Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. Both value and momentum is seen as two market anomalies according to earlier literature. The test were made on the Swedish market, and all data were collected from the Nasdaq OMX Stockholm Large Cap list. The findings includes a significant outperformance of market returns in nearly all portfolio tested, as well as lower standard deviations for some. However, an empirical asset pricing model, based on four factors from the Swedish market were constructed to seek explanation for the results. Overall the factor variables were rejected on their statistical significances, except for the market factor which were statistical significant for all portfolios except one.

This research is a systematic, in depth empirical test of the strong form of the efficient market hypothesis (EMH) using the dual-fund industry as the research subject. Unlike most strong-form EMH research, this study deals with a small, homogeneous sector of the investment company industry with a comparable origin date. To obtain homogeneity of the research subjects, the sample size is necessarily small (7), thus, making it difficult to find statistically significant results. In general, portfolio performance is negatively correlated with variability in measures of portfolio characteristics such as the major mix, common stock categories, portfolio turnover, etc. The better-performing dual funds were more consistently managed while the lower-performing companies had significant and sometimes frequent changes in portfolio policies. In line with the efficient market hypothesis, "passive" management, i.e., low turnover, few changes in major mix or common stock composition, shows better results in the dual-fund industry from inception through 1973.

Corporations may experience lower earnings on assets due to the underinvestment of excess cash. Specifically, leaders of nonfinancial firms hold small amounts of cash in mutual fund investments. The primary benefit to understanding mutual funds is the potential to use them to manage excess corporate cash. Using the efficient market hypothesis as a framework for the study, the purpose of this correlational study was to examine the relationship among mutual fund expenses including 12b-1 fees, sales load at purchase, management fees, total capitalization, and performance. Secondary research databases were used, including the Steele Mutual Fund Expert and the U.S. Securities and Exchange Commission, to create a sample of 96 actively managed mutual funds for the years 2010 to 2014. Multiple regression analysis revealed that 12b-1 fees, sales load at purchase, management fees, and total capitalization were not significant predictors of mutual fund performance. Further, in most years, actively managed mutual funds were not able to outpace the benchmark index. However, a small cluster of successful mutual funds (30) exceeded the performance of the S&P 500 by 5.99%. The implications for positive social change include the potential to devise a strategy to invest excess cash, as additional earnings could offset increasing operational costs and ease shareholder concern. Additionally, legislators could use the results of this study to create regulations to promote stable financial markets.

<p>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.</p><p>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?</p><p>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.</p><p>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.</p><p>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.</p>

<p>Background:</p><p>The efficient market hypothesis states that it is not possible to consistently outperform the overall stock market by stock picking and market timing. This is because, in an efficient market, all stock prices are at their correct level, and there are no over- or undervalued stocks. Nevertheless, deviations from true price can occur according to the hypothesis, but when they do they are always random. Thus, the only way an investor can perform better than the overall stock market is by being lucky. However, the efficient market hypothesis is very controversial. It is often discussed within the area of modern financial theory and there are strong arguments both for and against it.</p><p>Purpose:</p><p>The purpose of this study was to investigate whether it is possible to outperform the overall stock market by investing in stocks that are undervalued according to the enterprise multiple (EV/EBITDA), and the price-earnings ratio.</p><p>Realization of the Study:</p><p>Portfolios were constructed based on information from five years, 2001 to 2005. Each year two portfolios were put together, one of them consisting of the six stocks with the lowest price-earnings ratio, and the other consisting of the six stocks with the lowest EV/EBITDA. Each portfolio was kept for one year and the unadjusted returns as well as the risk adjusted returns of the portfolios were compared to the returns on the two indexes OMXS30 and AFGX. The sample consisted of the 30 most traded stocks on the Nordic Stock Exchange in Stockholm 2006.</p><p>Conclusion:</p><p>The study shows that it is possible to outperform the overall stock market by investing in undervalued stocks according the price-earnings ratio and the EV/EBITDA. This indicates that the market is not efficient, even in its weak form.</p>

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.

Background: The efficient market hypothesis states that it is not possible to consistently outperform the overall stock market by stock picking and market timing. This is because, in an efficient market, all stock prices are at their correct level, and there are no over- or undervalued stocks. Nevertheless, deviations from true price can occur according to the hypothesis, but when they do they are always random. Thus, the only way an investor can perform better than the overall stock market is by being lucky. However, the efficient market hypothesis is very controversial. It is often discussed within the area of modern financial theory and there are strong arguments both for and against it. Purpose: The purpose of this study was to investigate whether it is possible to outperform the overall stock market by investing in stocks that are undervalued according to the enterprise multiple (EV/EBITDA), and the price-earnings ratio. Realization of the Study: Portfolios were constructed based on information from five years, 2001 to 2005. Each year two portfolios were put together, one of them consisting of the six stocks with the lowest price-earnings ratio, and the other consisting of the six stocks with the lowest EV/EBITDA. Each portfolio was kept for one year and the unadjusted returns as well as the risk adjusted returns of the portfolios were compared to the returns on the two indexes OMXS30 and AFGX. The sample consisted of the 30 most traded stocks on the Nordic Stock Exchange in Stockholm 2006. Conclusion: The study shows that it is possible to outperform the overall stock market by investing in undervalued stocks according the price-earnings ratio and the EV/EBITDA. This indicates that the market is not efficient, even in its weak form.