The U.S. National Market System (NMS), the largest marketplace in the world for securities and exchange traded funds, suffers from geographic market fragmentation which leads to reduced market efficiency. Communication lines transmit price updates and other information between geographically isolated exchanges at varying speeds, bounded above by the speed of light. Market participants have access to federally mandated information provided by the Securities Information Processor (SIP) and privately offered information provided by the exchanges, often called direct feeds. These feeds are quantitatively and qualitatively distinct, with the direct feeds tending to provide more information at a faster rate than the SIP feed. Differences between the SIP and direct feeds can lead to information asymmetries between market participants, which in turn create arbitrage opportunities. Under the market conditions of the NMS in 2016, these arbitrage opportunities occur regularly and many can be captured by market participants with fast connectivity. Several methods exist which allow market participants to reduce their communication latency with trading centers, including the practice of co-location where market participants pay to have their trading infrastructure located in the same building as the matching engines of an exchange. Such regularly occurring and executable arbitrage opportunities run counter to the Efficient-Market Hypothesis (EMH) in all forms, where even the weak form of the EMH claims that market participants should not be able to systematically profit from market inefficiencies. This thesis investigates the market inefficiencies and related effects introduced by geographic market fragmentation in two baskets of stocks: the Dow Jones Industrial Average (Dow), and the 30 largest stocks by market capitalization in the Standard \& Poor's 500 index (S&P 30).

<p>The Chinese stock market is a remarkable emerging market, the two stock markets Shanghai and Shenzhen Stock Exchanges were both established in 1990, and since then they have been playing a very important role in Chinese economy. More and more attention is focused on the emerging Chinese market, and investors have been trying to find the opportunity to achieve abnormal returns through the Chinese stock market. We name this phenomenon market efficiency anomaly, one pattern of which is seasonality effect. In our study, we would like to choose the seasonality effect as the approach.</p><p>This study focuses on Shanghai Stock Exchange Composite Index, and we settle two research questions: Does seasonality effect exist in Chinese Stock exchange? Is the seasonality effect persistent over times?We try to test the seasonality in Chinese stock market by day of the week effect, January effect and semi-month effect. Deductive approach and quantitative research method are used in this thesis. To analyze seasonality effect, the data has been collected from Shanghai Stock Exchange Index and has been tested in four periods: 1992-1996,1997-2001, 2002-2006 and the whole period 1992-2006. Null hypothesis and T-test with α=0.05 is used to test the seasonality effect. The results show that seasonal anomalies like Day of the week effect, positive March effect, and negative July effect exist in the Chinese stock market, while semi-month effect does not occur significantly; but the existing seasonal effect is not persistent over times. The above indicates that the Chinese stock market is not fully efficient yet. Investors may have opportunities to make use of the seasonal anomalies to earn abnormal return.</p>

<p>This paper investigates whether the traditional accrual based trading strategy first documented by Sloan (1996) can be refined using fundamental analysis. Specifically, this is done by implementing the composite signal F_SCORE introduced by Piotroski (2000) to identify financially strong or weak firms. We find that by applying both investment models simultaneously, in a model we call P_KOMB, the mean market-adjusted return earned by an investor exploiting the accrual anomaly can be increased by 14.8% annually. This is achieved by taking a long position in strong firms (as defined by the composite signal) in the lowest accrual portfolio, while an offsetting short position is taken in weak firms in the highest accrual portfolio, repeated annually between 1997 and 2007. Consistent with prior studies, positive market-adjusted returns can be attained through assessment of accruals as well as key value drivers found in historical financial data. Moreover, our results indicate that accruals are a more powerful determinant for future return than the fundamentals in the composite signal. The evidence suggests, however, that the accrual anomaly is best exploited in combination with the fundamental signals to maximise returns.</p>

<p>This study aims to evaluate the value relevance of Piotroski’s (2000) nine fundamental signals. In order to do this, the signals are tested on the OMX Nordic Exchange Stockholm between the years 2003 and 2009. The hypotheses of the study are whether the signals are value relevant and if the value relevance has changed. To test this, a Chi-square test and a regression are used. The tests show that some signals are value relevant, and that some are not. We also find evidence for a change in the value relevance during the years of the observation. Some explanations to why the value relevance has changed is also discussed.<em></em></p>

Background: A well-known study, similar to ours, was made in 1985 in America, showing that "loser" portfolios outperformed the market while "winner" portfolios earned less return than the market. This finding is not in accordance with the theory of efficient markets. If a market is efficient, there should be no possibility of making sustainable excess returns and prices should follow a random walk. Purpose: The purpose of this thesis is to study a "winner" portfolio and a "loser" portfolio in order to establish whether the Swedish stock market is efficient in the weak form. We will study the efficiency of the A-list at Stockholm Stock Exchange. Delimitations: We test efficiency of the Swedish stock market in the weak form. Our investigation comprises stocks registered on the A-list of the Stockholm Stock Exchange. We do not take tax- and transactions costs into consideration in this study. Methodology: "Winner" and "loser" portfolios are formed for the period 1997- 2002. We keep the portfolios during a test period of one year, i.e. form new portfolios at the end of each year. The first winner and loser portfolios are selected on the last day of trading in 1996 and the last two portfolios are selected on the last day of trading in 2001. Results: Our result indicates that the Swedish stock market is efficient in the weak form during the period 1997-2002.

Föreliggande uppsats undersöker om det har funnits någon indikation av insiderhandel för tio utvalda företag på Stockholmsbörsen under andra halvan av 2004 när dessa företag presenterar vinstvarningar. Uppsatsen beskriver huvuddragen av den Svenska insider-lagstiftning, och framlägger argument för en effektiv lagstiftning både från ett ekonomiskt och också från ett juridiskt perspektiv. De tio företagen har analyserats under en trettio dagars period. Slutsatsen är att det har förekommit indikationer på insiderhandel i två företag under perioden fram till vinstvarningen. Denna uppsats presenterades och försvarades våren 2005 vid Internationella Handelshögskolan i Jönköping. / This thesis analyzes if there has been any indication of insider trading for ten selected-companies on the Stockholm Stock Exchange during the second half of 2004 when these companies have reported loss announcements. It outlines the Swedish insider leg-islation, and put forward arguments for an effective insider legislation from an eco-nomic and legal perspective. The ten companies have been analyzed during a thirty days period. The conclusion is that there is signs of insider trading in two companies during the period prior to the loss announcement date. This thesis was presented and defended in the spring of 2005 at Jönköping International Business School.

This paper investigates whether the traditional accrual based trading strategy first documented by Sloan (1996) can be refined using fundamental analysis. Specifically, this is done by implementing the composite signal F_SCORE introduced by Piotroski (2000) to identify financially strong or weak firms. We find that by applying both investment models simultaneously, in a model we call P_KOMB, the mean market-adjusted return earned by an investor exploiting the accrual anomaly can be increased by 14.8% annually. This is achieved by taking a long position in strong firms (as defined by the composite signal) in the lowest accrual portfolio, while an offsetting short position is taken in weak firms in the highest accrual portfolio, repeated annually between 1997 and 2007. Consistent with prior studies, positive market-adjusted returns can be attained through assessment of accruals as well as key value drivers found in historical financial data. Moreover, our results indicate that accruals are a more powerful determinant for future return than the fundamentals in the composite signal. The evidence suggests, however, that the accrual anomaly is best exploited in combination with the fundamental signals to maximise returns.

This study aims to evaluate the value relevance of Piotroski’s (2000) nine fundamental signals. In order to do this, the signals are tested on the OMX Nordic Exchange Stockholm between the years 2003 and 2009. The hypotheses of the study are whether the signals are value relevant and if the value relevance has changed. To test this, a Chi-square test and a regression are used. The tests show that some signals are value relevant, and that some are not. We also find evidence for a change in the value relevance during the years of the observation. Some explanations to why the value relevance has changed is also discussed.

Background and purpose In Sweden private savings in stocks has experienced a large increase and in year 2006 there were 6.7 million people, or 77 per cent of the population owning stocks. A recent study shows that more than every other Swede has deficient knowledge in trading with stocks. Since small private investors often do not know how to gather and interpret information they must utilize investment advices. The large increase in private savings in stocks, the lack of investment knowledge together with the large increase in Internet usage has resulted in investment advice seeking on the Internet. One of the largest sources of investment advices on the Internet in Sweden today is Avanza.se. The purpose with our thesis is to describe and analyze if, after a buy recommendation issued at Avanza’s website, the effects with respect to abnormal return and market efficiency differ significantly depending on a company’s capitalization value. Method We have used a quantitative approach to fulfill our purpose. The secondary data required to do so was gathered from the OMX-Group’s website, where historical prices and Index information was collected, and from the online broker Avanza’s website where the buy recommendations were compiled. In order to conduct statistical tests and calculations we have used the statistical software SPSS. Frame of Reference The theories we made use of mainly treated market efficiency and abnormal return. Conclusions We have seen that the recommendations’ effect concerning abnormal return differ signifi-cantly depending on capitalization value, where the effect on companies with smaller capitalization values are larger. We have also found tendencies of market inefficiency at the semi strong level for stocks with smaller capitalization value.

The Chinese stock market is a remarkable emerging market, the two stock markets Shanghai and Shenzhen Stock Exchanges were both established in 1990, and since then they have been playing a very important role in Chinese economy. More and more attention is focused on the emerging Chinese market, and investors have been trying to find the opportunity to achieve abnormal returns through the Chinese stock market. We name this phenomenon market efficiency anomaly, one pattern of which is seasonality effect. In our study, we would like to choose the seasonality effect as the approach. This study focuses on Shanghai Stock Exchange Composite Index, and we settle two research questions: Does seasonality effect exist in Chinese Stock exchange? Is the seasonality effect persistent over times?We try to test the seasonality in Chinese stock market by day of the week effect, January effect and semi-month effect. Deductive approach and quantitative research method are used in this thesis. To analyze seasonality effect, the data has been collected from Shanghai Stock Exchange Index and has been tested in four periods: 1992-1996,1997-2001, 2002-2006 and the whole period 1992-2006. Null hypothesis and T-test with α=0.05 is used to test the seasonality effect. The results show that seasonal anomalies like Day of the week effect, positive March effect, and negative July effect exist in the Chinese stock market, while semi-month effect does not occur significantly; but the existing seasonal effect is not persistent over times. The above indicates that the Chinese stock market is not fully efficient yet. Investors may have opportunities to make use of the seasonal anomalies to earn abnormal return.