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Wisdom in absence of a crowd

Bladh, Olivia LU ; Allgulander, Oscar and Kuntscher, Herman (2021) FEKH89 20202
Department of Business Administration
Abstract
Purpose: The purpose of this study is to investigate what factors, if any, are most prevalent in the valuation of small cap stocks, with limited ownership as compared to their fundamental values, where crowd based trading and insights do not necessarily prevail.
Methodology: A deductive and comparative study realized in quantitative research based upon a sample selection of smaller companies. Findings are evaluated in a regression analysis to statistically prove any relationship between the independent variables.
Theoretical perspective: The foundation of the study is built on the base of three different, but co functioning theoretical frameworks; The effective market hypothesis, arbitrage price theory, and the law of one price.
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Purpose: The purpose of this study is to investigate what factors, if any, are most prevalent in the valuation of small cap stocks, with limited ownership as compared to their fundamental values, where crowd based trading and insights do not necessarily prevail.
Methodology: A deductive and comparative study realized in quantitative research based upon a sample selection of smaller companies. Findings are evaluated in a regression analysis to statistically prove any relationship between the independent variables.
Theoretical perspective: The foundation of the study is built on the base of three different, but co functioning theoretical frameworks; The effective market hypothesis, arbitrage price theory, and the law of one price.
Empirical foundation: The sample covers 100 companies all listed on the swedish stock market. Each company has a maximum market cap of 250 million SEK and a maximum number of 500 shareholders. The timespan reaches from November 30, 2019 to October 31, 2020.
Conclusions: When analysing enterprise value over book value, volatility was found to be statistically significant throughout all stratums. The results for enterprise value over sales generated a different result showing information asymmetry as significant in the full sample and asset heavy subset. (Less)
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author
Bladh, Olivia LU ; Allgulander, Oscar and Kuntscher, Herman
supervisor
organization
alternative title
A study of drivers in valuation of small cap stocks, with limited ownership, listed on the Swedish market
course
FEKH89 20202
year
type
M2 - Bachelor Degree
subject
keywords
Non-frequently traded stocks, liquidity, market imperfections, arbitrage, law of one price, effective market hypothesis, share price, valuation
language
English
id
9042841
date added to LUP
2021-06-28 10:55:46
date last changed
2021-06-28 10:55:46
@misc{9042841,
  abstract     = {{Purpose: The purpose of this study is to investigate what factors, if any, are most prevalent in the valuation of small cap stocks, with limited ownership as compared to their fundamental values, where crowd based trading and insights do not necessarily prevail.
Methodology: A deductive and comparative study realized in quantitative research based upon a sample selection of smaller companies. Findings are evaluated in a regression analysis to statistically prove any relationship between the independent variables. 
Theoretical perspective: The foundation of the study is built on the base of three different, but co functioning theoretical frameworks; The effective market hypothesis, arbitrage price theory, and the law of one price. 
Empirical foundation: The sample covers 100 companies all listed on the swedish stock market. Each company has a maximum market cap of 250 million SEK and a maximum number of 500 shareholders. The timespan reaches from November 30, 2019 to October 31, 2020.
Conclusions: When analysing enterprise value over book value, volatility was found to be statistically significant throughout all stratums. The results for enterprise value over sales generated a different result showing information asymmetry as significant in the full sample and asset heavy subset.}},
  author       = {{Bladh, Olivia and Allgulander, Oscar and Kuntscher, Herman}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Wisdom in absence of a crowd}},
  year         = {{2021}},
}