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Popularitet på aktiemarknaden: En undersökning av aktiers popularitets effekt på risk och avkastning
Linköping University, Department of Management and Engineering, Business Administration. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering, Business Administration. Linköping University, Faculty of Arts and Sciences.
2015 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesisAlternative title
Popularity on the stock market : A study on the effects of stocks popularity on risk and return (English)
Abstract [sv]

Bakgrund: Under lång tid har den traditionella tolkningen varit att marknadspremier och högre avkastning på aktiemarknaden är kopplat till risk. Även den mest använda prissättningsmodellen idag, Capital Asset Pricing Model, bygger på detta antagande. I en artikel skriven av Ibbotson och Idzorek (2014) utmanas dock risk som den viktigaste faktorn bakom premier och avkastning. Artikeln innehåller stöd för att relativt hög avkastning har kunnat uppnås på den amerikanska marknaden genom att investera i portföljer med aktier som föregående år varit relativt opopulära. Den höga avkastningen genererades dessutom ofta till relativt låg risk. Intresse finns därmed att analysera effekten av aktiers popularitet även på den svenska marknaden.

Syfte: Studiens syfte är att identifiera och analysera effekten av aktiers popularitet på avkastning och risk.

Genomförande: I denna kvantitativa studie har aktieomsättningshastighet och aktiestorlek utgjort approximationer för popularitet. Studien har genomförts via utvärdering av avkastning och risk i aktieportföljer uppdelade utifrån variablerna aktieomsättningshastighet och storlek. Vidare har sambandet mellan popularitet och avkastning undersöks via linjär regressionsanalys. Studien har både undersökt effekten av föregående års popularitet, samt effekten av popularitet samma år.

Slutsats: Studien visar ingen entydig effekt för aktiers popularitet föregående år på avkastning eller risk, när olika approximationer för popularitetsmått studeras och jämförs. Studien kan konstatera att det inte finns något samband mellan föregående års popularitet och avkastning. Däremot finns det ett positivt samband mellan popularitet och avkastning de år aktiernas popularitet uppmätts, när aktieomsättningshastighet används som approximation. Dessutom kan studien fastslå stöd för aktieomsättningshastighet som ett bra mått på aktiers popularitet.

Abstract [en]

Background: Over the past few decades it has been generally accepted that market premiums come with an associated level of risk. Even the most widely used pricing model today, CAPM, leans on this assumption. In an article written by Ibbotson and Idzorek (2014) this assumption is challenged as the main driver of market premiums and returns. The article contains evidence that relatively high returns have been earned through buying less  popular stocks on the U.S. stock market. Surprisingly the risk-return dimension exhibited an inverse relationship. This evidence from the U.S. stock market motivates us to investigate to what extent this effect can also be seen on the Swedish stock market.

Aim: The aim of this thesis is to identify and analyze the effect of a stock`s popularity on the risk and return.

Completion: In this quantitative study, share turnover and market capitalization have been used as approximations for popularity. The effects of stocks popularity on risk and return have been are examined by evaluating the performance of portfolios when categorizing the stocks by share turnover and market capitalization. The statistical relationship between popularity and return is analyzed using regression analysis. This study has both studied the effect of last year's popularity, as well as the effect of the popularity of the same year.

Conclusion: When various approximations for the popularity dimension are studied and compared, this study shows no marked effect of stock`s popularity from the previous year on risk and return. The study finds no statistically significant relationship between the previous year ́s popularity and return. However, there is a positive statistically correlation between popularity and return when measured during the same year as when the popularity was measured. In addition, the results establish evidence for the stock turnover as a good measure of popularity.

Place, publisher, year, edition, pages
2015. , 61 p.
Keyword [en]
Popularity, share turnover, market capitalization, contrarian, CAPM.
Keyword [sv]
Popularitet, aktieomsättningshastighet, börsvärde, contrarian, CAPM.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:liu:diva-120185ISRN: LIU-IEI-FIL-A--15/01998--SEOAI: oai:DiVA.org:liu-120185DiVA: diva2:841607
Subject / course
Master Thesis in Business and Economics Programme (Business Administration)
Supervisors
Examiners
Available from: 2015-08-24 Created: 2015-07-14 Last updated: 2015-08-24Bibliographically approved

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CiteExportLink to record
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