A well-known study, much like ours, was made in 1985 in the united states, demonstrating that “loser” portfolios outperformed the market while “winner” portfolios generated less return than the market. This finding isn’t according to the theory of efficient markets. If a market is efficient, there shouldn’t be chance of making sustainable excess returns and prices should follow a random walk. The reason for this dissertation is to research a “winner” portfolio and a “loser” portfolio to be able to establish whether the Swedish stock market is efficient in the weak form. We’ll examine the efficiency of the A-list at Stockholm Stock Exchange. We test efficiency of the Swedish stock market in the weak form. Our analysis includes shares registered on the A-list of the Stockholm Stock Exchange. We don’t take tax- and transactions costs into account within this research.
Contents: Stock Market Efficiency: A Test of the Swedish Stock Market in the Weak Form
1 INTRODUCTION
1.1 BACKGROUND
1.1.1 Previous research
1.2 FIELD OF PROBLEM
1.3 PROBLEM
1.4 PURPOSE
1.5 DELIMITATIONS
1.6 OUTLINE OF THE THESIS
2 METHOD
2.1 OUR RESEARCH FROM A SCIENTIFIC POINT OF VIEW
2.1.1 Our previous understanding and knowledge
2.1.2 Hermeneutics and positivism
2.1.3 Our type of study
2.1.4 Approach
2.2 REALIZATION OF THE STUDY
2.2.1 Period of study
2.2.2 Data collection
2.2.3 Portfolios
2.3 CRITICISM OF METHODOLOGY
2.3.1 Reliability
2.3.2 Validity
2.3.3 Selection
3 EFFICIENT MARKETS
3.1 MARKET ANOMALIES
3.1.1 The Winner-Loser Effect
3.1.2 Price Earnings Ratios
3.1.3 The Small Firm Effect
3.1.4 Price Book Value Ratios
3.1.5 The three-factor model
3.2 ANOMALIES ACROSS THE YEAR
3.2.1 The January Effect
3.2.2 The Weekend Effect
3.3 DEFINITIONS OF AN EFFICIENT MARKET
3.4 THREE LEVELS OF EFFICIENCY
3.4.1 Three degrees of efficiency
3.5 CONDITIONS FOR THE EXISTENCE OF MARKET EFFICIENCY
3.6 SIX LESSONS OF MARKET EFFICIENCY
3.7 IMPLICATIONS OF MARKET EFFICIENCY
3.8 CRITICISM OF THE THEORY OF EFFICIENT MARKETS
3.9 BEHAVIORAL FINANCE
4 RISK AND RETURN
4.1 RISK AND DIVERSIFICATION
4.2 PORTFOLIO THEORY
4.2.1 Capital Asset Pricing Model
5 RESULTS AND ANALYSIS
5.1 STOCK PRICE CHANGES
5.1.1 The different industries represented
5.2 BETA
6 REFLECTIONS ON THE RESULTS
6.1 COMPARISON WITH SIMILAR STUDIES
6.2 THE JANUARY EFFECT
6.3 RATIONAL BEHAVIOR…
Source: Linköping University
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