Finansiella Illusioner: ett test av Stockholmsbörsens effektivitet
Independent thesis Advanced level (degree of Magister)Student thesisAlternative title
Financial Illusions : a test of the market efficiency on the Stockholm Stock Exchange (English)
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
Business and economics, Efficient markets, market efficiency, overperformance, Price-earnings, Book-to-market, Stock price, Rolf Ekdahl
Economics and Business
IdentifiersURN: urn:nbn:se:liu:diva-1239OAI: oai:DiVA.org:liu-1239DiVA: diva2:18555