QUOTATIONS - Mapping out abnormal return opportunities on the Stockholm Exchange 1994-2006

Sammanfattning: The purpose of this study is to investigate, at the Stockholm Exchange during the period 1994 to 2006, whether certain quotations with particular characteristics can be said to produce positive abnormal returns relatively larger than others. We measure the initial return as well as the mid and long run abnormal returns for firms quoted on the Stockholm Exchange during 1994 and 2006 based on quotation, industry sector, size, and weekday. Existing research serves as the foundation for our hypotheses. Our theoretical discussion consists of excerpts from recent research articles and financial literature focusing on the motives behind the different quotations in our study as well as their return characteristics. None of our variables have any substantial explanatory power of the variability in the performance of the different quotations. However, we do find some statistically significant return differences. Our best, yet extremely simple advice is to invest in large cap IPOs, equity carveouts and/or spinoffs conducted on Thursdays and/or Fridays and hold them until the end of the day.