An inefficient market refers to the fact that a stock price deviate from the true value. Such an market inefficiency is the “January effect”. The “January effect” is the phenomenon were the stock market performs better in January than in any other month. This is a seasonal anomaly which should not exist according to the market efficient hypothesis. The “January effect” is a phenomenon that today cannot be fully understood. Thus, many studies have been made on the “January effect”. The effect have been studied across the world since the 1970s, and Rozeff & Kinney (1976) where the first to conclude a seasonal anomaly where January was the responsible month for abnormal returns. Further studies, such as the study by Keim (1983), concludes that the “January effect” is largely a small firm phenomenon. There are several indicators that are said to be the reason for the “January effect”, such as the tax-loss selling hypothesis tested by Reinganum (1983), none of the findings have however been fully supported. Claesson (1987) conducted a study of the “January effect” on the Swedish Stock market in 1987. Her findings was in accordance with other findings across the world, thus the “January effect” did exist in Sweden during 1980s. My study focus on the “January effect” in Sweden and whether or not it is a present phenomenon, thus increasing the contemporaneity of the “January effect”. I base my study on Claesson’s, but I also use  various studies that have been made across the world about this seasonal anomaly. The purpose of the study is to increase the Swedish contemporaneity of the “January effect”. I want to increase the knowledge and understanding of this seasonal anomaly in today’s stock market in Sweden. The study will be of use for both professional and unprofessional investors and can be of use in portfolio strategy decision making.´ In order to make conclusions and to make the research profound I have used theories such as “The-small-firm in January effect” and the “Tax-loss selling hypothesis”. Earlier studies by researchers have been used in order to give an understanding and in order to make a reliable study. I have  used a sample between the years 2003-2011 from the NASDAQ OMX Nordic Stock Exchange. The Sample focus on the Stockholm Stock Exchange in order to determine the existence of the effect in Sweden. The sample is raw data from three different indices which then have been analyzed through Excel. The finding from this study is that there is a “January effect” present on the Stockholm Stock Exchange today. This seasonal anomaly can be seen for small firms listed on the Small Cap at the Stockholm Stock Exchange. Small firms present abnormal returns during January that is consistent over the sample period. Small firms consistently outperforms large firms during the month of January, an outperformance that cannot be seen in any other month during a given year. The study also concludes that December is a strong month, especially for large firms. This creates a discussion on the exploration of the market inefficiency and calls for further studies on the matter. Further evidence of such an exploration can be seen on the last five days of trading in December for small firms. Small firms consistently present high returns during the last trading days of December, thus strengthen the theory that there is an exploration of the market inefficiency.

Στην παρούσα εργασία ασχοληθήκαμε με το φαινόμενο του Ιανουαρίου και την επίδρασή του στις χρηματιστηριακές αγορές επτά επιλεγμένων χωρών, της Γερμανίας, της Ελλάδας, της Αυστρίας, του Ιταλίας, της Αγγλίας, της Ρωσίας και της Ολλανδίας. Το φαινόμενο του Ιανουαρίου (January effect) αποτελεί ένα είδος εποχιακής ανωμαλίας και ημερολογιακού φαινομένου, που επηρεάζει τις τάσεις που παρατηρούνται στην χρηματιστηριακή αγορά και τις αγορές τίτλων κάθε αρχή νέους έτους. Οι ερμηνείες που έχουν δοθεί από την ακαδημαϊκή κοινότητα για την εμφάνιση του January effect ποικίλουν και θα μελετηθούν στο κυρίως μέρος της διπλωματικής εργασίας. Συγκεντρώνοντας και μελετώντας την διεθνή βιβλιογραφία για το συγκεκριμένο φαινόμενο, καθώς επίσης διάφορες μελέτες περιπτώσεων σε διαφορετικές χρηματιστηριακές αγορές και σε συνδυασμό με τη χρήση του στατιστικού πακέτου ανάλυσης e-views, καταφέραμε να εμβαθύνουμε στο φαινόμενο και να διακρίνουμε την έντασή τους στις προαναφερθείσες χώρες. Τα σημαντικότερα ευρήματα παρουσιάζονται στο δεύτερο κεφάλαιο της παρούσας πτυχιακής εργασίας, μετά τη βιβλιογραφική ανασκόπηση. / -

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.

Bostadspolitiken har länge varit en het fråga i samhället. Att det är svårt att få ett boende i form av ett förstahandskontrakt i Sveriges storstadsregioner har nog ingen missat. Efter det senaste regeringsvalet skrev Socialdemokraterna, Miljöpartiet, Liberalerna och Centerpartier under ett 73-punktsprogram där man bland annat tagit fram reformförslag för hyresmarknaden. Det finns många studier om hur hyressystemet i Sverige har bidragit till den bostadssituation vi har idag. Däremot är förslagen i januariöverenskommelsen nya och därför är syftet med denna uppsats är att undersöka hur och om förslagen som presenteras i punkt 44 i januariöverenskommelsen kommer påverka hyresmarknaden. Arbetet har grundats på följande frågeställningar: Hur ställer sig aktörer på bostadsmarknaden till reformförslagen i januariöverenskommelsen? Kan en friare hyressättning öka byggvolymen av nyproducerade hyresrätter? Behövs det en hyresreform? Uppsatsen tydliggör att det rådande bruksvärdessystemet är illa anpassat för dagens bostadsmarknad och ger upphov till inlåsningseffekter. Av intervjuerna framgår det att alla respondenter är ense om att det råder en bostadsbrist i landet men hur den ska lösas finns det skilda meningar om. Representanter från den privata hyressektorn välkomnar förslagen i januariavtalet, i stort, eftersom man ser det som en möjlighet att förädla produkten (hyresrätten). Samtidigt finns det en tveksamhet till avtalets genomslagskraft bland samtliga aktörer. Det råder en osäkerhet bland hyresgästorganisationer och representanter för det allmännyttiga hyresbeståndet. De menar att förslagen kan göra hyresförhandlingarna snårigare och att hyresgästens roll försämras gentemot hyresvärden. I studien konstaterar vi att en fri hyressättning i nyproduktion med största sannolikhet inte kommer leda till en ökad byggvolym av hyresrätter. Det blir också tydligt i slutsatsen att det är svårt att förutspå vilka effekter förslagen i punkt 44 kommer få. Under tiden den här uppsatsen skrivs är reformförslagen innebörd inte tydligt definierade och under utredning. 5 Fortsatt forskning inom området uppmuntras. Däribland behöver man studera konsekvenserna av förslagen när utredningarna är klara och det inte finns någon osäkerhet i vad punkterna innebär. Det bör också forskas om konsekvenserna av en fri hyressättning i nyproduktions inverkan på det bruksvärdessatta beståndet. / Housing politics has been a hot topic for a long time in the general discourse. No one will have missed that it is currently hard to get a first-hand contract to a rental apartment in the major cities of Sweden. After the last election, an agreement was made between the Socialdemokraterna, Miljöpartiet, Liberalerna and Centerpartiet consisting of 73 points. The agreement involved propositions to reform the rental market. A lot has been written about the rental setting system in Sweden and how it has contributed to the current living situation. However, the propositions in the January agreement are new and therefore the purpose of this paper is to research how, and if, the 44 th point in the agreement will affect the rental market. The main focus of the project has been to answer the following questions; What are the actors, on the rental market, views of the propositions in the January agreement? Will a deregulation of rents in newly constructed buildings increase building rates? Is there a need for a reformation of the rental system? The paper sheds light on the current "use-value-system" (bruksvärdessystemet) and that it is, in its present adaption, ill-fitted to the housing market and generates lock-in effects. The results held from the interviews show that all actors are in agreement. There is a housing shortage. However, their opinions on how it is best solved differ. The actors representing the private sector welcomes the suggestions. Mainly because it gives opportunity to refine the product or rental property. Meanwhile, there is uncertainty in the impact of the propositions among the actors. Furthermore, there is an uncertainty among the actors representing the tenants and public housing stock. They think the propositions will make the rental negotiations more complicated and the already weak position of the tenants will worsen. Our results show that a deregulation of the new constructions will most likely not increase building volumes. It is also made clear that it is hard to predict what the January agreement will entail since the propositions are not clearly stated. 3 We encourage further research within the subject. Mainly focusing on the consequences of the January agreement, once the ongoing investigation is done and the actual measures suggested, are made clear. Research should also be made on what effect a deregulation of the new construction stock will have on the use-value-stock.

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Made available in DSpace on 2016-04-25T16:45:01Z (GMT). No. of bitstreams: 1 Ricardo Trovao.pdf: 1168794 bytes, checksum: c750c7a8291364d885a4d96d2632a81e (MD5) Previous issue date: 2007-11-28 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The efficient markets hypothesis is one of most important subjects on finance theory. However, over the last years, with the intensification of the studies and the arise of evidences of existence of abnormal behavior of financial assets return (anomalies), this theory began to be discussed on academic environment. The debate of the subject is still incipient, showing on one side the efficient hypothesis defenders and on the other side the adepts of the behavioral finance tendency. Among the anomalies, the Monday effect and January effect can be detached as two of the most persistent detected on the stock markets of several countries. On this scenario, the purpose of this dissertation is to investigate the existence of the calendar anomalies Monday effect and January effect on the Brazilian stock market. The Monday effect is characterized by lower returns on this day than on the other days of the week. The January effect is described by higher returns on this month than on the other months of the year. In order to verify the Monday effect, the sample used is the Ibovespa dollarizated daily average returns from 1986 to 2006. To investigate the January effect the sample is composed by the Ibovespa dollarizated monthly closing returns from 1969 to 2006. The daily and monthly returns samples were analyzed considering and excluding the atypical returns (outliers). Parametric and non parametric statistical tests were used. The analysis of the results have indicated evidences of existence of the Monday effect, both when the atypical returns were considered and excluded from the database. It has shown also that there are no evidences of existence of the January effect, both when the atypical returns were considered on the database or not / A hipótese de mercados eficientes é um dos assuntos mais importantes dentro da teoria de finanças. Porém, nos últimos anos, com a intensificação dos estudos e o surgimento de evidências da existência de comportamentos anormais nos retornos dos ativos financeiros (anomalias), esta teoria passou a ser questionada no meio acadêmico. A discussão do tema é ainda incipiente e objeto de muita polêmica, tendo, de um lado, os defensores da hipótese de eficiência e, de outro, os adeptos da corrente das finanças comportamentais. Dentre as anomalias, destacam-se o efeito segunda-feira e o efeito janeiro sendo duas das mais persistentes detectadas nos mercados acionários de diversos países. Dado este cenário, os objetivos da presente dissertação são a verificação da existência das anomalias de calendário efeito segunda-feira e efeito janeiro no mercado acionário brasileiro. O efeito segunda-feira caracteriza-se por retornos menores neste dia em relação aos demais dias da semana. Pelo efeito janeiro, os retornos neste mês seriam maiores do que nos outros meses do ano. Para a verificação do efeito segunda-feira, foram utilizadas as cotações diárias médias dolarizadas do Ibovespa, no período de 1986 a 2006. Já na averiguação do efeito janeiro foram utilizadas cotações mensais de fechamento dolarizadas do Ibovespa, no período de 1969 a 2006. Optou-se por incluir nas amostras os retornos atípicos (outliers) e também por fazer as análises excluindo tais valores das bases de retornos diários e mensais. Foram utilizados testes estatísticos paramétricos e não paramétricos. A análise estatística dos resultados diários indicou evidências da existência do efeito segunda-feira nas situações em que os retornos atípicos foram incluídos e excluídos da base de dados. A análise dos retornos mensais não apontou evidências para a existência do efeito janeiro, independentemente de terem sido excluídos, ou não, os retornos atípicos

In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. This resulted in new models being developed, such as the Fama and French three-factor model which takes the size of a company into consideration (Fama & French, 1992). However, since the discovering of the size effect, several researchers have started to question its existence. (Asgharian & Hansson, 2008) Moreover, short after Banz findings, a study by Keim (1983) introduced results that complements the size effect. Keims study suggests that the size effect is present due to the fact that small-cap firms outperform large- cap firms during the month of January. This seasonal anomaly is called the “January effect” and could possibly be the reason for the existence of the size effect. The purpose of this study is to investigate if there is a size effect and/or a January effect present on the Swedish stock market (OMX) when using Enterprise Value as the measure for size. Enterprise Value has been chosen in order to consider the full capital structure of companies, hence, not solely the equity value. In order to answer these research questions, a quantitative study has been conducted on companies being listen on the OMX during the time period 2000-2019. The findings of the research are that there is no size effect present on the OMX. Furthermore, the research has found that there is a January effect present on the OMX. This paper suggests that the January effect might have been the reason for the presence of the size effect in history, but as of now, the size effect has diminished but the January effect still remains.

The thesis focuses on analysis of the standpoints within the British government and its representatives towards Poland during the January insurrection (1863-1864) in the context of international relationships and towards representatives of the Polish nation in Poland and in exile. The thesis further describes actions that were taken by the Polish emigrants in The Great Britain and their influence on the British foreign policy and society. Key words: The January uprising, Great Britain, Poland, Polish insurrection, 19th century, British-Polish relations

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Purpose: The purpose of this thesis is to investigate if abnormal patterns concerning the rates of return during specific weekdays and months are observable for the companies in the OMXS30 during the period 2003-2010. A special focus will be put on the Monday effect anomaly. Background: Investors have a tendency to search for investment opportunities. If errors exist in the pricing of stocks it indicates that anomalies are present and that the stock market is inefficient. Investors then have the possibility to utilize the anomalies in order to receive above average returns. Method: This study is using data of stock prices from Nasdaq OMX in the period of 2003-2010. The strength and existence of the Swedish stock market efficiency is measured through autocorrelation-, chi-square- and regression tests. Average monthly stock returns are calculated on daily-, monthly-, and yearly basis. The returns are compared in order to examine if day-of-the-week and turn-of-the-year anomalies exist. Conclusion: No Monday effect is found in 2003-2010. However, positive Thursday- and positive Friday effects are detected. A negative turn-of-the-year effect as well as a positive April effect is found. The investment opportunities that could be utilized in 2003-2010 due to the specific anomalies in the period do not necessarily imply that the same anomalies can be expected on the OMXS30 in the future.