This dissertation consists of three essays. The first essay focuses on idiosyncratic volatility as a primary arbitrage cost for short sellers. Previous studies document (i) negative abnormal returns for high relative short interest (RSI) stocks, and (ii) positive abnormal returns for low RSI stocks. We examine whether these market inefficiencies can be explained by arbitrage limitations, especially firms' idiosyncratic risk. Consistent with limits to arbitrage hypothesis, we document an abnormal return of -1.74% per month for high RSI stocks (>=95th percentile) with high idiosyncratic volatility. However, for similar level of high RSI, abnormal returns are economically and statistically insignificant for stocks with low idiosyncratic volatility. For stocks with low RSI, the returns are positively related to idiosyncratic volatility. These results imply that idiosyncratic risk is a potential reason for the inability of arbitrageurs to extract returns from high and low RSI portfolios. The second essay investigates market efficiency in the absence of limits to arbitrage on short selling. Theoretical predictions and empirical results are ambiguous about the effect of short sale constraints on security prices. Since these constraints cannot be eliminated in equity markets, we use trades from futures markets where there is no distinction between short and long positions. With no external constraints on short positions, we document a weekend effect in futures markets which is a result of asymmetric risk between long and short positions around weekends. The premium is higher in periods of high volatility when short sellers are unwilling to accept higher levels of risk. On the other hand, riskiness of long positions does not seem to have a similar impact on prices. The third essay studies investor behaviors that generate mispricing by examining relationship between stock price and future returns. Based on traditional finance theory, valuation should not depend on nominal stock prices. However, recent literature documents that preference of retail investors for low price stocks results in their overvaluation. Motivated by this preference, we re-examine the relationship between stock price and expected return for the entire U.S. stock market. We find that stock price and expected returns are positively related if price is not confounded with size. Results in this paper show that, controlled for size, high price stocks significantly outperform low price stocks by an abnormal 0.40% per month. This return premium is attributed to individual investors' preference for low price stocks. Consistent with costly arbitrage, the return differential between high and low price stocks is highest for the stocks which are difficulty to arbitrage. The results are robust to price cut-off of $5, and in different sub-periods. / Ph. D.

長期以來，美國及許多國家的股市中普遍存在一個特殊的現象一一周末效應(weekend effect或day–of–the－week effect)，即一週中每日購買的平均報酬率不盡相同， 在星期一時相當低，到週末時卻變得很高。 一般而言，股票報酬的產生過程有二種假設，一為日歷時間假設(Calender Timn Hy- pothesis)， 一為交易時間假設(Trading Time Hypothesis)。 前者假設股票投資報 酬是如利息般，隨著時間的經過而持續產生，在此假設下，週一報酬的分配將不同於 一週內其他交易日報酬的分配，因為週一報酬包含了週五收盤至週一收盤三天的時間 ，而其他交易日之報酬僅包含一天的時間。但在交易時間假設下，股票報酬僅產生在 股市交易時間內，則一週內各交易日之報酬的產生均只有一天，故其報酬分配將不會 有所差異。 本研究之主題為「股票投資報酬與週末效應」，除探討有關理論外，其主要目的在研 究台灣地區上市公司股票投資報酬的產生過程及報酬在時間上的分佈狀況。故本研究 以實證方式進行，首先選擇能代表上市公司股票投資報酬的綜合性指標做為初步研究 對象，並收集資料，進行變異數分析，最後對結果加以分析與歸納，得到實證結果。

近年來的研究顯示英美兩國的無風險利率存在著星期效應，但其股市報酬率的星期效應卻逐漸消失、甚至有反轉，因此本研究想探討台灣加權股價指數報酬率與無風險利率，是否存在著星期效應，抑或跟隨英美兩國的腳步，星期效應不再。此外，本研究亦探討風險溢酬的星期效應，試圖從中解開風險溢酬之謎(Equity Risk Premium)。 行政院於1998年至2000年實施「公務人員每月二次週休二日實施計劃」，台灣股票市場因此實施隔週休二日的制度，這特別的休市制度正好提供本研究進行交割效應假說所需的特殊樣本。認售權證正式於2003年7月上市掛牌買賣，因此去年下半年開始發行的認售權證交易量，亦正好提供本研究檢定投機放空假說所需的樣本。 實證結果顯示，大盤指數報酬率與風險溢酬有顯著的星期效應與週末效應，一週之中每日的報酬率並不相等，其中以週五與週六為最高，有顯著為正的報酬。而週一與週二平均報酬率為負但不顯著。而無風險利率有顯著的星期效應，但週末效應卻不顯著，一週之中每日的利率雖不相等但均顯著異於零。 更進一步探究報酬率、風險溢酬之星期效應與週末效應的成因，發現此星期效應、週末效應支持資訊處理假說、正向回饋假說與投機放空假說；但是卻不支持交割效應假說淤測量錯誤假說。因此得知台灣股票市場報酬率與風險溢酬之星期效應與週末效應的成因，乃為投資人在工作日與非工作日資訊處理成本的差異而導致；此外，過多的融券交易量亦為造成星期效應與週末效應的成因之一。 關鍵詞：星期效應、週末效應、風險溢酬、TLS模型、Power Ratio

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.

Purpose: The purpose of this thesis is to investigate if abnormal patterns concerning the rates of return during specific weekdays and months are observable for the companies in the OMXS30 during the period 2003-2010. A special focus will be put on the Monday effect anomaly. Background: Investors have a tendency to search for investment opportunities. If errors exist in the pricing of stocks it indicates that anomalies are present and that the stock market is inefficient. Investors then have the possibility to utilize the anomalies in order to receive above average returns. Method: This study is using data of stock prices from Nasdaq OMX in the period of 2003-2010. The strength and existence of the Swedish stock market efficiency is measured through autocorrelation-, chi-square- and regression tests. Average monthly stock returns are calculated on daily-, monthly-, and yearly basis. The returns are compared in order to examine if day-of-the-week and turn-of-the-year anomalies exist. Conclusion: No Monday effect is found in 2003-2010. However, positive Thursday- and positive Friday effects are detected. A negative turn-of-the-year effect as well as a positive April effect is found. The investment opportunities that could be utilized in 2003-2010 due to the specific anomalies in the period do not necessarily imply that the same anomalies can be expected on the OMXS30 in the future.

<p><strong>Purpose: </strong>The purpose of this thesis is to investigate if abnormal patterns concerning the rates of return during specific weekdays and months are observable for the companies in the OMXS30 during the period 2003-2010. A special focus will be put on the Monday effect anomaly.</p><p><strong>Background: </strong>Investors have a tendency to search for investment opportunities. If errors exist in the pricing of stocks it indicates that anomalies are present and that the stock market is inefficient. Investors then have the possibility to utilize the anomalies in order to receive above average returns.<strong> </strong></p><p><strong>Method: </strong>This study is using data of stock prices from Nasdaq OMX in the period of 2003-2010. The strength and existence of the Swedish stock market efficiency is measured through autocorrelation-, chi-square- and regression tests.<strong> </strong>Average monthly stock returns are calculated on daily-, monthly-, and yearly basis. The returns are compared in order to examine if day-of-the-week and turn-of-the-year anomalies exist.</p><p><strong>Conclusion: </strong>No Monday effect is found in 2003-2010. However, positive Thursday- and positive Friday effects are detected. A negative turn-of-the-year effect as well as a positive April effect is found. The investment opportunities that could be utilized in 2003-2010 due to the specific anomalies in the period do not necessarily imply that the same anomalies can be expected on the OMXS30 in the future.</p>

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.

In this paper, the price fluctuations of Bitcoin under speculative environment is studied. It has been seen that the market trend points out an existence of a speculative bubble. Over the course of the period from 2014 to 2018, the trend in price movements of bitcoin has proved to be strongly speculative. In that regard, investors might be curious about what drivers might be instrumental in these speculative price changes.  After reviewing of NPV, it was seen that NPV is not applicable to the case of cryptocurrencies due to their nature and lack of free cash flows to base the asset valuation to some fundamental facts. Later, LPPL model is reviewed, however, that also proved to be insufficient since it does not reflect the investor speculations and inform much about price dynamics regarding behavioral finance principles. Then, some papers from the past price fluctuations of bitcoin (for the period from 2010 to 2013) was reviewed and three key variables were determined which might explain price movements. Public interest towards Bitcoin as interest-driven, regulatory and political news about cryptocurrencies as event-driven and VIX as overall investor approach to Bitcoin market have been taken. After running regressions, the only significant variable happened to be public interest and popularity of Bitcoin. Although, for some cases, VIX variable also explain price fluctuations for some intervals, in none of the cases event-driven variable has long- terms effect on price fluctuations under speculative environment. Lastly, a robustness test is also handled considering the “weekend effect” and it has been seen public interest variable again proved to be a significant price determinant.

Sammanfattning Titel: Imorgon blir det börsfall! En studie om hur olika börser påverkar varandra i fördröjning. Seminariedatum: 28 maj, 2012 Ämne/kurs: FEK 61-90 Kandidatuppsats i Corporate Finance, 15 poäng  Författare: Stefan Koch, Malin Molin Handledare: Hans Mörner Examinator: Kent Sahlgren Nyckelord: Anomali, anomalier, veckodagseffekt, måndagseffekt, index, korrelation, S&amp;P 500, OMXS 30, effektiva marknadshypotesen Syfte: Att undersöka ifall en eventuell anomali på det svenska OMXS 30 indexet eller det amerikanska S&amp;P 500 ger en effekt på nästföljande dag på det motsatta indexet. Om en veckodagseffekt kan påvisas och den fördröjda korrelationen mellan indexen är tillräckligt stark kan metoden användas för att generera överavkastning.   Metod: Vi använder oss av en kvantitativ ansats för att med hjälp av statistiska metoder svara på vår problemformulering. De metoder vi har använt är hypotestestning av medelvärden med ett z test, beräknat korrelationskoefficienten mellan de två indexen och utfört en multipel regressionsanalys med dummyvariabler. Slutsats: Genom vår analys kom vi fram till att en veckodagseffekt inte kan påvisas på någon av de två undersökta indexen. En korrelation kunde finnas mellan de två indexen, däremot går det att ifrågasätta om korrelationens styrka är tillräckligt stark att handla utifrån. För att generera överavkastning krävs dessutom att den extra avkastning som genereras med hjälp utav vår metod med korta aktieaffärer överstiger den eventuella transaktionskostnaden som uppstår vid aktiehandel, något vi starkt betvivlar att den gör. / Abstract Title: Tomorrow the market falls! A study about how different stock markets affect each other in delay. Date of seminar: May, 28th, 2012 Course: FEK 61-90 Bachelor Thesis in Corporate Finance, 15 credits Authors: Stefan Koch, Malin Molin Advisor: Hans Mörner Examiner: Kent Sahlgren Key words: Anomaly, anomalies, day-of-the-week effect, weekend effect, index, correlation, S&amp;P 500, OMXS 30, effective market hypothesis Objective: To examine whether a potential anomaly on the Swedish OMXS 30 index or the American S&amp;P 500 has an effect on the next day on the opposite index. If a day-of-the-week effect can be proved and the delayed correlation between the indices is strong enough, our method could be used to generate excess returns. Methodology: We use a quantitative approach and statistic methods to answer our problem formulation. The methods we have been using are hypothesis testing of mean values with a z-test, calculations of correlation coefficients between the indices, and a multiple regression analysis with dummy variables. Conclusions: Through our analysis we found out that there was no day-of-the-week effect on any of the two examined indices. We could find a correlation between the two indices; however, we question whether the correlation is strong enough to trade on. To get excess returns it is required that the extra return that would be generated through our method with short trades exceed eventual transaction costs that occur through stock trading, something we strongly doubt that it would.

This Study uses a period between 1939-2017 to analyse calendar anomalies on the Swedish equity market. We test whether calendar anomalies’ return deviates from the return of ordinary trading days. Our result shows that the day of the week effect, weekend effect, turn of the year, turn of the month and holiday effect have had an impact on the daily rate of return, both domestic and abroad. Similar to international markets the calendar anomalies in Sweden start to be less prominent during 1980’s. Also, our result displays that, since the 1970’s, UK holidays have had a negative impact on the daily return in Sweden. In contrast, American holidays have since the 2010’s had a positive impact. Turn of the year and turn of the month in Sweden have been more clustered around the first trading day of the year and month, compared to studies on other equity markets. Negative returns on Tuesdays, rather than Mondays, do also distinguish Sweden’s equity market relative to other markets.