Sökning: "Nicklas Kövamees"

Hittade 1 uppsats innehållade orden Nicklas Kövamees.

  1. 1. There is such a thing as a free lunch, but it will cost you: a study on costly arbitrage and the index effect

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

    Författare :Sandra Andersson; Nicklas Kövamees; [2019]
    Nyckelord :arbitrage risk; demand curve slopes; index effect; market efficiency; transaction costs;

    Sammanfattning : This thesis examines how stock returns around inclusions into and exclusions from the Swedish OMX Stockholm Benchmark and OMX Stockholm 30 indices are affected by arbitrage risk and transaction costs. We observe that during the 30 trading days preceding the announcement of a stock's inclusion in either index, stocks with high arbitrage risk and high transaction costs experience high positive abnormal returns, and vice versa. LÄS MER