Marknadens reaktion när ett företag informerar och annonserar om en eventuell nyemission sägs vara oförutsägbar. Enligt tidigare forskning pressas aktiekursen i de flesta fallen nedåt vid en nyemission. Under det senaste året har en del nyemissioner utförts i synnerhet på grund av den globala lågkonjunkturen då många företag haft för lite kapitalbas. Vad gäller företag på Stockholmsbörsen som valt att nyemittera aktier har även här de flesta fått se sin aktiekurs rasa. Författarna till denna uppsats avser att studera hur marknaden reagerar på ett offentligt tillkännagivande av en kommande nyemission. Det undersöks även om det förefaller någon skillnad mellan tillkännagivanden av nyemissioner genomförda innan eller under lågkonjunkturen och skillnader branscher emellan. Då vi ville se hur denna händelse påverkar ett företags aktiekurser valde vi att göra en eventstudie. En eventstudie ger oss möjligheten att mäta effekten av en specifik händelse. Datainsamlingen har endast bestått av sekundärdata som vetenskapliga artiklar, litteratur, tidigare forskning samt elektroniska databaser så som Avanza och OMX. Vi valde att ta med alla de företag som under tidsperioden 2005-01-01 till 2009-04-01 annonserat om en nyemission och som i dagsläget fortfarande är noterade på OMX, Stockholmsbörsen. I studien ingick 21 tillkännagivanden varav hela 13 stycken, ca 62 % av dem, resulterade i en negativ kursreaktion och avkastning. Fyra av åtta tillkännagivanden om nyemission som offentliggjordes innan lågkonjunkturen uppvisade en nedåtgående kursreaktion på annonseringsdagen och därmed en negativ abnormal avkastning. Denna trend fortsätter att hålla i sig då även nio av 13 tillkännagivanden under lågkonjunkturen, visade på en negativ abnormal avkastning. / The market reaction when a company provides information about a possible equity issue is said to be unpredictable. According to previous research the stock price, in most cases, is pushed downward in case of an equity issue. Over the past year some equity issues has been implemented particular because of the global recession. This because many companies experience too small funds. As for companies on the Stockholm Stock Exchange that have chosen to do an equity issue most of them had also experienced a decline in the stock price. The authors of this essay intend to study how the market reacts to a public announcement of an upcoming equity issue. They would also like to know if there is any differences between the announcements of an equity issue that's been done before or during the recession and if there is any differences between industries. Thus we wanted to see how equity issues affect a company's stock price, we have chosen to do an event study. An event study enables us to measure the effect of a specific event. The data that we been using has only consisted of secondary data as scientific articles, literature, previous research and electronic databases such as Avanza and OMX. For our study we have chosen to include all of the companies that during the period 2005-01-01 to 2009-04-01 announced about an upcoming equity issue and are still listed at the OMX, on the Stockholm Stock Exchange. The study included 21 public notices of which entirely 13 of them, about 62 %, resulted in a negative rate reaction and return. Four of the eight notices about an equity issue, which was announced before the recession, resulted in a declining rate reaction on the day of the announcement and also had a negative abnormal return. This trend continues thus nine of 13 notices, which announced an equity issue during the recession, also showed a negative abnormal return.

This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies?   The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. The research was conducted with a positivistic philosophy in conjunction with a realistic approach. Since the research question has been deducted from the theoretical framework the research has a deductive approach, a quantitative technique was adapted when the data at hand was mainly future and spot rate data.   Data on 13 currencies ranging from 2005 to 2010 was used. The prices were available in weekly intervals for all currencies except for the Brazilian real, Swiss frank and the Mexican peso. The statistical test that was used is the Augmented Dickey-Fuller test and the Phillips-Ouliaris cointegration test. The test was conducted on the whole timeframe. After that, the data was divided into three sub periods to show if the efficiency where different in the period before the crises (2005-2007), during the crises (2008-2009) and after the crises (2010). The test has also been done on annual and quarterly data to show if the length of the time period tested has an effect on efficiency. The PO test has been conducted on all data and the ADF test has been conducted on the whole timeframe and the sub periods.   The results show that, ten of the currencies which we had weakly data, the future is a good predictor of the future spot exchange rate. This is true when the tests are done on an interval of one year and more. For the three currencies that we had monthly data, the results showed cointegration on the whole timeframe. When shorter time periods were tested the currencies that consisted of monthly data showed no cointegration sooner than the weakly data. When test is done on quarterly data, only one test is cointegrated. It cannot concluded that, the future was not a good predictor for the future spot exchange rate during this time, merely that this particular test might be the true one and that the tests where not able to capture it. Several reasons for this are presented in the analysis chapter, where the statistical tests and their design are mentioned among other reasons.

<p>Research Questions:</p><p>• Will a portfolio based on value stocks, on a risk-adjusted basis, outperform a portfolio based on growth stocks on the Stockholm Stock Exchange?</p><p>• Is the superior strategy able to generate abnormal risk adjusted returns by beating the OMXS in-dex?</p><p>Purpose:</p><p>The purpose is to investigate if an investor by purchasing a portfolio based on value stocks will outperform a portfolio based on growth stocks. Furthermore the authors aim to examine if the superior portfolio can beat the OMXS index and create abnormal returns on the Stockholm Stock Exchange.</p><p>Method:</p><p>The quantitative research method is used when gathering information. To deter-mine which stocks to include each year between 1993 to 2005 the price-to-book ratio (P/B) is used. Based on this multiple the sample is divided into two extreme groups of low and high P/B companies. These two groups are further divided according to their price-to-earning ratios (P/E). This creates four portfolios, which symbolizes value and growth stocks. Each portfolio’s return is recorded annually during the 12 year period. The returns are risk-adjusted in order to find the superior portfolio. This portfolio is then compared with the OMXS index for the same period to find out whether it has created an abnormal return.</p><p>Conclusion:</p><p>The superior and most extreme value portfolio, consisting of stocks with low P/B and low P/E ratios generated a cumulative risk-adjusted return of 1908% between 1993-2005 and beat the most extreme growth portfolio consisting of high P/Bs and high P/Es which generated a negative cumulative return. The superior portfolio was also able to beat the OMXS index during the years of 1993-2005, generating an abnormal risk-adjusted return of 7.77 times that of the OMXS index.</p> / <p>Frågeställningar:</p><p>• Kommer en portfölj baserad på värdeaktier, på en riskjusterad basis att slå en portfölj baserad på tillväxtaktier på Stockholmsbörsen?</p><p>• Kan den vinnande strategin skapa en riskjusterad överavkastning över OMXS index?</p><p>Syfte:</p><p>Syftet är att undersöka om en investerare, genom att köpa en portfölj baserad på värdeaktier, kan slå en portfölj baserad på tillväxtaktier. Vidare har författarna som mål att undersöka om den vinnande portföljen kan slå OMXS-index och skapa överavkastning på den svenska aktiemarknaden.</p><p>Metod:</p><p>Informationsinsamlingen till uppsatsen har en kvantitativ ansatts som grund. För att avgöra vilka aktier som ska inkluderas i undersökningen mellan åren 1993 till 2005 har författarna använt sig av nyckeltalet aktiekurs över eget kapital (P/B-tal). Med det här nyckeltalet till grund har urvalet delats upp i två extremgrupper, lågt och högt P/B. Dessa två grupper delades upp ytterligare efter dess aktiekurs över vinst (P/E-tal). Detta skapar fyra portföljer som symboliserar värde- och tillväxtaktier. Avkastning på portföljerna mäts årli-gen under 12 år och sedan riskjusteras för att hitta den mest lönsamma portföljen. Denna portfölj jämförs sedan med OMXS-index för samma period för att se om portföljen har skapat överavkastning.</p><p>Slutsats:</p><p>Den bästa och mest extrema värdeaktieportföljen som bestod av lågt P/B och lågt P/E skapade en kumulativ riskjusterad avkastning på 1908% och slog den mest extrema tillväxtportföljen som genererade en negativ kumulativ avkastning. Den bästa portföljen slog också OMXS-index under åren 1993 till 2005 och skapade en riskjusterad överavkast-ning på 7.77 gånger OMXS.</p>

<p>Background:</p><p>Recent business paper articles observe that stocks soar when there is a change in ownership. The clothing company JC climbed 26% when it was announced Torsten Jansson had increased his holdings. Daydream, a computer game developer, followed this trend increasing its market value by 17% on the news that TA Capital had increased its hold-ings. In these examples, the market learned of the changes in ownership through a press release created by the acquiring entity. These pieces of news, also known as ownership disclosures, is the target of this thesis.</p><p>Purpose:</p><p>The purpose of this thesis is to investigate whether ownership disclosures result in abnormal stock price changes. Furthermore, the aim is to find out if there are any differ-ences in returns depending on who announced the ownership disclosure. In order to fulfil this purpose, a quantitative approach was used.</p><p>Method:</p><p>A random sample of 160 ownership disclosures is gathered. 77 of these are classified as passive- and 83 as active investors. For each of these pieces of news, 183 days of historical stock price data is retrieved. This data is then parsed through the market model event-study framework.</p><p>Findings:</p><p>Graphically analyzing the whole sample indicates that the market is not efficient in its strong form. The same is true when dividing the sample into passive- and active investors. Statistically, an abnormal return is confirmed for the active investors, but not for the whole sample or the passive investors.</p><p>Conclusion:</p><p>By looking at the price change effects of ownership disclosures, the Stockholm Stock Exchange O-list is determined to be efficient at the semi-strong level. The anomaly caused by active investors leads to the possibility of making a profit of 2.70% between day -1 and day +1 relative to the day of the ownership disclosure being sent out. It should be noted, though, that transaction costs and taxes are not taken into consideration.</p>

Syfte: Syftet med denna uppsats är att undersöka hur utvalda bolags aktieavkastning inom branscherna flyg, fordon samt olja reagerar vid signifikanta oljeprisförändringar. Teoretiskt perspektiv: Den teoretiska referensramen utgörs av den effektiva marknadshypotesen samt Behavioural Finance med undergrenarna prospect theory, herd behaviour och overconfidence. Metod: Studien utgår ifrån ett deduktivt inslag med en kvantitativ studie. Undersökningen utgörs av sex eventstudier som datainsamlingsmetod samt en intervju som applikation på det kvantitativa resultatet. Urvalskriterium består av tio bolag inom respektive bransch med en rangordning utefter högst omsättning samt företag med en koppling till svenskt näringsliv med högst omsättning. Empiri: Empirin presenteras utifrån diagram och tabeller över de utförda eventstudierna. Diagrammen syftar till att redovisa den avvikande avkastningen för respektive bolag. Tabellerna ger en redogörelse över eventuellt samband mellan respektive bransch och oljeprisförändringarna. Slutsats: Flygbolagen uppvisade samband med oljepriset vid fyra utav sex eventen. Fordonsbranschen uppvisade samband vid ett av de sex eventen och oljebranschen vid två utav de studerade eventen. Reaktionen på aktieavkastningen för bolagen med en koppling till svenskt näringsliv var i linje med de övriga internationella bolagen i branschen. Undantag visades för oljebranschen. Resultatet är en indikation på att andra variabler påverkade aktieavkastningen och detta skapar svårigheter för aktieinnehavare att förespå framtida avkastning.

The question many investors ask is whether or not it is possible to beat the market andearn money by being active on the stock market. In efficient markets this should not be possible, but several researches have come up with strategies that prove the opposite. There are certain market movements that cannot be explained by the arguments of the traditional efficient market hypothesis and such market movements are in the standard finance theory called anomalies. Two well-known anomalies are the P/E effect and the small firm effect. The P/E effect means that portfolios with low P/E stocks attain higher average risk-adjusted returns than portfolios with high P/E stocks. Similarly, the small firm effect means that companies with small market capitalization earn higher return than those with large market capitalization. Even though these anomalies were discovered in the US, they occur on other markets as well. However, most of the studies regarding these have focused on developed markets. Therefore, the focus in this study has been on emerging markets, more specifically the Baltic market. The problem we aimed to answer with this study is whether or not it is possible to attain abnormal returns on the Baltic stock market by using the P/E effect or the small firm effect. Further on, we found it interesting to investigate which one of the two anomalies that is the best investment strategy. By doing this, we have also been able examine if the Baltic market is efficient or not. The study investigates all listed firms (both active and dead) with available data on Nasdaq OMX Baltic between the years 2000-2014. There are two different samples, a P/E sample and a market capitalization sample. The firms in the samples are ranked and grouped into portfolios and then tested to see if there is significant evidence of the existence of the P/E effect and the small firm effect. The results of the tests show that the Baltic market is not completely efficient, since statistical support was found for the small firm effect. This implies that it is possible to attain abnormal returns on the Baltic market by investing in small capitalization stocks. However, the tests showed no significant evidence of the P/E effect. For this reason, with the assumptions made, we recommend the small firm effect as an investment strategy on the Baltic stock market.

Research Questions: • Will a portfolio based on value stocks, on a risk-adjusted basis, outperform a portfolio based on growth stocks on the Stockholm Stock Exchange? • Is the superior strategy able to generate abnormal risk adjusted returns by beating the OMXS in-dex? Purpose: The purpose is to investigate if an investor by purchasing a portfolio based on value stocks will outperform a portfolio based on growth stocks. Furthermore the authors aim to examine if the superior portfolio can beat the OMXS index and create abnormal returns on the Stockholm Stock Exchange. Method: The quantitative research method is used when gathering information. To deter-mine which stocks to include each year between 1993 to 2005 the price-to-book ratio (P/B) is used. Based on this multiple the sample is divided into two extreme groups of low and high P/B companies. These two groups are further divided according to their price-to-earning ratios (P/E). This creates four portfolios, which symbolizes value and growth stocks. Each portfolio’s return is recorded annually during the 12 year period. The returns are risk-adjusted in order to find the superior portfolio. This portfolio is then compared with the OMXS index for the same period to find out whether it has created an abnormal return. Conclusion: The superior and most extreme value portfolio, consisting of stocks with low P/B and low P/E ratios generated a cumulative risk-adjusted return of 1908% between 1993-2005 and beat the most extreme growth portfolio consisting of high P/Bs and high P/Es which generated a negative cumulative return. The superior portfolio was also able to beat the OMXS index during the years of 1993-2005, generating an abnormal risk-adjusted return of 7.77 times that of the OMXS index. / Frågeställningar: • Kommer en portfölj baserad på värdeaktier, på en riskjusterad basis att slå en portfölj baserad på tillväxtaktier på Stockholmsbörsen? • Kan den vinnande strategin skapa en riskjusterad överavkastning över OMXS index? Syfte: Syftet är att undersöka om en investerare, genom att köpa en portfölj baserad på värdeaktier, kan slå en portfölj baserad på tillväxtaktier. Vidare har författarna som mål att undersöka om den vinnande portföljen kan slå OMXS-index och skapa överavkastning på den svenska aktiemarknaden. Metod: Informationsinsamlingen till uppsatsen har en kvantitativ ansatts som grund. För att avgöra vilka aktier som ska inkluderas i undersökningen mellan åren 1993 till 2005 har författarna använt sig av nyckeltalet aktiekurs över eget kapital (P/B-tal). Med det här nyckeltalet till grund har urvalet delats upp i två extremgrupper, lågt och högt P/B. Dessa två grupper delades upp ytterligare efter dess aktiekurs över vinst (P/E-tal). Detta skapar fyra portföljer som symboliserar värde- och tillväxtaktier. Avkastning på portföljerna mäts årli-gen under 12 år och sedan riskjusteras för att hitta den mest lönsamma portföljen. Denna portfölj jämförs sedan med OMXS-index för samma period för att se om portföljen har skapat överavkastning. Slutsats: Den bästa och mest extrema värdeaktieportföljen som bestod av lågt P/B och lågt P/E skapade en kumulativ riskjusterad avkastning på 1908% och slog den mest extrema tillväxtportföljen som genererade en negativ kumulativ avkastning. Den bästa portföljen slog också OMXS-index under åren 1993 till 2005 och skapade en riskjusterad överavkast-ning på 7.77 gånger OMXS.

Background: Recent business paper articles observe that stocks soar when there is a change in ownership. The clothing company JC climbed 26% when it was announced Torsten Jansson had increased his holdings. Daydream, a computer game developer, followed this trend increasing its market value by 17% on the news that TA Capital had increased its hold-ings. In these examples, the market learned of the changes in ownership through a press release created by the acquiring entity. These pieces of news, also known as ownership disclosures, is the target of this thesis. Purpose: The purpose of this thesis is to investigate whether ownership disclosures result in abnormal stock price changes. Furthermore, the aim is to find out if there are any differ-ences in returns depending on who announced the ownership disclosure. In order to fulfil this purpose, a quantitative approach was used. Method: A random sample of 160 ownership disclosures is gathered. 77 of these are classified as passive- and 83 as active investors. For each of these pieces of news, 183 days of historical stock price data is retrieved. This data is then parsed through the market model event-study framework. Findings: Graphically analyzing the whole sample indicates that the market is not efficient in its strong form. The same is true when dividing the sample into passive- and active investors. Statistically, an abnormal return is confirmed for the active investors, but not for the whole sample or the passive investors. Conclusion: By looking at the price change effects of ownership disclosures, the Stockholm Stock Exchange O-list is determined to be efficient at the semi-strong level. The anomaly caused by active investors leads to the possibility of making a profit of 2.70% between day -1 and day +1 relative to the day of the ownership disclosure being sent out. It should be noted, though, that transaction costs and taxes are not taken into consideration.

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Lietuvos akcijų rinkos pasiūlos ir paklausos srautų analizei buvo pasirinktos 9 akcijos. Jas, pagal įvykusių sandorių skaičių ir vertę, galima suskirstyti į tris grupes: nelikvidžios, pusiau likvidžios ir likvidžios akcijos. Šių akcijų, viešai skelbiami rinkos gylio ir įvykusių sandorių, duomenys buvo imami iš Vilniaus vertybinių popierių biržos internetinio puslapio http://www.baltic.omxgroup.com/ nuo 2008 02 25 iki 2008 04 18. Darbe buvo skaičiuojami paprastas (inside bid-ask spread), efektyvus (effective spread) ir užfiksuotas kainų skirtumai. Roll matas skaičiuojamas remiantis akcijų įvykusių sandorių kainomis, kurių skirtumų stacionarumas ištirtas RA-kriterijumi (reverse arrangement test). Kaip ir buvo galima tikėtis, parodyta, kad pasirinktų akcijų rinka yra neefektyvi. Dėl šios priežasties, kiekvienai akcijai apskaičiuotas Roll matas yra labai grubus. Naudojant C++ programavimo kalbą, buvo sukurta programinė įranga: • Duomenų skaitymui iš interneto; • Duomenų bazės kūrimui, apdorojimui ir redagavimui; • Duomenų analizei. / Nine types of stock were chosen to analyse quoted bid-ask spread of Vilnius Stock Exchange. According to the value and number of transactions of the stock, it can be divided into three groups: non-liquid, half-liquid and liquid stock. Public market depth information and data of trade was taken from Vilnius Stock Exchange website http://www.baltic.omxgroup.com/ during the period from 25th February 2008 to 18th April 2008. In my work I have analysed inside bid-ask spread, effective spread and fixed prices. Roll measure was measured using trade prices of stock; stationarity of differences of trade prices were examined using reverse arrangement test. As had been expected, I came to conclusion that the stock market for chosen stocks is informationally inefficient. Due to this reason the Roll measure is not correct. By using C++ programming language the following programming tools were created: • Data reading from internet tool; • Data collection and correction tool; • Data analysis tool.