Essays about: "Calendar anomalies"

Showing result 1 - 5 of 10 essays containing the words Calendar anomalies.

1. 1. Calendar Anomalies in the Nordic Stock Markets : A quantitative study of the Sell in May effect, January effect & Monthly Anomalies

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Christopher Edberg; Oliver Kjellander; [2021]
   Keywords : Calendar Anomalies; January effect; April effect; Sell in May effect; Monthly Anomalies; Newey-West Generalized Auto-Regressive Conditional Heteroscedasticity GARCH ; Nordic Stock markets; NASDAQ OMX Nordic;

   Abstract : This study has applied a geographical perspective with the ambition of evaluating the presence of the Sell in May effect, January effect and monthly anomalies in the Nordic stock markets. In extension the study examines the relationship between corporate size and the returns of calendar anomalies. READ MORE

3. 2. The Halloween Effect : A trick or treat in the Swedish stock market?

   University essay from Jönköping University/IHH, Företagsekonomi

   Author : Oliver Benjaminsson; Pontus Reinhold; [2020]
   Keywords : The Halloween Effect; Efficient Market Hypothesis; Calendar anomalies; Regression analysis; Trading strategies;

   Abstract : The Halloween effect refers to higher stock returns during the period November to April compared to May to October. This is a well-known calendar anomaly that has gained a lot of attention due to the fact that the effect is persistent in the market in spite of the fact that investors are aware of the anomaly today. READ MORE

4. 3. The day-of-the-week effect in Swedish stock returns

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Isabelle Sandahl; [2019]
   Keywords : the day-of-the-week effect; the efficient market hypothesis; stock market anomalies; size effect; Business and Economics;

   Abstract : One implication of the Efficient Market Hypothesis (EMH) is that it is not possible to consistently and over time create abnormal returns without taking on additional risk. However, the hypothesis has become one of the most debated theories in financial economics. READ MORE

5. 4. Trading Opportunities You Missed on the Swedish Equity Market : An Analysis of the Persistence of Calendar Anomalies

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Markus Halldestam; Katarina Karlsson; [2018]
   Keywords : Calendar anomalies; Seasonal anomalies; Abnormal return; Sweden; Equity market; Day of the week; Monday effect; Weekend effect; Turn of the year; January effect; Turn of the month; Holiday effect; Holiday effect abroad;

   Abstract : 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. READ MORE

6. 5. Underpricing and Long-Run IPO Performance in Italy, Sweden and United Kingdom: a comparative study from 2006 to 2013

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Davide Ramazzina; [2014]
   Keywords : Underpricing; IPO Long-Run Underperformance; Fama-French three-factor model;

   Abstract : In my thesis, I study two IPO anomalies, the underpricing and the long-run underperformance of new listings, from 2006 to 2013, on two peripheral (Sweden and Italy) and on the main European financial market (UK). I also examine the sector specific performances within each market to identify whether some particular industry performed better in one particular market rather than in others. READ MORE