Over a long period of time, researchers have investigated the efficiency of financial markets. The widely accepted theory of the subject is the Efficient Market Hypothesis, which states that prices of financial assets are set efficiently. A common way to test this hypothesis is to analyze the returns generated by technical trading rules which uses historical prices in an attempt to predict future price development. This is also what this study aims to do. Using adjusted daily closing prices ranging over 2007 to 2019 for 5120 stocks listed on the U.S stock market, this study tests a momentum trading strategy called the stochastic oscillator in an attempt to beat a buy and hold strategy of the Russel 3000 stock market index. The stochastic oscillator is constructed in three different ways, the Fast%K, the Fast%D and the Slow%D, the difference being that a smoothing parameter is used in the Fast%D and Slow%D in an attempt to reduce the number of whiplashes or false trading signals. The mean returns of the technical trading strategies are tested against the mean returns of the buy and hold strategy using a non-parametric bootstrap methodology and also, the risk adjusted returns in terms of Sharpe Ratios are compared for the different strategies. The results find no significance difference between the mean returns of the buy and hold strategy and any of the technical trading strategies. Further, the buy and hold strategy delivers a higher risk adjusted return compared to the technical trading strategies, although, only by a small margin. Regarding the smoothing parameter applied to the strategies, it seems to fulfill its purpose by reducing the number of trades and slightly increasing the mean returns of the technical trading strategies. Finally, for deeper insight in the subject, a reading of "The efficiency of financial markets: A dual momentum trading strategy on the Swedish stock market" by Netzén Örn (2018) is recommended.

01 Abstract Betting on sporting events can be perceived by the general public as a game of chance. In the professional literature, however, betting on football matches is treated in the same way as other financial markets, where in the event of a violation of the theory of efficient markets due to the occurrence of inefficiency, there are opportunities for investors to obtain abnormal returns. The main goal of this work is to create a model capable of predicting the results of football matches on the basis of historical data better than bookmakers are able to do and test the effectiveness of the Czech betting market for football matches of the Czech highest football league. The first part of the thesis contains a more detailed presentation of the theory of efficient markets, a comparison of financial and betting markets and sources of possible inefficiency in betting markets. The second and third parts present data, models and their possible modification to increase the accuracy of estimates. The fourth part describes the results of testing individual models and subsequent simulations of betting strategies. The fifth part contains a conclusion and discussion of the results, including an indication of possible alternatives to follow-up research. The results of simulations of betting strategies confirm...

Problembakgrund & problemdiskussion: Att som professionell investerare lyckas överavkasta sitt jämförelseindex år efter år är lättare sagt än gjort. Oavsett vilken strategi en förvaltare använder sig av kan det vara svårt att kontinuerligt lyckas prestera bättre än marknaden. Författarna av denna studie har blivit inspirerade av anomalin PEAD, postearnings-announcement-drift. Den visar att om ett bolag överraskar positivt (negativt) har aktiekursen en tendens att stiga (falla) ett tag efter att den nya informationen har presenterats.   Problemformulering: Är det möjligt att kombinera indexplacering med PAD i samband med rapporter för att nå överavkastning gentemot OMXS30-index?  Vilken tidsperiod av tre, fem eller tio dagar är det i genomsnitt mest lukrativt att hålla aktien under rådande strategi? Syfte: Studiens huvudsyfte är att se om en kombination av aktiv förvaltning grundat på PEAD tillsammans med en passiv förvaltning i en börsfond som följer OMXS30, skulle lyckas överavkasta mot OMXS30. Studiens delsyfte är att se vilken av tidsperioderna tre, fem eller tio dagar som kan generera största avkastning. Författarna vill med denna studie kunna ge professionella investerare en stabil strategi som över tid visar sig överavkasta jämförelsebart index på ett kostnadseffektivt sätt och utan att ta allt för stor risk.   Teori: Studien behandlar teorier kopplat till Post Earnings Announcement Drift (PEAD) som sedan sätts i kontext med en genomgång av de etablerade teorierna om den effektiva marknadshypotesen och random walk. Som i sin utformning motsätter sig att en strategi byggd på PEAD ska kunna bringa överavkastning.    Metod: Studien använder sig av en kvantitativ metod med en deduktiv ansats. Aktiedata är inhämtad från bolag som ingått i OMXS30 under perioden 2010–2019. Studien har testat om strategin har överavkastat gentemot studiens utvalda referensindex.    Empiri/analys: Studiens resultat har ett empiriskt stöd för att PAD3 har en signifikant överavkastning gentemot OMXS30. Medan PAD5 och PAD10 visade sig inte ha en statistiskt säkerställd överavkastning mot OMXS30. Författarna har vidare funnit intressanta resultat som starkt pekar mot att strategin presterar starkt under en negativ marknad.   Slutsats: Strategin visade sig ha starka bevis att motsäga random walk då ett återupprepande prismönster gick att finna i studiens resultat. Trots att majoriteten av resultaten av de statistiska testerna inte var signifikanta ställer sig författarna även tveksamma till den effektiva marknadshypotesen. Strategin med den kortaste aktiva förvaltningen överavkastade index med över 150% vilket bör kunna ses som ett tecken på att marknaden inte till fullo lyckas prisa in den nya information som presenteras i samband med då bolagen släpper rapporter.

The stock market have received a fair amount of attention in the media recently as a result of the ongoing covid-19 pandemic. The question arouse if there is one month in the year that outperforms all other months in the stock market. A well known anomaly in the world of finance referred to as, the January effect, came up to discussion. Earlier studies of this subject have achieved different results and conclusions. Therefore, this study aims to examine if the January effect exists on mid cap and large cap companies on the Swedish stock market. To achieve this, one large cap portfolio and one mid cap portfolio both equally weighted with ten companies each were created. These two portfolios were analyzed with, among others, a well known regression model for season anomalies. The results of this study concludes that the January effect does not exist in neither of the portfolios.

This thesis examines the initial and long-term market reactions following reversed profit warnings on the Nordic markets. Furthermore, it investigates if firm size and trading volume can explain the magnitude of the market reaction. The study is based on 118 reversed profit warnings announced on the Nordic markets during 2010-2019 applying an event study approach, measuring abnormal returns. To examine if firm size and trading volume affects the market reaction, this study uses a regression analysis to complement the event study. Results show a significant initial market reaction, confirming that the market is genuinely surprised by a profit warning. In accordance with the efficient market hypothesis, the market is also seen to correct its expectations based on the new information. The initial reaction is more substantial for smaller firms and higher trading volume is seen to increase abnormal returns. Our long-term results show a significant reversal in share price, indicating that there is an overreaction to reversed profit warnings. The long-term regression results show that neither firm size nor trading volume explain the reversal in share price.

In this thesis the relationship between company performance and top management stock ownership in the Swedish market was examined. As well as conducting research on the influence real earnings management has on company performance, and how real earnings management relates to the top management stock ownership. The study was based on a quantitative approach with secondary data that was retrieved from Eikon Refinitiv database, where the data stretched back from 2018-2020. This research found no clear relationship between the main concepts under investigation, that is stock ownership of top management and stock returns. The authors explain this by the sampling method in this research only include companies with share holdings. Furthermore, compared to other studies looking this research considers multiple market capitalizations who may operate differently. Finally, there is a suspicion in the field of research that the relationship between the two is not of a linear nature as such a linear methodology will not find any clear results. In conclusion, this research could be added to the list that does not find a relationship between the above stated variables to the literature which could further be applied to the Swedish market. In terms of real earnings management, a strong negative influence was found on share returns. The authors suggest that this finding can be used as a basis to form investment strategies through monitoring the occurrence of REM to predict when insiders are going to buy and sell. Through pursuing this strategy, it may be possible to create superior return as this study found support for the semi-strong form of market efficiency. Unfortunately, this study found no clear guidance of resolving agency issues. Rather it was concluded that shareholdings in the top management does not resolve agency problems given the occurrence of REM. The management most likely benefit from this through trading the company stock. However, further investigation on the topic should be conducted as it seems that alignment using holdings become more or less effective at certain levels of management share ownership. Furthermore, the notion that American ways of agency alignment may not be appropriate in the Swedish market was considered but no clear conclusion could be made in this research.

Using the ARFIMA-FIGARCH model, this dissertation examines the efficiency of Botswana's bond market. It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. The weak-form version of efficient market hypothesis (EMH) is used as a criterion to investigate the existence of long memory in both bond returns and volatility. The results of our study indicate that the Botswana bond market data follow, to a great extent, the long-range dependence which negates the precepts of the efficient market hypothesis. Furthermore, policy reforms intended to stimulate bond market reform and related efficiency gains appear not to have produced the desired outcomes as the existence of long memory is found across all sample periods. Further remedial policies are suggested to enhance market dynamism.

Investeringar i aktier eller aktiefonder kan få ens pengar att växa genom den kumulativa avkastning som genereras. Genom ränta-på-ränta-effekten kan en liten ökning i avkastning från dessa investeringar få en stor effekt över en lång tidsperiod. På grund av detta etablerar många investerare strategier för att försöka uppnå en högre avkastning än den generella aktiemarknaden. Att slå marknaden har historiskt sett varit svårt vilket går i linje med det rådande paradigmet om att marknader är effektiva. Empirisk forskning har dock visat på återupprepande prismönster, som inneburit att det funnits möjligheter att strategiskt och systematiskt investera för att generera en högre riskjusterad avkastning än marknaden. Dessa prismönster kallas för anomalier och när de är tidsbaserade benämns de vanligtvis som kalendereffekter. Syftet med studien var att undersöka huruvida kalendereffekter även varit förekommande på marknader med mindre utvecklade institutioner och begränsad tidigare forskning. Studien är avgränsad till aktiemarknader i Afrika och har ställts i relation till motsvarande marknader i några av västvärldens mest välutvecklade ekonomier. En jämförelse har gjorts för att undersöka vart och vilka kalendereffekter som funnits samt hur resultatet skiljer sig mellan Afrika och västvärlden. Studien omfattar en tidsperiod från år 2000 fram till 2020. Resultatet visar något vanligare och mer signifikanta kalendereffekter på de afrikanska marknaderna men inte någon annan tydlig övergripande skillnad vid jämförelse med de västerländska marknaderna. Långa positioner vid månadsskiftet och efterföljande dagar alternativt vid slutet av handelsveckan har kunnat ge en högre riskjusterad avkastning än den generella marknaden i flera länder. Under tidsperioden finns det således belägg för att överavkastning kunnat uppnåtts på ett flertal afrikanska aktiemarknader genom systematiskt planerade investeringar. / Investments in equities or equity funds can help to make your money grow through the cumulative returns generated. Through compound interest, a small increase in return on these investments can have a large effect over a long period of time, resulting in many investors establishing strategies to achieve a higher return than the general stock market. Beating the market has historically been difficult which supports the prevailing paradigm that markets are efficient. However, empirical research has shown recurring price patterns, implying that there have been opportunities to strategically and systematically invest to generate a higher risk-adjusted return than the market. These price patterns are called anomalies and when time-based, are usually referred to as calendar effects. The purpose of this study was to examine whether calendar effects were also present in markets with less developed institutions and limited previous research. The study is focused on stock markets in Africa, which have been compared to corresponding markets in some of the most developed economies in the Western world. A comparison has been made to examine where and what calendar effects existed and how the results differ between Africa and the Western world. The study covers a period from 2000 to 2020. The results show slightly more common and significant calendar effects in the African markets, but no other clear overall difference was observed when compared with the Western markets. Long positions at the end of the month and subsequent days, alternatively at the end of the trading week, have been able to produce a higher risk-adjusted return than the general market in several countries. Thus, during this time period, there is evidence that excess returns could have been achieved in a number of African stock markets through systematically planned investments.

The purpose of this investigation was to test the theoretical possibility of an investor earning a positive cash return from the activities of the stock market despite effectively holding no position at all in said market. The sample data were the daily returns for the shares of the 780 companies listed on the NASDAQ and the New York Stock Exchange (“NYSE”), which fell within the top 500 listed companies by market capitalisation between 1 January 2005 and 31 December 2017. The reversal strategy’s performance was evaluated using portfolios constructed as quantiles of 100 or 500 shares, respectively, where the investor had the option of implementing the reversal strategy immediately after an information-gathering period closed or a day thereafter. The time intervals used were 1 January 2005 to 29 September 2008 (the day the Dow Jones Industrial Average crashed by 777.68 points), 29 September 2008 to 31 December 2017 and 1 January 2005 to 31 December 2017. Of the 1000 portfolios tested in each time interval, at least 416 had positive average returns in every time interval. Of the portfolios that had positive average returns over the time intervals, at least 66 had statistically significant average returns in every time interval. The best-performing portfolio for the entire sample period was a combination of the best-performing pre-crash and post-crash portfolios - an investor who held that portfolio realised a cumulative return of approximately $61.39 for every $1 invested. The conclusion was that it was theoretically possible for an investor to earn a positive cash return from the market’s activities despite effectively holding no position at all in the market. Consequently, it was concluded that the strong form of Fama’s (1970) Efficient Market Hypothesis was disproved. Future research should include out-of-sample tests, tests that include restrictions on short selling and tests that consider the impact of trading costs on portfolio performance, to render the conclusions of this investigation more practically applicable to investors.

In spite of the well-accepted belief of the relationship between cash flow and stock price, there are some controversies about whether cash flow is a good value driver in terms of explaining the volatility of stock prices, when compared with other value drivers, such as earnings or dividends. Most of the previous studies that have focused on the relationship between stock price and cash flow have used cross-industries data, primarily S&P 500 index. These studies do not distinguish service industry from manufacturing industry. However, the service industry is different from manufacturing in many ways. These differences make cash play different roles in the daily operation between the service industry and the manufacturing industry. Given these factors, whether the relationship between stock price and cash flow identified in previous studies will hold in the casual theme restaurant industry is the question this study tries to answer. Therefore, a set of 20 casual theme restaurant companies are selected through the COMPUSTAT database as the sample of this study. In this study, the performance of cash flow, earnings and dividends helping to explain the stock price move will be compared and ranked under the setting of casual theme restaurants. This result will provide the management of casual theme restaurants a guideline, which explains how to maintain the stock price increase and minimize the volatility by monitoring the most important value driver of the industry. The methodology of this study will follow the traditional multiple valuation model. The logic of this model is to compare the pricing error of different value drivers and determine which one is the best. The results of this study show that operating cash flow outperformed earnings and dividends in the multiple valuation tests. This is different from the results of previous studies that earnings has the strongest explanatory power in the variance of share price. / Master of Science