Literatura académica sobre el tema "Markup pricing hypothesis"

This study examines if the prospectus disclosure of the motives for an initial public offering (IPO) explains the long-run performance of equity issuers using hand-collected data for 245 IPOs from the Stock Exchange of Thailand (SET), and also the Market for Alternative Investments (MAI), in the 12-year period between 2001 and 2012. The stock returns of the IPOs were investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). The authors find a significant impact for the level of use-of-proceeds disclosure on IPO underpricing, and further that the ex-ante uncertainty and signalling hypotheses explain the IPO underpricing phenomenon in the Thai IPO market. Furthermore, Thai firms citing investment needs show significant positive abnormal returns after the offering, but issuers that state general corporate purposes and debt payments motives underperform. The authors provide evidence that the offering size and bull-market conditions significantly affect the IPO pricing and the strategic disclosure of information in the prospectus. Our results are robust, having been subjected to a wide range of sensitivity checks. Keywords: Prospectus disclosure, IPO performance, Thailand. JEL Classification: G14, G30, G32

Connections In Small Pieces Loosely Joined, David Weinberger identifies some of the obvious changes which the Web has brought to human relations. Social connections, he argues, used to be exclusively defined and constrained by the physics and physicality of the “real” world, or by geographical and material facts: it’s … true that we generally have to travel longer to get to places that are farther away; that to be heard at the back of the theater, you have to speak louder; that when a couple moves apart, their relationship changes; that if I give you something, I no longer have it. (xi) The Web, however, is a place (or many places) where the boundaries of space, time, and presence are being reworked. Further, since we built this virtual world ourselves and are constantly involved in its evolution, the Web can tell us much about who we are and how we relate to others. In Weinberger’s view, it demonstrates that “we are creatures who care about ourselves and the world we share with others”, and that “we live within a context of meaning” beyond what we had previously cared to imagine (xi-xii). Before the establishment of computer-mediated communication (CMC), we already had multiple means of connecting people commonly separated by space (Gitelman and Pingree). Yet the Web has allowed us to see each other whilst separated by great distances, to share stories, images and other media online, to co-construct or “produse” (Bruns) content and, importantly, to do so within groups, rather than merely between individuals (Weinberger 108). This optimistic evaluation of the Web and social relations is a response to some of the more cautious public voices that have accompanied recent technological developments. In the 1990s, Jan van Dijk raised concerns about what he anticipated as wide-reaching social consequences in the new “age of networks” (2). The network society, as van Dijk described it, was defined by new interconnections (chiefly via the World Wide Web), increased media convergence and narrowcasting, a spread of both social and media networks and the decline of traditional communities and forms of communication. Modern-day communities now consisted both of “organic” (physical) and “virtual” communities, with mediated communication seemingly beginning to replace, or at least supplement, face-to-face interaction (24). Recently, we have found ourselves on the verge of even more “interconnectedness” as the future seems determined by ubiquitous computing (ubicomp) and a new technological and cultural development known as the “Internet of Things” (Greenfield). Ubicomp refers to the integration of information technology into everyday objects and processes, to such an extent that the end-users are often unaware of the technology. According to Greenfield, ubicomp has significant potential to alter not only our relationship with technology, but the very fabric of our existence: A mobile phone … can be switched off or left at home. A computer … can be shut down, unplugged, walked away from. But the technology we're discussing here–ambient, ubiquitous, capable of insinuating itself into all the apertures everyday life affords it–will form our environment in a way neither of those technologies can. (6) Greenfield's ideas are neither hypothesis, nor hyperbole. Ubicomp is already a reality. Dodson notes, Ubicomp isn't just part of our ... future. Its devices and services are already here. Think of the use of prepaid smart cards for use of public transport or the tags displayed in our cars to help regulate congestion charge pricing or the way in which corporations track and move goods around the world. (7) The Internet of Things advances the ubicomp notion of objects embedded with the capacity to receive and transmit data and anticipates a move towards a society in which every device is “on” and in some way connected to the Internet; in other words, objects become networked. Information contained within and transmitted among networked objects becomes a “digital overlay” (Valhouli 2) over the physical world. Valhouli explains that objects, as well as geographical sites, become part of the Internet of Things in two ways. Information may become associated with a specific location using GPS coordinates or a street address. Alternatively, embedding sensors and transmitters into objects enables them to be addressed by Internet protocols, and to sense and react to their environments, as well as communicate with users or with other objects. (2) The Internet of Things is not a theoretical paradigm. It is a framework for describing contemporary technological processes, in which communication moves beyond the established realm of human interaction, to enable a whole range of potential communications: “person-to-device (e.g. scheduling, remote control, or status update), device-to-device, or device-to-grid” (Valhouli 2). Are these newer forms of communication in any sense meaningful? Currently, ubicomp's applications are largely functional, used in transport, security, and stock control. Yet, the possibilities afforded by the technology can be employed to enhance “connectedness” and “togetherness” in the broadest social sense. Most forms of technology have at least some social impact; this is particularly true of communication technology. How can that impact be made explicit? Here, we discuss one such potential application of ubicomp with reference to a new UK research project: TOTeM–Tales of Things and Electronic Memory. TOTeM aims to draw on personal narratives, digital media, and tagging to create an “Internet” of people, things, and object memories via Web 2.0 and mobile technologies. Communicating through Objects The TOTeM project, began in August 2009 and funded by Research Councils UK's Digital Economy Programme, is concerned with eliciting the memory and value of “old” artefacts, which are generally excluded from the discourse of the Internet of Things, which focuses on new and future objects produced with embedded sensors and transmitters. We focus instead on existing artefacts that hold significant personal resonance, not because they are particularly expensive or useful, but because they contain or “evoke” (Turkle) memories of people, places, times, events, or ideas. Objects across a mantelpiece can become conduits between events that happened in the past and people who will occupy the future (Miller 30). TOTeM will draw on user-generated content and innovative tagging technology to study the personal relationships between people and objects, and between people through objects. Our hypothesis is that the stories that are connected to particular objects can become binding ties between individuals, as they provide insights into personal histories and values that are usually not shared, not because they are somehow too personal or uninteresting, but because there is currently little systematic context for sharing them. Even in families, where objects routinely pass down through generations, the stories associated with these objects are generally either reduced to a vague anecdote or lost entirely. Beyond families, there are some objects whose stories are deemed culturally-significant: monuments, the possessions of historical figures, religious artefacts, and archaeological finds. The current value system which defines an object’s cultural significance appears to replicate Bourdieu's assessment of the hierarchies which define aesthetic concepts such as taste. In both cases, the popular, everyday, or otherwise mundane is deemed to possess less cultural capital than that which is less accessible or otherwise associated with the social elites. As a result, objects whose histories are well-known are mostly found in museums, untouchable and unused, whereas objects which are within reach, all around us, tend to travel from owner to owner without anyone considering what histories they might contain. TOTeM’s aim is to provide both a context and a mechanism for enabling individuals and community groups to share object-related stories and memories through digital media, via a custom-built platform of “tales of things”. Participants will be able to use real-life objects as conduits for memory, by producing “tales” about the object's personal significance, told through digital video, photographs, audio, or a mixture of media. These tales will be hosted on the TOTeM project's website. Through specifically-developed TOTeM technology, each object tale will generate a unique physical tag, initially in the form of RFID (Radio Frequency Identification) and QR (Quick Response) codes. TOTeM participants will be able to attach these tags/codes to their objects. When scanned with a mobile phone equipped with free TOTeM software or an RFID tag reader, each tag will access the individual object's tale online, playing the media files telling that object’s story on the mobile phone or computer. The object's user-created tale will be persistently accessible via both the Internet and 3G (third generation) mobile phones. The market share of 3G and 4G mobile networks is expanding, with some analysts predicting that they will account for 30% of the global mobile phone market by 2014 (Kawamoto). As the market for mobile phones with fast data transfer rates keeps growing, TOTeM will become accessible to an ever-growing number of mobile, as well as Internet, users. The TOTeM platform will serve two primary functions. It will become an archive for object memories and thus grow to become an “archaeology for the future”. We hope that future generations will be able to return to this repository and learn about the things that are meaningful to groups and individuals right now. The platform will also serve as an arena for contemporary communication. As the project develops, object memories will be directly accessible through tagged artefacts, as well as through browsing and keyword searches on the project website. Participants will be able to communicate via the TOTeM platform. On a practical level, the platform can bring together people who already share an interest in certain objects, times, or places (e.g. collectors, amateur historians, genealogists, as well as academics). In addition, we hope that the novelty of TOTeM’s approach to objects may encourage some of those individuals for whom non-participation in the digital world is not a question of access but one of apathy and perceived irrelevance (Ofcom 3). Tales of Things: Pilots Since the beginning of this research project, we have begun to construct the TOTeM platform and develop the associated tagging technology. While the TOTeM platform is being built, we have also used this time to conduct a pilot “tale-telling” phase, with the aim of exploring how people might choose to communicate object stories and how this might make them feel. In this initial phase, we focus on eliciting and constructing object tales, without the use of the TOTeM platform or the tagging technology, which will be tested in a future trial. Following Thomson and Holland’s autoethnographic approach, in the first instance, the TOTeM team and advisors shared their own tales with each other (some of these can be viewed on the TOTeM Website). Each of us chose an object that was personally significant to us, digitally recorded our object memories, and uploaded videos to a YouTube channel for discussion amongst the group. Team members in Edinburgh subsequently involved a group of undergraduate students in the pilot. Here, we offer some initial reflections on what we have learned from recording and sharing these early TOTeM tales. The objects the TOTeM team and advisors chose independently from each other included a birth tag, a box of slides, a tile, a block of surf wax, a sweet jar from Japan, a mobile phone, a concert ticket, a wrist band, a cricket bat, a watch, an iPhone, a piece of the Berlin Wall, an antique pocket sundial, and a daughter’s childhood toy. The sheer variety of the objects we selected as being personally significant was intriguing, as were the varying reasons for choosing the objects. Even there was some overlap in object choice, for instance between the mobile and the iPhone, the two items (one (relatively) old, one new) told conspicuously different stories. The mobile held the memory of a lost friend via an old text message; the iPhone was valued not only for its practical uses, but because it symbolised the incarnation of two childhood sci-fi fantasies: a James Bond-inspired tracking device (GPS) and the “Hitchhiker’s Guide to the Galaxy”. While the memories and stories linked to these objects were in many ways idiosyncratic, some patterns have emerged even at this early stage. Stories broadly differed in terms of whether they related to an individual’s personal experience (e.g. memorable moments or times in one’s life) or to their connection with other people. They could also relate to the memory of particular events, from football matches, concerts and festivals on a relatively local basis, to globally significant milestones, such as the fall of the Berlin Wall. In many cases, objects had been kept as tokens and reminders of particularly “colourful” and happy times. One student presented a wooden stick which he had picked up from a beach on his first parent-free “lads’ holiday”. Engraved on the stick were the names of the friends who had accompanied him on this memorable trip. Objects could also mark the beginning or end of a personal life stretch: for one student, his Dub Child vinyl record symbolised the moment he discovered and began to understand experimental music; it also constituted a reminder of the influence his brother had had on his musical taste. At other times, objects were significant because they served as mementos for people who had been “lost” in one way or another, either because they had moved to different places, or because they had gone missing or passed away. With some, there was a sense that the very nature of the object enabled the act of holding on to a memory in a particular way. The aforementioned mobile phone, though usually out of use, was actively recharged for the purposes of remembering. Similarly, an unused wind-up watch was kept going to simultaneously keep alive the memory of its former owner. It is commonly understood that the sharing of insights into one’s personal life provides one way of building and maintaining social relationships (Greene et al.). Self-disclosure, as it is known in psychological terms, carries some negative connotations, such as making oneself vulnerable to the judgement of others or giving away “too much too soon”. Often its achievement is dependent on timing and context. We were surprised by the extent to which some of us chose to disclose quite sensitive information with full knowledge of eventually making these stories public online. At the same time, as both researchers and, in a sense, as an audience, we found it a humbling experience to be allowed into people’s and objects’ meaningful pasts and presents. It is obvious that the invitation to talk about meaningful objects also results in stories about things and people we deeply care about. We have yet to see what shape the TOTeM platform will take as more people share their stories and learn about those of others. We don’t know whether it will be taken up as a fully-fledged communication platform or merely as an archive for object memories, whether people will continue to share what seem like deep insights into personal life stories, or if they choose to make more subversive (no less meaningful) contributions. Likewise, it is yet to be seen how the linking of objects with personal stories through tagging could impact people’s relationships with both the objects and the stories they contain. To us, this initial trial phase, while small in scale, has re-emphasised the potential of sharing object memories in the emerging network of symbolic meaning (Weinberger’s “context of meaning”). Seemingly everyday objects did turn out to contain stories behind them, personal stories which people were willing to share. Returning to Weinberger’s quote with which we began this article, TOTeM will enable the traces of material experiences and relationships to become persistently accessible: giving something away would no longer mean entirely not having it, as the narrative of the object’s significance would persist, and can be added to by future participants. Indeed, TOTeM would enable participants to “give away” more than just the object, while retaining access to the tale which would augment the object. Greenfield ends his discussion of the potential of ubicomp by listing multiple experiences which he does not believe would benefit from any technological augmentation: Going for a long run in the warm gentle rain, gratefully and carefully easing my body into the swelter of a hot springs, listening to the first snowfall of winter, savouring the texture of my wife’s lips … these are all things that require little or no added value by virtue of being networked, relational, correlated to my other activities. They’re already perfect, just as they stand. (258) It is a resonant set of images, and most people would be able to produce a similar list of meaningful personal experiences. Yet, as we have already suggested, technology and meaning need not be mutually exclusive. Indeed, as the discussion of TOTeM begins to illustrate, the use of new technologies in new contexts can augment the commercial applications of ubiquoutous computing with meaningful human communication. At the time of writing, the TOTeM platform is in the later stages of development. We envisage the website taking shape and its content becoming more and more meaningful over time. However, some initial object memories should be available from April 2010, and the TOTeM platform and mobile tagging applications will be fully operational in the summer of 2010. Our progress can be followed on www.youtotem.com and http://twitter.com/talesofthings. TOTeM looks forward to receiving “tales of things” from across the world. References Bourdieu, Pierre. Distinction: A Social Critique of the Judgement of Taste. London: Routledge, 1984.Bruns, Axel. “The Future is User-Led: The Path towards Widespread Produsage.” fibreculture 11 (2008). 20 Mar. 2010 ‹http://www.journal.fibreculture.org/issue11/issue11_bruns_print.html›. Dodson, Sean. “Forward: A Tale of Two Cities.” Rob van Kranenburg. The Internet of Things: A Critique of Ambient Technology and the All-Seeing Network of RFID. Amsterdam: Institute of Network Cultures, Network Notebooks 02, 2008. 5-9. 20 Mar. 2010 ‹http://www.networkcultures.org/_uploads/notebook2_theinternetofthings.pdf›. Gitelman, Lisa, and Geoffrey B. Pingree. Eds. New Media: 1740-1915. Cambridge, MA: MIT Press, 2003. Greene, Kathryn, Valerian Derlega, and Alicia Mathews. “Self-Disclosure in Personal Relationships.” Ed. Anita L. Vangelisti and Daniel Perlman. Cambridge Handbook of Personal Relationships. Cambridge: Cambridge UP, 2006. 409-28. Greenfield, Adam. Everyware: The Dawning Age of Ubiquitous Computing. Berkeley, CA: New Riders, 2006. Kawamoto, Dawn. “Report: 3G and 4G Market Share on the Rise.” CNET News 2009. 20 Mar. 2010 ‹http://news.cnet.com/8301-1035_3-10199185-94.html›. Kwint, Marius, Christopher Breward, and Jeremy Aynsley. Material Memories: Design and Evocation. Oxford: Berg, 1999. Miller, Daniel. The Comfort of Things. Cambridge: Polity Press, 2008. Ofcom. ”Accessing the Internet at Home”. 2009. 20 Mar. 2010 ‹http://www.ofcom.org.uk/research/telecoms/reports/bbresearch/bbathome.pdf›. Thomson, Rachel, and Janet Holland. “‘Thanks for the Memory’: Memory Books as a Methodological Resource in Biographical Research.” Qualitative Research 5.2 (2005): 201-19. Turkle, Sherry. Evocative Objects: Things We Think With. Cambridge, MA: MIT Press, 2007. Valhouli, Constantine A. The Internet of Things: Networked Objects and Smart Devices. The Hammersmith Group Research Report, 2010. 20 Mar. 2010 ‹http://thehammersmithgroup.com/images/reports/networked_objects.pdf›. Van Dijk, Jan. The Network Society: Social Aspects of New Media. London: SAGE, 1999. Weinberger, David. Small Pieces Loosely Joined: How the Web Shows Us Who We Really Are. Oxford: Perseus Press, 2002.

Syfte: Syftet med denna studie är att undersöka hur målföretags runup påverkar den premie sombetalas vid företagsförvärv utifrån substitutions- och markup-prissättningshypotesen. Metod: Studien har en deduktiv ansats där en eventstudie har tillämpats för att samla in relevant sekundärdata från databaserna Thomson Reuters Eikon och Zephyr. För att studera sambandet mellan förvärvspremie och målföretagets runup har en enkel regressionsanalys genomförts och för att studera förklarande variablers påverkan på runup har en multipel regressionsanalys tillämpats. Resultat & slutsats: Studiens resultat visar att det förekommer ett samband mellan runup och den förvärvspremie som betalas vid företagsförvärv. Utifrån substitutions- och markup-prissättningshypotesen visar studien att om runup ökar med 1 % ökar förvärvspremien med 0,879% vilket innebär att en ökning av målföretagets runup är en kostnad för det förvärvande företaget. Förslag till fortsatt forskning: Förslag på vidare forskning är att studera fler förklarande variabler för ett målföretags runup samt att studera volymskillnader i handel av målföretagets aktier dagarna före offentliggörande av bud på exempelvis den svenska marknaden för att se huruvida resultatet skiljer sig från tidigare forskning och andra marknader. Uppsatsens bidrag: Studiens resultat bidrar med kunskap som kan förklara den variation i förvärvspremier som förekommer samt kunskap om att ett målföretags runup är en förvärvskostnad för det förvärvande företaget.
Aim: The purpose of this study is to investigate how the target companies’ runup affects thetakeover premium in mergers and acquisitions based on the substitution and markup pricing hypothesis. Method: The study has a deductive approach in which an event study has been applied to collectrelevant secondary data from the databases Thomson Reuters Eikon and Zephyr. To study the relationship between the acquisition premium and the target company’s runup a simple regression analysis has been conducted and to study the influence of explanatory variables on runup a multiple regression analysis has been applied. Result & Conclusions: The study’s results show that there is a relationship between runup and the takeover premiums. Based on the substitution and markup pricing hypothesis, the study shows that if runup increases by 1 % the takeover premium increases by 0.879 % which means that an increase in the target company's runup is a cost to the acquiring company. Suggestions for future research: Suggestions for further research are to study more explanatory variables for a target company's runup and study volume differences in trading of the target company's shares the days prior to bid announcement on the Swedish market to see if the results differ from previous research and other markets. Contribution of the thesis: The study’s results contribute knowledge that can explain the variation in takeover premiums and knowledge that a target company’s runup in an acquisition is a cost for the acquiring company.

Philosophiae Doctor - PhD
Conventional partial differential equations under the classical Black-Scholes approach have been extensively explored over the past few decades in solving option pricing problems. However, the underlying Efficient Market Hypothesis (EMH) of classical economic theory neglects the effects of memory in asset return series, though memory has long been observed in a number financial data. With advancements in computational methodologies, it has now become possible to model different real life physical phenomenons using complex approaches such as, fractional differential equations (FDEs). Fractional models are generalised models which based on literature have been found appropriate for explaining memory effects observed in a number of financial markets including the stock market. The use of fractional model has thus recently taken over the context of academic literatures and debates on financial modelling.
2023-12-02

Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. Both value and momentum is seen as two market anomalies according to earlier literature. The test were made on the Swedish market, and all data were collected from the Nasdaq OMX Stockholm Large Cap list. The findings includes a significant outperformance of market returns in nearly all portfolio tested, as well as lower standard deviations for some. However, an empirical asset pricing model, based on four factors from the Swedish market were constructed to seek explanation for the results. Overall the factor variables were rejected on their statistical significances, except for the market factor which were statistical significant for all portfolios except one.

The stock market have received a fair amount of attention in the media recently as a result of the ongoing covid-19 pandemic. The question arouse if there is one month in the year that outperforms all other months in the stock market. A well known anomaly in the world of finance referred to as, the January effect, came up to discussion. Earlier studies of this subject have achieved different results and conclusions. Therefore, this study aims to examine if the January effect exists on mid cap and large cap companies on the Swedish stock market. To achieve this, one large cap portfolio and one mid cap portfolio both equally weighted with ten companies each were created. These two portfolios were analyzed with, among others, a well known regression model for season anomalies. The results of this study concludes that the January effect does not exist in neither of the portfolios.

Magister Commercii - MCom
The primary objectives of this research are to determine whether indices constructed from fundamental attributes of ALSI constituents outperform indices weighted by market capitalisations; and whether the performance of fundamental indices could be explained by size and value risk factors. The examination period is 1st January 2000 to 31st December 2009. The JSE ALSI constituent’s fundamental attributes; book values, dividends, earnings and sales together with their market values are extracted from DataStream International. Indices are subsequently constructed according to share’s market values and the four aforementioned fundamental attributes as well as a composite metric. The composite metric is a combination of all four fundamental attributes. Fundamental indices are found to be more mean-variance efficient than cap-weighted indices, whilst displaying moderate value bias and minor size bias. Fundamental indices exhibit lower risk-adjusted returns when rebalanced less frequently, except for sales-weighted indices which justly capture undervalued shares that mean revert throughout the year. Fundamental indexation is therefore, adjudged to be superior to cap-weighted methods and only relatively affected by value effect

Bakgrund: Aktierekommendationer är vanligt förekommande i finansiell media samtidigt som teorier säger att man inte systematiskt kan över- eller undervärdera en aktie. Trots detta visar studier att finansmarknaden influeras av aktierekommendationer då handeln ökar efter en annonsering, vilket innebär att de finansiella kunskaperna en student har lärt sig under sin utbildning inte påverkar lika starkt när den sedan väljer att följa en aktierekommendation. Syfte: Syftet med denna studie är att undersöka vilka faktorer som påverkar ekonomistudenters uppfattning av aktierekommendationer och hur stor påverkan valet av utbildningslinje har för hur studenten bedömer aktierekommendationer. Referensram: Referensramen kommer ge en förförståelse samt behandla de teorier som är väsentliga för att utreda studien. Referensramen innefattar prisbildning, EMH, behavioural finance, risk, kulturella influenser, utbildningens influenser och skolornas bakgrund. Metod: För att bäst kunna besvara och undersöka syftet genomförs studien som en förklarande surveyundersökning med en kvantitativ ansats. Undersökningen utförs genom en elektronisk enkät som skickas ut till studenter. Empiri: Det empiriska materialet består av enkätsvar från studenter från fyra olika ekonomiska utbildningslinjer som bearbetats med stistiska metoder. Slutsats: Valet av utbildningslinje påverkar studentens uppfattning om aktierekommendationer. De faktorer som påverkar är tron på den effektiva marknadshypotesen, studentens finansiella intresse, kön, riskbenägenhet, teoretisk kunskap samt kultur. Dessa faktorer påverkar utbildningslinjerna olika starkt.
Background: Share price recommendations are a common feature in the financial media. At the same time the financial theories argue that an asset can't systematically be over- or under valued. In spite of this, former studies show that share price recommendations do influence the financial market since the trade increases after an announcement. This means that the financial knowledge the student obtain during its education won’t matter when he or she chooses to follow a share price recommendation. Purpose: The purpose of this study is to investigate which factors influence students’ opinions about share price recommendations, and how big effect the students’ business education has on that opinion. Theory: The frame of reference will give the reader a deeper knowledge beyond the theory and also theoretical perspectives essential for analysing the study. The frame of reference will consist of asset pricing, the effective market hypothesis, behavioural finance, cultural influences, educational influences as well as the schools backgrounds. Methodology: For best being able to answer to the purpose of this study, an explanatory survey investigation with a quantitative method is being made. The study will be investigated through an electronic questionnaire that will be sent to students. Empirical findings: The empirical material consits of the answers of students from four different business educations. Conclusions: The business educations affect the students’ opinion about share price recommendations in differing ways. The influencing factors are whether the student believes in effective market hypothesis, the students’ personal interest in finance, gender, risk appetite, theoretical knowledge, and culture.

Investors and fund managers have, since the start of financial markets, always been on the lookout for new ways of beating the market. However, researchers of the Efficient Market Hypothesis have shown that markets are usually highly efficient, implying that there are few possibilities of earning returns that are higher than the market returns, on a risk adjusted basis. Prevailing theories, such as the Capital Asset Pricing Model, has shown that increased return must stem from taking on higher risk. Though, this model’s explanatory power has been challenged by numerous researchers who propose different factors, other than market risk, which could hold explanatory power when it comes to returns in the stock market. This area of research is called factor investing, and has shown that factors such as momentum, size, and value, all can lead to outperforming the market.This study examines how a model based on two common factors, quality and value, would have performed on the Swedish stock market. The study is based on five portfolios chosen by the quality and value factors, each one held for 5 years, examined over a 25-year time span and uses the capital asset pricing model as a tool to measure whether or not the selected factors outperform the market. The study has taken a quantitative approach to examining the research question, using a positivistic and objectivistic view.The results of the study show evidence that the quality and value factors can lead to significant outperformance relative to the market index. Both total returns and risk adjusted returns were higher than the market index for some of the portfolios created using the quality and value factors. Furthermore, statistical evidence was found of that CAPM not fully explains all returns, and thus, that the returns are in part explained by the quality and value factors. The findings led to the conclusion that the quality and value factors does, in fact, hold explanatory power beyond that of CAPM. Purchasing quality companies at a reasonable price is shown to be a sound investment strategy, and that a portfolio created using the quality and value factors has good chances of outperforming the market index.

The purpose of this study is to examine a completely new phenomenon called the MIST, by two portfolios: the Goldman Sachs Next 11 equity fund, and the Goldman Sachs BRIC fund, in order to establish whether or not the MIST countries are a better investment decision in terms of risk, return and growth. Furthermore, the study examines in which form these emerging markets lies in terms of market efficiency, and if the random walk theory is present. The opportunities and challenges for Mexico, Indonesia, South Korea and Turkey are also brought upon to determine whether these countries have the potential to exhibit the same success as the BRIC countries did for a decade. Since the growth of the BRIC countries are slowing down, Jim O’Neill, the same founder of the term BRIC, coined the nations MIST. The BRIC countries are facing several difficulties and have led investors to draw out from these countries stocks. Investors that were pouring in money to the BRIC countries during the period 2001-2009, have from 2011, withdrawn 15 billion dollars from the BRIC stocks. Mexico, Indonesia, South Korea and Turkey. Derived from the next eleven countries, these countries have a major effect on the global economy due to their economical and political circumstances. For many investors, the MIST countries that are growing faster than the BRIC are regarded to be the new biggest emerging markets. Investing in BRIC funds are stated to be a disaster today, while on the other hand, the MIST countries are growing and outpacing the BRIC fund. The methodology used was to compare two different portfolios, Goldman Sachs N-11 equity fund in the period 2011-2013 against the Goldman Sachs BRIC fund in two different periods, 2011-2013 and 2006-2008 with S&P 500 as the market index. In addition, a hypothesis test was carried out for this period to observe whether or not to reject the null hypothesis. The results of this study shows that the null hypothesis was rejected and that the N-11 equity fund is a better investment decision, in terms of risk, return and growth today. These emerging markets are under the weak form market efficiency and the random walk theory is present in the N-11 equity fund. This makes the authors’ results more of a speculation than a definite conclusion about the future, as one cannot "beat the market".

Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. The investment strategy implemented use Market-to-Book-Value to screen for both entry and exit signals and Modern Portfolio Theory, using the minimum-variance portfolio with short-selling constraints, to allocate assets within the portfolio. The investment strategy is evaluated using the Modigliani-Modigliani Risk Adjusted Performance measure. Conclusions from the thesis are that the strategy does outperform the Swedish stock market index, both in terms of nominal return and risk-adjusted performance. The suboptimal behaviour of investors where they overreact  to signals and unconsciously rely on heuristics is used to explain why this is possible. Market-to-Book-Value, using the first quartile as entry signal and third quartile as exit signal, is considered to be a successful key ratio to screen for value stocks.

This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks.
Yarmouk University, Jordan.

ZusammenfassungWithin the field of capital market research, two diametrically opposed conceptions continue to be prevailing: The efficient market hypothesis by Fama (1970) on the one hand and the behavioral finance approach by Shiller (2003) on the other hand. According to Fama (1970), capital markets are efficient in a sense that current prices of securities incorporate all information available up to that point in time. Consequently, following Fama’s reasoning, there exist no possibilities to gain riskless profits by exploiting mispricings (so-called arbitrage) (Fama, 1970). Shiller (2003), in contrast, puts forward the claim that markets tend to behave irrationally, implying that there indeed exist possibilities to exploit mispricings.

This chapter looks at the conflict between the exponents of two different and incompatible ways of conducting financial research by Fischer Black and Eugene Fama. It contrasts the trajectory of the efficient-market hypothesis with that of the Capital Asset Pricing Model (CAPM). Financial economists ultimately relegated CAPM to the status of one among many competing methods of portfolio selection, while market practitioners continue using it to make quick, back-of-the-envelope calculations. The chapter discusses how CAPM is recognized as the “centerpiece of modern financial economics” and how it is mainly explained in terms of historical significance, practical implications, and empirical shortcomings. The heart of the matter is that CAPM could be framed as one of the auxiliary assumptions that tests of the joint hypothesis of market efficiency relied on.

This study investigates the relation between idiosyncratic volatility and future returns around the firm-specific news announcements in the Korean stock market from July 1995 to June 2018. The excess returns of decile portfolios that are formed by sorting the stocks based on news and non-news idiosyncratic volatility measures. The Fama and French three-factor model is also examined to see whether systematic risk affects news and non-news idiosyncratic volatility profits. The pricing of our news and non-news idiosyncratic volatility are confirmed in the cross-sectional regression using the Fama and MacBeth method. Market beta, size, book to market, momentum, liquidity, and maximum return are controlled to determine robustness. Our empirical evidence suggests that the pricing of the non-news idiosyncratic volatility is more strongly negative compared to the news idiosyncratic volatility, which is contrary to the limited arbitrage explanation for the negative price of the idiosyncratic volatility. We find that the non-news idiosyncratic volatility has a robust negative relation to returns in non-January months. Macro-finance factors drive the conditioned on the missing risk factor hypothesis, the pricing of idiosyncratic volatility. This study contributes to a better understanding of the role of the conditional idiosyncratic volatility in asset pricing. As the Korean stocks provide a fresh sample, our non-U.S. investigation delivers a useful out-of-sample test on the pervasiveness of the non-news volatility effect across the emerging markets.

The performance of the housing market is currently considered a measure of economic activity. This research explores the connectedness vs. the ripple effect hypothesis in the current house pricing literature. Using linear causality and nonlinear causality tests we show significant bidirectional dependence between the London house prices and other UK regions’ house prices except for Northern Ireland and Wales in contrast to the existing literature where more evidence of ripple effect is reported. Furthermore, linear and non-linear forecasting tests back these results. This result has important implications for policymakers and investors.