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Överreaktion på svenska aktiemarknaden

Persson, Ludvig and Herbe, Oskar (2008)
Department of Economics
Abstract
Title: Overreaction on the Swedish stock market Seminar date:
2008-01-30 Course:
Nek K01- Bachelor Thesis in Economics (15 ETCS) Authors: Advisor:
Oskar Herbe and Ludvig Persson Hossein Asgharian Key Words:
Overreaction, Anomalies, Market Efficiency, Contrarian investment strategies Purpose:
The purpose of this thesis is to test if the overreaction hypothesis as originally described by De Bondt and Thaler is a good explanation model for the Swedish stock market. Further, our intension is to divide the stock market into three segments by company size, in terms of market capitalization, to control for size effects. Method:
We have conducted this study by analyzing Swedish stock data in the period of 1989-2007. Within this time span, using... (More)
Title: Overreaction on the Swedish stock market Seminar date:
2008-01-30 Course:
Nek K01- Bachelor Thesis in Economics (15 ETCS) Authors: Advisor:
Oskar Herbe and Ludvig Persson Hossein Asgharian Key Words:
Overreaction, Anomalies, Market Efficiency, Contrarian investment strategies Purpose:
The purpose of this thesis is to test if the overreaction hypothesis as originally described by De Bondt and Thaler is a good explanation model for the Swedish stock market. Further, our intension is to divide the stock market into three segments by company size, in terms of market capitalization, to control for size effects. Method:
We have conducted this study by analyzing Swedish stock data in the period of 1989-2007. Within this time span, using overlapping formation periods, we have constructed two types of portfolios, winner portfolios and looser portfolios. The portfolios represent the 30 per cent best performing respectively worst performing stocks in terms of returns. After formation, the portfolios are studied during a following holding period, during which evidence of price reversals, to prove overreaction, are searched for. Results:
We could not find strong proof for the overreaction theory. Only one out of eighteen contrarian portfolios, the one using 1 month formation and holding periods and small stocks, illustrates a statistically significant overreaction pattern. The midterm results reveal higher returns for momentum portfolios, while the long term portfolios demonstrated mixed results. (Less)
Please use this url to cite or link to this publication:
@misc{1336710,
  abstract     = {Title: Overreaction on the Swedish stock market Seminar date:
2008-01-30 Course:
Nek K01- Bachelor Thesis in Economics (15 ETCS) Authors: Advisor:
Oskar Herbe and Ludvig Persson Hossein Asgharian Key Words:
Overreaction, Anomalies, Market Efficiency, Contrarian investment strategies Purpose:
The purpose of this thesis is to test if the overreaction hypothesis as originally described by De Bondt and Thaler is a good explanation model for the Swedish stock market. Further, our intension is to divide the stock market into three segments by company size, in terms of market capitalization, to control for size effects. Method:
We have conducted this study by analyzing Swedish stock data in the period of 1989-2007. Within this time span, using overlapping formation periods, we have constructed two types of portfolios, winner portfolios and looser portfolios. The portfolios represent the 30 per cent best performing respectively worst performing stocks in terms of returns. After formation, the portfolios are studied during a following holding period, during which evidence of price reversals, to prove overreaction, are searched for. Results:
We could not find strong proof for the overreaction theory. Only one out of eighteen contrarian portfolios, the one using 1 month formation and holding periods and small stocks, illustrates a statistically significant overreaction pattern. The midterm results reveal higher returns for momentum portfolios, while the long term portfolios demonstrated mixed results.},
  author       = {Persson, Ludvig and Herbe, Oskar},
  keyword      = {marknadseffektivitet,Anomalier,Överreaktion,Contrarianstrategier,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Överreaktion på svenska aktiemarknaden},
  year         = {2008},
}