Syfte: Syftet med denna uppsats är att undersöka hur utvalda bolags aktieavkastning inom branscherna flyg, fordon samt olja reagerar vid signifikanta oljeprisförändringar. Teoretiskt perspektiv: Den teoretiska referensramen utgörs av den effektiva marknadshypotesen samt Behavioural Finance med undergrenarna prospect theory, herd behaviour och overconfidence. Metod: Studien utgår ifrån ett deduktivt inslag med en kvantitativ studie. Undersökningen utgörs av sex eventstudier som datainsamlingsmetod samt en intervju som applikation på det kvantitativa resultatet. Urvalskriterium består av tio bolag inom respektive bransch med en rangordning utefter högst omsättning samt företag med en koppling till svenskt näringsliv med högst omsättning. Empiri: Empirin presenteras utifrån diagram och tabeller över de utförda eventstudierna. Diagrammen syftar till att redovisa den avvikande avkastningen för respektive bolag. Tabellerna ger en redogörelse över eventuellt samband mellan respektive bransch och oljeprisförändringarna. Slutsats: Flygbolagen uppvisade samband med oljepriset vid fyra utav sex eventen. Fordonsbranschen uppvisade samband vid ett av de sex eventen och oljebranschen vid två utav de studerade eventen. Reaktionen på aktieavkastningen för bolagen med en koppling till svenskt näringsliv var i linje med de övriga internationella bolagen i branschen. Undantag visades för oljebranschen. Resultatet är en indikation på att andra variabler påverkade aktieavkastningen och detta skapar svårigheter för aktieinnehavare att förespå framtida avkastning.

Research Questions: • Will a portfolio based on value stocks, on a risk-adjusted basis, outperform a portfolio based on growth stocks on the Stockholm Stock Exchange? • Is the superior strategy able to generate abnormal risk adjusted returns by beating the OMXS in-dex? Purpose: The purpose is to investigate if an investor by purchasing a portfolio based on value stocks will outperform a portfolio based on growth stocks. Furthermore the authors aim to examine if the superior portfolio can beat the OMXS index and create abnormal returns on the Stockholm Stock Exchange. Method: The quantitative research method is used when gathering information. To deter-mine which stocks to include each year between 1993 to 2005 the price-to-book ratio (P/B) is used. Based on this multiple the sample is divided into two extreme groups of low and high P/B companies. These two groups are further divided according to their price-to-earning ratios (P/E). This creates four portfolios, which symbolizes value and growth stocks. Each portfolio’s return is recorded annually during the 12 year period. The returns are risk-adjusted in order to find the superior portfolio. This portfolio is then compared with the OMXS index for the same period to find out whether it has created an abnormal return. Conclusion: The superior and most extreme value portfolio, consisting of stocks with low P/B and low P/E ratios generated a cumulative risk-adjusted return of 1908% between 1993-2005 and beat the most extreme growth portfolio consisting of high P/Bs and high P/Es which generated a negative cumulative return. The superior portfolio was also able to beat the OMXS index during the years of 1993-2005, generating an abnormal risk-adjusted return of 7.77 times that of the OMXS index. / Frågeställningar: • Kommer en portfölj baserad på värdeaktier, på en riskjusterad basis att slå en portfölj baserad på tillväxtaktier på Stockholmsbörsen? • Kan den vinnande strategin skapa en riskjusterad överavkastning över OMXS index? Syfte: Syftet är att undersöka om en investerare, genom att köpa en portfölj baserad på värdeaktier, kan slå en portfölj baserad på tillväxtaktier. Vidare har författarna som mål att undersöka om den vinnande portföljen kan slå OMXS-index och skapa överavkastning på den svenska aktiemarknaden. Metod: Informationsinsamlingen till uppsatsen har en kvantitativ ansatts som grund. För att avgöra vilka aktier som ska inkluderas i undersökningen mellan åren 1993 till 2005 har författarna använt sig av nyckeltalet aktiekurs över eget kapital (P/B-tal). Med det här nyckeltalet till grund har urvalet delats upp i två extremgrupper, lågt och högt P/B. Dessa två grupper delades upp ytterligare efter dess aktiekurs över vinst (P/E-tal). Detta skapar fyra portföljer som symboliserar värde- och tillväxtaktier. Avkastning på portföljerna mäts årli-gen under 12 år och sedan riskjusteras för att hitta den mest lönsamma portföljen. Denna portfölj jämförs sedan med OMXS-index för samma period för att se om portföljen har skapat överavkastning. Slutsats: Den bästa och mest extrema värdeaktieportföljen som bestod av lågt P/B och lågt P/E skapade en kumulativ riskjusterad avkastning på 1908% och slog den mest extrema tillväxtportföljen som genererade en negativ kumulativ avkastning. Den bästa portföljen slog också OMXS-index under åren 1993 till 2005 och skapade en riskjusterad överavkast-ning på 7.77 gånger OMXS.

Background: Recent business paper articles observe that stocks soar when there is a change in ownership. The clothing company JC climbed 26% when it was announced Torsten Jansson had increased his holdings. Daydream, a computer game developer, followed this trend increasing its market value by 17% on the news that TA Capital had increased its hold-ings. In these examples, the market learned of the changes in ownership through a press release created by the acquiring entity. These pieces of news, also known as ownership disclosures, is the target of this thesis. Purpose: The purpose of this thesis is to investigate whether ownership disclosures result in abnormal stock price changes. Furthermore, the aim is to find out if there are any differ-ences in returns depending on who announced the ownership disclosure. In order to fulfil this purpose, a quantitative approach was used. Method: A random sample of 160 ownership disclosures is gathered. 77 of these are classified as passive- and 83 as active investors. For each of these pieces of news, 183 days of historical stock price data is retrieved. This data is then parsed through the market model event-study framework. Findings: Graphically analyzing the whole sample indicates that the market is not efficient in its strong form. The same is true when dividing the sample into passive- and active investors. Statistically, an abnormal return is confirmed for the active investors, but not for the whole sample or the passive investors. Conclusion: By looking at the price change effects of ownership disclosures, the Stockholm Stock Exchange O-list is determined to be efficient at the semi-strong level. The anomaly caused by active investors leads to the possibility of making a profit of 2.70% between day -1 and day +1 relative to the day of the ownership disclosure being sent out. It should be noted, though, that transaction costs and taxes are not taken into consideration.

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Lietuvos akcijų rinkos pasiūlos ir paklausos srautų analizei buvo pasirinktos 9 akcijos. Jas, pagal įvykusių sandorių skaičių ir vertę, galima suskirstyti į tris grupes: nelikvidžios, pusiau likvidžios ir likvidžios akcijos. Šių akcijų, viešai skelbiami rinkos gylio ir įvykusių sandorių, duomenys buvo imami iš Vilniaus vertybinių popierių biržos internetinio puslapio http://www.baltic.omxgroup.com/ nuo 2008 02 25 iki 2008 04 18. Darbe buvo skaičiuojami paprastas (inside bid-ask spread), efektyvus (effective spread) ir užfiksuotas kainų skirtumai. Roll matas skaičiuojamas remiantis akcijų įvykusių sandorių kainomis, kurių skirtumų stacionarumas ištirtas RA-kriterijumi (reverse arrangement test). Kaip ir buvo galima tikėtis, parodyta, kad pasirinktų akcijų rinka yra neefektyvi. Dėl šios priežasties, kiekvienai akcijai apskaičiuotas Roll matas yra labai grubus. Naudojant C++ programavimo kalbą, buvo sukurta programinė įranga: • Duomenų skaitymui iš interneto; • Duomenų bazės kūrimui, apdorojimui ir redagavimui; • Duomenų analizei. / Nine types of stock were chosen to analyse quoted bid-ask spread of Vilnius Stock Exchange. According to the value and number of transactions of the stock, it can be divided into three groups: non-liquid, half-liquid and liquid stock. Public market depth information and data of trade was taken from Vilnius Stock Exchange website http://www.baltic.omxgroup.com/ during the period from 25th February 2008 to 18th April 2008. In my work I have analysed inside bid-ask spread, effective spread and fixed prices. Roll measure was measured using trade prices of stock; stationarity of differences of trade prices were examined using reverse arrangement test. As had been expected, I came to conclusion that the stock market for chosen stocks is informationally inefficient. Due to this reason the Roll measure is not correct. By using C++ programming language the following programming tools were created: • Data reading from internet tool; • Data collection and correction tool; • Data analysis tool.

Market Timing Strategy is an active investment strategy, which is based on the signals of indicators, for the investors to make their investment decisions. However, there has always been the question on which variable is a good indicator, that would provide superior returns for the investment. Bond to Equity Yield Ratio (BEYR) is a new indicator widely researched by many academics in the field of finance and extensively applied by practitioners of the financial markets during the last two decades. Efficient Market Hypothesis (EMH) is a theory in finance which states that stock prices are always reflected with the relevant information and beating the market from predicting the trend of future stock prices is not possible. Therefore, if the market is in accordance with EMH, market timing strategy is not useful and passive investment strategy is better than active investment strategy. Although extant literatures have proved BEYR as a good indicator to be used in market timing strategy, the focus of the existing research is on the financial markets in the United States, the United Kingdom, and the Europe; the study on Asian financial markets is very limited. The main objective of the research is mainly motivated by this knowledge gap. This study will use extreme value strategy as an active trading strategy to conduct research on the market timing ability of BEYR in three Asian financial markets: Japan, Malaysia and Singapore. In addition, passive trading strategy will be used to compare with active trading strategy in each country to identify whether the markets comply with weak form of EMH. Deductive approach of quantitative research is conducted and three main hypotheses are developed to achieve the research objective. The empirical findings from our research and the responses to the main hypotheses can be summarized as active trading strategy does perform better than passive trading strategy for all countries and the market timing ability of BEYR is not as good as the traditional indicators: dividend yields and earning yields for all countries. Therefore, the financial markets of all counties under scrutiny do not comply with weak form of EMH. However, it is worthy to take note that the sample period chosen for this research includes the period when the Global Financial Crisis occurred in 2008. Therefore, it is assumed that the impact of the financial crisis is the main reason contributing the difference between the findings from our research and the existing literatures. Moreover, the difference in the nature of financial market can be considered as another underlying factor for the new perspective on BEYR resulting from our empirical results.

The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock portfolio is highly correlated with the market, and considered to be entirely hedged against unsystematic risk. However, the risks within and between stocks present in a portfolio still impact on each other. In particular, risk present in a particular stock may spill over and affect the risk profile of another stock included within a portfolio - a phenomenon known as volatility spill-over effects. In developing economies such as South Africa, portfolio managers are limited in their choices of stocks. This increases the difficulty of fully diversifying a stock portfolio given the volatility spill-over effects that may be present between stocks listed on the same exchange. In addition, stock portfolios are not static, and therefore require constant rebalancing according to the mandate of the managing fund. The process of constant rebalancing of a stock portfolio (for instance, to follow the market) becomes more complex and difficult during times of financial distress. Considering all these conditions, portfolio managers need all the relevant information (more than MPT would provide) available to them in order to select and rebalance a portfolio of stocks that are as mean-variance efficient as possible. This study provides an additional measure to market beta in order to construct a more efficient portfolio. The additional measure analyse the volatility spill-over effects between stocks within the same portfolio. Using intraday stock returns and a residual based test (aggregate shock [AS] model), volatility spill-over effects are estimated between stocks. It is shown that when a particular stock attracts fewer spill-over effects from the other stocks in the portfolio, the overall portfolio volatility would decrease as well. In most cases market beta showcased similar results; this change is however not linear in the case of market beta. Therefore, in order to construct a more efficient portfolio, one requires both a portfolio that has a unit correlation with the market, but also includes stocks with the least amount of volatility spill-over effects among each other. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2013

The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock portfolio is highly correlated with the market, and considered to be entirely hedged against unsystematic risk. However, the risks within and between stocks present in a portfolio still impact on each other. In particular, risk present in a particular stock may spill over and affect the risk profile of another stock included within a portfolio - a phenomenon known as volatility spill-over effects. In developing economies such as South Africa, portfolio managers are limited in their choices of stocks. This increases the difficulty of fully diversifying a stock portfolio given the volatility spill-over effects that may be present between stocks listed on the same exchange. In addition, stock portfolios are not static, and therefore require constant rebalancing according to the mandate of the managing fund. The process of constant rebalancing of a stock portfolio (for instance, to follow the market) becomes more complex and difficult during times of financial distress. Considering all these conditions, portfolio managers need all the relevant information (more than MPT would provide) available to them in order to select and rebalance a portfolio of stocks that are as mean-variance efficient as possible. This study provides an additional measure to market beta in order to construct a more efficient portfolio. The additional measure analyse the volatility spill-over effects between stocks within the same portfolio. Using intraday stock returns and a residual based test (aggregate shock [AS] model), volatility spill-over effects are estimated between stocks. It is shown that when a particular stock attracts fewer spill-over effects from the other stocks in the portfolio, the overall portfolio volatility would decrease as well. In most cases market beta showcased similar results; this change is however not linear in the case of market beta. Therefore, in order to construct a more efficient portfolio, one requires both a portfolio that has a unit correlation with the market, but also includes stocks with the least amount of volatility spill-over effects among each other. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2013

Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. Dividend is a common tool for publicly listed firms when rewarding their shareholders. On ex- dividend day, the day after the dividend payout, the stock price should according to theory decrease in order for the valuation of the stock to be held constant. In our research we investigate if there are arbitrage opportunities in connection to the dividend payouts, namely the ex-dividend effect. We want to generalize our results across experimental settings, thus across different stock markets. As a basis for our research we picked the OMXS. We base our research on three theoretical areas: the dividend irrelevancy theory, the efficient market hypothesis and the anchoring theory. The dividend irrelevancy relates to how the stock price ought to behave on ex-dividend day whereas the efficient market hypotheses states that prices on a market fully reflects all available information. Both theories concur that no arbitrage opportunities should be available on the financial market. The anchoring theory highlights the fact that investors formulate an anchor price for financial assets, for example stocks. In our research we aim to formulate a practical method on how to make abnormal returns on the ex dividend effect, based on the anchoring theory. Our census sample consists of dividend-paying firms publicly registered on the OMXS, and consists of 694 observations taken from 2009 to 2012. The sample was picked on the basis of characteristics, for example that the firm has been registered for at least four years and paid dividend one time during the four years of investigation. In order to tests for arbitrage opportunities on ex-dividend day, we used a simple mathematical model measuring the deviation between the price drop cum-dividend day to ex-dividend day, and the dividend amount. We conclude that the price drop differs from the dividend amount, only accounting for a price drop of 0.73 of the dividend amount. Thus, the price drop for each dividend unit is 0.73, in relation to a perfectly efficient market where there should be no difference; hence the price drop would be equal to the dividend amount, 1. Research on the ex-dividend effect is a thoroughly investigated area, where the first research was presented in 1955. Previous research all attempts to explain why there are market anomalies, but none examine how one can capitalize on the findings. In our research we examine if it is possible to make abnormal returns based on a segmenting of stocks, depending on their price volatility. This research is thereby first in examining how to capitalize on found arbitrage opportunities.

Den här uppsatsen undersöker hur aktiekursen reagerar när bolag offentliggör information angående ett VD-byte. Studien undersöker både frivilliga uppsägningar och avsked av VD:n på bolag noterade på Stockholmsbörsen mellan år 2011 och 2018. För att kunna undersöka aktiekursens reaktion har MacKinlays form av eventstudie tillämpats på 90 bolag. Bolags aktiekurs tenderar att reagera negativt vid ett tillkännagivande angående ett byte av verkställande direktör. Studien finner signifikanta resultat beroende på om bytet varit frivillig uppsägning eller avsked under eventdagen. Undersökningen påvisar signifikanta resultat på aktiekursen när investerare haft kännedom om ersättare och om tillkännagivandet skett innan ett byte. / This paper examines how the share price responds when companies publish information regarding a change of CEO. All the companies that are examined are listed on the Stockholm Stock Exchange between 2011 and 2018. The study is based on a sample of 90 companies where the CEO has been replaced. Of the entire sample there has been 65 voluntary CEO´s changes and 25 involuntary. To investigate how the share price react we use MacKinlays (1997) form of event study. This study also examines how different factors effect the reaction of the share price. These factors are; the availability of a successors, the size of the firm, the time interval between the event day and the day the CEO leaves the company. We find that the market tends to react negatively at the event day. We also find a significant difference between voluntary and involuntary change of CEO a few days after the event. The involuntary change of CEO´s tends to give a positive market reaction and the voluntary a continued negative market reaction. When companies announce a change of CEO simultaneously as they announce successors the market tends to react positively.