The purpose of this study is to investigate the effect of a stock recommendation from the leading financial magazines in Sweden. The study aims to measure the impact a recommendation illustrates in true value. The measurements are mean abnormal returns (AR), mean cumulative abnormal returns (CAR) and mean abnormal volume (AV). Conducting an event study to monitor, not only the date of announcement, but to also validate or invalidate the recommendation as a fundamental changer in the stock case. Where the calculations are made before, on and after the event occurs. With the aim to test if the market is efficient and in line with the rational theories, or if there are other explanatory theories, like the behavioral financial approach, that can explain the results. The sample consists of 571 recommendations that have been announced 2017 and 2018, divided into categories of buy and sell. The sample of buy and sell are also tested in subcategories of small and large companies, to measure the impact due to size of the firm, as a dependent variable. The empirical results shows that there are AR and AV existing due to recommendations. Small companies have the highest measured AR, with sell recommendations having the largest effects. The sell recommendations changes the value and the fundamentals of the stocks, while buy recommendations react positive to the recommendations on the day of announcement, then reverses back to the same price in the end of the event window. Suggesting that the market act both efficient and rational, but also irrational and ineffective, depending on what type of recommendation that is being released and how large and well monitored the company, that gets the recommendation is.

Um dos fundamentos das Finanças, a partir da segunda metade do século 20, é a hipótese de eficiência de mercado. Num Mercado Eficiente, as informações sobre o ativo são transferidas para os preços de modo que o preço do ativo reflete toda informação disponível. Assim, o retorno desse ativo está baseado no nível de risco associado. Esse estudo examina carteiras de ações formadas com base em diferentes critérios e acompanha o retorno produzido no período, verificando as estratégias de investimento que provocam os melhores resultados, ou seja, quais as estratégias vencedoras tomando-se como base uma determinada variável fundamentalista. O resultado obtido poderá confirmar a hipótese de racionalidade do mercado. O trabalho é baseado no retorno apresentado pelas ações no mercado brasileiro no período de 1993 até 2003. / Modern Finance is established based in Market Efficiency Hyphotesis, an important concept widely accepted since1950´s. A market in which prices at any time refect all information available is considered efficient. In the present study we built portfolio as per some estrategies for selecting stocks based in past return just to verify winners strategies that can confirm the market efficiency hyphotesis. We followed the return based in stocks from 1993 to 2003 in São Paulo Stock Exchange.

by Mi Jia, Wang Xueyu. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 77-78). / ABSTRACT --- p.III / TABLE OF CONTENTS --- p.iv / LIST OF TABLES AND FIGURES --- p.vi / Chapters / INTRODUCTION --- p.1 / DATA AND RESEARCH METHODOLOGY --- p.6 / EFFICIENCY TESTS --- p.12 / Time Serial Correlation Analysis --- p.12 / Seasonal Fluctuation --- p.16 / General Index's analysis and comparison --- p.17 / Holiday Effect --- p.20 / Test of Predictability in Stock Market Returns --- p.35 / Larger Stock in June effect --- p.37 / Passive Vs Active portfolio (with technical analysis) --- p.39 / Technical analysis --- p.40 / Filter Rules Approach Testing --- p.43 / Returns over Short and Long Horizons --- p.49 / Holding Period Return over Short and Long Horizons --- p.50 / Accumulative Abnormal Return over Short and Long Horizons --- p.51 / Mutual Fund Performance --- p.52 / Mutual Fund vs. Index --- p.53 / Relative Performance among Mutual Funds --- p.54 / "B/M, Size, and P/E Effect" --- p.55 / "Correlation among B/M, Assets, Market Value of A Share, P/E and Beta" --- p.56 / B/M and Annual Return --- p.57 / P/E and Annual Return --- p.59 / Assets and annual return --- p.60 / Market Value of A Share and Annual Return --- p.61 / Beta and Annual Return --- p.53 / Multiple Regressions --- p.64 / CONCLUSION --- p.66 / Limitation of Research --- p.66 / Summary --- p.67 / APPENDIX 1 --- p.69 / APPENDIX 2 --- p.70 / APPENDIX 3 --- p.71 / APPENDIX 4 --- p.72 / APPENDIX 5 --- p.73 / BIBLIOGRAPHY --- p.77

This research is a systematic, in depth empirical test of the strong form of the efficient market hypothesis (EMH) using the dual-fund industry as the research subject. Unlike most strong-form EMH research, this study deals with a small, homogeneous sector of the investment company industry with a comparable origin date. To obtain homogeneity of the research subjects, the sample size is necessarily small (7), thus, making it difficult to find statistically significant results. In general, portfolio performance is negatively correlated with variability in measures of portfolio characteristics such as the major mix, common stock categories, portfolio turnover, etc. The better-performing dual funds were more consistently managed while the lower-performing companies had significant and sometimes frequent changes in portfolio policies. In line with the efficient market hypothesis, "passive" management, i.e., low turnover, few changes in major mix or common stock composition, shows better results in the dual-fund industry from inception through 1973.

This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once transaction costs are adjusted for, put-call parity does not hold. However, the intercept term is only very slightly negative, and the intercept term is only slightly less than one in both cases. This implies that when put-call parity is violated, arbitrage profit should be relatively small.

Corporations may experience lower earnings on assets due to the underinvestment of excess cash. Specifically, leaders of nonfinancial firms hold small amounts of cash in mutual fund investments. The primary benefit to understanding mutual funds is the potential to use them to manage excess corporate cash. Using the efficient market hypothesis as a framework for the study, the purpose of this correlational study was to examine the relationship among mutual fund expenses including 12b-1 fees, sales load at purchase, management fees, total capitalization, and performance. Secondary research databases were used, including the Steele Mutual Fund Expert and the U.S. Securities and Exchange Commission, to create a sample of 96 actively managed mutual funds for the years 2010 to 2014. Multiple regression analysis revealed that 12b-1 fees, sales load at purchase, management fees, and total capitalization were not significant predictors of mutual fund performance. Further, in most years, actively managed mutual funds were not able to outpace the benchmark index. However, a small cluster of successful mutual funds (30) exceeded the performance of the S&P 500 by 5.99%. The implications for positive social change include the potential to devise a strategy to invest excess cash, as additional earnings could offset increasing operational costs and ease shareholder concern. Additionally, legislators could use the results of this study to create regulations to promote stable financial markets.

The modelling of stock market volatility is considered to be important for practitioners and academics in finance due to its use in forecasting aspects of future returns. The GARCH class models have now firmly established themselves as one of the foremost techniques for modelling volatility in financial markets. The application of GARCH class models in developed and emerging markets (including the Egyptian Stock Market) provides evidence of GARCH effects in stock returns. However, most of the studies conducted on modelling the volatility of stock returns are based on the aggregated market index. This thesis argues that this will not reflect significant differences of variation in the pattern of volatility associated with different stocks. However, in order to examine the similarities and differences between the conditional variance structures of stocks from the same or different industries in the same equity market, this thesis estimates pooled-panel models. These novel models are used to test for similarities and differences in the conditional variance equation in panels of time series within a general to specific framework of nested tests. This is done using panel samples of sector indices and stocks from the Egyptian Stock Market covering the period from 1997 to 2002. The results suggest that there are similarities in the temporal volatility structures of stocks from the same sector or industry, but there are significant differences in the temporal volatility structures of stocks from different sectors or industries. This suggests that using indices alone for modelling the volatility of an equity market, which is the method used in the majority of studies cited in the literature, may not be appropriate. The thesis concludes with a discussion of some of the implications of these results and suggestions for further research. / Doctor of Philosophy (PhD)

<p>If you happen to be an American and have trouble sleeping, do not attempt to fall asleep watching the nightly news because it is anything but boring. At a glance, the American economy seems to be in shambles. The United States has an all-time high deficit, the housing market has crashed or is in the process of doing so, capital markets are becoming increasingly volatile and credit institutions in and outside the US are reporting heavy losses. The American presidential elections will take place this November, and there is no question that the economy will be one of the main issues.</p><p>How has the unstable economic atmosphere affected the financial behavior of households in the United States and where have they received the financial information and advice from? Have the changes that they have made in their personal savings/investments and asset portfolios changed in any way and if so, are these changes based on rational decisions or mere hunches?</p><p>This paper intends to answer these questions through a qualitative approach by interviewing eight tailor picked households in the United States. We take a constructionist ontological position assuming that social entities have a reality that is constructed by the perception of social actors. Furthermore, we have taken the epistemological Interpretevist stance assuming that we study the world by looking at its social actors.</p><p>We have utilized a number of theories to aid us through our deductive approach where we collect theory, then collect data, analyze the findings, confirm or reject existing theory, then revisit the existing theory with the new data. The main theories include the Efficient Market Hypothesis, Behavioral Finance, Metacommunication and Dissemination of Information and Animal Spirits including all their subsidiary theories.</p><p>The interview process involved utilizing an unstructured format and once interviews were collected, they were compiled into summarized form through an emotionalist approach. Conclusions were then drawn by finding common denominators between the interviewees’ sentiments. We found the signs of Keynes’ Animal Spirits, overreaction to information, and amplification of information through private sources. Furthermore, we have been able to find that advice had changed over the past year although we were unable to conclude how it had changed. Finally, a number of findings including people’s risk averse behavior towards volatile stock markets gave us an overall picture of the Efficient Market Hypothesis being less true in this situation than Behavioral Finance.</p>

<p>Background:</p><p>The efficient market hypothesis states that it is not possible to consistently outperform the overall stock market by stock picking and market timing. This is because, in an efficient market, all stock prices are at their correct level, and there are no over- or undervalued stocks. Nevertheless, deviations from true price can occur according to the hypothesis, but when they do they are always random. Thus, the only way an investor can perform better than the overall stock market is by being lucky. However, the efficient market hypothesis is very controversial. It is often discussed within the area of modern financial theory and there are strong arguments both for and against it.</p><p>Purpose:</p><p>The purpose of this study was to investigate whether it is possible to outperform the overall stock market by investing in stocks that are undervalued according to the enterprise multiple (EV/EBITDA), and the price-earnings ratio.</p><p>Realization of the Study:</p><p>Portfolios were constructed based on information from five years, 2001 to 2005. Each year two portfolios were put together, one of them consisting of the six stocks with the lowest price-earnings ratio, and the other consisting of the six stocks with the lowest EV/EBITDA. Each portfolio was kept for one year and the unadjusted returns as well as the risk adjusted returns of the portfolios were compared to the returns on the two indexes OMXS30 and AFGX. The sample consisted of the 30 most traded stocks on the Nordic Stock Exchange in Stockholm 2006.</p><p>Conclusion:</p><p>The study shows that it is possible to outperform the overall stock market by investing in undervalued stocks according the price-earnings ratio and the EV/EBITDA. This indicates that the market is not efficient, even in its weak form.</p>

Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference.