Bakgrund: Det finns olika investeringsstrategier som investerare kan använda sig av, att investera i låga multiplar är en strategi som har studerats väl. Genom att använda sig av låga multiplar kan investerare finna undervärderade bolag som på sikt genererar en överavkastning gentemot marknaden.  Syfte: Studiens syfte är att analysera hur väl P/E, P/B, P/S, EV/EBIT, EV/EBITDA och EV/S multiplarna skulle kunna appliceras som investeringsstrategi på Stockholmsbörsen. Vidare ämnar studien åt att analysera om det är möjligt att generera en högre avkastning än vad indexet OMXSPI har avkastat under tidsperioden 2008-2018. Metod: Studien använder sig av en kvantitativ forskningsstrategi där två portföljer för respektive multipel har sammanställts. Portföljerna viktas om årligen och både den verkliga och den ackumulerade avkastningen beräknas fram. Vidare utvärderas portföljerna enligt utvärderingsmåtten Sharpekvot, M^2, Treynorkvot och Jensens Alpha. Resultat: Investeringsstrategin är implementerbar för tre av sex multiplar. Låga P/B, EV/EBIT och EV/EBITDA genererade en överavkastning och slog både index samt respektive hög portfölj. Medan för de resterande multiplarna P/E, P/S och EV/S resulterade det i att investeringsstrategin inte är implementerbar. EV/S hade den högsta riskjusterade överavkastning och presterade bäst av samtliga sex multiplar. Studieresultatet för samtliga multiplar kan statistiskt säkerställas med en signifikansnivå på 5%. Den månatliga portföljavkastningen är inte slumpmässig, utan marknadsavkastningen har en viss påverkan. / Background: There are several investment strategies investors can use, where the strategy to invest in low multiples is well studied. By using low multiples investors can find undervalued companies to generate an excess return. Previous studies have been focusing on the P/E and EV/EBITDA- multiples, and not as much on other used multiples in relative valuation. Therefore an interest exists to also analyze multiples such as P/B, P/S, EV/EBIT and EV/S. Purpose: The study’s purpose is to analyze how well the multiples P/E, P/B, P/S, EV/EBIT, EV/EBITDA and EV/S can be applied as an investment strategy in the Stockholm Stock Exchange. Furthermore the study aim to analyze the possibility to generate a higher return than the index OMXSPI during the time period 2008-2018. Method: The study uses a quantitative research strategy, where two portfolios for each multiple has been created. The portfolio has been reinvested once a year, both the real and accumulated return was calculated. Also, the portfolios’ performance has been evaluated by adjusting it to risk by using the Sharpe ratio, M^2 , Treynor ratio and Jensen’s Alpha. Result: The investment strategy can be implemented for three of six multiples. The low P/B, EV/EBIT and EV/EBITDA generated a higher return than both index and their respective high portfolio. The other multiples P/E, P/S and EV/S cannot be used as an investment strategy. The high EV/S portfolio had the highest risk adjusted excess return meanwhile P/S had the highest accumulated return. The result of all multiples has been found to be statistically significant, therefore the market return has an effect on the portfolios’ monthly return.

Denna studie undersöker huruvida den faktiska avkastningen för ett flygbolags aktie skiljer sig från den förväntade avkastningen i samband med att ett av flygbolagets plan kraschar. För att undersöka förekomsten av abnormal avkastning genomförs en eventstudie där 71 flygplanskrascher mellan åren 1980 till och med 2018 undersöks. Resultatet visar att det förekommer en genomsnittlig kumulativ avvikelseavkastning på -4,65% dagen då kraschen sker inklusive nästkommande dag, vilken är statistiskt signifikant på 1%. Vidare har antalet dödsfall som en flygplanskrasch orsakar en statistiskt signifikant påverkan på sambandet med styrkan 1%, där fler dödsfall resulterar i en större negativ kumulativ abnormal avkastning.

This paper uses a fundamental investment strategy model developed by Piotroski (2000), called F_SCORE. The model uses accounting-based ratios applied for portfolios of high book-to-market firms. The aim of the study is to test the model for the US stock market during the years 1998-2015, as well as to develop it. The first test uses the original model during the specified time period. The next step is to develop the model by using correlations between each of the signals and future returns that Piotroski (2000) has proven to exist. The test showed that the F_SCORE outperforms the market during the time period. In the developed model the return can be increased even further. The result shows that the market adjusted return can be increased by an average of 24.7 % annually. The developed model thereby generates a better market adjusted return than Piotroski's original model. / Följande examensarbete använder en fundamental investeringsstrategi framtagen av Piotroski (2000) som benämns F_SCORE. Strategin har sin utgångspunkt i finansiella rapporter gällande företag med höga book-to-market. Syftet med studien är att testa modellen för den amerikanska marknaden under åren 1998–2015, samt utveckla den. Det första testet använder ursprungsmodellen under den angivna tidsperioden. I nästa steg utvecklas modellen genom att hänsyn tas till respektive nyckeltals korrelation med avkastning som Piotroski (2000) visat existerar. Testet visade att F_SCORE överträffar marknaden under den valda tidsperioden. I den utvecklade modellen gick det att öka avkastningen ytterligare. Resultatet visar att det går att öka den marknadsjusterade avkastningen med i genomsnitt 24,7 % per år. Den utvecklade modellen genererar därmed en bättre marknadsjusterad avkastning än Piotroskis originalmodell.

The study examines how the investment strategy Magic Formula (Greenblatt, 2006) has performed on the Swedish stock market. It is also investigated how the performance is affected when the strategy is combined with momentum. Since the expected pension for future generations is expected to decline it is important to have private savings with as high return as possible. Therefore, it is relevant to investigate if simple investment strategies can be used to achieve higher return. The purpose with this study is to find out if the investment strategies Magic Formula and Magic Formula combined with momentum has had a higher risk-adjusted return than the benchmark index OMX30. The results show that both Magic Formula and Magic Formula combined with momentum yielded a higher risk-adjusted return than the benchmark index. The results also showed that Magic Formula yielded an even better risk-adjusted return when it was combined with momentum. We wish that the result that was found in this study will give inspiration to private investors in order to achieve a higher return in their savings and a more satisfactory pension in the future

本研究的主要目的在利用模擬實證研究的方式，探討資訊在我國股市股價形成中所扮演的角色。本研究所定義的資訊均屬最低成本或成本趨近於零的歷史性資訊或隨機亂數資訊，這些資訊包括亂數選擇、加權平均指數之反轉移動，與個股股價反轉移動資訊等。理性預期均衡理論提供了資訊與股價間關係的理論基礎。在理性預期均衡理論中，最基本的觀念是股價與攸關資訊間，若非雜訊，二者應具系統化關係。本研究預期可瞭解我國股市部份資訊效率性的意義，亦可進一步瞭解與歷史性資訊在我國股價形成所扮演的角色。 　　本研究採用模擬式實證研究法，以理性預期理論為基礎，探討隨機亂數資訊與歷史性股價資訊在股價形成過程中所扮演的角色，從而檢定我國股票市場之效率性。為了能評估不同層次之歷史資訊所代表之本質，本研究將採用之資訊分為三層次，分三階段進行。且為了觀察市場多、空頭之差異，又特別分別測試。 　　本研究以266家上市公司為抽樣母體，蒐集自民國83年至民國84年中之股價資料，分多、空頭進行研究，獲致以下結論： 　　一、在不利用任何歷史性資訊（亦即非理性狀態下）以制訂投資決策之情況下，若市場為多頭時期，存在有總累積報酬率擊敗市場且顯著差異之事實，且持有週期愈短，總累積報酬率愈高；而若市場為空頭時期，不論持有週期長短，總累積報酬率皆不能擊敗市場，但以各投資組合而言，仍存在有擊敗市場且顯著差異之事實，以此推論，台灣股票市場屬弱式效率市場之範疇。 　　二、當採用市場發行量加權平均指數之反轉移動為投資買賣點之依據，不論市場是處於多頭或空頭，總累積報酬率皆無法擊敗市場之平均表現。但各個投資組合亦存在有擊敗市場且顯著差異之事實，亦可支持台灣股票市場為弱式效率市場之說法。 　　三、若改以個股股價反轉移動為投資決策參考之指標，在多、空頭時期，且不論就個別投資組合或總累積報酬率來看，皆可輕易獲致超額報酬且顯著差異，暗示我國股市股價形成之過程並不能充分反應此一資訊，據此可推論台灣股票市場為弱式效率市場。 　　四、以市場發行量加權平均指數反轉移動資訊所制訂投資決策之績效不能顯著勝過市場之平均表現看來，台灣股票市場之股票股價形成過程中，深受歷史性加權平均指數移動資訊所影響，以致能大部分反映此部分資訊。而以個股股價反轉移動資訊所制訂投資決策之績效卻能輕易勝過市場且顯著差異看來，我國股市中個別股票股價表現似乎存在重大差異，股價與加權指數間並不皆具有高度正相關，投資人若決策錯誤，可能產生「賺了指數，賠了差價」之情形。 / This study aims to examine the role of information plays in the stock price formation by an application of simulated empirical approach. The results of this study can be used for assessing the appropriateness of Fama's definition of efficient market hypothesis (1970) in the Taiwan stock market. The assessment of information in this study includes random selection, reverse movement of stock index, and reverse movement of an individual stock. The analysis includes 266 samples covering bull/bear markets in the period between 1994 and 1995 on which the findings can be summarized as follows. 　　1. If the portfolio is formed upon random selection, the performance of portfolios can significantly beat the market in the bull market. In particular, the shorter turnover is, the higher return can be gained. There exist examples that the random portfolio can beat the market in the bear market no matter which turnover is selected. 　　2. If the portfolio is formed upon the reverse movement of stock index, even though total cumulative returns cannot beat the market average return in all cases, there exist cases beating the market. 　　3. If the portfolio is formed upon the reverse movement of an individual stock, no matter what the bull or bear market is, the portfolio can significantly beat the market for designated cases or total cumulative returns. 　　Thus, the stock price in the Taiwan stock market can be classified as a weak form market or weaker than a weak form market based on the Fama's definition (1970). Future research can consider how the Fama's definition of efficient market hypothesis can be revised in order to be applicable in the Taiwan stock market.

<p>I denna magisteruppsats undersöks eventuella långsiktiga samband mellan den svenska aktiemarknaden och aktiemarknaderna i Tyskland, Storbritannien, USA och Japan. Detta sker genom en kointegrationsanalys med Engle-Grangers metod. Undersökningen omfattar åren 1992-2010 och resultaten visar inga tecken på att det skulle existera några långsiktiga samband mellan den svenska aktiemarknaden och någon av de utländska aktiemarknaderna. Resultaten ger därmed indikationer om att den svenska aktiemarknaden tillsammans med de utländska aktiemarknaderna i undersökningen är kollektivt effektiva i åtminstone den svaga formen enligt Fama (1970). Då inga långsiktiga samband existerar bör även portföljdiversifiering mellan den svenska aktiemarknaden och de utländska aktiemarknaderna i undersökningen fungera effektivt på lång sikt.</p> / <p>In this master thesis the Engle-Granger method for cointegration analysis is used to examine long-term relationships between stock markets. The analysis is applied on Swedish stock market together with the stock markets in Germany, United Kingdom, United States and Japan. The result shows no significant signs of any form of long-term relationships between the Swedish and the foreign stock markets for the time period 1992 to 2010. The result therefore indicates that the Swedish stock market together with the foreign stock markets in the study is collectively efficient in at least the weak form according to Fama (1970). The result also indicates that portfolio diversification through investing in the Swedish stock market together with any of the foreign stock markets should be effective in the long run.</p>

<p><strong>Syfte: </strong>Huvudsyftet med denna uppsats är att undersöka betydelsen av finansiella rapporter genom att studera aktiekursens reaktion på Stockholmsbörsen för tidpunkten när företags finansiella rapporter blir offentliga. Detta bryts ned i två delsyften; <em>Skapar årsrapporter synbara reaktioner på svenska aktiemarknaden OMX vid tidpunkten för offentlighetsdatumet? </em>samt <em>följer reaktionerna på svenska aktiemarknaden årsrapporternas status? </em></p><p><strong>Metod: </strong>Undersökningen är uppdelad i två delar. Den första utgörs av en nyckeltalsanalys, på 81 finansiella rapporter mellan åren 1991-2009, för att fastställa rapporternas status och den senare är en eventstudie som behandlar aktieutvecklingen vid offentlighetsdatumet för rapporterna. Undersökningen har en kvantitativ ansats där empirin består av sekundärdata i form av årsredovisningar, delårsrapporter och börskursindex.</p><p><strong>Teori: </strong>Rapporten bygger på hypotesen om effektiva marknader, signalteorin samt teorin om insiderinformation.</p><p><strong>Empiri: </strong>Utav 81 undersökta rapporter var 32 stycken starka, 27 stycken svaga, och 22 stycken neutrala.  Alla rapporters eventfönster för offentliggörandet gav antingen ett positivt eller negativt AAR. Åren 1991, -99, -07, -08 och -09 fick ett positivt AAR medan åren 1992, -93, -00 och -01 fick ett negativt AAR. Varje status AAR blev 0,123 för de starka, -0,124 för de svaga och 0,011 för de neutrala.</p><p><strong>Analys/Slutsats </strong></p><ul><li>Då en rapport offentliggörs kan en reaktion på aktiemarknaden generellt urskiljas. </li><li>I majoriteten av fallen har rapporten medfört svagt positiva priseffekter vid offentliggörandet av en stark rapport, svagt negativa effekter vid en svag rapport och ingen signifikant reaktion vid en neutral rapport som inte bringar några större nyheter. </li><li>Det finns dock inget statistiskt samband mellan marknadsreaktionen och rapportens status vid en korrelationsanalys. Detta kan bero på att antalet studieobjekten kan ha varit för få och avvikelserna har därmed fått ett stort inflytande på det totala resultatet.</li><li>På det hela taget motsäger sig inte studien den effektiva marknadshypotesen, det skapas reaktioner av olika storlek vid offentliggörandet men för att kunna fastställa ett säkert samband mellan status och reaktioner krävs en djupare och bredare undersökning. </li></ul> / <p><strong>Purpose: </strong>The aim of this study is to investigate the significance of financial reports through stock market reactions when financial reports become public. This is broken down into two part purposes; <em>do annual reports create reactions on the Swedish stock market OMX for the date of public enunciation?</em> and <em>does the reaction on the Swedish stock market follow the nature of the financial report?</em></p><p><strong>Methods: </strong>The study has two methodological aspects. The first one consists of a ratio analysis, of 81 financial reports between 1991-2009, in order to determine the report's status. The second one is an event study that deals with share developments for the time of annual reports public enunciation. The study has a quantitative approach where the empirical data consists of information from annual reports, interim reports and share price index.</p><p><strong>Theoretical: </strong>This paper relies on the efficient market hypothesis, signal theory and the theory perspectives of insider information.</p><p><strong>Empirical</strong>: Out of 81 examined annual reports 32 had a strong approach, 27 had weak and 22 had neutral. All the reports event windows for time of public enunciation had either a positive or negative AAR. The years 1991, -99, -07, -08 and -09 had a positive AAR while the years 1992, -93, -00 and -01 had a negative AAR. Every natures AAR become, 0,123 for the strong, -0,124 for the weak and 0,011 for the neutral.</p><p><strong>Conclusion</strong></p><ul><li>When a financial report is published and becomes available to stakeholders a reaction on the stock market tends to occur. </li><li>In the majority of cases the report provides positive reactions on the stock market when the underlying report is of a strong nature, negative reactions when the report is weak and no significant reaction when it is neutral. </li><li>There is, however, no immediate correlation between the market reaction and the nature of the report.  This may be due to the number of research objects that can have been too few and there for have gotten an excessive influence on the overall result. </li><li>Overall, the study does not contradict the efficient market hypothesis, reactions do accrue but to determine the correlation between the nature of the report and the effects on stock direction it require a deeper and wider study then this. </li></ul>

<p>The purpose of this Bachelor thesis is to analyze if there is a correlation between stock prices and the amount of searches of the companies names on Google. The theories used in the study were Capital Asset Pricing Model (CAPM) and Efficient Market Hypothesis (EMH). Regressions analysis is used as the statistical method to see if there is a significant correlation between the stock prices and the amout of searches of the company name on Google. The data used were the rate of return of three companies (ABB, Oriflame and Sandvik) on the Nasdaq OMX Nordic stock market, the rate of return of the Nasdaq OMX Nordic stock market index (OMX Stockholm_PI) and the Google search frequency from Google Trends on each company. The result showed no significance and the conclusion of the thesis is that there is no significant correlation between the three studied companies and their search frequency on the search engine Google.</p> / <p><strong>Syfte</strong>: Syftet med uppsatsen är att undersöka ifall det finns ett samband mellan företags aktiekurser och sökfrekvens på företagets namn på söktjänsten Google.</p><p><strong>Data: </strong>Daglig avkastning på ABB:s, Oriflames och Sandviks aktier, Aktieindex samt Googels sökfrekvens.</p><p><strong>Teorier: </strong>Capital Asset Pricing Model (CAPM), Effektiva marknadshypotesen (EMH)</p><p><strong>Slutsats: </strong>Det råder inget signifikant samband mellan de undersökta företagens aktiekurser och deras företagsnamns sökfrekvens på söktjänsten Google.</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>

<p>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.</p>