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Problem: An efficient market fully reflects all available information about a company in its share price. Furthermore any new information presented about a company will lead to an instant adaptation in the share price. Henceforth an investor can not reach abnormal returns on an efficient market. The Stockholm stock exchange is afairly large stock exchange with a turnover of SEK 14000 millions per day. Prior studies conducted regarding the efficiency of the Stockholm stock exchange have stated that the stock exchange was efficient on a semistrong level. However these studies were conducted with a time frame of several weeks and therefore the authors distinguished a need for a study aiming at short term efficiency. Furthermore this thesis aims to investigate the effects of the presentation of positive annual and interim reports. A positive report is defined as a report that leads to an increase in share price the day it is presented and consequently includes all events on the day of the presentation, e.g. the press conference. The thesis was written from an investors’ perspective, who is about to buy shares. Purpose: The purpose of this thesis was to describe and analyze the Stockholm stock exchange market’s efficiency. This was done during the days surrounding the presentation of annual and interim reports rendering an increase in share price. Furthermore the possibilities of making abnormal returns by buying shares during this period were investigated. Method: To investigate the efficiency of the Stockholm stock exchange an event study was carried out. Data regarding the performance of the shares of the fifteen most traded com-panies on the Stockholm stock exchange were collected from the OMX groups’ homepage. The chosen companies together represented more than fifty percent of the turnover of the OMXS 30 index. The index was used as a benchmark for measuring the efficiency. The share price movement was analyzed with a quantitative approach through a statistical T-test with the assistance of the SPSS 13.0. Result: The authors claim that the Stockholm stock exchange is not efficient on a semistrong level the day after the presentation of a positive report, as the shares displayed a negative abnormal deviation from the OMXS 30 index. The deviation was statistically verified. However the authors state that no abnormal returns can be reached by buying shares during this period since the deviation was negative. The period as a whole and the other tested days came out as efficient on a semi-strong level.

<p>Problem: An efficient market fully reflects all available information about a company in its share price. Furthermore any new information presented about a company will lead to an instant adaptation in the share price. Henceforth an investor can not reach abnormal returns on an efficient market. The Stockholm stock exchange is afairly large stock exchange with a turnover of SEK 14000 millions per day. Prior studies conducted regarding the efficiency of the Stockholm stock exchange have stated that the stock exchange was efficient on a semistrong level. However these studies were conducted with a time frame of several weeks and therefore the authors distinguished a need for a study aiming at short term efficiency. Furthermore this thesis aims to investigate the effects of the presentation of positive annual and interim reports. A positive report is defined as a report that leads to an increase in share price the day it is presented and consequently includes all events on the day of the presentation, e.g. the press conference. The thesis was written from an investors’ perspective, who is about to buy shares.</p><p>Purpose: The purpose of this thesis was to describe and analyze the Stockholm stock exchange market’s efficiency. This was done during the days surrounding the presentation of annual and interim reports rendering an increase in share price. Furthermore the possibilities of making abnormal returns by buying shares during this period were investigated.</p><p>Method: To investigate the efficiency of the Stockholm stock exchange an event study was carried out. Data regarding the performance of the shares of the fifteen most traded com-panies on the Stockholm stock exchange were collected from the OMX groups’ homepage. The chosen companies together represented more than fifty percent of the turnover of the OMXS 30 index. The index was used as a benchmark for measuring the efficiency. The share price movement was analyzed with a quantitative approach through a statistical T-test with the assistance of the SPSS 13.0.</p><p>Result: The authors claim that the Stockholm stock exchange is not efficient on a semistrong level the day after the presentation of a positive report, as the shares displayed a negative abnormal deviation from the OMXS 30 index. The deviation was statistically verified. However the authors state that no abnormal returns can be reached by buying shares during this period since the deviation was negative. The period as a whole and the other tested days came out as efficient on a semi-strong level.</p>

Sammanfattning Titel: Imorgon blir det börsfall! En studie om hur olika börser påverkar varandra i fördröjning. Seminariedatum: 28 maj, 2012 Ämne/kurs: FEK 61-90 Kandidatuppsats i Corporate Finance, 15 poäng  Författare: Stefan Koch, Malin Molin Handledare: Hans Mörner Examinator: Kent Sahlgren Nyckelord: Anomali, anomalier, veckodagseffekt, måndagseffekt, index, korrelation, S&amp;P 500, OMXS 30, effektiva marknadshypotesen Syfte: Att undersöka ifall en eventuell anomali på det svenska OMXS 30 indexet eller det amerikanska S&amp;P 500 ger en effekt på nästföljande dag på det motsatta indexet. Om en veckodagseffekt kan påvisas och den fördröjda korrelationen mellan indexen är tillräckligt stark kan metoden användas för att generera överavkastning.   Metod: Vi använder oss av en kvantitativ ansats för att med hjälp av statistiska metoder svara på vår problemformulering. De metoder vi har använt är hypotestestning av medelvärden med ett z test, beräknat korrelationskoefficienten mellan de två indexen och utfört en multipel regressionsanalys med dummyvariabler. Slutsats: Genom vår analys kom vi fram till att en veckodagseffekt inte kan påvisas på någon av de två undersökta indexen. En korrelation kunde finnas mellan de två indexen, däremot går det att ifrågasätta om korrelationens styrka är tillräckligt stark att handla utifrån. För att generera överavkastning krävs dessutom att den extra avkastning som genereras med hjälp utav vår metod med korta aktieaffärer överstiger den eventuella transaktionskostnaden som uppstår vid aktiehandel, något vi starkt betvivlar att den gör. / Abstract Title: Tomorrow the market falls! A study about how different stock markets affect each other in delay. Date of seminar: May, 28th, 2012 Course: FEK 61-90 Bachelor Thesis in Corporate Finance, 15 credits Authors: Stefan Koch, Malin Molin Advisor: Hans Mörner Examiner: Kent Sahlgren Key words: Anomaly, anomalies, day-of-the-week effect, weekend effect, index, correlation, S&amp;P 500, OMXS 30, effective market hypothesis Objective: To examine whether a potential anomaly on the Swedish OMXS 30 index or the American S&amp;P 500 has an effect on the next day on the opposite index. If a day-of-the-week effect can be proved and the delayed correlation between the indices is strong enough, our method could be used to generate excess returns. Methodology: We use a quantitative approach and statistic methods to answer our problem formulation. The methods we have been using are hypothesis testing of mean values with a z-test, calculations of correlation coefficients between the indices, and a multiple regression analysis with dummy variables. Conclusions: Through our analysis we found out that there was no day-of-the-week effect on any of the two examined indices. We could find a correlation between the two indices; however, we question whether the correlation is strong enough to trade on. To get excess returns it is required that the extra return that would be generated through our method with short trades exceed eventual transaction costs that occur through stock trading, something we strongly doubt that it would.