Sökning: "Calendar anomaly"

Hittade 5 uppsatser innehållade orden Calendar anomaly.

  1. 1. Turn-of-the-Month Effect : A study of the existence of a calendar effect on the Swedish stock market  

    Kandidat-uppsats, Stockholms universitet/Företagsekonomiska institutionen

    Författare :Dena Afshari; Jennifer Bergman; Martin Blomberg; [2022]
    Nyckelord :Calendar anomaly; Turn-of-the-month ToM effect; Covid-19 pandemic;

    Sammanfattning : This thesis investigates the existence of the turn-of-the-month (ToM) effect on the Swedish stock market and further examines whether this calendar anomaly is persistent but different during the Covid-19 pandemic. The main purpose of this study is to determine if the ToM effect is significant in the Swedish stock market over twelve years, particularly during the Covid-19 pandemic. LÄS MER

  3. 2. The Halloween Effect : A trick or treat in the Swedish stock market?

    Magister-uppsats, Jönköping University/IHH, Företagsekonomi

    Författare :Oliver Benjaminsson; Pontus Reinhold; [2020]
    Nyckelord :The Halloween Effect; Efficient Market Hypothesis; Calendar anomalies; Regression analysis; Trading strategies;

    Sammanfattning : The Halloween effect refers to higher stock returns during the period November to April compared to May to October. This is a well-known calendar anomaly that has gained a lot of attention due to the fact that the effect is persistent in the market in spite of the fact that investors are aware of the anomaly today. LÄS MER

  4. 3. Post-Earnings-Announcement Drift : Existerande anomali och lönsam investeringsstrategi?

    Magister-uppsats, Linköpings universitet/Företagsekonomi

    Författare :Fredrik Gustafsson; Julius Bye; [2020]
    Nyckelord :PEAD; Stock Price drift; UE; CTP; BHAR; OMXSPI; Efficient market; PEAD; Aktieprisdrift; UE; CTP; BHAR; OMXSPI; Effektiv marknad;

    Sammanfattning : Bakgrund: Sedan slutet av 1960-talet har flera studier kunnat påvisa drift i aktiepriset efter att ett bolag publicerat en kvartalsrapport, något som benämns som Post-earningsannouncement drift (PEAD). När bolagets resultat varit bättre än det marknaden förväntade sig har aktiepriset fortsatt stiga under en längre period, vilket går emot etablerade hypoteser om en effektiv marknad. LÄS MER

  5. 4. The US Holiday Effect: Evidence from Nordic markets on the impact of US investors

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Johan Bladh; Christian Sandberg; [2013]
    Nyckelord :US holiday; Calendar anomaly; Abnormal return; Volume; Noise traders;

    Sammanfattning : This paper investigates four Nordic stock indices on US holidays, days when the New York Stock Exchange is closed due to holiday. We provide evidence for a US holiday effect that on average cause large positive returns and low volumes. LÄS MER

  7. 5. The day-of-the-week effect on stock returns and volatility: The case of Latin America

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Irais Perez Duran; [2010]
    Nyckelord :Day-of-the-week effect; Emerging markets; GARCH; EGARCH; APARCH; Business and Economics;

    Sammanfattning : It has been found that the behavior of stock markets follow patterns that are not necessarily consistent with the Efficient Market Hypothesis. Anomalies have been classified into different groups of which calendar anomalies such as the day-of-the-week effect has been under study for many years. LÄS MER