This diploma thesis aims at assessing stock market efficiency using seventeen shares and stock index S&P 500 which represents whole market. Selected shares were traded using several tools from technical analysis from 2012 to 2016. Trading is based on buy / sell signals. These signals were generated by 38 automatic trading strategies, created from crossing rates and sliding averages, by crossing two different sliding averages and based on technical indicators MACD, RSD and Momentum. Theoretical part of this work is dedicated to capital market, stock market efficiency assessment, shares and different types of analysis, mainly to technical. Results of stock market efficiency assessment of finances when trading all tested strategies can be found in the practical part. Random movements of rates were proven, this implies that market is slightly effective. Best trading strategy cannot be determined, because there are too many factors influencing results. Passive strategy achieved better profit. According to complete average results, MACD a 50+200EMA has highest success rate. Least appropriate strategies were MACD+SL and RSI_30+70_2. The worst shares for active trading were EBS and MRK, best LCI, ABC and VRX.

Much has been written, by academics, about the impact sponsorship announcements have on the share price performance of sponsoring firms. The objective of this study was to investigate if this phenomenon was true for JSE listed companies with particular focus on three announcement categories i.e. (i) new, (ii) renew and (iii) termination. The Efficient Market Hypothesis as an aspect of Investment Finance behaviour was explored to understand why sponsorship announcements would or would not have an impact on the share price performance. For this study, descriptive research was done with a causal design as the study tested the relationship between two or more variables. The study analysed 118 sponsorship announcements made by 19 JSE listed companies over a period of eleven years and five months. The study then assessed the share price performance for the period 120 days prior to and 120 days after the announcement date. The share price holding periods were adjusted for that of the average Financial Services (J212) Index, the Industrial (J212) Index and the Resources (J258) Index respectively to ascertain whether the returns were abnormal or not. The results have shown that there were no evidence that the announcement of a (i) new, (ii) renewed or (iii) terminated sponsorship do have a significant impact on the performance of share prices for JSE listed companies. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

This study examined the impact of open-market stock repurchases by Real Estate Investment Trusts (REITs) on the share price of the featured company. Two aspects of investment finance are rational behaviour and efficient markets. Both of these concepts were explored to understand why a share repurchase would have an impact on a company share price.Causal research was conducted to analyse the correlation between a share repurchase event and the share price of the featured company. The share buyback announcements were collected from the Bloomberg database. The holding period returns were calculated and compared to zero to analyse whether there was any momentum or contrarian signals. The holding period returns were also adjusted for the average of the all REIT index to ascertain whether the returns were abnormal or not.The results have shown share repurchase transactions to be contrarian indicators of share price performance. Even when the results were adjusted for the REIT index, the negative returns continued. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

<p>The purpose of this Bachelor thesis is to analyze if there is a correlation between stock prices and the amount of searches of the companies names on Google. The theories used in the study were Capital Asset Pricing Model (CAPM) and Efficient Market Hypothesis (EMH). Regressions analysis is used as the statistical method to see if there is a significant correlation between the stock prices and the amout of searches of the company name on Google. The data used were the rate of return of three companies (ABB, Oriflame and Sandvik) on the Nasdaq OMX Nordic stock market, the rate of return of the Nasdaq OMX Nordic stock market index (OMX Stockholm_PI) and the Google search frequency from Google Trends on each company. The result showed no significance and the conclusion of the thesis is that there is no significant correlation between the three studied companies and their search frequency on the search engine Google.</p> / <p><strong>Syfte</strong>: Syftet med uppsatsen är att undersöka ifall det finns ett samband mellan företags aktiekurser och sökfrekvens på företagets namn på söktjänsten Google.</p><p><strong>Data: </strong>Daglig avkastning på ABB:s, Oriflames och Sandviks aktier, Aktieindex samt Googels sökfrekvens.</p><p><strong>Teorier: </strong>Capital Asset Pricing Model (CAPM), Effektiva marknadshypotesen (EMH)</p><p><strong>Slutsats: </strong>Det råder inget signifikant samband mellan de undersökta företagens aktiekurser och deras företagsnamns sökfrekvens på söktjänsten Google.</p>

The purpose of this Bachelor thesis is to analyze if there is a correlation between stock prices and the amount of searches of the companies names on Google. The theories used in the study were Capital Asset Pricing Model (CAPM) and Efficient Market Hypothesis (EMH). Regressions analysis is used as the statistical method to see if there is a significant correlation between the stock prices and the amout of searches of the company name on Google. The data used were the rate of return of three companies (ABB, Oriflame and Sandvik) on the Nasdaq OMX Nordic stock market, the rate of return of the Nasdaq OMX Nordic stock market index (OMX Stockholm_PI) and the Google search frequency from Google Trends on each company. The result showed no significance and the conclusion of the thesis is that there is no significant correlation between the three studied companies and their search frequency on the search engine Google. / Syfte: Syftet med uppsatsen är att undersöka ifall det finns ett samband mellan företags aktiekurser och sökfrekvens på företagets namn på söktjänsten Google. Data: Daglig avkastning på ABB:s, Oriflames och Sandviks aktier, Aktieindex samt Googels sökfrekvens. Teorier: Capital Asset Pricing Model (CAPM), Effektiva marknadshypotesen (EMH) Slutsats: Det råder inget signifikant samband mellan de undersökta företagens aktiekurser och deras företagsnamns sökfrekvens på söktjänsten Google.

Magister Commercii - MCom / The primary objectives of this research are to determine whether indices constructed from fundamental attributes of ALSI constituents outperform indices weighted by market capitalisations; and whether the performance of fundamental indices could be explained by size and value risk factors. The examination period is 1st January 2000 to 31st December 2009. The JSE ALSI constituent’s fundamental attributes; book values, dividends, earnings and sales together with their market values are extracted from DataStream International. Indices are subsequently constructed according to share’s market values and the four aforementioned fundamental attributes as well as a composite metric. The composite metric is a combination of all four fundamental attributes. Fundamental indices are found to be more mean-variance efficient than cap-weighted indices, whilst displaying moderate value bias and minor size bias. Fundamental indices exhibit lower risk-adjusted returns when rebalanced less frequently, except for sales-weighted indices which justly capture undervalued shares that mean revert throughout the year. Fundamental indexation is therefore, adjudged to be superior to cap-weighted methods and only relatively affected by value effect

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Thesis advisor: Harold Petersen / Using insights from Hyman Minsky’s Financial Instability Hypothesis (FIH), we develop a theoretical framework for how speculative bubbles may materialize in securities markets. Our model and empirical analysis show that agents place undue emphasis on recent experience of risk and returns when developing future expectations. We use the aggregate investor allocation to equities (aggregate total market capitalization of equities divided by the price of all real liabilities outstanding), Tobin’s Q (the aggregate market price of equities divided by the replacement cost of nonfinancial firms’ assets), Shiller Total Return Cyclically Adjusted Price to Earnings Ratio (TR CAPE), and Shiller Cyclically Adjusted Price to Earnings Ratio (CAPE) as proxy variables for bubbles. We find statistically significant, negative relationships between all four of these proxy variables and two dependent variables, Subsequent Ten-Year Annualized Cumulative Equity Market Returns (Nominal and Real), and also Subsequent 10-year Average Losses, thereby providing evidence against the Efficient Market Hypothesis and suggesting the possibility of speculative bubbles. / Thesis (BS) — Boston College, 2019. / Submitted to: Boston College. Carroll School of Management. / Discipline: Departmental Honors. / Discipline: Economics.

Klimatförändringar och global uppvärmning kan ses som bidragande faktorer kring hur naturkatastrofer blir allt mer frekventa. Naturkatastrofer kan skapa obalans mellan utbud och efterfrågan och ha en inverkan på aktiemarknaden. Syftet med denna studie är att undersöka naturkatastrofers, närmare bestämt orkanen Ians, inverkan på läkemedelsföretags aktiepriser. Studien antar en kvantitativ ansats och hämtar sin empiri från databasen Factiva. Genom att använda teorierna effektiva marknadshypotesen (EMH) samt behavioral finance studeras 61 stycken av de största börsnoterade läkemedelsföretagen i USA med en eventstudie. Läkemedelsföretagen delas in i storleksbaserade portföljer inom de tre läkemedelsföretags-kategorierna “Medical Equipment/Supplies”, “Pharmaceuticals” och “Healthcare Provision” där de undersöks och jämförs. Studien har även inkluderat en branschspecifik variabel i form av godkända läkemedelsprodukter för “Pharmaceuticals”. Läkemedelsföretagen observeras fem dagar före eventdagen, under själva eventdagen (28 september), och fem dagar efter eventdagen. Enligt resultaten går det att tyda att endast ett signifikant samband av elva hypotesprövningar kunde observeras, vilket var för mindre stora läkemedelsföretag inom kategorin Healthcare Provision med en negativ CAAR på -4,15 procent. Tidigare forskning visar blandade reaktioner hos branscher till följd av naturkatastrofer, däribland fann Malik och Faff (2022) ett liknande negativt signifikant samband för små läkemedelsföretag inom Healthcare Provision. Resultatet indikerar att mindre stora läkemedelsföretag inte är lika motståndskraftiga vid naturkatastrofer som stora läkemedelsföretag. Vidare indikerar även resultatet att aktieprisförändringarna i eventstudien agerat likartat med aktieindexet S&amp;P 500 och det är därmed troligt att studiens resultat till stor del beror på effekterna av S&amp;P 500. / Climate change and global warming can be seen as contributing factors to the increasing frequency of natural disasters. Natural disasters can create imbalances in supply and demand and have an impact on the stock market. The purpose of this study is to investigate the impact of natural disasters, specifically Hurricane Ian, on pharmaceutical company stock prices. The study adopts a quantitative approach and draws its empirical data from the Factiva database. Using the theories of the Efficient Market Hypothesis (EMH) and behavioral finance, 61 of the largest publicly traded pharmaceutical companies in the United States are studied using an event study. The pharmaceutical companies are divided into size-based portfolios within the three pharmaceutical company categories: "Medical Equipment/Supplies", "Pharmaceuticals", and "Healthcare Provision", where they are examined and compared. The study also includes an industry-specific variable in the form of approved pharmaceutical products for the "Pharmaceuticals" category. The pharmaceutical companies are observed five days before the event day, on the event day itself (September 28), and five days after the event day. According to the results, only one significant relationship out of eleven hypothesis tests could be observed, which was for smaller Healthcare Provision companies with a negative CAAR of -4.15 percent. Previous research shows mixed reactions among industries following natural disasters, including Malik and Faff (2022) finding a similar negative significant relationship for small Healthcare Provision pharmaceutical companies. The result indicates that smaller Healthcare Provision companies are not as resilient to natural disasters as larger pharmaceutical companies. Furthermore, the result also suggests that the stock price changes in the event study have acted similarly to the S&amp;P 500 stock index, indicating that the study's results are largely influenced by the effects of the S&amp;P 500.

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)