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  • 1.
    Jonsson, Robin
    et al.
    Mälardalens högskola, Akademin för ekonomi, samhälle och teknik.
    Radeschnig, Jessica
    Mälardalens högskola, Akademin för ekonomi, samhälle och teknik.
    From Market Efficiency to Event Study Methodology: An Event Study of Earnings Surprises on Nasdaq OMX Stockholm2014Självständigt arbete på grundnivå (kandidatexamen), 10 poäng / 15 hpStudentuppsats (Examensarbete)
    Abstract [en]

    The analysis of market efficiency helps researchers and investors to better understand the complexities of the financial market. This report tests market efficiency at the semi-strong degree by employing an event study with focus on surprises in quarterly earnings-announcements made by companies that are publicly listed on Nasdaq OMX Stockholm. The surprises are determined by comparing the earnings per share with its consensus estimate, for two positive and one negative panel respectively. The report also provides a robust methodology description of event studies in general, likewise a broad discussion about different types of biases that might occur. For determining estimated abnormal returns the market model is adopted, as most commonly done in event studies. The panels are statistically evaluated by the use of a non-parametric rank test and economically through cumulated abnormality. The authors statistically find semi-strong market inefficiency through the negative panel, as well as for the small positive panel when economical inferences are taken into account, where a slight post announcement abnormal return can be achieved. The same could not be implied for the large positive panel.

  • 2.
    Jonsson, Robin
    et al.
    Mälardalens högskola, Akademin för utbildning, kultur och kommunikation.
    Radeschnig, Jessica
    Mälardalens högskola, Akademin för utbildning, kultur och kommunikation.
    Momentum Investment Strategies with Portfolio Optimization: A Study on Nasdaq OMX Stockholm Large Cap2014Självständigt arbete på grundnivå (kandidatexamen), 10 poäng / 15 hpStudentuppsats (Examensarbete)
    Abstract [en]

    This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. The study showed that the naive allocation model outperformed the mean-variance model both economically as well as statistically. No indication where obtained for a lagged return effect when letting a mean-variance model choose weights for a quarterly holding period and the resulting investment recommendation is to follow a naive investment strategy within a momentum framework.

  • 3.
    Radeschnig, Jessica
    Mälardalens högskola, Akademin för utbildning, kultur och kommunikation.
    Heterogeneous Optimality of Lifetime Consumption and Asset Allocation: Growing Old in Sweden2017Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    This thesis covers a utility optimizing model designed and calibrated for agents of the Swedish economy. The main ingredient providing for this specific country is the modeling of the pension accumulation and pension benefits, which closely mimics the Swedish system. This characteristic is important since it measures one of the only two diversities between genders, that is, the income. The second characteristic is the survival probability. Except for these differences in national statistics, men and women are equal. The reminding model parameters are realistically set estimates from the surrounding economy. When using the model, firstly a baseline agent representing the entire labor force is under the microscope for evaluating the model itself. Next, one representative woman and one representative man from the private and public sectors respectively, composes a set of four samples for investigation of heterogeneity in optimality. The optimum level of consumption and risk-proportion of liquid wealth are solved by maximizing an Epstein-Zin utility function using the method of dynamic programming. The results suggests that both genders benefit from adapting the customized solutions to the problem.

     

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