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Finansiella Illusioner : ett test av Stockholmsbörsens effektivitet / Financial Illusions : a test of the market efficiency on the Stockholm Stock Exchange

<p>Background: Low Price-Earnings ratio, low Book-to market ratio and low stock prices can give the impression that a stock is “cheap”. Is it through systematic use of these portfolio strategies possible to beat the market index – in other words does financial illusions exist? </p><p>Purpose: To examine if the Stockholm Stock Exchange is an efficient market. Limitations: The efficiency is tested solely through the chosen portfolio strategies: low Price-Earnings ratio, low Book-to-market ratio and low stock prices. The research only includes stocks listed on the A-, O-, OTC- and Attract40 lists during the period 1998-01-01 to 2001-12-31. Methodology: With CAPM as an equilibrium model we are examining if the P/e, Book-to-market or the stock price portfolios generate systematic overperformance in comparision to the market index SIXRX. Significance tests on the 5 % level have been performed to determine if the returns are significantly separated from zero. </p><p>Results: We can establish that none of the chosen portfolio strategies generated any significant systematic overperformance.</p>

Identiferoai:union.ndltd.org:UPSALLA/oai:DiVA.org:liu-1239
Date January 2002
CreatorsAgerman, Stephan, Karlsson, Daniel, Wänström, Gustav
PublisherLinköping University, Department of Management and Economics, Linköping University, Department of Management and Economics, Linköping University, Department of Management and Economics, Ekonomiska institutionen
Source SetsDiVA Archive at Upsalla University
LanguageSwedish
Detected LanguageEnglish
TypeStudent thesis, text
RelationMagisteruppsats från Ekonomprogrammet, ; 2002:08

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