TOM effekten i Sverige: En studie rörande överavkastning kring månadsskiften på den svenska börsen

Sammanfattning: The purpose of this paper is to study whether or not stock returns increase abnormally over month ends on the Swedish stock exchange. Previous research has proven an international so called “Turn-of-the-Month” effect where stock returns increase significantly over a few days around month ends. If the effect exists, it is a violation of Fama’s Efficient Market Hypothesis. Furthermore, we examine this effect over a long period which enables us to study its development over time. The conclusion we have reached is that The “Turn-of-the-Month” Effect does exist on the Swedish market and that the effect does not change over time.