An inefficient market refers to the fact that a stock price deviate from the true value. Such an market inefficiency is the “January effect”. The “January effect” is the phenomenon were the stock market performs better in January than in any other month. This is a seasonal anomaly which should not exist according to the market efficient hypothesis. The “January effect” is a phenomenon that today cannot be fully understood. Thus, many studies have been made on the “January effect”. The effect have been studied across the world since the 1970s, and Rozeff & Kinney (1976) where the first to conclude a seasonal anomaly where January was the responsible month for abnormal returns. Further studies, such as the study by Keim (1983), concludes that the “January effect” is largely a small firm phenomenon. There are several indicators that are said to be the reason for the “January effect”, such as the tax-loss selling hypothesis tested by Reinganum (1983), none of the findings have however been fully supported. Claesson (1987) conducted a study of the “January effect” on the Swedish Stock market in 1987. Her findings was in accordance with other findings across the world, thus the “January effect” did exist in Sweden during 1980s. My study focus on the “January effect” in Sweden and whether or not it is a present phenomenon, thus increasing the contemporaneity of the “January effect”. I base my study on Claesson’s, but I also use  various studies that have been made across the world about this seasonal anomaly. The purpose of the study is to increase the Swedish contemporaneity of the “January effect”. I want to increase the knowledge and understanding of this seasonal anomaly in today’s stock market in Sweden. The study will be of use for both professional and unprofessional investors and can be of use in portfolio strategy decision making.´ In order to make conclusions and to make the research profound I have used theories such as “The-small-firm in January effect” and the “Tax-loss selling hypothesis”. Earlier studies by researchers have been used in order to give an understanding and in order to make a reliable study. I have  used a sample between the years 2003-2011 from the NASDAQ OMX Nordic Stock Exchange. The Sample focus on the Stockholm Stock Exchange in order to determine the existence of the effect in Sweden. The sample is raw data from three different indices which then have been analyzed through Excel. The finding from this study is that there is a “January effect” present on the Stockholm Stock Exchange today. This seasonal anomaly can be seen for small firms listed on the Small Cap at the Stockholm Stock Exchange. Small firms present abnormal returns during January that is consistent over the sample period. Small firms consistently outperforms large firms during the month of January, an outperformance that cannot be seen in any other month during a given year. The study also concludes that December is a strong month, especially for large firms. This creates a discussion on the exploration of the market inefficiency and calls for further studies on the matter. Further evidence of such an exploration can be seen on the last five days of trading in December for small firms. Small firms consistently present high returns during the last trading days of December, thus strengthen the theory that there is an exploration of the market inefficiency.

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My dissertation consists of two papers, one in the area of investment and the second in the area of corporate finance. The first paper examines robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s partially driven by pronounced increase in the volatility of momentum profits in the last 14 years. Investigations of momentum profits in high and low volatility months address the concerns about unprecedented levels of market volatility in this period rendering momentum strategy unprofitable. Past returns, can no longer explain the cross-sectional variation in stock returns, even following up markets. We suggest three possible explanations for the declining momentum profits that involve uncovering of the anomaly by investors, decline in the risk premium on a macroeconomic factor, growth rate in industrial production in particular and relative improvement in market efficiency. We study the impact of venture capital funds' (VC) liquidity concerns on the timing and outcome of their portfolio firms' exit events. We find that VC funds approaching the end of their lifespan are more likely to exit during cold exit market conditions. Such late exits are also less likely to be via initial public offerings (IPO). A one standard deviation increase in the age of a VC fund at the time of the exit event is associated with a 5 percentage points decline in the probability of an IPO vs. a trade sale from an unconditional probability of roughly 30%. Several tests indicate that the decline in IPOs with VC fund age is not caused by lower portfolio firm quality. Focusing on the aftermath of IPOs, VC-backed firms experience significantly larger trading volume and lower stock returns around lock-up expirations if they are backed by older funds, and this lock-up effect is amplified if there are multiple VC firms approaching the end of their lifespan. Altogether, our results suggest that the exit process is strongly influenced by VCs' liquidity considerations. / Ph. D.

Do investors make bad decisions following the clock change? If so, there would be traces of such anomaly in market data. In this thesis, we investigate these traces focusing on the stock markets of the Visegrad Group, known to be pre- vailingly illiquid. We combine the most recent financial data with the ARIMA- GARCH framework while employing brand-new Bayesian techniques. Using several robustness checks, we show that such e ect cannot be traced in these markets. While we do not claim to challenge the seminal works in this field, we do support the evidence that the e ects of daylight saving policy do not pertain to less liquid markets. JEL Classification C11, G12, G14, G41 Keywords daylight saving time, market anomaly, Visegrad Group, Bayesian analysis Title Daylight Saving Time and Stock Market Re- turns: Evidence from the Visegrad Group

This research paper studies the Day-of-the-week effect in the cryptocurrency market. Using multiple regression, we analyze the effect using 12 counterfactual optimized portfolios of the cryptocurrencies, as well as the 10 cryptocurrencies alone. Our findings show that well-optimized cryptocurrency portfolios are not subject to Day-of-the-week effects. A positive Monday and a negative Thursday effect were confirmed in Bitcoin, Ethereum, and Ripple, as well as a negative Sunday effect for Ripple.

The financial market anomaly can be characterized as the event when observed stock returns differentiate from those expected by concrete pricing model. Many anomalies have been detected so far, and some of them vanished, while other persisted, after they had been published by academics and researchers. The aim of this thesis is to investigate the potential presence of selected types of anomalies in the financial markets and to provide relevant empirical evidence. The theoretical section will supply the reader with the descriptions of several types of financial market anomalies and the results of past studies documenting the existence of these anomalies, with possible reasons justifying the presence of this phenomenon. The analytical section will focus on the few selected anomalies and test whether they are still present in the selected financial markets.