Sökning: "Market Anomalies"

Visar resultat 1 - 5 av 77 uppsatser innehållade orden Market Anomalies.

  1. 1. A Study of the Size and Value effect on the Stockholm Stock Exchange - Are there pricing anomalies present on the Stockholm Stock Exchange?


    Författare :Milan Arif; Daniel Bezaatpour; [2019-07-09]
    Nyckelord :;

    Sammanfattning : This thesis evaluates the financial performance of Swedish small cap stocks over the period 2000-2016. By applying CAPM and the Carhart four-factor model, we find no evidence for a size or a value effect. LÄS MER

  2. 2. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Andreas Carlsson; Erik Hulth; [2019-02-20]
    Nyckelord :Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Sammanfattning : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. LÄS MER

  3. 3. Asymmetric Information in the European Banking Sector? - Abnormal stock returns in connection to information disclosure

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jennifer Zilling; Jacob Bernland; [2019]
    Nyckelord :abnormal returns; event study; information disclosure; stress test; transparency exercise; Business and Economics;

    Sammanfattning : This thesis investigates the overall market reaction in connection to the stress test and transparency exercise conducted by the European Banking Authority in 2018. For this we apply an event study that adjusts for event clustering, something that is widely neglected in previous literature. LÄS MER

  4. 4. Januarieffekten ineffektivt, vinstmöjlighet eller skröna? : En empirisk studie

    Kandidat-uppsats, Södertörns högskola/Nationalekonomi; Södertörns högskola/Nationalekonomi

    Författare :Amad Habib; Emil Larsson; [2019]
    Nyckelord :Finans; Januarieffekten; Anomali;

    Sammanfattning : The digitization of the economy of the last 30 years have incited big social and economic changes, but also fundamentally changed the way the global stock trade is conducted. Now ordinary people have the ability to trade in stocks and try to beat the market. LÄS MER

  5. 5. Combining Value and Momentum Strategies in the Swedish Stock Market : How market anomalies can be exploited to outperform stock market index

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Maximiliam Nilsson; Gottfrid Bylund Månsson; [2019]
    Nyckelord :Momentum Strategies; Value Strategies; Efficient Market Hypothesis; Market Anomalies; Capital Asset Pricing Models;

    Sammanfattning : Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. LÄS MER