<p>This thesis investigates the profitability of the momentum strategy in the Swedish stock market. The momentum strategy is an investment strategy where past winners are bought and past losers are sold short. In this paper Swedish stocks are analyzed during the period 1999 – 2007 with the approach first used by Jegadeesh and Titman (1993). The results indicate that momentum investing is profitable on the Swedish market. The main contribution to the profits is derived from investing in winners while the losers in most cases do not contribute at all to total profits. The profits remain after correcting for transaction costs for longer termed strategies while they diminish for the shorter termed ones. Compared to the market index, buying past winners yield an excess return while short selling of losers tend to make index investing more profitable. The analysis also shows that momentum can not be explained by the systematic risk of the individual stocks. The evidence in support of a momentum effect presented in this thesis also implies that predictable price patterns can be used to make excess returns; this contradicts the efficient market hypothesis.</p>

<p>In this thesis, we have analyzed the ex-dividend stock price behavior in the London Stock Exchange to see if the stock prices really drop by the same amount as the dividend on the ex-dividend day. Our sample data covers 80 FTSE100 companies of the London stock exchange for the period 2001 to 2006.</p><p>To answer the research question: Do returns on the London Stock Exchange act in accordance with the efficient market hypothesis on the ex-dividend day? We used a deductive approach and test four hypothesis. The study was carried out by comparing the actual value of the raw price ratio, market adjusted price ratio, raw price drop and market adjusted price drop to their theoretical values. The difference was tested for significance using the one sample t-test.</p><p>The results showed that there are significant differences in the observed figures from their theoretical or expected values. The observed raw price ratio is higher than the expected value of 1, implying that the stock price on the ex-dividend day drops by an amount that is lower than the dividend paid. Similarly, the market adjusted raw price ratio is also higher than the expected value of 1. The raw price drop and market adjusted price drop are lower than the dividend yield, indicating again that the stock price drops by an amount that is lower than the dividend paid.</p><p>Our results indicated that the null hypotheses stated are rejected since the drop in the stock prices is not equal to the amount of the dividend on the ex-dividend day.</p>

<p>Background: We have reason to believe that in fear of doing wrong; most PPM investors are crippled to stay passive. Hence, they are not using the full potential of the PPM systems. Some are lured in to use professional pension saving steward by promises of abnormal return. According to efficient market hypothesis this would be impossible, however, studies have shown that their might exist inherent financial anomalies that by the utilization of historic information can open the window for abnormal return.</p><p>Purpose: The purpose of the study is to draw attention to the problem of using ex ante data to predict ex post returns. Thus, we would have evaluated the practical implication of using ex ante data as a determinant in relation to optimal PPM funds selection, and if possible to provide some simplistic guidelines for the average PPM investor.</p><p>Results: We found a handful of portfolios that gave significant results against their own index; however, when tested against Sverige, rena and Global, Mix bolag the evidence of abnormal return were thin.  From our results, we conclude that their seems to be a persistence effect, as top achievers continued to perform above average in almost all cases, however, one could not profitize on abnormal return other than by chance.  Consequently, historic return can give the investor an aid in optimal portfolio selection. Historic figures concerning standard deviation, expense ratios, and load fees all significantly correlated with return, however, neither seem to give the investor an edge in optimal PPM portfolio selection.</p>

In this thesis, we have analyzed the ex-dividend stock price behavior in the London Stock Exchange to see if the stock prices really drop by the same amount as the dividend on the ex-dividend day. Our sample data covers 80 FTSE100 companies of the London stock exchange for the period 2001 to 2006. To answer the research question: Do returns on the London Stock Exchange act in accordance with the efficient market hypothesis on the ex-dividend day? We used a deductive approach and test four hypothesis. The study was carried out by comparing the actual value of the raw price ratio, market adjusted price ratio, raw price drop and market adjusted price drop to their theoretical values. The difference was tested for significance using the one sample t-test. The results showed that there are significant differences in the observed figures from their theoretical or expected values. The observed raw price ratio is higher than the expected value of 1, implying that the stock price on the ex-dividend day drops by an amount that is lower than the dividend paid. Similarly, the market adjusted raw price ratio is also higher than the expected value of 1. The raw price drop and market adjusted price drop are lower than the dividend yield, indicating again that the stock price drops by an amount that is lower than the dividend paid. Our results indicated that the null hypotheses stated are rejected since the drop in the stock prices is not equal to the amount of the dividend on the ex-dividend day.

Background: We have reason to believe that in fear of doing wrong; most PPM investors are crippled to stay passive. Hence, they are not using the full potential of the PPM systems. Some are lured in to use professional pension saving steward by promises of abnormal return. According to efficient market hypothesis this would be impossible, however, studies have shown that their might exist inherent financial anomalies that by the utilization of historic information can open the window for abnormal return. Purpose: The purpose of the study is to draw attention to the problem of using ex ante data to predict ex post returns. Thus, we would have evaluated the practical implication of using ex ante data as a determinant in relation to optimal PPM funds selection, and if possible to provide some simplistic guidelines for the average PPM investor. Results: We found a handful of portfolios that gave significant results against their own index; however, when tested against Sverige, rena and Global, Mix bolag the evidence of abnormal return were thin.  From our results, we conclude that their seems to be a persistence effect, as top achievers continued to perform above average in almost all cases, however, one could not profitize on abnormal return other than by chance.  Consequently, historic return can give the investor an aid in optimal portfolio selection. Historic figures concerning standard deviation, expense ratios, and load fees all significantly correlated with return, however, neither seem to give the investor an edge in optimal PPM portfolio selection.

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Thesis (Ph.D.)--City University of Hong Kong, 2009. / "Submitted to Department of Economics and Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy." Includes bibliographical references (leaves 107-118)

published_or_final_version / abstract / Economics and Finance / Doctoral / Doctor of Philosophy