Syfte: Studien har utrett om aktiesplit genomförda på Stockholmsbörsen under åren 2004-2008 genererat överavkastning och i sådana fall om det har funnits några skillnader i överavkastning beroende på företagens storlek. Teori: Den effektiva marknadshypotesen, framförallt i dess semistarka form, har utgjort en teoretisk referensram för arbetet. Metod: En kvantitativ deduktiv forskningsansats har tillämpats med eventstudiemetodik som grund. Undersökningen behandlar en femårsperiod mellan 2004-2008 där ett urval av 56 stycken splitar mötte uppsatta kriterier. Dessa delades in i tre undergrupper beroende på bolagens kapitalstorlek vid splitgenomförandet. Kursdata för 250 dagar innan spliten och 250 dagar efter har samlats in för berörda bolag med hänsyn till splitdagen. OMXSPI har använts som jämförelseindex. Resultat: Resultatet tillsammans med hypotesprövning visar att överavkastning i samband med aktiesplit har påträffats för hela populationen under mätperioden. Ett möjligt samband mellan storleken på bolag och omfattningen överavkastning har även upptäckts. Den enskilt största överavkastningen uppmättes på splitdagen. Analys: En analys av resultaten pekar på att marknaden uppfattat aktiesplit som en positiv nyhet och i linje med tidigare forskning har det funnits överavkastning i tiden runt en aktiesplit. Vid uteslutande av en undergrupp som inte klarat hypotestestet kunde sambandet mellan företagsstorlek och omfattningen överavkastning till viss del bekräftas som negativt. Slutsats: Investerare har kunnat generera överavkastning i samband med aktiesplit på Stockholmsbörsen mellan 2004-2008. Resultatet tyder på ett negativt samband mellan företagsstorlek och överavkastning, däremot kan inte sambandet bekräftas tillfullo. / Purpose: The study has investigated whether or not stock splits on the Stockholm Stock Exchange during the years 2004-2008 generated positive abnormal return and in such case, has there been any difference in the positive abnormal return depending on firm size. Theory: The efficient market hypothesis, especially in its semi-strong form, has provided a theoretical framework for the essay. Method: A quantitative deductive research approach is applied with event study methodology used as basis. The study concerns a five-year period 2004-2008, where a selection of 56 splits met set criteria. These were divided into three groups depending on their capital size at the split date. The price data for 250 days before the split, and 250 days after were collected for the companies with regard to split day. The same data was collected for OMXSPI that was used as a benchmark. Results: The result together with hypothesis testing shows that positive abnormal return associated with stock split has been found in the overall population. A possible correlation between the firm size and the extent of positive abnormal returns has also been discovered. The single greatest positive abnormal return was measured on the split date. Analysis: An analysis of the results indicates that the market perceived stock split as positive news. There has been a positive abnormal return around the time of a stock split in line with previous research. The exclusion of a subgroup that failed hypothesis test revealed a partly confirmed negative relationship between firm size and the amount of positive abnormal returns. Conclusion: Investors have been able to generate positive abnormal returns in association with stock split on the Stockholm Stock Exchange from 2004 to 2008. The results suggest a negative correlation between firm size and positive abnormal returns, however, the correlation is not fully confirmed.

Syfte: Studiens syfte är att undersöka om Riksbankens tillkännagivanden av reporänteförändringar har en effekt på den svenska aktiemarknaden, samt om det råder skillnader mellan fyra branscher i Stockholmsbörsen. Studien syftar även till att undersöka om det kan urskönjas en skillnad mellan branschernas räntekänslighet. Metod: Undersökningen baseras på en eventstudie med ett estimeringsfönster på 60 dagar före tillkännagivandet av reporänteförändringen, och ett eventfönster på 11 dagar. Urvalet består samtliga reporänteförändringar mellan 2001-2015, och av följande branscher, Finans & Fastighet, Industrivaror, Hälsovård, Teknologi, som är inhämtade från Stockholmsbörsen. Teori: Den teoretiska utgångspunkten i studien är teorin om den effektiva marknadshypotesen och teorier om reporäntan. Det presenteras även teorier om diskonteringsräntans effekt samt pris- och inkomstelasticitet. Finansiell psykologi, som är en invändning mot effektiva marknadshypotesen, redogörs dessutom tillsammans med tidigare forskning som har legat till grund för undersökningen. Slutsats: Studien resulterar i att det inte råder ett entydigt samband mellan Riksbankens tillkännagivanden av reporänteförändringar och den svenska aktiekursen. Resultatet illustrerar att det råder en skillnad mellan de valda branschernas räntekänslighet. Det går inte direkt att fastställa att den svenska marknaden är effektiv. / Purpose: The purpose of this study is to examine if Sweden’s central bank announcements of the federal funds rate have an effect on the Swedish stock market, and whether there are differences between four sectors of the Stockholm Stock Exchange. The study also aims to investigate if there is a difference between the sectors interest rate sensitivity.  Method: The study is based on an event study with an estimation window of 60 days prior the announcement of the federal fund rate, and an event window of 11 days. The sample consists of all the announcement of the federal funds rate between 2001- 2015 and the following sectors, Finance & Real Estate, Industrials, Healthcare, Technology, who are acquired from the Stockholm Stock Exchange. Theory: The theoretical basis in this study is the theory of the efficient market hypothesis and theories about the federal funds rate. An introduction to theories about the discount rate and price and income elasticity is also presented in the study. Financial psychology, which is a statement of opposition against the efficient market hypothesis, is also introduced together with previous research which the examination is based on. Conclusion: The results show that there is no unambiguous correlation between Sweden’s central bank announcements of the federal funds rate and the Swedish stock price. The result illustrate that there is a difference between the selected sectors interest rate sensitivity. In summary, it’s established that the Swedish stock market cannot be seen as an efficient market.

本文主要目的是在探討，當企業決定其融資方式，改變資本結構後，究竟是否會造成投資人對該企業經營獲利前景的改變，而反應在企業的股票價格上，尤其在「不同聯貸資金用途」上，是否會改變投資人、股東對於該企業風險程度的認定。本文利用事件研究法(Event Study Method)進行分析，研究期間自2005年至2007年止，針對台灣上市(櫃)公司完成聯貸簽約資料，刪除估計期未滿160天者後，有效樣本共140筆，其中營運週轉金(Working Capital)資金用途者有36筆；借新還舊(Refinancing)資金用途者有71筆；資本支出(Capital Expenditure)資金用途者有33筆。 本研究之實證結果發現，若資金用途為營運週轉金者，於聯合貸款宣告後，並沒有顯著異常報酬差異；若資金用途為借新還舊者，於聯合貸款宣告後，具有顯著的正向異常報酬差異；若資金用途為資本支出用途者，於聯合貸款宣告後，具有顯著負向異常報酬差異。 關鍵詞：聯合貸款、事件研究法、異常報酬 / The main purpose of this study is to discuss whether investors will change their anticipation on the perspective of a company, which is reflected on its stock price when the company decides on its financing method and thus changes its capital structure, and especially whether investors and shareholders will change their recognition on risk-taken levels of the company in light of different purposes of syndicated loans. This study employs Event Study Method and focuses on the listed and over-the-counter companies in Taiwan dated from Year 2005 through Year 2007. The valid sample size amounts to 140 companies after removing those companies whose estimation period is less than 160 days. Of the 140 sample companies, 36 are working capital related, 71 are refinancing related, and 33 are capital expenditure related. The empirical results of this study indicate that, upon announcement of syndicated loans, there are no significant positive abnormal returns if the loans are used as working capital, there are significant positive abnormal returns if the loans are used as refinancing, and there are significant negative abnormal returns if the loans are used as capital expenditure.

Syfte: Studiens syfte var att undersöka om det uppstår onormal avkastning för målföretagets aktieägare vid offentliggörandet av företagsförvärv på den svenska aktiemarknaden, samt att undersöka om den svenska aktiemarknaden är effektiv enligt den effektiva marknadshypotesen. Metod: I uppsatsen tillämpades en eventstudie för att studera den onormala avkastningen. Datainsamlingen har skett från Thomson Reuters Eikon, Orbis, Zephyr och Retriver. Studiens dataunderlag har analyserats och presenterats i figurer och tabeller. Resultatet bygger på hypotesprövning och signifikanstest av framräknade onormala avkastningar.  Resultat & slutsats: Resultatet visade att målföretagens aktieägare vid offentliggörandet av företagsförvärv i genomsnitt erhöll en hög positiv onormal avkastning under perioden 2011 till 2016, samt att den svenska aktiemarknaden var effektiv. Detta genomsnittliga värde var statistiskt signifikant på signifikansnivån 0,01 procent. Förslag till fortsatt forskning: Ett förslag till vidare forskning är att undersöka ett längre tidsspann, vilket kan öka populationens storlek. Vidare forskning kan även undersöka om olika faktorer i företagsförvärvet kan förklara de erhållna onormala avkastningarna.  Uppsatsens bidrag: Studien bidrar med relevant information till företagsledningar, finansanalytiker och företagsintressenter. Detta eftersom studiens resultat skapar förståelse för företagsförvärv i en svensk kontext och kan därför ligga till grund för beslutsfattande, värderingar och beräkningar av framtida företagsförvärv. / Aim: The aim of the study is to examine if the target company shareholders receive an abnormal return on the day of the announcement, on the Swedish stock market. The study also examines if the Swedish stock market is efficient according to the efficient market hypothesis. Method: The study was conducted according to the event study methodology. The data was collected from Thomson Reuters Eikon, Orbis, Zephyr and Retriever. The findings in the study was displayed and analysed in figures and tables. Hypothesis test and test of significance were used to investigate the aim of the study. Findings and conclusions: For the time period studied, 2011 to 2016, the target company shareholders on average received a high positive abnormal return on the day of the announcement, which was significant on the one percent level. The findings also indicates that the Swedish stock market is efficient according to the efficient market hypothesis. Suggestions for future research: One suggestion for future research could be to expand the time interval, which could increase the size of the population. Future research could also take the characteristics of the acquisition in consideration in an attempt to explain the abnormal returns found in this study.  Contribution of the thesis: This study’s findings are relevant for the chairmen of the board, finance analysts and corporate stakeholders. The findings in this study provides an understanding of the nature of acquisitions on the Swedish stock market, which can be used for decision making, evaluations and calculations of future acquisitions.

This paper treats the question about how the internationally established company, Apple, is affected by intern or extern events when it comes to the trade market. The purpose of the study is to investigate if chosen events create abnormal return on Apples stock market. The chosen research area is Steve Jobs three sick-listings, It-bubble and the purchase of the search engine company Siri. The reason of writing about this is the big interest for the stock market and its function. This study methodological starting position is quantitative done by an event study, with qualitative feature done by an interview with an expertise within this area. When analyzing the empirics, we have used the efficient market theory that says that information should not affect the stock market in the degree that abnormal return creates. Beyond that theory, we have used former research "Stock prices and top management changes" written by Jerold B. Warner and Ross L. that got abnormal return when they did an event study about CEO changes, "CEO change and firm performance in large corporations: succession effects and manager effects", Randolph P. Beatty och Edward J. Zajac. that means that the stock prices affect is different depending on if the shareholders is more prepared to the information, "The stock market psychology" there Gyllenram refers to his theory about people projecting their thoughts and feelings to each other that creates big movements on the stock market and "Beyond Greed and Fear", Shefrin H. that while his study discovered a new theory that he called "the opposite strategy", meaning that a high positive volatility is comply with a negative volatility by the same value. Shefrin also note that new information makes overreaction and vice versa. The conclusion that we can make by this research is that new shocking information has led to overreaction, exactly like Shefrin points out. That means that older information makes less volatility, and we can see this by studying Steve Jobs three sick-listings. The efficient market theory was adaptable on these three events, because abnormal return did not occur. However, we got abnormal return on the other two events, Siri and the It -bubble. We could associate these answers to Shefrin´s theory about overreaction when new information gets public.

Researchers in various business disciplines use the event study methodology to assess the market value of firms through capital market reaction to news in the public media about the firm's activities. Capital market reaction is assessed based on cumulative abnormal return (sum of abnormal returns over the event window). In this study, the event study methodology is used to assess the impact that two important information technology activities, Internet security breach and ecommerce initiative, have on the market value of firms. While prior research on the relationship between these business activities and cumulative abnormal return involved the use of regression analysis, in this study, we use decision tree induction and regression.For the Internet security breach study, we use negative cumulative abnormal return as a surrogate for damage to the breached firm. In contrast to what has been reported in the research literature, our results suggest that the relationship between cumulative abnormal return and the independent variables for both the Internet security breach and ecommerce initiative studies is complex, often involving conditional interactions between the independent variables. We report that the incomplete contract theory is unable to effectively explain the relationship between cumulative abnormal return and the organizational variables. Other ecommerce theories provide support to the findings from our analysis. We show that both attack and firm characteristics are determinants of damage to breached firms.Our results revealed that the use of decision tree induction presents additional insight to that provided by regression models. We illustrate that there is value in using data mining techniques to study the market value of e-commerce initiative and Internet security breach and that this approach has applicability in other domains and that Decision Tree can enhance the event study methodology.We demonstrate that Decision Tree induction can be used for both theory building and theory testing. We specifically employ Decision Tree induction to test and enhance ecommerce theories and develop a theoretical model for cumulative abnormal return and ecommerce. We also present theoretical models for Internet security breach and damage to the breached firm. These models can be used by decision makers in Internet security and ecommerce investments strategic formulations and implementations.

This study aims to investigate if an outside investor can gain positive return from investing in company stocks on the Swedish stock market following published announcements of insider stock purchases done through the Swedish financial regulatory authority Finansinspektionen’s public insider transaction registry. Studying a total of 5 966 announced stock purchases during the period 2014 – 2018, the study finds significant positive abnormal return over all studied time periods following the announcement date, regardless of differences in company size. Highest return was found in smaller companies, at the cost of accepting a higher degree of risk. Despite significant results showing informational value of the announced purchases, economic gain from following insider behavior could be inhibited by the cost of investment and would require the outside investor to pick the right stock, which could prove difficult.

<p>Bakgrund: Finns det verkligen en investeringsstrategi som ger en garanterad överavkastning och som skulle kunna innebära att efterfrågan på de tjänster som professionella kapitalförvaltare tillhandahåller försvinner?</p><p>Syfte: Syftet med vår uppsats är att undersöka huruvida det går att generera överavkastning på Stockholmsbörsen genom att investera i en portfölj enbart innehållande aktier med låga P/Etal. Frågan är alltså om det existerar det någon så kallad P/E-talseffekt?</p><p>Genomförande: P/E-talseffekten testades genom att vi för var och en av våra 28 perioder fr.o.m. 1991 t.o.m.2004 skapade två portföljer där den ena innehöll aktier med de femton lägsta P/E-talen på Stockholmsbörsen och den andra innehöll aktier med höga P/E-tal. Den låga P/E-talsportföljen riskjusterade avkastning jämfördes sedan med den höga P/Etalsportföljens. En jämförelse gjordes även med den riskjusterade avkastningen för AFGX och SIXRX.</p><p>Slutsats: Vi har efter att noggrant analyserat våra resultat kunnat fastställa med 95 procent sannolikhet att det sett till hela vår undersökningsperiod, fr.o.m. 1991 t.o.m. 2004, inte går att påvisa en P/E-talseffekt på Stockholmsbörsen. Ser vi däremot enbart till perioderna efter ITbubblan, hösten 2000 till hösten 2003, kan vi med hjälp av våra resultat konstatera att det under denna period var möjligt att erhålla en överavkastning genom att investera i aktier med</p><p>låga P/E-tal.</p> / <p>Background: Is there an investment strategy that yields a guaranteed abnormal return and that could imply that the demand for the services provided by professional capital managers would disappear?</p><p>Purpose: The purpose with this thesis is to examine whether it is possible to generate an abnormal return at the Stockholm Stock Exchange by investing in a portfolio that only contains stocks with low P/E ratios. The question is consequently if there exists a so called P/E effect.</p><p>Implementation: We tested the P/E effect by creating two portfolios for each of our 28 periods from the beginning of 1991 until the end of 2004. The first portfolio included stocks with the fifteen lowest P/E ratios on the Stockholm Stock Exchange and the other portfolio included stocks with high P/E ratios. The risk adjusted return of the low P/E ratio portfolio was then compared to that of the high P/E ratio portfolio. A comparison was also made with the risk adjusted return from AFGX and SIXRX.</p><p>Conclusion: We can, after a thorough analysis of our results, with 95 per cent probability say that a P/E effect didn’t existed on the Stockholm Stock Exchange if we look at our entire research period from the beginning of 1991 until the end of 2004. We can however say that it was possible to generate an abnormal return by investing in stocks with low P/E ratios, if we look solely at the periods after the IT bubble, fall 2000 until fall 2003.</p>

<p>We have examined the stock development of acquired listed Swedish companies - from the years 1995 to 2005 - upon the official publication of the bid. Thereafter we further investigated if there is a difference in the stock development between companies that are acquired by foreign investorscompared to Swedish investors. Also, a difference in the stock development could be due to the acquired firms’ industry classification and its company size, which we have been looking at.</p><p>In order to study the bid news impact on the share price, a quantitative study in the form of an event study has been done, where the abnormal return associated with the news has been measured.</p><p>The research shows that there indeed is a difference between companies acquired by foreign investors versus Swedish. As for industry classification, we find one out of six different industries standing out. The comparisons within the remaining industries shows similar results to the comparison of Swedish and foreign companies we mentioned before. In terms of company size,larger companies have shown a lower cumulative abnormal return compared to smaller companies. Furthermore the research also shows that larger the acquired companies are smaller the difference is in the cumulative abnormal return.</p> / <p>Vi har undersökt aktieutvecklingen hos uppköpta börsnoterade svenska företag, mellan 1995 till 2005, vid offentliggörandet av budet. Därefter undersöker vi även om det finns en skillnad i aktieutvecklingen mellan företag som blir uppköpta av utländska aktörer jämfört med de som blir uppköpta av svenska. Vidare skulle en visad skillnad i aktieutvecklingen kunna bero på de uppköpta företagens branschtillhörighet respektive företagens storlek, vilket vi har tittar närmare på.För att studera budnyhetens inverkan på börskursen har en kvantitativ undersökning i form av en event studie gjorts, där den abnormala avkastningen i samband med budnyheten mätts.Resultatet visar att det finns en skillnad mellan företag som blivit uppköpta av utländska aktörer och svenska. Vad gäller branschindelningen finner vi en bransch som utmärker sig gentemot de andra. Resterande branscher sammanfaller med jämförelsen av svenska och utländska företag. Storleksmässigt visade större företag allmänt en lägre kumulativ avkastning än mindre. Vidare är skillnaden mindre, mellan företag köpta av svenska aktörer och utländska, ju större företagen är.</p>

<p>Question:</p><p>"Does the market possess perfect information as the efficient market hypothesis says?"</p><p>"Is there any significant relationship between the abnormal stock return on the ex – day and the dividend?" Purpose: The purpose of this study is to enlighten and find understanding about stock return versus dividend on the ex – day and try to figure out if abnormal returns occur on the portfolio during dividends.</p><p>Methodology:</p><p>The study was based in a quantitative nature and was derived with an event study and a hypothesis testing. The authors investigated the thirty most traded shares on the Stockholm stock exchange during a period of five years (2005 – 2009). They were analyzed during a total of nine days; the estimation window was set to sixty days. Theory: Leading theories in this field of study have been picked to enlighten and analysis the questions of the study. Theories used: Efficient market hypothesis, agent theory and the events of dividends.</p><p>Empiricism / Results:</p><p>The authors made an event study and hypothesis tested the information. From the data they could see a small abnormal return on every day except the day after the ex – day. However, they could not prove a significant relationship between the stocks return and the dividend.</p><p>Conclusion / Discussion:</p><p>The efficient market hypothesis was strengthened in the conclusion where all new information is reflected in the stock price because the null hypothesis was accepted in all nine cases. The authors also concluded that although they have a differentiated result compared to other studies, it could be a result of the recession. Another conclusion was that the relationship between shareholders and the management has been improved because of a better spread of information.  </p>