäätöksen laatimisessa IFRS-standardeja viimeistään vuodesta 2005 lähtien. Tämän tutkimuksen tavoitteena on selvittää onko IFRS-standardeihin siirtymisellä ollut vaikutusta osakkeiden hintatasoon Suomen Pörssissä noteerattujen metallitoimialan yritysten kohdalla. IFRS-standardien vaikutuksia osakkeiden epänormaaleihin tuottoihin tutkitaan ns. tapahtumatutkimuksen avulla. Tutkittava tapahtuma eli ns. event on hetki, jolloin yritys on ensimmäisen kerran julkaissut IFRSstandardien mukaista tilinpäätösinformaatiota. Valittujen tunnuslukujen (P/E-, P/B-, EV/EBIT- ja Grahamin tunnuslukujen) muutosten ja tapahtuman jälkeisten ylituottojen avulla puolestaan tutkitaan ovatko markkinat sopeutuneet muuttuneeseen tilinpäätösinformaatioon. Saatujen tutkimustulosten perusteella voidaantodeta, että etenkin liikearvopoistojen päättyminen sekä ns. eläkestandardi ovat vaikuttaneet yritysten tuloslaskelmiin. Taseen puolella suurimmat muutokset ovat aiheuttaneet rahoitusleasingiä ja tuotekehityksen aktivointia käsittelevät standardit. Tutkimuksen mukaan IFRS:n tuomat tase- ja tuloslaskelma muutokset ovat myös heijastuneet osakkeiden markkinahintoihin.
Resumo:
The basic goal of this study is to extend old and propose new ways to generate knapsack sets suitable for use in public key cryptography. The knapsack problem and its cryptographic use are reviewed in the introductory chapter. Terminology is based on common cryptographic vocabulary. For example, solving the knapsack problem (which is here a subset sum problem) is termed decipherment. Chapter 1 also reviews the most famous knapsack cryptosystem, the Merkle Hellman system. It is based on a superincreasing knapsack and uses modular multiplication as a trapdoor transformation. The insecurity caused by these two properties exemplifies the two general categories of attacks against knapsack systems. These categories provide the motivation for Chapters 2 and 4. Chapter 2 discusses the density of a knapsack and the dangers of having a low density. Chapter 3 interrupts for a while the more abstract treatment by showing examples of small injective knapsacks and extrapolating conjectures on some characteristics of knapsacks of larger size, especially their density and number. The most common trapdoor technique, modular multiplication, is likely to cause insecurity, but as argued in Chapter 4, it is difficult to find any other simple trapdoor techniques. This discussion also provides a basis for the introduction of various categories of non injectivity in Chapter 5. Besides general ideas of non injectivity of knapsack systems, Chapter 5 introduces and evaluates several ways to construct such systems, most notably the "exceptional blocks" in superincreasing knapsacks and the usage of "too small" a modulus in the modular multiplication as a trapdoor technique. The author believes that non injectivity is the most promising direction for development of knapsack cryptosystema. Chapter 6 modifies two well known knapsack schemes, the Merkle Hellman multiplicative trapdoor knapsack and the Graham Shamir knapsack. The main interest is in aspects other than non injectivity, although that is also exploited. In the end of the chapter, constructions proposed by Desmedt et. al. are presented to serve as a comparison for the developments of the subsequent three chapters. Chapter 7 provides a general framework for the iterative construction of injective knapsacks from smaller knapsacks, together with a simple example, the "three elements" system. In Chapters 8 and 9 the general framework is put into practice in two different ways. Modularly injective small knapsacks are used in Chapter 9 to construct a large knapsack, which is called the congruential knapsack. The addends of a subset sum can be found by decrementing the sum iteratively by using each of the small knapsacks and their moduli in turn. The construction is also generalized to the non injective case, which can lead to especially good results in the density, without complicating the deciphering process too much. Chapter 9 presents three related ways to realize the general framework of Chapter 7. The main idea is to join iteratively small knapsacks, each element of which would satisfy the superincreasing condition. As a whole, none of these systems need become superincreasing, though the development of density is not better than that. The new knapsack systems are injective but they can be deciphered with the same searching method as the non injective knapsacks with the "exceptional blocks" in Chapter 5. The final Chapter 10 first reviews the Chor Rivest knapsack system, which has withstood all cryptanalytic attacks. A couple of modifications to the use of this system are presented in order to further increase the security or make the construction easier. The latter goal is attempted by reducing the size of the Chor Rivest knapsack embedded in the modified system. '
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33 x 20 cm
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kuv., 13 x 21 cm
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kuv., 13 x 21 cm
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Kirjallisuusarvostelu
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Kirjallisuusarvostelu
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Kirjallisuusarvostelu
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Tämän tutkielman tavoitteena on selvittää ja analysoida tunnuslukuihin perustuvien sijoitusstrategioiden tuottoja voimakkailla lasku- ja nousumarkkinoilla finanssikriisin aikana. Säilyttääkö arvostrategian alhaisten tunnuslukujen portfolio arvonsa laskukausilla parhaiten tai tuottaako kasvustrategia vahvalla nousukaudella parhaan tuoton? Miten yhtiöiden taloudellinen asema vaikuttaa tuottoihin jyrkillä laskukausilla ja nousukaudella? Tutkimusaineistona ovat julkisesti noteeratut Helsingin pörssin yhtiöt aikavälillä 13.7.2007 - 4.10.2011. Ajanjaksoon mahtuu kaksi laskukautta ja nousukausi. Yhtiöt on jaettu tunnuslukujen arvostuksen mukaan viiteen portfolioon. Tutkittavat tunnusluvut ovat P/E-luku, P/B-luku, EV/Ebit-luku, oman pääoman tuotto, omavaraisuusaste, current ratio ja Grahamin luku. Tulosten perusteella arvostrategia menestyi hyvin nousukaudella niin P/E-luvun kuin P/B-luvun kategorian tuotoissa, mutta ei erottunut edukseen laskukausilla. Huomattavaa oli myös korkean omavaraisuuden yhtiöiden voimakas defensiivisyys molemmilla laskukausilla. Toisaalta ne olivat myös nousukaudella vähätuottoisia.
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This thesis investigates the performance of value and momentum strategies in the Swedish stock market during the 2000-2015 sample period. In addition the performance of some value and value-momentum combination is examined. The data consists of all the publicly traded companies in the Swedish stock market between 2000-2015. P/E, P/B, P/S, EV/EBITDA, EV/S ratios and 3, 6 and 12 months value criteria are used in the portfolio formation. In addition to single selection criteria, combination of P/E and P/B (aka. Graham number), the average ranking of the five value criteria and EV/EBIT – 3 month momentum combination is used as a portfolio-formation criterion. The stocks are divided into quintile portfolios based on each selection criterion. The portfolios are reformed once a year using the April’s price information and previous year’s financial information. The performance of the portfolios is examined based on average annual return, the Sharpe ratio and the Jensen alpha. The results show that the value-momentum combination is the best-performing portfolio both during the whole sample period and during the sub-period that started after the 2007-financial crisis.