This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). Our results are not coherent with previous studies conducted on the U.S market or theworld market, instead our results indicate that the Swedish stock exchange’s sector indices experience acontrarian effect over the intermediate time period. The results are adjusted for systematic risk and aresignificant on the 5%-level. Our result show that the weak form of the efficient market hypothesis isviolated and we therefore believe that a demand exists for easy and convenient investment vehicles withsector specific exposure, which could have a positive effect on the efficiency of the market.

In the first essay titled "The Information Role of Analysts' Contrarian Revisions," I study a special group of revisions: contrarian revisions, defined as recommendation changes that are inconsistent with sizable stock price movements during the past week. I find that contrarian revisions are relatively more informative than trending revisions. In particular, contrarian revisions are associated with a both statistically and economically larger post-announcement drift. I also find contrarian downgrades are less likely to be issued by all-star analysts and analysts with more experience. After implementation of Regulation RD, the market reaction to contrarian revisions issued by all-stars significantly decreases, indicating private information contained in contrarian recommendations has declined. Overall, our results suggest analyst recommendations are important information sources for market participants. In the second essay titled "Market Reaction to Earnings When Investors Disagree," I investigate how the divergence of opinions between individual and institutional investors affects stock price movements around public news events, specifically earnings announcements. I use a discrete static market equilibrium model to illustrate that divergence of investors' opinions has a significant impact on stock price movements around earnings announcements. Specifically, the divergence of opinion has a negative relation with the immediate market reaction but a positive relation with the subsequent stock price drift. I also investigate trading volume around earnings announcements to explore how traders respond to changes in the divergence of investors' opinions. Empirical evidence supports the model implications and indicates announcement trading volume decreases inversely to the divergence of opinions.

Submitted by Jerckns Cruz (jerckns@hotmail.com) on 2009-12-11T03:37:02Z No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5) / Approved for entry into archive by Gisele Gammaro(gisele.gammaro@fgv.br) on 2009-12-14T15:03:00Z (GMT) No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5) / Made available in DSpace on 2009-12-14T15:03:09Z (GMT). No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5) / The theory of Behavioral Finance emerges as a new approach to the financial market, arguing that some events are better explained if the restrictions of investor’s rationality are relaxed. Concepts of psychology and limits to arbitrage are used to model market inefficiencies, bringing up the idea that market can be systematically beaten. This paper proposes a new model, of simple implementation, to explore the abnormal returns from the momentum and mean reversion strategies simultaneously. The idea of a long term momentum effect stronger than the short term effect is introduced, but the empirical results show that the Brazilian market dynamics reject this concept. The model fails to achieve riskless positive returns. / A teoria de Finanças Comportamentais surge como uma nova abordagem ao mercado financeiro, argumentando que alguns eventos podem ser mais bem explicados se as restrições da racionalidade do investidor são relaxadas. Conceitos de psicologia e limites à arbitragem são usados para modelar as ineficiências, criando a idéia de ser possível ganhar sistematicamente do mercado. Este trabalho propõe um novo modelo, simplista na sua implementação, para aproveitar os retornos anormais advindos de estratégias de momentum e reversão à média simultaneamente. A idéia de um efeito momentum de longo prazo mais forte que o de curto prazo é introduzida, mas os resultados empíricos mostram que a dinâmica do mercado brasileiro rejeita este conceito. O modelo falha em conseguir retornos positivos e livres de risco.

Autobiographical life-writing as literary métissage about cool through stories grounded in auto-ethnographic reflection as a|r|t|ographer. An act of literary sharing. A past to present summed up as parts, as portraits or vignettes, building towards an attempted understanding of cool. Introspective reflection on cool supported by photographs, drawing, paintings, and poetry. A consideration of Franco Ontarian minority language secondary school population adolescent conceptions and notions of cool (Drolet et al, 2009). An inquiry into cool presented as a bioecological album (Urie Bronfenbrenner, 1979, 1994). A life-long journey from developing childhood cool to middle school cachet cool to high school contrarian cool to old school cool. Childhood to contrarian to cachet to Bieber’d [fucked] to adult cool. Historical cool. What is cool?

I denna uppsats kommer vi att undersöka om det förekom överreaktioner på Stockholmsbörsen mellan åren 2002 och 2016. Överreaktioner undersöks genom att bilda vinnar- och förlorarportföljer baserat på tidigare månatliga avvikelseavkastningar. Vi ställer en hypotes om att förlorarportföljer kommer att prestera bättre än vinnarportföljer efter portföljformering. Portföljerna utvärderas under ett-, två- och treårsperioder för att undersöka om det förekommer reversals som en investerare skulle kunna utnyttja genom contrarianstrategin. Vår uppsats identifierar kortsiktiga reversals direkt efter portföljformering, men på lång sikt tenderar investerare att erhålla vinst genom att följa en positiv marknadstrenden. Regressionsanalyser med CAPM och Fama-French trefaktormodell genomförs för att få en bättre förståelse av orsakerna som ligger bakom avkastningar i vinnar- och förlorarportföljer. Vi föreslår att reversals inte skapar möjligheter för investerare att nå positivt statistiskt signifikant alfa på Stockholmsbörsen. Möjliga vinster genom contrarianstrategin drivs av faktorer som företagsstorlek och –värde snarare än att investerare överreagerar på marknaden. / In this study we will examine if overreactions occurred on the Stockholm Stock Exchange during period 2002-2016. Winner- and loser portfolios were formed based on past monthly returns to see if investors overreact and by doing that cause reversal effects later on. Our study discovers short-term reversals, but in the long run investors benefit by following the overall trend on the stock market. Expanding our study to the Fama-French three-factor model we suggest that reversals in stock prices does not enable investors to gain statistically significant positive alphas on the Stockholm Stock Exchange. On the contrary, returns are driven by the factors of firm size and -value rather than behavioral biases of investors.

No description available.

This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. The research aims to explore whether portfolios consisting of these indicators can generate abnormal returns in the commodity futures market, in comparison to the S&P GSCI, which was used as the benchmark index. The study uses accumulated data from 2010 to 2019, with portfolios constructed on a quarterly basis. Statistical significance determination is executed by exporting the data to Stata, where the normality distribution is ascertained using the Shapiro-Wilk test. This was later followed by t-tests in order to dictate statistical significance on each portfolio compared to the S&P GSCI. The study reveals empirical evidence to support two of the three strategies, namely, the joint use of the aforementioned momentum indicators and single use of the RSI momentum indicator. However, the accumulated yield of the portfolio provided insufficient results to conclude the statistical significance of the single use of the MACD momentum indicator. The authors derive these results and observed phenomena from several financial theories, which are divided into three main sections in the theoretical framework, including information-based, risk-based, and behavior-based explanations. Relevant theories are included to support the research at hand. Furthermore, the authors incorporate the Efficient Market Hypothesis (EMH) under the pretense of challenging its view on efficient markets. They do so by constructing portfolios which yield abnormal returns and subsequently question the notion of efficient markets. The authors deduct that their findings produce some evidence to support the absence of strong form and semi-strong form of market efficiency in the commodity futures market. Overall, this study provides valuable insights into the momentum phenomenon in the commodity futures market and different incorporating investment techniques in which they are utilized. The ways in which momentum strategies can be utilized and momentum indicators interpreted, as displayed in this thesis, presents practical implications for investors and financial professionals.

Questa tesi è composta da 3 differenti lavori che ci confermano la prevedibilità degli extra rendimenti rispetto al mercato usando semplici strategie di portafoglio azionario utilizzabili sia dal semplice risparmiatore sia dall'investitore istituzionale. Nel primo capitolo è stata analizzata la profittabilità della contrarian strategy nel mercato azionario Italiano. In letteratura é stato già abbondantemente dimostrato che i rendimenti azionari sono caratterizzati da un’autocorrelazione negativa nel breve periodo e da un effetto di ritorno alla media nel lungo periodo. La contrarian strategy é utilizzata per trarre profitto dalla correlazione seriale negativa dei rendimenti azionari, infatti, vendendo i titoli che si sono rivelati vincenti nel passato (in termini di rendimento) e acquistando quelli "perdenti" si ottengono profitti inaspettati. Nel secondo paper, l'analisi si focalizza sulla strategia di portafoglio definita Dollar Cost Averaging (DCA). La Dollar Cost Averaging si riferisce a una semplice metodologia di portafoglio che prevede di investire una somma fissa di denaro in un'attività rischiosa a uguali intervalli di tempo, per tutto l'orizzonte temporale prefissato. Il lavoro si propone di confrontare i vantaggi, in termini di riduzione sostanziale del rischio, di questa strategia dal punto di vista di un semplice risparmiatore. Nell'ultimo capitolo, ipotizzando di essere un investitore istituzionale che possiede ogni giorno numerose informazioni e previsioni, ho cercato di capire come egli può usare tutte le informazioni in suo possesso per decidere prontamente come allocare al meglio il patrimonio del fondo. L’investitore normalmente cerca di identificare la migliore previsione possibile, ma quasi sempre non riesce ad identificare l’esatto processo dei prezzi sottostanti. Quest’osservazione ha condotto molti ricercatori ad utilizzare numerosi fattori esplicativi per ottenere un buona previsione. Il paper supporta l’esistente letteratura che utilizza un nuovo approccio per trasformare previsioni di rendimenti in scelte di gestione di portafoglio che possano offrire una maggiore performance del portafoglio.Partendo dal modello d’incertezza di Pesaran e Timmerman(1996), considero un cospicuo numero di fattori macroeconomici per identificare un modello predittivo che mi permetta di prevedere i movimenti del mercato tenendo presente i maggiori indicatori economici e finanziari e considerato che il loro rispettivo potere predittivo cambia nel tempo. / This thesis is composed by three different papers that confirm us the predictability of expected returns using different simple portfolio strategy and under different point of view (i.e. a generic saver and institutional investor). In the first chapter, I investigate the profitability of contrarian strategy in the Italian Stock Market. However empirical research has shown that asset returns tend to exhibit some form of negative autocorrelation in the short term and mean-reversion over long horizons. Contrarian strategy is used to take advantage of serial correlation in stock price returns, such that selling winners and buying losers generates abnormal profits. On the second chapter, the analyse is focused in another classic portfolio strategy called Dollar Cost Averaging (DCA). Dollar Cost Averaging refers to an investment methodology in which a set dollar amount is invested in a risky asset at equal intervals over a holding period. The paper compares the advantages and risk of this strategy from the point of view of a saver. Lastly, supposing to be an institutional investor who has a large number of information and forecasts, I tried to understand how using all them he decide with dispatch how to allocate the portfolio fund. When a wide set of forecasts of some future economic events are available, decision makers usually attempt to discover which is the best forecast, but in almost all cases a decision maker cannot identify ex ante the true process. This observation has led researchers to introduce several sources of uncertainty in forecasting exercises. The paper supporting the existent literature employs a novel approaches to transform predicted returns into portfolio asset allocations, and their relative performances. First of all dealing with model uncertainty, as Pesaran and Timmerman (1996), I consider a richer parameterization for the forecasting model to find that the predictive power of various economic and financial factors over excess returns change through time.

[pt] Esta dissertação tem por objetivo investigar a possibilidade de obtenção de retornos anormais – utilizando-se o período entre jan/2005 e dez/2014 como espaço amostral – no mercado acionário brasileiro. Investigou-se, então, a hipótese de reversão à média móvel de 21 dias para os ativos integrantes do Índice Brasil 100 – IBrX-100. Estratégias contrárias com carteiras compradas em ações cujos preços estivessem abaixo da média móvel e vendidas em ações cujos preços estivessem acima da média móvel foram montadas e testadas para os referidos períodos. Por fim, não foram encontradas evidências em favor da reversão à média móvel de 21 dias para o período estudado. / [en] The goal of this study is to investigate the possibility of obtaining abnormal returns – using the period between January/2005 and December/2014 –in the Brazilian stock market. The main hypothesis in focus is the moving average of 21 days reversion of the securities of the Index Brasil 100 – IBrX 100. Contrarian strategies were used with portfolios built by buying stocks whose prices were below the moving average and selling stocks whose prices are above the moving average. There is no evidence in favor of the reversion and in favor of the possibility of abnormal returns in the study period.

在國內外實證文獻中，已有許多學者研究市場過度反應的現象，但由採取的研究方法不盡相同，故結論也有所差異．本研究是希望能對台灣股市的個別股票報酬率作一較完整的檢視，先瞭解股票報酬率前後期的相關情形，試圖找出一些一致性，再提出股市交易的策略，並比較策略的獲利性。 將樣本分成對稱與不對稱的形成期及檢定期，採Spearman等級相關係數法先對台灣股市同一股票的報酬率在不同期間（形成期及檢定期）的表現是否有相關作一檢視，接著檢定此相關係數時間序列是否具有隨機的特質，而後將證券交易稅及手續費納入考慮後，比較三種投資策略－買入持有輸家、中間、贏家的獲利性、風險及績效表現。 本文的實證結果：由單位風險報酬率來看，投資股市應以買入有長期的策略才會有較好的績效表現，而買入持有短期的績效是最差的。以不同的樣本期間討論台灣股市是否有價格反彈，結果並不相同。在1980年-1998年的Spearman等級相關係數多為正值，表示市場在288天以下多沒有價格反彈，且以連檢定的結果多為顯著，以Jensen α檢定之，贏家投資策略能獲得超額報酬。在1990年-1998年不論是重覆取樣、未重覆取樣，Spearman等級相關係數，多為負值，表示市場應存有價格反彈的現象，且以連檢定的結果多為顯著，但以Jensen α檢定之，輸家卻無法獲得超額報酬。可能是因為考慮了交易稅與手續費，而影響了投資策略的獲利性。 / There have been many articles discussing overreaction. Because of the difference of methods and samples, the conclusions are different. This thesis tries to make a more complete examination of Taiwan Stock Market. We divide sample period to be formation period and test period which are symmetric and asymmetric. Besides that, we adopt overlapping and nonoverlapping sampling. The sample period is 1980 January 1 to 1998 January 22. Three investment strategies are buying and holding loser portfolio、middle portfolio and winner portfolio. We use Spearman rank correlation to discuss whether the return of Taiwan Stock Market has correlation between formation period and test period. Then we adopt one of nonparameter statitics analysis－run test to examine whether the time series of Spearman rank correlation is a random walk. Following are our summaries： 1.The longer period we hold the stock,the better return we acquire. 2.In the first sample (1980 Jan 1 to 1998 Jan 22), Spearman rank correlation. is almost positive, and the hypothesis of run test is significant. We imply buying and holding the winner portfolio is the best strategy. We can prove this by using Jense α. In this case, buying and holding winner can get excess return. 3.In the second sample(1990 Nov 1 to 1998 Jan 22), Spearman rank correlaion is almost negative, and the hypothesis of run test is signficant. We imply buying and holding the loser portfolio is the best strategy. But we can not prove the by using Jense α. As we can not acqure excess return by buying and holding loser portfolio.