Wisdom in absence of a crowd
(2021) FEKH89 20202Department 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.
... (More) - 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)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9042841
- 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
- 2021
- 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}}, }