The stock market have received a fair amount of attention in the media recently as a result of the ongoing covid-19 pandemic. The question arouse if there is one month in the year that outperforms all other months in the stock market. A well known anomaly in the world of finance referred to as, the January effect, came up to discussion. Earlier studies of this subject have achieved different results and conclusions. Therefore, this study aims to examine if the January effect exists on mid cap and large cap companies on the Swedish stock market. To achieve this, one large cap portfolio and one mid cap portfolio both equally weighted with ten companies each were created. These two portfolios were analyzed with, among others, a well known regression model for season anomalies. The results of this study concludes that the January effect does not exist in neither of the portfolios.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-95572 |
| Date | January 2020 |
| Creators | Malmquist, Hampus, Hansson, Anton |
| Publisher | Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | Swedish |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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