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.

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.

During the last decade, investments into the Swedish mutual fund market have increased substantially. The increased popularity of actively managed Swedish equity funds among households and investment companies, correspondingly, funds need to deliver substantial results, raised the importance to evaluate these funds’ performance. This thesis adds to the scarce empirical literature on Swedish equity mutual fund performance. Employing the Fama-French three factor model, it analyzes whether actively managed Swedish equity mu- tual funds outperform the Fama-French benchmarks net- and gross of management fees. The study uses time-series data and constructs equally-weighted portfolios of the 42 Swe- dish based actively managed equity mutual funds investing in Sweden for the period 2003- 2013. The portfolios’ excess returns are calculated by estimating the Fama-French three factor model by means of ordinary least squares (OLS) regression analysis. The empirical results show that actively managed equity mutual funds over performed the Fama-French three factor benchmarks by an average annualized net- and gross excess return of 3.60 and 4.67 percent respectively. Sorting out the funds by the performance into deciles, the find- ings indicate that management fees influence the performance of the equity mutual funds in the sample of our study. The conclusion is made such that there is an indication that Swedish equity funds’ managers are able to add value above passive investing.

The study of economics is based on key concepts such as incentives, efficiency, marginality and tradeoffs. Economic research has hypothesized and tested for how economic agents behave after taking each of these into account. In order for agents to meet their objectives it is sometimes the case that they intentionally keep their behaviors out of sight. However, economic theory can be used to search for patterns of observed behaviors from which the unobserved behaviors can be inferred. This dissertation performs this kind of analysis by observing the behavior of sports participants. Chapter 1 is an application of Becker's (1968) economic model of crime by using an econometric model to search for the presence of National Basketball Association (NBA) referees who bet on NBA games. The placement of these bets is not observed since a referee who bets on a game does so illegally and therefore hides his betting activity to prevent detection. A referee who places a bet on a game he also officiates has an incentive to manipulate to improve his chances of winning the bet. At the same time he should also be mindful to manipulate in a way that lowers his chances of being detected. The referee's observed behaviors through detailed play-by-play data are used to look for patterns hypothesized to be consistent with manipulation. The results suggest that former NBA referee Tim Donaghy, who was found to have bet on NBA games, did behave in ways consistent with manipulation. One other referee also appears to engage in the same type of behavior but stops once Donaghy is detected. Chapter 2 is an application of Fama's (1970) Efficient Market Hypothesis (EMH). Typically, the EMH is tested in the financial markets but some research tests for it in the sports betting markets so that the question becomes whether or not the betting market odds fully reflect all of the available relevant information. This chapter tests to see how completely National Football League (NFL) bettors use information called the circadian advantage. This occurs when a game is played in the evening, Eastern Time, between teams that are based on opposite coasts and always favors the better rested West Coast team. A regression model designed to test for market efficiency finds that the advantage is not fully reflected in the odds so that bets on the West Coast team are underpriced. In a majority of games that involve a circadian advantage most of the money is wagered on the overpriced East Coast team. A conclusion that ties these results together is that the bookmakers restrict the amount bet from informed bettors who tend to win their bets and who are aware of the circadian advantage, and adjust the odds just enough to bait uninformed bettors who are unaware of the circadian advantage into placing wagers on the team that is overpriced. Given these dynamics, it is the bookmakers who profit from the information contained in the circadian advantage. Chapter 3 revisits the NFL betting market but instead estimates the extent to which bettors place wagers based on sentiment for a team that is unrelated to relevant measures of relative performance along the lines of speculative investment outlined by Graham and Dodd in 1934 (2009). The results show that more bets tend to be placed on teams for which bettors have high sentiment and fewer bets are placed on teams for which bettors have low sentiment. However, the market odds appear to be using sentiment unbiasedly, leading to the conclusion that contrarian bettors place wagers opposite the sentimental bettors. While the market as a whole is efficient in the use of sentiment, losers tend to be bettors who wager with sentiment and winners tend to be bettors who wager against sentiment.

Στην παρούσα εργασία ασχοληθήκαμε με το φαινόμενο του Ιανουαρίου και την επίδρασή του στις χρηματιστηριακές αγορές επτά επιλεγμένων χωρών, της Γερμανίας, της Ελλάδας, της Αυστρίας, του Ιταλίας, της Αγγλίας, της Ρωσίας και της Ολλανδίας. Το φαινόμενο του Ιανουαρίου (January effect) αποτελεί ένα είδος εποχιακής ανωμαλίας και ημερολογιακού φαινομένου, που επηρεάζει τις τάσεις που παρατηρούνται στην χρηματιστηριακή αγορά και τις αγορές τίτλων κάθε αρχή νέους έτους. Οι ερμηνείες που έχουν δοθεί από την ακαδημαϊκή κοινότητα για την εμφάνιση του January effect ποικίλουν και θα μελετηθούν στο κυρίως μέρος της διπλωματικής εργασίας. Συγκεντρώνοντας και μελετώντας την διεθνή βιβλιογραφία για το συγκεκριμένο φαινόμενο, καθώς επίσης διάφορες μελέτες περιπτώσεων σε διαφορετικές χρηματιστηριακές αγορές και σε συνδυασμό με τη χρήση του στατιστικού πακέτου ανάλυσης e-views, καταφέραμε να εμβαθύνουμε στο φαινόμενο και να διακρίνουμε την έντασή τους στις προαναφερθείσες χώρες. Τα σημαντικότερα ευρήματα παρουσιάζονται στο δεύτερο κεφάλαιο της παρούσας πτυχιακής εργασίας, μετά τη βιβλιογραφική ανασκόπηση. / -

The study is based on the study of Jegadeesh and Titman (1993, 2001) which found evidence of succesfull trading strategies which yielded significant positive abnormal returns by exploiting a momentum pattern in stock prices. The purpose of this study is to contribute with empirical results to the discussions of efficient markets, momentum effects and behavioral finance by providing evidence from the Swedish stock market between the years 1998 and 2013. The conclusion is that there exists a Momentum Effect on the Swedish stock market. The utilization of momentum strategies yields significant positive abnormal returns. The Efficient Market Hypothesis is a model which might hold in the long-term, but shows limitations in the short-term. The implications of the results of this study are that short-term investor behavior and momentum profits might be partially explained by behavioral finance models but the origin of the momentum profits need to be further evaluated.

The strong form of the efficient market hypothesis (EMH) puts forward that it is impossible to achieve better than market results. Yet there are very famous investors, particularly a famous value based investor named Warren Buffett that have achieved better than market returns. The primary objective of this study is to investigate the role of value based investment in generating better than market or superior investment returns. The study was conducted both as a literature study and an empirical study. The objectives of the literature study were threefold. Firstly, to discover value based investment as part of a discussion on investment strategies. Secondly, to investigate the possibility of achieving better than market returns. Lastly, to investigate the role of value based investing in achieving better than market returns. Through the literature study, value based investment parameters were also identified for empirical testing. It was found in the literature that value based investing has a role to play in achieving superior returns. By way of the application of correlation-based research, as well as regression analysis it was found that there is significant statistical evidence to underscore that value based investment parameters can lead to superior returns. / Thesis (M.B.A.)--North-West University, Vaal Triangle Campus, 2010.

The strong form of the efficient market hypothesis (EMH) puts forward that it is impossible to achieve better than market results. Yet there are very famous investors, particularly a famous value based investor named Warren Buffett that have achieved better than market returns. The primary objective of this study is to investigate the role of value based investment in generating better than market or superior investment returns. The study was conducted both as a literature study and an empirical study. The objectives of the literature study were threefold. Firstly, to discover value based investment as part of a discussion on investment strategies. Secondly, to investigate the possibility of achieving better than market returns. Lastly, to investigate the role of value based investing in achieving better than market returns. Through the literature study, value based investment parameters were also identified for empirical testing. It was found in the literature that value based investing has a role to play in achieving superior returns. By way of the application of correlation-based research, as well as regression analysis it was found that there is significant statistical evidence to underscore that value based investment parameters can lead to superior returns. / Thesis (M.B.A.)--North-West University, Vaal Triangle Campus, 2010.

The aim of this study is to investigate if individuals reacts rational to the announcement of negative profit warnings in the Swedish stock market. This is done by using an event study approach, investigating the corresponding abnormal returns and cumulative abnormal returns before, during, and after the announcement. Tests is also made to see whether qualitative and quantitative profit warnings and firm size has any impact on the cumulative abnormal returns. The sample consists of 176 profit warnings from 2008 to 2018. On the announcement day, the average abnormal return at day zero was -6.99 % and the average cumulative abnormal returns at day zero and one was -9.06 %. The results found also that smaller firms generate lower abnormal returns on the announcement date, but that there is no difference between qualitative and quantitative profit warnings. With small and insignificant cumulative abnormal returns before and after the announcement, the reached conclusion is that the market is efficient on aggregate level during the event of negative profit warnings.