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LUND UNIVERSITY LIBRARIES

Löningseffekten

Mildenberger, Erik LU and Ekedal, Pontus (2020) NEKH01 20201
Department of Economics
Abstract (Swedish)
The purpose of the study is to investigate whether the daily returns around Swedish payday, the 25t​ h ​each month, show significant abnormal patterns in the Swedish stock market. The study is limited to the time period between 2010/02/26 - 2020/02/26 and the two indexes ​Stockholm small cap index (OMXSSCPI) a​ nd ​Stockholm all-share index (OMXSPI). T​ he method that underlies the work is the quantitative research method that, together with statistical and econometric tests, investigates historical daily closing prices.
The results show that the payday effects ​Stockholm small cap index​positively with significant excess returns during the days between payday and six days after payday each month. No such effect is shown in Stockholm all... (More)
The purpose of the study is to investigate whether the daily returns around Swedish payday, the 25t​ h ​each month, show significant abnormal patterns in the Swedish stock market. The study is limited to the time period between 2010/02/26 - 2020/02/26 and the two indexes ​Stockholm small cap index (OMXSSCPI) a​ nd ​Stockholm all-share index (OMXSPI). T​ he method that underlies the work is the quantitative research method that, together with statistical and econometric tests, investigates historical daily closing prices.
The results show that the payday effects ​Stockholm small cap index​positively with significant excess returns during the days between payday and six days after payday each month. No such effect is shown in Stockholm all share index. The obtained results are then analyzed with the help of theories such as the effective market hypothesis and conclusions from previous research in the field. After the analysis, the results and the possibilities of further research is discussed. (Less)
Please use this url to cite or link to this publication:
author
Mildenberger, Erik LU and Ekedal, Pontus
supervisor
organization
course
NEKH01 20201
year
type
M2 - Bachelor Degree
subject
keywords
Stockholmsbörsen, Anomali, Effektiva marknadshypotesen, CAPM, Kalendereffekter, Löneutbetalningar, Business and economics
language
Swedish
id
9024042
date added to LUP
2020-08-29 11:23:24
date last changed
2020-08-29 11:23:24
@misc{9024042,
  abstract     = {{The purpose of the study is to investigate whether the daily returns around Swedish payday, the 25t​ h ​each month, show significant abnormal patterns in the Swedish stock market. The study is limited to the time period between 2010/02/26 - 2020/02/26 and the two indexes ​Stockholm small cap index (OMXSSCPI) a​ nd ​Stockholm all-share index (OMXSPI). T​ he method that underlies the work is the quantitative research method that, together with statistical and econometric tests, investigates historical daily closing prices.
The results show that the payday effects ​Stockholm small cap index​positively with significant excess returns during the days between payday and six days after payday each month. No such effect is shown in Stockholm all share index. The obtained results are then analyzed with the help of theories such as the effective market hypothesis and conclusions from previous research in the field. After the analysis, the results and the possibilities of further research is discussed.}},
  author       = {{Mildenberger, Erik and Ekedal, Pontus}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Löningseffekten}},
  year         = {{2020}},
}