Thesis advisor: Harold Petersen / Using insights from Hyman Minsky’s Financial Instability Hypothesis (FIH), we develop a theoretical framework for how speculative bubbles may materialize in securities markets. Our model and empirical analysis show that agents place undue emphasis on recent experience of risk and returns when developing future expectations. We use the aggregate investor allocation to equities (aggregate total market capitalization of equities divided by the price of all real liabilities outstanding), Tobin’s Q (the aggregate market price of equities divided by the replacement cost of nonfinancial firms’ assets), Shiller Total Return Cyclically Adjusted Price to Earnings Ratio (TR CAPE), and Shiller Cyclically Adjusted Price to Earnings Ratio (CAPE) as proxy variables for bubbles. We find statistically significant, negative relationships between all four of these proxy variables and two dependent variables, Subsequent Ten-Year Annualized Cumulative Equity Market Returns (Nominal and Real), and also Subsequent 10-year Average Losses, thereby providing evidence against the Efficient Market Hypothesis and suggesting the possibility of speculative bubbles. / Thesis (BS) — Boston College, 2019. / Submitted to: Boston College. Carroll School of Management. / Discipline: Departmental Honors. / Discipline: Economics.

This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. The research aims to explore whether portfolios consisting of these indicators can generate abnormal returns in the commodity futures market, in comparison to the S&P GSCI, which was used as the benchmark index. The study uses accumulated data from 2010 to 2019, with portfolios constructed on a quarterly basis. Statistical significance determination is executed by exporting the data to Stata, where the normality distribution is ascertained using the Shapiro-Wilk test. This was later followed by t-tests in order to dictate statistical significance on each portfolio compared to the S&P GSCI. The study reveals empirical evidence to support two of the three strategies, namely, the joint use of the aforementioned momentum indicators and single use of the RSI momentum indicator. However, the accumulated yield of the portfolio provided insufficient results to conclude the statistical significance of the single use of the MACD momentum indicator. The authors derive these results and observed phenomena from several financial theories, which are divided into three main sections in the theoretical framework, including information-based, risk-based, and behavior-based explanations. Relevant theories are included to support the research at hand. Furthermore, the authors incorporate the Efficient Market Hypothesis (EMH) under the pretense of challenging its view on efficient markets. They do so by constructing portfolios which yield abnormal returns and subsequently question the notion of efficient markets. The authors deduct that their findings produce some evidence to support the absence of strong form and semi-strong form of market efficiency in the commodity futures market. Overall, this study provides valuable insights into the momentum phenomenon in the commodity futures market and different incorporating investment techniques in which they are utilized. The ways in which momentum strategies can be utilized and momentum indicators interpreted, as displayed in this thesis, presents practical implications for investors and financial professionals.

Post Earnings Announcement Drift (PEAD) is a market anomaly that challenge the “Efficient Market Hypothesis” (EMH). It was first discovered in 1968 by Ball and Brown. When firms on the stock market have their earnings announcement the stock price will be affected and tend to drift up or down in price for days, weeks or months. Based on the limited research studies available there is acceptance that PEAD exists in the Stockholm stock exchange but depending on how measured the effect can strongly differ. In this master thesis we will study PEAD anomaly in the Swedish stock market and how pronounced it is on the stock’s sector, beta and trading volume. This study is an event and quantitative study which analyses firms on the Stockholm exchange market during the period between January 2007 to December 2022. A price measurement methodology has been used where the benchmark for abnormal (or excess) returns is the index of the list. Evidence shows that PEAD is present in the Stockholm Stock Exchange but that the effect is limited. The fact that the event abnormal returns are significant regarding of the returns up to after 60 trading days (although on a very small effect) provides insight and understanding of the effect. This study has also provided insight that beta and sector is a relevant PEAD parameter, maybe as important as the abnormal returns in the event itself. Trading volume have not provided any insight on PEAD in this study.

Titel: Svenska småbolagsfonders prestation i förhållande till OMXSGI   Nivå: Examensarbete på grundnivå (kandidatexamen) i ämnet företagsekonomi     Författare: Pontus Fogelberg   Handledare: Alice Schmuck   Datum: 2023 – januari   Syfte: Svenska aktiemarknaden är sällsynt som studieobjekt. Då andra marknader skiljer sig från den svenska behöver den granskas ytterligare för att investerare ska ha goda förutsättningar. Syftet är att undersöka förutsättningar för överprestation mot den svenska marknaden genom att investera i svenska småbolagsfonder. Syftet uppfylls genom att följande frågeställning besvaras: Hur ser möjligheterna ut för att över en femårsperiod, respektive treårsperiod, generera en högre avkastning om man investerar i svenska småbolagsfonder jämfört med hela stockholmsbörsen?   Metod: Genom en kvantitativ ansats har sekundärdata i form av avkastning från fonder och OMXSGI under perioden 2007–2022 legat till grund för t-tester.   Resultat och slutsats: Resultatet visar på hög sannolikhet att svenska småbolagsfonder genererar en högre avkastning än OMXSGI under en period på tre respektive fem år. Studien visar även på att risken i form av standardavvikelse är högre hos fonderna, men att den risken blir mindre relevant vid längre tidsperioder.   Examensarbetets bidrag: Studien bidrar med kunskap om hur investerare på den svenska marknaden kan få en högre avkastning än genomsnittet.   Förslag till fortsatt forskning: Utifrån studiens resultat och begränsningar kan vidare studier göras för att se om svenska småbolagsfonders riskjusterade avkastning är högre än OMXSGI. Om så är fallet kan prissättningsmodeller undersökas för att bidra till att besvara om svenska marknaden är effektiv eller ej.   Nyckelord: Småbolagsfonder, OMXSGI, avkastning, effektiva marknadshypotesen, småbolagseffekt. / Title: Swedish small cap funds' performance in relation to OMXSGI   Level: Student thesis, final assignment for Bachelor Degree in Business Administration.   Author: Pontus Fogelberg   Supervisor: Alice Schmuck   Date: 2023 – January    Aim: The Swedish stock market is rarely an object of study. As other markets differ from the Swedish one, it needs to be examined further so that investors have good conditions. The purpose is to investigate the conditions for outperformance against the Swedish market by investing in Swedish small cap funds. The purpose is fulfilled by answering the following question: What do the possibilities look like over a five-year period, or a three-year period, to generate a higher return if one invests in Swedish small cap funds compared to the entire Stockholm stock exchange?   Method: Through a quantitative approach, secondary data in the form of returns from funds and OMXSGI during the period 2007–2022 have been the basis for t-tests.   Results and conclusions: The result shows a high probability that Swedish small cap funds generate a higher return than OMXSGI over a period of three and five years respectively. The study also shows that the risk in the form of standard deviation is higher with the funds, but that this risk becomes less relevant over longer periods of time.   Contribution of the thesis: The study contributes knowledge about how investors in the Swedish market can get a higher than average return.   Suggestions for future research: Based on the study's results and limitations, further studies can be done to see if the risk-adjusted return of Swedish small cap funds is higher than OMXSGI. If this is the case, pricing models can be examined to help answer whether the Swedish market is efficient or not.   Key words: Small cap funds, OMXSGI, return, efficient market hypothesis, size effect.

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.

Syftet med denna studie är att undersöka om det förekommer abnormal avkastning påaktiemarknaden hos de tio största amerikanska företagen inom restaurangbranschen isamband med Covid-19. I studien tillämpas teorierna Behavioral finance och den effektivamarknadshypotesen för att få en djupare förståelse kring restaurangbranschens aktiemarknadunder pandemin. En kvantitativ metod tillämpas i studien. En anpassad form av eventstudieanvänds innefattande marknadsmodellen för att räkna fram förväntad avkastning utifrånhistorisk statistik vilket sedan jämförs med den faktiska avkastningen under det så kalladeeventfönstret. Resultatet har visat att alla restaurangföretag utom ett som studerats i dennauppsats har påvisat en abnormal negativ avkastning under perioden 11 februari – 8 april år 2020 där Covid-19 var en framträdande nyhet i USA och resten av världen. / The purpose of the study is to investigate weather abnormal returns occurs in the stock marketamong the ten largest American companies in the restaurant industry in the timeline whereCovid-19 became a pandemic. The study applies theories from Behavioral finance and theEfficient market hypothesis to gain a deeper understanding of the restaurant industry’s stockmarket during the pandemic. A quantitative methodology is employed in this study. Anadapted form of event study is utilized, incorporating the market model to calculate expectedreturns based on historical data which is then compared to returns during the specified eventwindow. The results indicate that all restaurant companies, except one, examined exhibitedabnormal negative returns during the period from February 11 – April 8 the year 2020, when Covid-19 was a significant news story in the United States and globally.

Investing in the stock market offers opportunities for wealth accumulation through variousstrategies. This thesis explores the pairs trading strategy with dual-class stocks differingonly in voting rights, aiming to reduce portfolio risk and outperform the market bench-mark. Using data from the Swedish Large Cap index (2003-2023), the study benchmarksthe strategy’s performance against the OMXSPI index, assessing total return, CAGR andthe Sharpe ratio for three different strategies. Depending on the predefined thresholds ofthe trading strategy, the study concludes that pairs trading can surpass a buy-and-holdapproach, showing the effectiveness of a market neutral trading strategy.

Purpose: To examine the relationship between a new movie release and the stock value of the movie producers in america, and seek a connection between movie criticts and the stock price with an attempt to find similar patterns with swedish movies and their financial performance. Theoretical Framework: Based on theories of effcient and ineffcient markets, behavioural finance and previous research in the field. Method: The study has a quantitative and a deductive approach. An event study method is used to examine five large movie studios in the USA, and the Swedish film producers are examined through the number of paying customers. Results: The results are shown i charts to explain the abnormal rate of return (AR) and the relationship between movie release and the AR. Furthermore, the movie critique is also represented charts. Both for the american and the swedish movies. Conclusion: The results show that an overall negative rate of return of -0,24 % occurs at the time of a movie release. A connection between stock price and movie release has been encountered. Positive film critique generates positive AR.

Purpose: The purpose of the study is to examine how psychological factors affect shareholders and investors, and see which gender differences there are in their investment decisions. Method: The survey was based on a quantitative method with elements of qualitative aspects in form of a questionnaire. The questionnaire were answered by investors and shareholders at various websites for stock investor. The survey consisted of a total of 13 questions with both open and closed answers. Theory: The survey focused on four elements within behavioral finance. These factors are overconfidence, herd behavior, anchoring and familiarity bias. The efficient market hypothesis suggests full rationality which is the opposite of what behavioral finance advocates. Conclusion: Psychological factors affect investors and shareholders in their investment decisions. More men than women considered themselves to be better than average which indicates that they have a stronger overconfidence. In terms of herd behavior the respondents did not show that they follow the group when they have their own information, however, the opposite appeared when they had imperfect information. Women were affected by herd behavior more than men were. Women were affected more than men regarding familiarity bias. Anchoring also proved that the factor had an influence on the respondents but it was not a major difference between men and women.

This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks.