This study examines the relationship between discounts on Swedish closed-end investment companies and abnormal return. By sorting Swedish investment companies by the size of their discounts, we create monthly portfolios over a period of 15 years and construct a hedge-portfolio which generate an annualised abnormal return of 9.99%. However, in contrast to prior research, we find that the hedge-portfolio’s abnormal return is penalised by the short portfolio, which exhibits positive abnormal return. This suggests that extreme negative sentiments appear to be more pervasive than positive sentiments on the Swedish market. Hence, we argue that a strategy of only investing in investment companies with the top third of discounts is superior in a Swedish context. This strategy yields an annualised abnormal return of 13.21%.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-413883 |
| Date | January 2020 |
| Creators | Flodström, Andreas, Rosström Ejnar, Martin |
| Publisher | Uppsala universitet, Företagsekonomiska institutionen, Uppsala universitet, Företagsekonomiska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| 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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