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Finansiella Illusioner: ett test av Stockholmsbörsens effektivitet
Linköping University, Department of Management and Economics.
Linköping University, Department of Management and Economics.
Linköping University, Department of Management and Economics.
2002 (Swedish)Independent thesis Advanced level (degree of Magister)Student thesisAlternative title
Financial Illusions : a test of the market efficiency on the Stockholm Stock Exchange (English)
Abstract [en]

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?

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.

Results: We can establish that none of the chosen portfolio strategies generated any significant systematic overperformance.

Place, publisher, year, edition, pages
Ekonomiska institutionen , 2002. , 66 p.
Master Thesis in Business Administration (Magisteruppsats från Ekonomprogrammet), 2002:08
Keyword [en]
Business and economics, Efficient markets, market efficiency, overperformance, Price-earnings, Book-to-market, Stock price, Rolf Ekdahl
Keyword [sv]
National Category
Economics and Business
URN: urn:nbn:se:liu:diva-1239OAI: diva2:18555
Available from: 2002-06-10 Created: 2002-06-10

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