A Study of the Size and Value effect on the Stockholm Stock Exchange - Are there pricing anomalies present on the Stockholm Stock Exchange?

University essay from

Author: Milan Arif; Daniel Bezaatpour; [2019-07-09]

Keywords: ;

Abstract: This thesis evaluates the financial performance of Swedish small cap stocks over the period 2000-2016. By applying CAPM and the Carhart four-factor model, we find no evidence for a size or a value effect. Furthermore, the results are inconsistent when conducting two-sided t-tests with Sharpe and Treynor ratios adjusted for asymmetrical return distributions. These findings strengthen our belief that the results in previous studies covering the same topic lack robustness. Finally, we find no evidence for the non-market risk to be attributed to any of the additional risk factors in the Carhart four-factor model.

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