Löningseffekten

Sammanfattning: The purpose of the study is to investigate whether the daily returns around Swedish payday, the 25t​ h ​each month, show significant abnormal patterns in the Swedish stock market. The study is limited to the time period between 2010/02/26 - 2020/02/26 and the two indexes ​Stockholm small cap index (OMXSSCPI) a​ nd ​Stockholm all-share index (OMXSPI). T​ he method that underlies the work is the quantitative research method that, together with statistical and econometric tests, investigates historical daily closing prices. The results show that the payday effects ​Stockholm small cap index​positively with significant excess returns during the days between payday and six days after payday each month. No such effect is shown in Stockholm all share index. The obtained results are then analyzed with the help of theories such as the effective market hypothesis and conclusions from previous research in the field. After the analysis, the results and the possibilities of further research is discussed.