QUOTATIONS - Mapping out abnormal return opportunities on the Stockholm Exchange 1994-2006
(2007)Department of Business Administration
- Abstract
- The purpose of this study is to investigate, at the Stockholm
Exchange during the period 1994 to 2006, whether certain
quotations with particular characteristics can be said to
produce positive abnormal returns relatively larger than
others. We measure the initial return as well as the mid and long
run abnormal returns for firms quoted on the Stockholm
Exchange during 1994 and 2006 based on quotation,
industry sector, size, and weekday. Existing research serves as the foundation for our hypotheses. Our theoretical discussion consists of excerpts from recent research articles and financial literature focusing on the motives behind the different quotations in our study as well as their return characteristics. None of our variables have any... (More) - The purpose of this study is to investigate, at the Stockholm
Exchange during the period 1994 to 2006, whether certain
quotations with particular characteristics can be said to
produce positive abnormal returns relatively larger than
others. We measure the initial return as well as the mid and long
run abnormal returns for firms quoted on the Stockholm
Exchange during 1994 and 2006 based on quotation,
industry sector, size, and weekday. Existing research serves as the foundation for our hypotheses. Our theoretical discussion consists of excerpts from recent research articles and financial literature focusing on the motives behind the different quotations in our study as well as their return characteristics. None of our variables have any substantial explanatory
power of the variability in the performance of the different
quotations. However, we do find some statistically
significant return differences. Our best, yet extremely simple advice is to invest in large cap IPOs, equity carveouts and/or spinoffs conducted on Thursdays and/or Fridays and hold them until the end of the day. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2171727
- author
- Asu, Linus and Wallace, Anders
- supervisor
- organization
- year
- 2007
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Mapping, Stockholm Exchange, Quotation, Industry sector, Size, Weekday, Short run, Mid run, Long run, Initial return, Abnormal return, Management of enterprises, Företagsledning, management
- language
- Swedish
- id
- 2171727
- date added to LUP
- 2007-06-04 00:00:00
- date last changed
- 2012-04-02 16:43:08
@misc{2171727,
abstract = {{The purpose of this study is to investigate, at the Stockholm
Exchange during the period 1994 to 2006, whether certain
quotations with particular characteristics can be said to
produce positive abnormal returns relatively larger than
others. We measure the initial return as well as the mid and long
run abnormal returns for firms quoted on the Stockholm
Exchange during 1994 and 2006 based on quotation,
industry sector, size, and weekday. Existing research serves as the foundation for our hypotheses. Our theoretical discussion consists of excerpts from recent research articles and financial literature focusing on the motives behind the different quotations in our study as well as their return characteristics. None of our variables have any substantial explanatory
power of the variability in the performance of the different
quotations. However, we do find some statistically
significant return differences. Our best, yet extremely simple advice is to invest in large cap IPOs, equity carveouts and/or spinoffs conducted on Thursdays and/or Fridays and hold them until the end of the day.}},
author = {{Asu, Linus and Wallace, Anders}},
language = {{swe}},
note = {{Student Paper}},
title = {{QUOTATIONS - Mapping out abnormal return opportunities on the Stockholm Exchange 1994-2006}},
year = {{2007}},
}