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.

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. 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? 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. 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. 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.

This research has studied the relationship between insider trading activity and its effect on the level of informational efficiency. The authors have used insider data from Finansinspektionen and data regarding stock prices, market capitalization and GDP from Thomson Reuters Datastream. The sample includes 193 companies on the Swedish stock exchange for a period of 10 years. A Variance Ratio test employed on moving sub-sample windows was used to establish the level of time-varying informational efficiency, which subsequently was used in an OLS-regression as a dependent variable. The result of the regression implies a negative effect on firm price information efficiency by insider purchasing, while selling has a positive effect. This can be concluded using a confidence level of 99%. The results are interesting since they imply an asymmetrical effect of insider trading on informational efficiency, while current insider legislation treats buying and selling by insiders equal. Thus, the results are of interest in future adjustments of laws regulating insider trading.

In this paper I examine the validity of technical analysis for the Swedish stock index OMXS30 between 2001-12-28 and 2011-12-30.  Results indicate that OMXS30 followed a non-random walk and that technical trading rules had predictive power over future price movements. Results also suggest that technical trading rules could be used to outperform a buy-and-hold strategy.

During the last decade, investments into the Swedish mutual fund market have increased substantially. The increased popularity of actively managed Swedish equity funds among households and investment companies, correspondingly, funds need to deliver substantial results, raised the importance to evaluate these funds’ performance. This thesis adds to the scarce empirical literature on Swedish equity mutual fund performance. Employing the Fama-French three factor model, it analyzes whether actively managed Swedish equity mu- tual funds outperform the Fama-French benchmarks net- and gross of management fees. The study uses time-series data and constructs equally-weighted portfolios of the 42 Swe- dish based actively managed equity mutual funds investing in Sweden for the period 2003- 2013. The portfolios’ excess returns are calculated by estimating the Fama-French three factor model by means of ordinary least squares (OLS) regression analysis. The empirical results show that actively managed equity mutual funds over performed the Fama-French three factor benchmarks by an average annualized net- and gross excess return of 3.60 and 4.67 percent respectively. Sorting out the funds by the performance into deciles, the find- ings indicate that management fees influence the performance of the equity mutual funds in the sample of our study. The conclusion is made such that there is an indication that Swedish equity funds’ managers are able to add value above passive investing.

The study of economics is based on key concepts such as incentives, efficiency, marginality and tradeoffs. Economic research has hypothesized and tested for how economic agents behave after taking each of these into account. In order for agents to meet their objectives it is sometimes the case that they intentionally keep their behaviors out of sight. However, economic theory can be used to search for patterns of observed behaviors from which the unobserved behaviors can be inferred. This dissertation performs this kind of analysis by observing the behavior of sports participants. Chapter 1 is an application of Becker's (1968) economic model of crime by using an econometric model to search for the presence of National Basketball Association (NBA) referees who bet on NBA games. The placement of these bets is not observed since a referee who bets on a game does so illegally and therefore hides his betting activity to prevent detection. A referee who places a bet on a game he also officiates has an incentive to manipulate to improve his chances of winning the bet. At the same time he should also be mindful to manipulate in a way that lowers his chances of being detected. The referee's observed behaviors through detailed play-by-play data are used to look for patterns hypothesized to be consistent with manipulation. The results suggest that former NBA referee Tim Donaghy, who was found to have bet on NBA games, did behave in ways consistent with manipulation. One other referee also appears to engage in the same type of behavior but stops once Donaghy is detected. Chapter 2 is an application of Fama's (1970) Efficient Market Hypothesis (EMH). Typically, the EMH is tested in the financial markets but some research tests for it in the sports betting markets so that the question becomes whether or not the betting market odds fully reflect all of the available relevant information. This chapter tests to see how completely National Football League (NFL) bettors use information called the circadian advantage. This occurs when a game is played in the evening, Eastern Time, between teams that are based on opposite coasts and always favors the better rested West Coast team. A regression model designed to test for market efficiency finds that the advantage is not fully reflected in the odds so that bets on the West Coast team are underpriced. In a majority of games that involve a circadian advantage most of the money is wagered on the overpriced East Coast team. A conclusion that ties these results together is that the bookmakers restrict the amount bet from informed bettors who tend to win their bets and who are aware of the circadian advantage, and adjust the odds just enough to bait uninformed bettors who are unaware of the circadian advantage into placing wagers on the team that is overpriced. Given these dynamics, it is the bookmakers who profit from the information contained in the circadian advantage. Chapter 3 revisits the NFL betting market but instead estimates the extent to which bettors place wagers based on sentiment for a team that is unrelated to relevant measures of relative performance along the lines of speculative investment outlined by Graham and Dodd in 1934 (2009). The results show that more bets tend to be placed on teams for which bettors have high sentiment and fewer bets are placed on teams for which bettors have low sentiment. However, the market odds appear to be using sentiment unbiasedly, leading to the conclusion that contrarian bettors place wagers opposite the sentimental bettors. While the market as a whole is efficient in the use of sentiment, losers tend to be bettors who wager with sentiment and winners tend to be bettors who wager against sentiment.

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 study is based on the study of Jegadeesh and Titman (1993, 2001) which found evidence of succesfull trading strategies which yielded significant positive abnormal returns by exploiting a momentum pattern in stock prices. The purpose of this study is to contribute with empirical results to the discussions of efficient markets, momentum effects and behavioral finance by providing evidence from the Swedish stock market between the years 1998 and 2013. The conclusion is that there exists a Momentum Effect on the Swedish stock market. The utilization of momentum strategies yields significant positive abnormal returns. The Efficient Market Hypothesis is a model which might hold in the long-term, but shows limitations in the short-term. The implications of the results of this study are that short-term investor behavior and momentum profits might be partially explained by behavioral finance models but the origin of the momentum profits need to be further evaluated.

The aim of this study is to investigate if individuals reacts rational to the announcement of negative profit warnings in the Swedish stock market. This is done by using an event study approach, investigating the corresponding abnormal returns and cumulative abnormal returns before, during, and after the announcement. Tests is also made to see whether qualitative and quantitative profit warnings and firm size has any impact on the cumulative abnormal returns. The sample consists of 176 profit warnings from 2008 to 2018. On the announcement day, the average abnormal return at day zero was -6.99 % and the average cumulative abnormal returns at day zero and one was -9.06 %. The results found also that smaller firms generate lower abnormal returns on the announcement date, but that there is no difference between qualitative and quantitative profit warnings. With small and insignificant cumulative abnormal returns before and after the announcement, the reached conclusion is that the market is efficient on aggregate level during the event of negative profit warnings.

This diploma thesis analyses the market efficiency hypothesis of chosen currency pairs EUR/USD, EUR/CZK and USD/CZK. The aim of this study is to describe the price behaviour of chosen financial assets and verify the random walk hypothesis on the foreign exchange market. Model of random walk says there is no relationship between historical and future prices, so price changes are random and cannot be predicted. Random walk hypothesis was tested by chosen statistic tests runs test, test of auto-correlation, variance ratio test and unit root test (Augmented Dickey-Fuller Test). Data were collected through the online trading platform and tested in EViews. Period of testing for daily changes (D1) was chosen from 31.12.2009 to 29.12.2017 and for weekly changes (T1) from 2.1.2005 to 29.12.2017. This thesis proved weak-form efficiency of EUR/USD and USD/CZK for both daily changes and weekly changes in a chosen period. Inefficient behaviour of daily changes of EUR/CZK (D1) was indicated by runs test, test of autocorrelation and variance ratio test. There is a question what the cause of inefficiency is. The most likely explanation is currency intervention of the Czech National Bank which took place from April 2013 to April 2017 in order to achieve the inflation target and prevent deflation. Traders could also achieve profits by speculating on appreciation of Czech Crown below 27,-crowns/euro which is not in harmony with efficient-market hypothesis. Moreover, currency pair EUR/CZK is not liquid as major currency pairs and there are bigger transaction costs because of bid-offer spread. This work can contribute to next research in connection with results of this study. To verify if the cause of inefficient behaviour of daily price changes of EUR/USD are currency interventions of the Czech National Bank, I would suggest testing efficient-market hypothesis exactly at the time of interventions. It would be also suitable to compare results of different methodologies including testing in short-time intervals of price changes.