Un marché efficient permet de définir le prix d’un bien, pour des quantités échangées, qui reflète la valeur donnée par les acteurs économiques. Cette valeur est objective dans la théorie classique, ou intrinsèque. Or, la valeur intrinsèque apparaît parfois déconnectée d’une valeur sociale. Il y a donc un problème de définition de la valeur, qui s’exprime notamment sur les marchés financiers. S'agissant de titres financiers, cette valeur est ce qui est mesuré subjectivement au travers d'une échelle de valeur dont la norme est donnée par le leader du marché. Ce leader est reconnu comme le vainqueur d'une lutte, appelée agôn, et se repère par une croissance de son cours (effet agonistique), une baisse des volumes échangés (effet d'allégeance) et un kurtosis élevé (effet mimétique). Nous pouvons alors proposer des aides à la décision pour l’investisseur à partir d’une théorie agonistique de la valeur. / An efficient market gives the right price of any product, with exchanged quantities, reflecting the value given by sellers and buyers. This value is defined as objective, or intrinsic in classical economic approach. This intrinsic value may be disconnected from a social value. It means there is a problem to define the value especially on financial markets. On those financial markets, value is what has to be measured, subjectively on a value scale given by the market leader. This leader is the winner of a fight, called agôn, and its stock price is growing (agonistic effect), the quantities of stocks exchanged are dropping (allegiance effect), with a high kurtosis (mimetic effect). We could propose to any investor some decision-making aid through an agonistic value theory.

Pengar har under en lång tid spelat en central roll i människans samhälle och dagens samhälle präglas av allt mer handel. Utifrån detta har nya betalningsmetoder utvecklats. En förändring i konsumentbeteendet har bidragit till att allt fler individer väljer elektroniska betalningstjänster. En relativt ny innovation är kryptovalutan bitcoin som erbjuder betalning mellan köpare och säljare utan inblandning av en tredje part. Ett flertal studier har gjorts med syftet att fastställa om bitcoin är en valuta eller en tillgång, något som visat sig vara svårt. Något som varit tydligare är att bitcoins värdeförändringar inte tycks vara korrelerad med andra investeringsalternativ. I en studie av Brière et al. (2015) drogs slutsatsen att bitcoin är en intressant tillgång för en investerare tack vare bitcoins låga korrelationskoefficient med andra tillgångar. Denna studie grundar sig i de teoretiska utgångspunkterna om Famas (1970) hypotes om den effektiva marknaden, Markowitz (1952) moderna portföljteori och Rogers (2003) teori om spridning av innovationer. Med detta som utgångspunkt är syftet med denna studie att undersöka hur korrelationskoefficienten mellan bitcoin och traditionella investeringstillgångar som aktier, valutor och råvaror ser ut idag samt hur dessa har förändrats över tid. Med hjälp av Famas (1970) teori om effektiva marknader och Rogers (2003) teori om spridning av innovationer kommer en diskussion om huruvida bitcoins egenskaper som investering i den moderna portföljen har förändrats i takt med att bitcoin blivit mer använd, både som betalningsmedel och investeringsalternativ. För att besvara dessa frågor undersöks korrelationskoefficienterna mellan bitcoin och elva andra tillgångar i kombination med en analys av en deskriptiv statistik. Med en undersökningsperiod som sträcker sig från 18 augusti 2011 till 17 mars 2017. Denna period har även delats upp i mindre tidsperioder för att utifrån detta analysera om det skett några förändringar i korrelationen mellan bitcoin och de traditionella tillgångarna i studien. Resultatet visade att bitcoin inte är korrelerad med andra traditionella tillgångar, oavsett vilken tidsperiod som undersöks. Det visade sig att bitcoin i förhållande till andra tillgångar är en riskfylld investering på grund av bland annat en hög volatilitet. Dock kompenseras detta av bitcoins höga årlig avkastning. Av resultatet framgår det även att volatiliteten för bitcoin har minskat med tiden och att kryptovalutan inte är lika riskfylld idag jämfört med tidigare.

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

The Halloween effect refers to higher stock returns during the period November to April compared to May to October. This is a well-known calendar anomaly that has gained a lot of attention due to the fact that the effect is persistent in the market in spite of the fact that investors are aware of the anomaly today. This evokes questions regarding the efficiency in the markets and the Efficient Market Hypothesis in particular. The main focus of this thesis was to investigate whether the Halloween effect still exists in the Swedish stock market and if the power of the effect deviates between different firm sizes. Furthermore, we examined risk differences between the summer -and the winter months, as well as the January effect in order to find out if these could be possible explanations for the Halloween effect and its existence. A trading strategy based on the Halloween effect was also tested in order to see if investors could use this strategy to outperform a buy and hold strategy. The method that was used to investigate the existence of the Halloween effect was Ordinary Least Squares regression models with dummy variables, standard deviation to ascertain risk-differences between the periods and the Sharpe ratio to determine the risk-adjusted returns of the trading strategies. The results showed that the Halloween effect could be found in all of the examined market-cap indices, and therefore the Efficient Market Hypothesis could be questioned. The Halloween effect turned out to be autonomous from the January effect and the risk measured in standard deviation had no significant difference between the summer -and the winter months, hence, both these possible explanations were rejected. The backtesting showed that the Halloween strategy would perform better than the buy and hold strategy in all indices except from the mid-cap index. The results regarding the Sharpe ratio indicated that the Halloween strategy would be a better strategy to use considering risk-adjusted returns as the Sharpe ratio was higher in all indices.

Over a long period of time, researchers have investigated the efficiency of financial markets. The widely accepted theory of the subject is the Efficient Market Hypothesis, which states that prices of financial assets are set efficiently. A common way to test this hypothesis is to analyze the returns generated by technical trading rules which uses historical prices in an attempt to predict future price development. This is also what this study aims to do. Using adjusted daily closing prices ranging over 2007 to 2019 for 5120 stocks listed on the U.S stock market, this study tests a momentum trading strategy called the stochastic oscillator in an attempt to beat a buy and hold strategy of the Russel 3000 stock market index. The stochastic oscillator is constructed in three different ways, the Fast%K, the Fast%D and the Slow%D, the difference being that a smoothing parameter is used in the Fast%D and Slow%D in an attempt to reduce the number of whiplashes or false trading signals. The mean returns of the technical trading strategies are tested against the mean returns of the buy and hold strategy using a non-parametric bootstrap methodology and also, the risk adjusted returns in terms of Sharpe Ratios are compared for the different strategies. The results find no significance difference between the mean returns of the buy and hold strategy and any of the technical trading strategies. Further, the buy and hold strategy delivers a higher risk adjusted return compared to the technical trading strategies, although, only by a small margin. Regarding the smoothing parameter applied to the strategies, it seems to fulfill its purpose by reducing the number of trades and slightly increasing the mean returns of the technical trading strategies. Finally, for deeper insight in the subject, a reading of "The efficiency of financial markets: A dual momentum trading strategy on the Swedish stock market" by Netzén Örn (2018) is recommended.

Problembakgrund & problemdiskussion: Att som professionell investerare lyckas överavkasta sitt jämförelseindex år efter år är lättare sagt än gjort. Oavsett vilken strategi en förvaltare använder sig av kan det vara svårt att kontinuerligt lyckas prestera bättre än marknaden. Författarna av denna studie har blivit inspirerade av anomalin PEAD, postearnings-announcement-drift. Den visar att om ett bolag överraskar positivt (negativt) har aktiekursen en tendens att stiga (falla) ett tag efter att den nya informationen har presenterats.   Problemformulering: Är det möjligt att kombinera indexplacering med PAD i samband med rapporter för att nå överavkastning gentemot OMXS30-index?  Vilken tidsperiod av tre, fem eller tio dagar är det i genomsnitt mest lukrativt att hålla aktien under rådande strategi? Syfte: Studiens huvudsyfte är att se om en kombination av aktiv förvaltning grundat på PEAD tillsammans med en passiv förvaltning i en börsfond som följer OMXS30, skulle lyckas överavkasta mot OMXS30. Studiens delsyfte är att se vilken av tidsperioderna tre, fem eller tio dagar som kan generera största avkastning. Författarna vill med denna studie kunna ge professionella investerare en stabil strategi som över tid visar sig överavkasta jämförelsebart index på ett kostnadseffektivt sätt och utan att ta allt för stor risk.   Teori: Studien behandlar teorier kopplat till Post Earnings Announcement Drift (PEAD) som sedan sätts i kontext med en genomgång av de etablerade teorierna om den effektiva marknadshypotesen och random walk. Som i sin utformning motsätter sig att en strategi byggd på PEAD ska kunna bringa överavkastning.    Metod: Studien använder sig av en kvantitativ metod med en deduktiv ansats. Aktiedata är inhämtad från bolag som ingått i OMXS30 under perioden 2010–2019. Studien har testat om strategin har överavkastat gentemot studiens utvalda referensindex.    Empiri/analys: Studiens resultat har ett empiriskt stöd för att PAD3 har en signifikant överavkastning gentemot OMXS30. Medan PAD5 och PAD10 visade sig inte ha en statistiskt säkerställd överavkastning mot OMXS30. Författarna har vidare funnit intressanta resultat som starkt pekar mot att strategin presterar starkt under en negativ marknad.   Slutsats: Strategin visade sig ha starka bevis att motsäga random walk då ett återupprepande prismönster gick att finna i studiens resultat. Trots att majoriteten av resultaten av de statistiska testerna inte var signifikanta ställer sig författarna även tveksamma till den effektiva marknadshypotesen. Strategin med den kortaste aktiva förvaltningen överavkastade index med över 150% vilket bör kunna ses som ett tecken på att marknaden inte till fullo lyckas prisa in den nya information som presenteras i samband med då bolagen släpper rapporter.

The stock market have received a fair amount of attention in the media recently as a result of the ongoing covid-19 pandemic. The question arouse if there is one month in the year that outperforms all other months in the stock market. A well known anomaly in the world of finance referred to as, the January effect, came up to discussion. Earlier studies of this subject have achieved different results and conclusions. Therefore, this study aims to examine if the January effect exists on mid cap and large cap companies on the Swedish stock market. To achieve this, one large cap portfolio and one mid cap portfolio both equally weighted with ten companies each were created. These two portfolios were analyzed with, among others, a well known regression model for season anomalies. The results of this study concludes that the January effect does not exist in neither of the portfolios.

This thesis examines the initial and long-term market reactions following reversed profit warnings on the Nordic markets. Furthermore, it investigates if firm size and trading volume can explain the magnitude of the market reaction. The study is based on 118 reversed profit warnings announced on the Nordic markets during 2010-2019 applying an event study approach, measuring abnormal returns. To examine if firm size and trading volume affects the market reaction, this study uses a regression analysis to complement the event study. Results show a significant initial market reaction, confirming that the market is genuinely surprised by a profit warning. In accordance with the efficient market hypothesis, the market is also seen to correct its expectations based on the new information. The initial reaction is more substantial for smaller firms and higher trading volume is seen to increase abnormal returns. Our long-term results show a significant reversal in share price, indicating that there is an overreaction to reversed profit warnings. The long-term regression results show that neither firm size nor trading volume explain the reversal in share price.

In this thesis the relationship between company performance and top management stock ownership in the Swedish market was examined. As well as conducting research on the influence real earnings management has on company performance, and how real earnings management relates to the top management stock ownership. The study was based on a quantitative approach with secondary data that was retrieved from Eikon Refinitiv database, where the data stretched back from 2018-2020. This research found no clear relationship between the main concepts under investigation, that is stock ownership of top management and stock returns. The authors explain this by the sampling method in this research only include companies with share holdings. Furthermore, compared to other studies looking this research considers multiple market capitalizations who may operate differently. Finally, there is a suspicion in the field of research that the relationship between the two is not of a linear nature as such a linear methodology will not find any clear results. In conclusion, this research could be added to the list that does not find a relationship between the above stated variables to the literature which could further be applied to the Swedish market. In terms of real earnings management, a strong negative influence was found on share returns. The authors suggest that this finding can be used as a basis to form investment strategies through monitoring the occurrence of REM to predict when insiders are going to buy and sell. Through pursuing this strategy, it may be possible to create superior return as this study found support for the semi-strong form of market efficiency. Unfortunately, this study found no clear guidance of resolving agency issues. Rather it was concluded that shareholdings in the top management does not resolve agency problems given the occurrence of REM. The management most likely benefit from this through trading the company stock. However, further investigation on the topic should be conducted as it seems that alignment using holdings become more or less effective at certain levels of management share ownership. Furthermore, the notion that American ways of agency alignment may not be appropriate in the Swedish market was considered but no clear conclusion could be made in this research.

Using the ARFIMA-FIGARCH model, this dissertation examines the efficiency of Botswana's bond market. It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. The weak-form version of efficient market hypothesis (EMH) is used as a criterion to investigate the existence of long memory in both bond returns and volatility. The results of our study indicate that the Botswana bond market data follow, to a great extent, the long-range dependence which negates the precepts of the efficient market hypothesis. Furthermore, policy reforms intended to stimulate bond market reform and related efficiency gains appear not to have produced the desired outcomes as the existence of long memory is found across all sample periods. Further remedial policies are suggested to enhance market dynamism.