Previous scholars have viewed expenditures on ESG (environmental, social, governance) in two distinct ways. In one way, it has been viewed as wasteful if it does not directly contribute to the business. The other perspective being that by addressing ESG-issues, one can improve businesses by improving society. In recent times, ESG has become an increasingly common topic due to the increased awareness and debates regarding the environment and sustainability. The increased attention toward ESG issues has resulted in increased ESG reporting by firms. As a result, shareholders and stakeholders can address more of their concerns by knowing how ESG-friendly a firm is. With the increased attention given to ESG in recent years, its actual effects on a firm becomes increasingly interesting. The relationship between ESG and firm performance and the relationship between ESG and stock return has been studied by several researchers over the years. The different studies have come to different conclusions regarding these relationships and the relationships are still inconsistent. In this paper, the relationship between ESG-scores and firm performance, as well as ESG-scores and stock returns in Swedish large-cap firms is examined. This study aims to investigate the relationship between ESG-scores and firm performance and the relationship between ESG-scores and stock returns. Furthermore, the study measures firm performance by measuring total asset turnover, net profit margin, and operating profit margin. Stock returns are measured with the use of historical yearly stock returns. The relationships are investigated with regression analysis. This study has a quantitative approach, where secondary data between the years 2016-2020 has been extracted from the database Refinitiv Eikon. The study finds that the relationship between ESG-scores and total asset turnover is negative, meaning that increased ESG-scores result in less efficient use of assets. The relationship between ESG-score and net profit margin is insignificant, and no conclusion can be drawn from that relationship. The relationship between ESG-scores and operating profit margin is positive, meaning that customers are willing to pay more for a firm's sustainable practices. The relationship between ESG-scores and stock returns is insignificantly negative; thus, we cannot draw any conclusions regarding the relationship, but it could indicate that ESG-scores are accounted for in the stock price.

This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. In this paper, three single-ratio strategies are investigated along with three multi-ratio strategies, chosen on the basis of popularity among private investors, according to our observations. We also compare these strategies’ returns to the returns of the ten best performing funds, over the last ten years, found on SEB’s and Handelsbanken’s fund lists. We find that both multi and single-ratio strategies generated alpha values and that single-ratio strategies performed well, relative to multi-ratio strategies, considering their simplicity. The current portfolio composition from screening stocks based on low P/E, P/B and high dividend yield alone are also associated with less risk, expressed in volatility, than portfolios that would be composed based on the multi-ratio methods. We even find that one of the more complex strategies, Graham Screener, underperformed single-ratio strategies, when comparing yearly alpha values over 15 and 17 years, respectively. The funds’ alpha values are also very poor compared to both single and multi-ratio strategies considering the managers’ likely investment experience and complex investment systems. In sum, our empirical data suggests that excess returns were indeed attainable during the investigated time-periods by following a rule-based investing philosophy in conjunction with single or multi-ratio strategies, and unless the investor has sublime experience and knowledge, he or she is probably better off using this type of investing rather than making investment decisions in a discretionary manner.We also conclude that the Stockholm Stock Market probably suffered from lower market efficiency, from the perspective of the Efficient Market Hypothesis, and lower screening abilities and tools, such as Börsdata, among investors in the beginning of the testing periods, which could be one reason as to why these ratio strategies worked as well as they did. However, the results are still interesting because complexity does not seem to imply value (extra alpha generation) of significant magnitude, if at all. What does seem to imply value, are the minimization of human interactions with investment models and emotional stability.

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. / Yarmouk University, Jordan.

Bakgrund: Ett osäkert världsläge har lett till högre räntenivåer och många svenska företag hotas med sänkta kreditbetyg. Tidigare forskning har kunnat påvisa att företags aktiekurser påverkas signifikant av kreditbetygsförändringar. Den svenska aktiemarknaden har inte studerats i någon större utsträckning, varpå det finns ett behov av den aktuella studien. Syfte: Studiens primära syfte är att undersöka om kreditbetygshändelser publicerade av Moody's leder till en onormal aktiekursutveckling. Studien ämnar sekundärt att belysa hur de undersökta händelserna förhåller sig till en större population av svenska börsbolag som erhållit en offentlig kreditbetygshändelse. Teori: Studiens frågeställningar och hypoteser grundas i den effektiva marknadshypotesen som formulerats av Fama (1970:1991). Metod: Den genomförda studien är en totalundersökning av kreditbetygshändelser som publicerats av Moody's mellan 10/4 2005 - 10/4 2023, och som berör bolag noterade på OMXS Large och Mid Cap. En eventstudie genomfördes där onormal avkastning beräknades utifrån market model. Onormal avkastning ses som differensen mellan den förväntade och den observerade avkastningen under eventfönstret. Därtill gjordes statistiska prövningar för att testa totalundersökningens generaliserbarhet. Resultat: Totalundersökningen berör 116 observationer fördelat på 22 bolag. Uppgraderat och nedgraderat kreditbetyg genererade en negativ onormal avkastning där resultatet för det uppgraderade kreditbetyget skiljer sig från de deducerade hypoteserna. För ett bekräftat kreditbetyg med positiv, negativ och stabil framtidsprognos uppmättes positiv onormal avkastning där den stabila framtidsprognosen hade högst onormal avkastning. Slutsatser: Resultaten av studien visade, likt tidigare forskning, en viss motstridighet. Stabila framtidsprognosers påverkan på aktiekursen är något som inte påtalats inom tidigare forskning, varpå den aktuella studien fyller ett forskningsgap. Den teoretiska slutsatsen är att den svenska aktiemarknaden uppvisat tendenser av den semi-starka formen av marknadseffektivitet under undersökningsperioden. Däremot kan resultatet endast hänföras till den undersökta populationen och kan inte generaliseras till alla svenska börbolag som erhållit en offentlig kreditbetygshändelse. / Background: The uncertain worldwide situation has led to higher interest rates and many Swedish companies are threatened with lowered credit ratings. Previous research shows that companies' stock prices are significantly affected by credit rating changes. The Swedish stock market has not been studied to any great extent, whereby there is need for the current study. Purpose: The primary purpose of this study is to investigate whether credit rating actions published by Moody's lead to abnormal returns. The study's secondary purpose is to shed lighet on how the investigated events relate to a larger population of Swedish listed companies that have received a public credit rating action. Theory: The study's research questions and hypotheses are based on the efficient market hypothesis formulated by Fama (1970:1991). Method: The performed studi is a census survey of credit rating actions published by Moody's between 10/4 2005 - 10/4 2023, and which concerned companies listed on the OMXS Large or Mid Cap. An event study was carried out where abnormal returns were calculated based on the market model. Abnormal returns are seen as the difference between expected and observed returns during the event window. In addition, statistical tests were carried out to test the generalizability of the census survey. Results: The census survey concerns a total of 116 observations spread over 22 companies. Upgraded and downgraded credit ratings generated at negative abnormal return where the performance of the upgraded credit ratings differs from the deduced hypotheses. For a confirmed rating with a positive, negative and stable forecast, positive abnormal returns were measured where the stable forecasts had the highest abnormal returns. Conclusions: The results of the study showed, like previous research, a certain contradiction. The impact of stable forecasts on stock prices is something that has not been mentiones in previous research, thus the current study fills this research gap. The theoretical conclusion is that the Swedish stock market showed tendencies of the semi-strong form of market efficiency during the investigated period. However, the results can only be attributed to the investigated population and cannot be generalized to all Swedish listed companies that receive a public credit rating action.

Value investing as a strategy has a well-established history and has undergone extensive testing and studies within financial economics. Through the use of the strategy, studies and investors have demonstrated a positive return, where in many cases it has managed to generate excess returns compared to the market. The problem arises from the fact that the strategy should not be able to consistently generate excess returns compared to the market as it is not supported by the efficient market hypothesis (EMH). The purpose of the study is to investigate whether value investing as a strategy succeeds in generating excess returns on the Stockholm Stock Exchange. The method is based on a screening process, followed by a ranking system inspired by Joel Greenblatt’s value investment strategy "The Magic Formula". The method aims to systematically identify undervalued stocks based on the combination of two key ratios. Based on the applied method, two fictional portfolios were created with 15 stocks in each, based on value investing as a strategy. Historical data between 2013-2023 was collected to create the portfolios, with restructuring taking place each year based on set criteria. During this period, one of the portfolios showed a total return of 284.49%, which was an excess return compared to all benchmark indices in the study. The observed excess return suggests market inefficiency, where there may be opportunities for investors to identify and take advantage of undervalued stocks in the market. However, this excess return was not statistically significant when adjusted for risk, which in turn supports the EMH. Despite the strategy's success in generating excess returns compared to the market, it is therefore difficult to determine the level of efficiency at which the Swedish market has operated during the investigated period.

Research questions: Do surprising disclosures of earnings per share determine price reactions in the corresponding direction as the aspect of the surprise?Is the effect of quarterly reports detectable in the stock price immediately following the date of information disclosure? Purpose: The purpose of the study was to examine the connection between stock prices and quarterly reports among the 30 most actively traded stocks on the Stockholm Stock Exchange. Method: The study was conducted with a deductive approach based on previous research and theories to answer the research questions. Stock data from the 30 most actively traded stocks on the Stockholm Stock Exchange was collected and compared with quarterly reports from the corresponding companies. Conclusion: The research findings confirm corresponding direction between stock price reactions and the aspect of earnings per share surprise. A connection between quarterly reports and stock price was discovered immediately following the date of information disclosure. However, the evidence was unable to be proven statistically and could therefore not be generalized. / Forskningsfrågor: Leder oförväntad EPS (vinst per aktie) till avvikelser i aktiekursen i motsvarande riktning?Är effekten av kvartalsrapporter möjlig att upptäcka i aktiepriset omedelbart efter offentliggörandet av rapporten? Syfte: Syftet med studien är att studera sambandet mellan aktiepriser och kvartalsrapporter hos börsnoterade företag vars aktier tillhör de 30 mest omsatta på Stockholmsbörsen. Metod: Studien grundas på ett deduktivt tillvägagångssätt som baseras på tidigare forskning och teorier i syfte att besvara forskningsfrågorna. Aktiedata från de 30 mest omsatta aktierna på Stockholmsbörsen insamlades och jämfördes med kvartalsrapporter för dem motsvarande företagen. Slutsats: Studien bevisar att oförväntad EPS leder till avvikelser i aktiekursen i motsvarande riktning. Ett samband mellan kvartalsrapporter och aktiepriser upptäcktes omedelbart efter offentliggörandet av rapporten som dock var ej statistiskt signifikant och därmed inte generaliserbar.

There has always been competition among hedge funds, mutual funds, and other types of investors to perform better than index, meaning, creating alpha. How can you create alpha? Are there any patterns to follow? Any trends? There are many questions one may ask in order to find patterns that are creating. The purpose of this study is to see how CEO departures affect equity value in the short- medium- and long term and its comparison to indices. This study has collected data from a majority of publicly traded Nordiccompanies with a market capitalisation of over 10 billion Swedish crowns. The collected data has been collected within the last 20 years (2003-2023) with market-adjusted return, market capitalisation, volume, and CEO tenure being the prominent variables analysed.As CEOs have the operative responsibility of a company, they thereby are at the top of the company and effectively guide the company towards its goals. The changes in CEOs could thereby be of interest to investors as there is potential for larger structural changes when a new CEO is appointed. Applying this to its equity value, there is potential formispricing. Using mainly Fama’s and Malkiel’s research on the Efficient Market Hypothesis (EMH) and Random Walk as the theoretical framework there are different ways in which equity price could move. EMH states that all markets are efficient by the equity representing all available information. Random Walk instead states that equity price moves randomly and cannot be predicted in accordance with historical movements. The empirical results showed that there were no statistically significant findings in our employed regression analysis. However, on average, the descriptive statistics show thatthe market-adjusted return for a company with a CEO departure is negative compared to its comparable index. The intraday MAR highly deviate from 1 day until 1 quarter and thereafter the deviation becomes less. The conclusion could be drawn that EMH might be contradicted in the short term but holds long term. It is also difficult to deny the theory of random walks in equities.

Purpose: The purpose of this work is to investigate how the market reacts to a change of CEO and if the impact on the share price is different when a company changes founder-CEO compared to a non founder-CEO. We chose to write about this type of phenomenon mainly because we see that CEOs today are replaced more frequently than before. Theory: The efficient market hypothesis, the agent theory and corporate governance. Method: The study is based on a quantitative deductive research approach. The companies investigated were Swedish companies listed on Nasdaq Stockholm and they have been examined using an event study and two hypothesis tests. Results: The result consists of 20 observations from 20 companies. The cumulated average abnormal return is presented for all days of the event window. The results of the hypothesis tests are also presented. Analysis: The first hypothesis test shows that the announcement of the change of CEO has an impact on the share price. The second hypothesis test shows that there is a difference regarding the impact between the announcement of change of a founder-CEO and a non founder-CEO. The event study shows that the impact of the change of a founder-CEO is positive and the impact of the change of a non founder-CEO is negative. Conclusion: The result of the study shows that the announcement of a change of CEO has a significant impact on the share price and the announcement of the change of a founder-CEO affect the stock price different from the change of a non founder-CEO. / Syfte: Syftet med detta arbete är att undersöka marknadens reaktion när ett företag byter VD samt om marknaden reagerar olika mellan ett byte av grundar-VD och icke grundar-VD. Vi valde att skriva om just denna typ av fenomen då vi upplever att VD:ar idag byts ut oftare jämfört med tidigare. Teori: Den effektiva marknadshypotesen, agentteorin och corporate governance. Metod: Den metod undersökningen har utgått från är en kvantitativ metod med deduktiv ansats. Svenska börsföretag har undersökts med hjälp av ett hypotestest och en eventstudie. Empiri: Empirin består av 20 observationer från 20 företag. Den ackumulerade genomsnittliga abnormala avkastningen presenteras för alla dagar i händelsefönstret. Även empirin från hypotestesten presenteras. Analys: Hypotestestet visar att tillkännagivande av VD-byte har en påverkan på aktiekursen. Det andra hypotestestet som utförts visar att det finns en skillnad i påverkan mellan tillkännagivande av VD-byte för grundar-VD och icke grundarVD. Eventstudien visar att påverkan av grundar-VD är positiv medan påverkan av icke grundar-VD är negativ. Slutsats: Empirin av undersökningen visar att tillkännagivande av VD-byte har en signifikant påverkan på aktiekursen samt att tillkännagivande för byte av en grundar-VD påverkar aktiekursen annorlunda jämfört med tillkännagivande av byte av en icke grundar-VD.

Undersökningens syfte är att redogöra för hur den svenska aktiemarknaden reagerarvid förändringar av reporäntan under hög- respektive lågkonjunktur. Undersökningen kommer även att granska hur olika företag baserat på företagens omsättning på Stockholmsbörsenreagerar på förändringar av reporäntan.De teorier som används i undersökningen är teori om reporäntan och den effektivamarknadshypotesen. Studien behandlar den kvantitativa metoden med deduktiva inslag. Studien tillämpar även MacKinlays eventstudie metod för finansiering och ekonomi. Undersökningens resultat består av två perioder med 14 observationer av reporäntan under högkonjunktur och 9 observationer under lågkonjunktur.Resultatet påvisade inget samband mellan en höjning av reporänta och sänkning i aktiekursen i enighet med teori. Däremot går resultatet i enighet med teori för en sänkning av reporäntanoch en uppgång i kursen. / The purpose with this study is to disclose how Swedish stock market reacts to changes in discount rate during different cycles of economy. This study will also examine how different industries react on discount rate changes made by the Swedish Central Bank. The theories used in this study are the efficient market hypothesis theory and theory about the federal funds rate. In this study we use a quantitative research method with a deductive strategy. This study also includes MacKinlays event study methodology for finance and economics. The study includes two different time intervals, where one period has 14 observations on fund rate changes during booms and 9 observations during recession. The results for booms didn’t show any correlation between a hike in discount rate and a decline in stock market. Where as in recession period, there was a correlation between a decrease in discount rate and hikes in stock market

Corn production is scattered geographically over various continents, but most of it is grown in the United States. As such, the world price of corn futures contracts is largely dominated by North American corn prices as traded on the Chicago Board of Trade. In recent years, this market has been characterised by an increase in price volatility and magnitude of price movement as a result of decreasing stock levels. The development and implementation of an effective and successful derivative price risk management strategy based on the Chicago Board of Trade corn futures contract will therefore be of inestimable value to market stakeholders worldwide. The research focused on the efficient market hypothesis and the possibility of contesting this phenomenon through an application of a derivative price risk management methodology. The methodology is based on a combination of an analysis of market trends and technical oscillators with the objective of generating returns superior to that of a market benchmark. The study found that market participants are currently unable to exploit price movement in a manner which results in returns that contest the notion of efficient markets. The methodology proposed, however, does allow the user to consistently achieve returns superior to that of a predetermined market benchmark. The benchmark price for the purposes of this study was the average price offered by the market over the contract lifetime, and such, the efficient market hypothesis was successfully contested. / Business Management / D. Com. (Business Management)