Essays about: "Market Efficiency Hypothesis"

Showing result 1 - 5 of 124 essays containing the words Market Efficiency Hypothesis.

1. 1. Testing the Adaptive Market Hypothesis on the Swedish Stock Market - Empirical evidence between 1990-2019

   University essay from

   Author : Jacob Allestam; Filip Sjöberg; [2023-06-29]
   Keywords : Adaptive market hypothesis; market efficiency; market conditions; return predictability; trading strategy;

   Abstract : This study examines if the adaptive market hypothesis holds for the Swedish stock market between 1990 and 2019. We use Affärsvärldens Generalindex and test for time-varying return predictability by implementing a variance ratio test and an autocorrelation test. To track how market efficiency evolves over time we use a two-year moving subsample. READ MORE

3. 2. The granddaddy of underreaction events: Post-earnings announcement drift and information noisiness on the Swedish market

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Sofia Berlin; Gustav Sandelin; [2023]
   Keywords : Post-earnings announcement drift; market efficiency; earnings surprises; information noisiness; stock price synchronicity;

   Abstract : This paper aims to answer the question of whether there is an existence of post-earnings announcement drift on the Swedish stock market and to what extent it can be explained by information noisiness. A sample of publicly listed firms on the Swedish stock market from 2002 to 2019 is used and the research design includes four different approaches to estimating earnings surprises which is a crucial step in investigating PEAD. READ MORE

4. 3. In the Line of Fire: A Study of Market Efficiency in the Context of Wildfires and Stock Market Reactions

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering; Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Isak Kristoffersson; Markus Lind; [2023]
   Keywords : Climate Disaster Events; Wildfires; Fire Weather Index; Fire Severity Rating; Efficient Market Hypothesis;

   Abstract : Climate research finds that climate change and raising global temperatures increase the risk and severity of wildfires. However, the impact varies substantially based on geographical location and causes a dispersion in wildfire trends. READ MORE

5. 4. Momentum Strategies in Commodity Futures Market: A Quantitative study

   University essay from Umeå universitet/Företagsekonomi

   Author : Jino Badinson; Alfred Gunnarsson; [2023]
   Keywords : Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

   Abstract : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. READ MORE

6. 5. Does investor diversity in loan syndications affect the initial returns in the secondary market?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Erik Andersson; João Fernandes; [2023]
   Keywords : Syndicated loans; Information diversity; Investor diversity; Under-pricing; Initial returns; Discount; Business and Economics;

   Abstract : The syndicated loan market is a major source of corporate funding, raising $5 trillion in 2021. The secondary market where these loans are traded has seen a rapid growth in the last few decades. This growth was accompanied by the entrance of new types of participants, increasing the investor diversity. READ MORE