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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 Stockholm2014Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
    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 Cap2014Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
    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.

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