This thesis investigates the nature of joint dividend-and-earnings signalling in announcements to the New Zealand Stock Exchange in the 1990s. Initially the Market Model is used to compute expected returns, and the abnormal returns derived from these are subjected to restricted least squares regressions to separate out a putative dividend signal from the concurrent earnings signal. But with the Market Model, the zero-value company returns associated with an absence of trading in thinly traded stocks are over-represented in returns distributions leading to problems of bias. New models are developed that explicitly exploit zero returns. The first alternative methodology entails friction modelling, which uses a maximum likelihood estimation procedure to find the relationship coefficients and the range of returns that should be considered as zero, and then proceeds to treat them as a separate category. The second alternative methodology is that of state asset models, which take a fresh new look at investor perceptions of the connection between movements in company returns and those of the concurrent underlying market. Zero-value company returns cease to be zero in value, where a state model is rotated, or alternatively they can be modelled as an extra state. All three methodologies furnish some evidence of dividend signalling; but this evidence is highly dependent on small changes within the given methodology.

This thesis presents a collection of papers that has been published, accepted or submitted for publication. They assess price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). The transmission networks that link regional systems via interconnectors across the eastern states have played an important role in the connection of the regional markets into an efficient national electricity market. During peak periods, the interconnectors become congested and the NEM separates into its regions, promoting price differences across the market and exacerbating reliability problems in regional utilities. This thesis is motivated in part by the fact that assessment of these prices and volatility within and between regional markets allows for better forecasts by electricity producers, transmitters and retailers and the efficient distribution of energy on a national level. The first two papers explore whether the lagged price and volatility information flows of the connected spot electricity markets can be used to forecast the pricing behaviour of individual markets. A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and volatility spillovers within (intra-relationship) and across (inter-relationship) the various spot markets. The results show evidence of the fact that prices in one market can be explained by their own price lagged one-period and are independent of lagged spot prices of any other markets when daily data is employed. This implies that the regional spot electricity markets are not fully integrated. However, there is also evidence of a large number of significant ownvolatility and cross-volatility spillovers in all five markets indicating that shocks in some markets will affect price volatility in others. Similar conclusions are obtained when the daily data are disaggregated into peak and off-peak periods, suggesting that the spot electricity markets are still rather isolated. These results inspired the research underlying the third paper of the thesis on modelling the dynamics of spot electricity prices in each regional market. A family of generalised autoregressive conditional heteroskedasticity (GARCH), RiskMetrics, normal Asymmetric Power ARCH (APARCH), Student APARCH and skewed Student APARCH is used to model the time-varying variance in prices with the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The important contribution in this paper lies in the use of two latter methodologies, namely, the Student APARCH and skewed Student APARCH which take account of the skewness and fat tailed characteristics of the electricity spot price series. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information (that is, positive shocks or good news are associated with higher volatility than negative shocks or bad news). The fourth research paper attempts to capture salient feature of price hikes or spikes in wholesale electricity markets. The results show that electricity prices exhibit stronger mean-reversion after a price spike than the mean-reversion in the normal period, suggesting the electricity price quickly returns from some extreme position (such as a price spike) to equilibrium; this is, extreme price spikes are shortlived. Mean-reversion can be measured in a separate regime from the normal regime using Markov probability transition to identify the different regimes. The fifth and final paper investigates whether interstate/regional trade has enhanced the efficiency of each spot electricity market. Multiple variance ratio tests are used to determine if Australian spot electricity markets follow a random walk; that is, if they are informationally efficient. The results indicate that despite the presence of a national market only the Victorian market during the off-peak period is informationally (or market) efficient and follows a random walk. This thesis makes a significant contribution in estimating the volatility and the efficiency of the wholesale electricity prices by employing four advanced time series techniques that have not been previously explored in the Australian context. An understanding of the modelling and forecastability of electricity spot price volatility across and within the Australian spot markets is vital for generators, distributors and market regulators. Such an understanding influences the pricing of derivative contracts traded on the electricity markets and enables market participants to better manage their financial risks.

Submitted by Vitor Cavaliere Machado (vitorcavaliere@gmail.com) on 2017-12-19T13:58:11Z No. of bitstreams: 1 Dissertation Final Version.pdf: 1024233 bytes, checksum: 843f4707f12f7d42ff5d5f1a1fba5c39 (MD5) / Rejected by Janete de Oliveira Feitosa (janete.feitosa@fgv.br), reason: Sr. Vitor, bom dia. Não estamos conseguindo visualizar a submissão digital da sua Dissertação. Favor fazer nova submissão. Aguardamos seu contato quando o senhor realizar essa nova submissão. Não será necessário trazer outro impresso. cordialmente. on 2017-12-27T12:34:46Z (GMT) / Submitted by Vitor Cavaliere Machado (vitorcavaliere@gmail.com) on 2017-12-27T14:23:07Z No. of bitstreams: 1 Dissertation Final Version.pdf: 1024233 bytes, checksum: 843f4707f12f7d42ff5d5f1a1fba5c39 (MD5) / Rejected by Janete de Oliveira Feitosa (janete.feitosa@fgv.br), reason: Sr. Vitor. O arquivo que o senhor está submetendo à Biblioteca Digital, não está deixando que visualizemos as primeiras páginas (01 à 20). Por favor, peço que faca uma verificação no seu arquivo e proceda com nova submissão. Cordialmente, on 2017-12-27T16:00:31Z (GMT) / Submitted by Vitor Cavaliere Machado (vitorcavaliere@gmail.com) on 2018-01-02T11:39:14Z No. of bitstreams: 1 Dissertation Final Version.pdf: 1024233 bytes, checksum: a5d5c7681101a55ac00c268a5e21c448 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2018-01-02T12:44:39Z (GMT) No. of bitstreams: 1 Dissertation Final Version.pdf: 1024233 bytes, checksum: a5d5c7681101a55ac00c268a5e21c448 (MD5) / Made available in DSpace on 2018-01-09T16:37:33Z (GMT). No. of bitstreams: 1 Dissertation Final Version.pdf: 1024233 bytes, checksum: a5d5c7681101a55ac00c268a5e21c448 (MD5) Previous issue date: 2017-11-23 / É de grande relevância, tanto no meio acadêmico como para a sociedade como um todo a questão da fraude, um problema recorrente que atinge empresas e governos em diversas partes do mundo. Muitos casos recentes chamam a atenção para este assunto, porém, um em especial, o esquema de corrupção envolvendo práticas ilegais, como pagamentos de propina dentro da Petrobras e outras empresas brasileiras, descoberto após a deflagração da “Operação Lava-Jato”, conduzida pela Polícia Federal e pelo Ministério Público. Após a descoberta desse esquema, muitos envolvidos foram presos, alguns já investigados e condenados pela justiça brasileira. Porém, além dos desdobramentos na esfera criminal de pessoa-física, as práticas de corrupção tiveram outros desdobramentos jurídicos e financeiros no âmbito empresarial, principalmente relacionados a ações judiciais propostas por acionistas da empresa que alegam ter sofrido perdas em seus investimentos. Nesse sentido, dadas as questões financeiras e legais enfrentadas pela Petrobras e demais empresas brasileiras, propomos, através desta pesquisa, determinar como a detecção da fraude impacta no valor das empresas. Para atingir o objetivo final desta pesquisa, usei a metodologia de estudo do evento, proposta por MacKinlay (1997). A amostra deste estudo incluiu as cinco empresas brasileiras listadas na “New York Securities Exchange” (NYSE), que estavam sujeitas a ações de classe nos EUA, até o final de 2016. Os resultados gerais dos testes suportam a hipótese de que a fraude, uma vez divulgada ao mercado, gera reações negativas nos preços das ações, em linha com a literatura existente sobre a influência da fraude no valor das empresas e com a Teoria da Eficiência de Mercado. Nesse sentido, este estudo é capaz de contribuir de maneira significativa para aprofundar a discussão acadêmica relacionada à fraude no Brasil e incentivar as empresas brasileiras de capital aberto a se preocuparem cada vez mais com suas práticas de conformidade e combate à corrupção e se prevenirem em relação aos seus possíveis riscos, desdobramentos e impactos jurídico-financeiros. Além disso, esta pesquisa serve de insumo, não apenas para a gestão de patrimônio dos investidores dos EUA, mas também como um incentivo para aumentar o poder de barganha dos investidores pessoa-física no Brasil / It is of great importance, either for academia or society as a whole, the issue of fraud, a recurring problem that affects companies and governments around the world. Many recent cases draw attention to this issue, but one in particular: the corruption scheme involving illegal practices such as bribery payments inside Petrobras and other Brazilian firms, discovered after the outbreak of the so-called "Operação Lava-Jato" and “Operação Zelotes”, conducted by the Brazilian Federal Police and Federal Public Prosecutor. After the scheme became public, over a hundred people were arrested and many already investigated and condemned by the Brazilian justice, including some of the firm’s former and current employees. In addition to the developments on individual employee´s criminal sphere, once detected, the abovementioned corrupt practices have caused other legal and financial impacts to the firms, mainly related to lawsuits filled by shareholders who claim to have suffered losses on their investments. In this sense, given the financial and legal issues faced by Petrobras and the other Brazilian firms, we propose through this research to determine how disclosed fraud could have an impact on the value of firms. In order to achieve its final goals, this research uses the event study methodology, proposed by MacKinlay (1997). Firm sample includes the five Brazilian firms listed in the New York Securities Exchange (NYSE), which were subject to securities class action lawsuits in the US, as of the end of 2016. Overall test results support the hypothesis that fraud, once disclosed to the market, provides negative stock price reactions, in line with the existing literature on the influence of fraud on firms’ valuation and the Market Efficiency Theory. In this sense, this study is able to provide significant contribution to deepen the academic discussion related to fraud in Brazil and encourage Brazilian firms to increase their concerns about anticorruption and compliance practices and prevent themselves in relation to eventual legal and financial impacts of fraud. In addition, this research contributes, not only to U.S investors wealth management, but also as an incentive to increase the bargain power of individual investors in Brazil

Made available in DSpace on 2010-04-20T20:51:42Z (GMT). No. of bitstreams: 3 154941.pdf.jpg: 12079 bytes, checksum: 809428fce6feb0072e770a5b74f32903 (MD5) 154941.pdf: 545730 bytes, checksum: ff5c0f2f9eb9820b7a86ba64f3d0f907 (MD5) 154941.pdf.txt: 108893 bytes, checksum: 77009802f4e69002e5a5064d61049c82 (MD5) Previous issue date: 2006-02-13T00:00:00Z / O presente trabalho estuda o efeito Smart Money, inicialmente identificado por GRUBER (1996) e ZHENG (1999), na indústria de fundos brasileira no período de 2001 a 2005. Buscou-se identificar se os fundos que apresentaram maior captação líquida em seguida performam melhor do que os fundos de menor captação líquida. O efeito Smart Money foi identificado nos fundos de ações mesmo após ter sido controlado pelo efeito momentum. Nos fundos multimercados com renda variável e nos fundos de renda fixa não foi possível identificar tal fenômeno. / This work studies the Smart Money Effect, initially identified by GRUBER (1996) and ZHENG (1999), in the brazilian mutual fund industry in the period of 2001-2005. The objective was to verify if the funds with the highest net cash flows had a better performance in the following period than the funds with the lowest net cash flows. The Smart Money Effect was identified in stock funds, even after controlling by the stock return momentum phenomenon. In mixed funds and in fixed income funds it was not possible to identify such effect.

The main objective of this thesis is to analyze selected sectors of the European capital market by means of methods of technical and fundamental analysis. Based on the results obtained for each frame exchanges, industry sectors and the best investment strategy. The first part deals with the theoretical description of securities to capital markets, investment strategies, methods of assessment of the securities in the capital markets, the theory of efficient markets, market testing and evidence of their effectiveness. On the European stock market index, including the German DAX30 randomly selected ninety nine companies with data for the period 2006 {-} the 2011th The work on the basis of a confirmed capital market inefficiencies can be found active investment strategy to achieve above average returns.

The aim of this diploma work was to analyze a selected segment of the stock exchange market using the theory of market efficiency and the methods of technical and fundamental analysis, to form an optimal investment strategy on the basis of the findings. The American stock exchange market was analyzed. Six different segments of the capital market were selected ? gold, oil and gas pipelines, steel and iron, car parts, food and telecommunication services. Each segment was represented by eight companies. The general characteristics of the companies were compared according to their profits, degree of risk, alpha and beta coefficients. Fundamental analysis was used to monitor the correlation between future profits for 2012 and alpha coefficients for the period 2007 ? 2011. The theory was proven ? at low levels of future profits, high levels of alpha coefficients were measured and vice versa - at high levels of future profits, low levels of alpha coefficients were measured. During efficiency tests, runs tests and correlation tests were monitored. During runs tests, the number of turns of a real file was compared with the number of runs of a simulated file; no distinctive variances were identified in the monitored stock titles. Forms of market efficiency were proven during the correlation tests and runs tests. The methods of technical analysis used were sliding averages, RSI indicators and Momentum. Trading on the basis of technical analysis is not completely possible because we did not succeed in finding an existing optimal strategy. If an optimal strategy works out it is regardless of the segment?s characteristics. I recommend a passive strategy with regards to the fundamental analysis.

Made available in DSpace on 2016-03-15T19:26:39Z (GMT). No. of bitstreams: 1 Carlos Marcelo Lauretti.pdf: 379237 bytes, checksum: c8dbc22b9067945f6592ba2b8da5ea4d (MD5) Previous issue date: 2008-08-13 / Fundo Mackenzie de Pesquisa / Many academic studies of the last two decades are focused to explain Book-to-Market (B/M), market overreaction, and return reversal effects observed on empirical researches data. This research replicates to Brazilian stock market recent researches that bring new explanations to these data. We show that these effects are results of market overreaction to what may be named intangible information. We decompose returns into one component that can be named tangible, which can be explained by accounting measures, and another one, orthogonal to it, that can be named intangible. This research demonstrates that market overreacts to intangible and not to tangible information, and this explains Book-to-Market effect and return reversals. Many financial researchers look for explanations to exceeding gains on stock market beyond what would be expected by risk prize. Exceeding gains are grounded, against to Efficient Market Hypothesis, that returns would follow predictable patterns. These patterns are: first, returns tend to reverse and, second, future returns are related to variables associated with past accounting performance scaled to market stock price. The most important of these ratios is B/M ratio. One research branch, leaded by Fama and French, argues that high B/M firms are likely to be riskier, and hence investors require higher expected returns. None of these explanations gives us complete answers to data gathered by empirical researches. We show that in Brazilian stock market there isn t a significant relation between future returns and past fundamental firm growth. Instead, we found a strong negative relation between returns and realization of intangible returns. We find intangible return reversal and not tangible. We find evidences that market overreacts to intangible information. / Explicar os conhecidos efeitos Book-to-Market (B/M), sobre-reação dos investidores e reversão de retornos tem sido uma grande preocupação dos estudos acadêmicos nas últimas décadas. Esta dissertação reproduz, para o mercado de ações brasileiro, recentes estudos feitos para o mercado norte-americano que demonstram que estes fenômenos, há muito tempo observados empiricamente, têm uma mesma origem: a sobre-reação do mercado às informações que podemos chamar de intangíveis. Decompomos o retorno em uma parcela, denominada tangível, que é explicada pelo crescimento das métricas contábeis, ou pelo que se chama de informação tangível, e outra, o retorno denominado intangível, ou a parcela do retorno não esperada pelo desempenho contábil. Esta pesquisa demonstra que o mercado sobre-reage à informação intangível e não à informação tangível. Isto explica o efeito B/M e reversão de retornos. Inúmeros estudos acadêmicos procuram explicações para os ganhos excessivos nos mercados de ações, entendendo-se como tais os retornos adicionais obtidos pelos investidores além daqueles que seriam esperados apenas pelos prêmios de risco. Estratégias para obtenção de ganhos econômicos normalmente estão fundamentadas, em oposição à Hipótese de Mercado Eficiente, em que os retornos das ações seguiriam padrões previsíveis. Estes padrões têm suas origens em duas observações feitas pelos economistas financeiros. A primeira é que em horizontes mais longos os retornos futuros apresentam a tendência a sofrer efeitos de reversão. A segunda observação é que os retornos futuros estão negativamente relacionados a variáveis associados ao desempenho passado das empresas escaladas ao preço de mercado. A mais significativa destas métricas é razão Book-to-Market (B/M) ou razão entre o valor patrimonial contábil e o valor de mercado. Uma linha de estudos, liderada por Fama e French, argumenta que o altos índices B/M sinalizam um fator de risco que não está presente no modelo CAPM, e por isto, os investidores requerem um prêmio de risco maior. Nenhuma destas interpretações oferece explicações completas para a constatação desta anomalia que é encontrada empiricamente. Esta pesquisa mostra que não há relações discerníveis entre o retorno das ações e o desempenho passado dos fundamentos econômicos das firmas. Os resultados encontrados no mercado de ações brasileiro permitemnos concluir que não há evidências de relação entre o desempenho contábil passado e os retornos futuros. Ao invés disto, encontramos evidências que emergem os efeitos B/M e de reversão dos retornos porque os retornos futuros estão negativamente relacionados com a realização de informações intangíveis, que é o componente do retorno ortogonal ao desempenho contábil passado. De fato, encontramos reversão dos retornos intangíveis e não dos retornos tangíveis, o que é consistente com os resultados empíricos da literatura acadêmica prévia. Encontramos evidências que o mercado sobre-reage às informações intangíveis.

Submitted by João Batista Fraga (fragab@gmail.com) on 2013-04-15T00:50:09Z No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-04-15T13:07:04Z (GMT) No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) / Made available in DSpace on 2013-04-15T13:10:28Z (GMT). No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) Previous issue date: 2013-03-25 / This study investigates the activity of stock lending in Brazil and its connection with short selling. It describes the organization of the market, identifies factors that determine the level of short interest and analyzes the effects on the efficiency of the stock prices. It finds that short-sellers act as contrarians and that the activity is directly related to the trading volume and inversely related to the daily price range. Periods of lock up and stabilization, these after the IPOs, and periods prior to seasoned offers also influence the level of open interest, as well as tax arbitrage that occurs at the time of payment of interest on equity by companies and have disruptive effect on stock prices. Short-sellers position themselves to earn excess returns and prefer stocks with higher betas. It is also shown that the addition of long-short positions to existing investment portfolio would increase returns and reduce market risk. When it comes to market efficiency, the study shows that the prices of stocks with high levels of short interest react more quickly to market movements than those with lower level. The study also contributes with specific recommendations for changes in the regulation and in the operational organization of the activity in Brazil. / Este trabalho investiga a atividade de empréstimo de ações no Brasil e sua conexão com operações de venda a descoberto em bolsa de valores. Descreve a organização do mercado, identifica fatores que determinam o nível de empréstimos e analisa os efeitos na eficiência da formação de preços das ações. Conclui que os vendedores atuam como contrários e que a atividade tem relação direta com o volume de negociação e inversa com a amplitude diária dos preços. Períodos de lock up e estabilização, esses após os IPOs, e o que antecede às ofertas subsequentes também influenciam o saldo de empréstimos, assim como a arbitragem tributária na distribuição, pelas empresas, de juros sobre capital próprio que tem efeito disruptivo sobre os preços das ações. Investidores a descoberto posicionam-se de modo a auferir excesso de retornos negativos e preferem ações com betas mais elevados. Os resultados também demonstram que o acréscimo de posições long-short a portfólio de investimento já existente aumentaria o retorno e reduziria o risco de mercado. Sobre a eficiência do mercado brasileiro, o estudo mostra que os preços das ações com saldos elevados de empréstimos ajustam-se com mais rapidez aos movimentos do mercado do que aquelas com menor saldo. O trabalho contribui, ainda, com recomendações pontuais para alterações da regulação e da organização operacional da atividade no País.

[pt] Atualmente, com a intensificação da integração econômica e financeira dos mercados, o enfraquecimento das fronteiras nacionais e o significativo crescimento do comércio internacional, os investidores estão direcionando cada vez mais seus fluxos de capitais para os mercados externos, de forma a promover a diversificação internacional de suas carteiras, reduzindo o risco ao mesmo nível de retorno aos apresentados por carteiras puramente nacionais. É neste contexto de expansão internacional dos mercados e de elaboração de carteiras internacionais que as informações referentes aos riscos de cada investimento se tornam ainda mais importantes. Neste sentido, visando suprir essas necessidades de informações, começaram a surgir no início do século XX as empresas privadas de rating com o propósito de fornecer as classificações de risco dos emissores de títulos, os ratings de crédito. Consequentemente, ao classificar o risco de um título, esses ratings possuem a capacidade de influenciar o mercado como um todo. Assim, esse trabalho objetiva verificar o impacto que as alterações de rating soberano brasileiro pelas agências especializadas produzem no mercado acionário brasileiro, mais especificamente no comportamento das ações de empresas estatais, visto que estas deveriam ser supostamente mais impactadas que as demais frente a essas revisões, tanto via resposta do mercado como um todo quanto ao fato de ter a percepção do risco de seu controlador diretamente alterado por esses ratings. Para tanto, foi desenvolvido um estudo de evento, para analisar os efeitos verificados sobre os retornos de mercado (IBOVESPA) e das empresas estatais, nos períodos de downgrade e de upgrade. / [en] Currently, with the intensification of economic and financial integration of the markets, the weakening of national borders and the significant growth of international trade, investors are increasingly directing their capital flows towards external markets in order to promote international diversification of their portfolios, reducing the risk at the same level of return to those presented by purely domestic portfolios. It is in this context of international expansion of markets and of the development of international portfolios that the information regarding the risks of each investment becomes even more important. In this sense, in order to meet these information needs, the private rating companies began to emerge as early as the twentieth century, in order to provide risk ratings regarding the issuers of securities, credit ratings. Consequently, by classifying the risk of a security, these ratings have the ability to influence the market as a whole. Thus, this study aims to investigate the impact that Brazilian sovereign rating changes by these specialized agencies have in the Brazilian stock market, specifically regarding the behavior of shares of state-owned companies, as these should supposedly be more affected than the others against sovereign risk reviews, both through the market s response as a whole and by the fact that the perception of risk by their majority shareholder is directly altered by these ratings. To this end, an event study is conducted to analyze the effects seen on market returns (IBOVESPA) and state enterprises, in periods of downgrade and upgrade.

This thesis examines the effect of coronavirus-related sentiment on Swedish stock market returns during the coronavirus pandemic. We study returns on the large cap and small cap price indices OMXSLCPI and OMXSSCPI during the period January 2, 2020 – April 30, 2020. Coronavirus sentiment proxies are constructed from news articles clustered into topics using latent Dirichlet allocation and scored through sentiment analysis. The impact of the sentiment proxies on the stock indices is then measured using a dynamic multiple regression model. The results show that the proxies representing fundamental changes in our model — Swedish Politics and Economic Policy — have a strongly significant impact on the returns of both indices, which is consistent with financial theory. We also find that sentiment proxies Sport and Coronavirus Spread are statistically significant and impact Swedish stock prices. This implies that coronavirus-related news influenced market sentiment in Sweden during the research period and could be exploited to uncover arbitrage. Finally, the amount of sentiment-inducing news published daily is shown to have an impact on stock price volatility. / Denna studie undersöker den effekt coronavirus-relaterat sentiment haft på avkastningen på svenska aktieindex under coronaviruspandemin. Vi studerar avkastningen på large cap- och small cap-prisindexen OMXSLCPI och OMXSSCPI under perioden 2 januari 2020 – 30 april 2020. Proxier för coronavirus-sentiment konstrueras från nyhetsartiklar som klustrats i ämnen genom latent Dirichlet-allokering och poängsatts genom sentimentanalys. Sentimentproxiernas påverkan på aktieindexen mäts sedan med en dynamisk multipel regressionsmodell. Resultaten visar att proxierna som representerar fundamentala förändringar i vår modell — svensk politik och ekonomisk policy — har en starkt signifikant inverkan på avkastningen på båda indexen, vilket är konsekvent med finansiell teori. Vi finner även att sentimentproxierna sport och spridning av coronaviruset är statistiskt signifikanta i sin påverkan på svenska aktiepriser. Detta innebär att coronavirus-relaterade nyheter påverkade marknadssentiment i Sverige under undersökningsperioden och skulle kunna användas för att upptäcka arbitrage. Slutligen visas mängden sentimentframkallande nyheter publicerade per dag ha en inverkan på aktieprisvolatilitet.