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.

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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.

This thesis investigates whether or not changes in a country’s government debt could affect its domestic stock market performance. The relationship is investigated by examining three different European countries, Germany, Portugal and Sweden, on the basis of two variables; (1) quarterly government debt changes as a percentage of gross domestic product and (2) the quarterly stock market changes over the time period2000:Q2 – 2011:Q2. The evidence is presented with help of Ordinary Least Square Method and Granger Causality test for each respective country. According to the Efficient Market Hypothesis, stock market prices should fully reflect all relevant information, e.g. government debt changes, as soon as they occur, without any delay, if the market is efficient. Past information should be insignificant and therefore not affect the stock market prices in an efficient market. In the cases of Sweden and Germany, the results proved to be ambiguous and thus do not allow for either rejection or acceptance of the Efficient Market Hypothesis with respect to government debt changes. However, some support was found in the case of Germany since the government debt changes and the stock market performance were instantaneously correlated. The empirical results presented in this thesis further allowed for the assumption that Portugal was not able to efficiently capture changes in the debt levels without any delay. This indicates that the Efficient Market Hypothesis can be rejected in regards for Portugal with respect to government debt changes. Furthermore, since the Portuguese stock market performance was not able to capture efficiently changes in the government debt level, it hence could possibly mislead the direction of the economy when looking into the stock prices to determine economic conditions. Moreover, the results imply that each country faces different relationships between the variables and that the relationships possibly could depend on the economic health of a country.

Momentum, or the basic idea of the momentum effect in finance, is that there is a tendency for rising asset prices to continue rising, while the falling prices continue to fall. As such, a momentum strategy is based on the idea that previous returns will predict future returns. In order to follow this line of thought, a momentum strategy is generally based on buying past winners and taking short positions in past losers. This quantitative study addresses the phenomenon of momentum crashes, which is a moment in time when a momentum strategy fails, and past losers outperform past winners. In our study we are setting out to study the momentum crash phenomenon during the years of 2006-2012 on NASDAQ OMX Stockholm, focusing specifically on the Small- and Large Cap segments. As we intend to explore the concept of momentum crashes as thoroughly as possible, we will also be researching momentum itself during this time period, as these two concepts are inevitably intertwined. In order to do this, we will be applying commonly used portfolio construction methods used in previous momentum research. These portfolios will be based on past winners and past losers, and their performance will then be tracked for different lengths of time, which will allow us to identify points in time where momentum crashes have occurred. What we found in our research was that, while we gathered data indicative of momentum trends during our chosen time period, we could not prove that momentum existed to any statistically meaningful degree. As for momentum crashes, we identified many different points in time where the past-loser portfolios outperformed the past-winner portfolios, thus resulting in negative winner-minus-loser portfolios and momentum crashes. The most interesting aspect of these findings was that the highest frequencies of momentum crashes were found in the years of 2008 and 2009, where we made the most negative winner-minus-loser portfolio observations. This finding is in line with similar research on other populations, as momentum crashes are theorized to occur at a higher frequency during times of market stress and high volatility. Furthermore, we also made some interesting connections between our findings and behavioral finance; we identified certain patterns which could be indicative of a relationship between the two. As for the research gap and the ultimate contribution of this study, we have increased the knowledge, understanding and awareness of momentum crashes in Sweden, and we have shown during which times these are likely to occur in a Swedish context. Additionally, we have also increased the general knowledge of momentum by exploring it from a Swedish perspective.

Philosophiae Doctor - PhD / Conventional partial differential equations under the classical Black-Scholes approach have been extensively explored over the past few decades in solving option pricing problems. However, the underlying Efficient Market Hypothesis (EMH) of classical economic theory neglects the effects of memory in asset return series, though memory has long been observed in a number financial data. With advancements in computational methodologies, it has now become possible to model different real life physical phenomenons using complex approaches such as, fractional differential equations (FDEs). Fractional models are generalised models which based on literature have been found appropriate for explaining memory effects observed in a number of financial markets including the stock market. The use of fractional model has thus recently taken over the context of academic literatures and debates on financial modelling. / 2023-12-02

The use of gamification has increased in companies in recent years and is used among other things to accelerate learning, increase motivation and engagement. Gamification is defined as the use of game elements in a non-game context. This study aims to investigate whether the use of gamification raises the financial value of a company. The purpose of the study is to expand the knowledge of gamification so that it can be used more efficiently and more frequently in businesses. The research was conducted with an event study on companies that are listed on Nasdaq Stockholm. With the theory of the efficient market hypothesis as a foundation, investors' willingness to buy shares in a company as a direct measure of news publishing on a company's gamification use was examined. The result, which is based on 91 articles from Swedish news sources, illustrates that news about companies' use of gamification does not have a significant impact on their share price. Therefore, in line with the efficient market hypothesis, the news about gamification does not increase the value of the companies, which is the conclusion of this study. The result also shows that the choice of gamification technology or industry that the company is active in does not have an impact on the significance of the results. The study concludes that a correlation between gamification and a company's financial value may exist, although the results of this study indicate the contrary. / Användningen av gamification har ökat hos företag de senaste åren och används bland annat för att skynda på inlärning, höja motivation och öka engagemang. Gamification definieras som användandet av spelelement utanför en spelkontext. Denna studie syftar till att utforska om användandet av gamification höjer det finansiella värdet hos ett bolag. Anledningen till studien är att expandera kunskapen om gamification, för att det ska kunna användas effektivare och mer frekvent i företagande. Undersökningen genomfördes med en eventstudie på företag som är noterade på Stockholmsbörsen Nasdaq. Med teorin om den effektiva marknadshypotesen i grunden granskades investerares vilja att köpa aktier i ett bolag som en direkt åtgärd av nyheters publicering om ett bolags användande av gamification. Resultatet, som är baserat på 91 artiklar från svenska nyhetskällor, åskådliggör att nyheter om företags användande av gamification inte har någon signifikant påverkan på företaget aktiekurs. I linje med den effektiva marknadsanalysen, så har därför inte nyheterna om gamification ökat värdet på företagen, vilket också är denna studies slutsats. Resultatet visar även att val av gamficationteknik eller marknad som företaget är aktivt i inte har en påverkan på signifikansen av resultaten. Studien konkluderar att en korrelation mellan gamification och ett företags finansiella värde kan existera, även om resultaten från denna studie tyder på motsatsen.