The purpose of this paper is to investigate the long-term share price effects for Swedish companies that employed repurchases programs during 2000 - 2012. This paper applies a trading strategy where the investor invests in stocks of compa-nies that engage in repurchase of their own equity. We test buy-and-hold abnormal returns versus two different proxies for the control firm, using small sample t-statistics. Abnormal returns for one to five years are insignificant under sta-tistic tests, using the supersector indices. In contrast, they are significant using a proxy for the market index as control firm. Factors hypothesized to contribute to this result are incon-clusive using our method of comparison. As a whole, we suggest that investing in companies that repurchase stock is a solid strategy: It is on par or better than index.

This paper examines the efficiency of the Swedish stock market, by testing if it is possible to create an excess return by the use of technical trading rules. According to the efficient market hypothesis and the random walk theory, in an efficient market it is not possible to predict the future stock prices by analyzing historical stock prices. The profitability of tech-nical analysis and technical trading rules has been researched and debated extensively, but economists have yet to reach a consensus. Because of this we find it useful to continue to study technical trading rules, and in our case we will focus exclusively on the Swedish stock market. We have done this by applying the trading technique moving average on the Swe-dish stock exchange. We have used the OMX Stockholm 30 Index, OMXS30, the 30 most traded stocks on the Stockholm stock exchange. From Nasdaq OMX we have obtained the daily closing prices from 1986-09-30 - 2012-01-27. Our test shows support for technical trading rules. The best performing moving average is the (1,50,0), which substantially beats the buy-and-hold strategy while being statistically confident to 99%. We have also tested our data set for a unit root, if a unit root exists it implies that the data set is following a random walk. We cannot reject that there is a unit root with α = 0.10 in our data set, alt-hough it would be rejected with α = 0.11. Our result forces us to reject that the Swedish stock market is efficient which is consistent with previous research made one the Swedish stock market.

Background A common goal for many investors is to beat the market. However, only a few are able to do so consistently over a long time. The random walk theory and the efficient market hypothesis are two widely accepted theories that state that it should not be possible to consistently generate abnormal returns in an efficient market. There are though some contradicting results that argue against market efficiency and a lot of those studies have value investment in common. Joseph Piotroski was in 2000 able to generate a value investment model that consistently beat the market between the years 1976-1996. Purpose The purpose of this paper is to test Piotroski’s model on stock markets with different size and maturity to evaluate if the model, as an investment strategy, can generate a better risk adjusted rate of return than a comparable market index. Unlike recent studies done on Piotroski’s value investing model, we will add a number of additional comparison portfolios and use two different valuation models to determine the source of return variation. Method This thesis employed a quantitative research method with a deductive approach. With data from four markets with different characteristics regarding efficiency and development, we performed an ex-ante test from 1995 to 2009. By employing Piotroski’s model, each stock on the four markets was given a score from 0-9; a portfolio for each market was created by the stocks that received a score of 8-9. They were then compared with portfolios from the same market based on the small firm- and book-to-market anomaly. We also performed a test between the markets to see if Piotroski’s model worked better in low efficiency or developed countries. All portfolios in this thesis were risk-adjusted with two different models, CAPM and the Fama & French three-factor model. Since these models use various factors to risk-adjust we have tested if they generate a different valuation of the same portfolio. Results Our study has shown that Piotroski’s model is not able to generate significant abnormal returns compared to our portfolios based on anomalies, our results also give an indication that by removing the anomaly premium the model might be destroying value instead of creating it. An explanation to why the model works in Piotroski’s study and not in ours could be the different method of risk adjustment. Piotroski uses a simple method by deducting the market return while we use two models that are taking additional factors into account. Our results are also able to show that choice of the valuation model does have a significant effect on the risk-adjusted return and could therefore affect the end-results of a study. Last of all our results do not give any support for the hypothesis that Piotroski’s model works better in countries with low efficiency compared to high efficiency or in countries that are developed compared to emerging.

Thesis (Ph. D.)--Rutgers University, 2009. / "Graduate Program in Economics." Includes bibliographical references (p. 137-140).

No description available.

Forecasting stock price movements is a notoriously difficult job. Were it not so, it would be easy to get richer. In this case, however, nobody would get poorer. But if nobody gets poorer, nobody will get richer. There are two ways to get out of this vicious circle. The first, and the more well-trodden, is the Efficient Market Theory (EMT), or: Everybody Understands Everything. The second is the Casino Market Theory (CMT), or: Nobody Understands Anything. This work is an attempt to bridge the gap between these two theories. In the first chapter the EMT is analysed in its fundamental constituents, while Chapter 2 contains a discussion of several empirical tests of the theory. Chapter 3 extends the EMT to incorporate variable risk premia and rational speculative bubbles and Chapter 4 presents the available empirical evidence on the extended model. The line of research based on the EMT paradigm is abandoned in Chapter 5, where the central principle of the EMT - the assumption of homogeneous investors with common priors - is investigated and challenged. The basis is there laid for an alternative view of the stock market game, which emphasises the conventional nature of investors' beliefs about future returns and is consistent with the view that stock market prices do not only reflect the fundamental value of underlying companies. In Chapter 6, the hypothesis that non fundamental information (in particular, past information) may have an influence on current stock prices is evaluated against monthly data relative to the US, UK, Japanese and Italian stock markets. Contrary to popular wisdom, we find that past information has a significant effect on current stock returns. Our evidence indicates that, as Keynes suggested in the General Theory, conventional beliefs play a crucial role in the stock market game.

Includes bibliographical references.

Much has been written, by academics, about the impact sponsorship announcements have on the share price performance of sponsoring firms. The objective of this study was to investigate if this phenomenon was true for JSE listed companies with particular focus on three announcement categories i.e. (i) new, (ii) renew and (iii) termination. The Efficient Market Hypothesis as an aspect of Investment Finance behaviour was explored to understand why sponsorship announcements would or would not have an impact on the share price performance. For this study, descriptive research was done with a causal design as the study tested the relationship between two or more variables. The study analysed 118 sponsorship announcements made by 19 JSE listed companies over a period of eleven years and five months. The study then assessed the share price performance for the period 120 days prior to and 120 days after the announcement date. The share price holding periods were adjusted for that of the average Financial Services (J212) Index, the Industrial (J212) Index and the Resources (J258) Index respectively to ascertain whether the returns were abnormal or not. The results have shown that there were no evidence that the announcement of a (i) new, (ii) renewed or (iii) terminated sponsorship do have a significant impact on the performance of share prices for JSE listed companies. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

The efficient market hypothesis and behavioural finance have been the cause of much debate for decades, with one theory advocating market efficiency and the other opposing it. The efficient market hypothesis (EMH) assumes that investors always act rationally and stock prices adjust rapidly to new information and should reflect all available information. In contrast, behavioural finance suggests that markets are not rational and investors make irrational decisions, which may lead them to over- or under-price stocks. Researchers for years have been empirically testing these assumptions in stock markets. However, there has been no consensus on which asset-pricing models perform better in capturing the effect of market anomalies and what impact these market anomalies have on the expected returns of different stock market’s sectors. The aim of the study was to test the effect of selected market anomalies on expected return in different sectors of the Johannesburg Stock Exchange (JSE). More specifically, the study aimed to compare the performance of different asset-pricing models and their ability to account for market anomalies in different sectors of the JSE. Additionally, this study tested the applicability of the recent Fama and French five (FF5-factor) model, in estimating the expected return on the JSE. The study used a quantitative approach with secondary data over a period of 12 years starting from January 2002 to December 2014. The sample used in the study consists of monthly data obtained from McGregor BFA and the South African Reserve Bank. The study examined for the effects of size, value, January and momentum variables across six sectors of the JSE. This was accomplished by the use of various asset-pricing models such as the Capital asset pricing model (CAPM), the Fama and French three-factor model (FF3-factor), the Carhart four-factor model (C4F) and the recent five-factor model of Fama and French (FF5-factor). The study showed that whenever the asset-pricing models were not restricted, they tend to capture the market anomalies in four out of the six sectors examined. However, no market anomalies were found present in two of the six sectors analysed. In contrast, when the asset-pricing models are restricted, the asset-pricing models only seem to capture the effects of market anomalies in one of the six examined sectors. The findings in this study suggest that market anomalies are sensitive to model specifications, as restricting the models tends to capture the different market anomalies across the sectors of the JSE. The study also found that market anomalies differ across sectors and that some sectors are more efficient than others. The study also reveals that the FF5-factor model is able to account for expected returns on the JSE. In addition, the FF5-factor model tends to perform better when the model is restricted. It is also evident from the findings presented in this study, that the value anomaly loses its predictive power when profitability and investment variables are included in the model. Overall, the study illustrated that market anomalies have an effect on returns of the JSE, that the model specifications play an important role in an asset-pricing model and that the FF5-factor model is applicable on the JSE, however, it is not certain whether four or five factors apply to the South African market.

The efficient market hypothesis and behavioural finance have been the cause of much debate for decades, with one theory advocating market efficiency and the other opposing it. The efficient market hypothesis (EMH) assumes that investors always act rationally and stock prices adjust rapidly to new information and should reflect all available information. In contrast, behavioural finance suggests that markets are not rational and investors make irrational decisions, which may lead them to over- or under-price stocks. Researchers for years have been empirically testing these assumptions in stock markets. However, there has been no consensus on which asset-pricing models perform better in capturing the effect of market anomalies and what impact these market anomalies have on the expected returns of different stock market’s sectors. The aim of the study was to test the effect of selected market anomalies on expected return in different sectors of the Johannesburg Stock Exchange (JSE). More specifically, the study aimed to compare the performance of different asset-pricing models and their ability to account for market anomalies in different sectors of the JSE. Additionally, this study tested the applicability of the recent Fama and French five (FF5-factor) model, in estimating the expected return on the JSE. The study used a quantitative approach with secondary data over a period of 12 years starting from January 2002 to December 2014. The sample used in the study consists of monthly data obtained from McGregor BFA and the South African Reserve Bank. The study examined for the effects of size, value, January and momentum variables across six sectors of the JSE. This was accomplished by the use of various asset-pricing models such as the Capital asset pricing model (CAPM), the Fama and French three-factor model (FF3-factor), the Carhart four-factor model (C4F) and the recent five-factor model of Fama and French (FF5-factor). The study showed that whenever the asset-pricing models were not restricted, they tend to capture the market anomalies in four out of the six sectors examined. However, no market anomalies were found present in two of the six sectors analysed. In contrast, when the asset-pricing models are restricted, the asset-pricing models only seem to capture the effects of market anomalies in one of the six examined sectors. The findings in this study suggest that market anomalies are sensitive to model specifications, as restricting the models tends to capture the different market anomalies across the sectors of the JSE. The study also found that market anomalies differ across sectors and that some sectors are more efficient than others. The study also reveals that the FF5-factor model is able to account for expected returns on the JSE. In addition, the FF5-factor model tends to perform better when the model is restricted. It is also evident from the findings presented in this study, that the value anomaly loses its predictive power when profitability and investment variables are included in the model. Overall, the study illustrated that market anomalies have an effect on returns of the JSE, that the model specifications play an important role in an asset-pricing model and that the FF5-factor model is applicable on the JSE, however, it is not certain whether four or five factors apply to the South African market.