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Efficiency on the Swedish stock market: An event study on quarterly earnings announcements
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2013 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The semi-strong form of the Efficient Market Hypothesis states that all available public information is always included in stock prices. This implies that it is impossible to consistently beat the market. Is this true? The objective of this paper is to investigate whether the OMXS is efficient when quarterly earnings are announced. An event study will be conducted on 48 companies listed on the OMXS, with four quarterly earning announcements each. Abnormal return will be calculated, as the different between actual and expected return, then cumulated and categorized as "Good news", "No news" or "Bad news". These groups will be tested for efficiency and also tested in subgroups; market capitalization groups and the different stock sectors. The results showed that the OMXS to a high degree is efficient and that there are also some differences within market caps and sectors.

Place, publisher, year, edition, pages
Keyword [en]
Efficient Market Hypothesis, Event Study, Market Model, Cumulated Abnormal Return, OMXS
National Category
URN: urn:nbn:se:uu:diva-197858OAI: oai:DiVA.org:uu-197858DiVA: diva2:614522
Social and Behavioural Science, Law
Available from: 2013-04-05 Created: 2013-04-05 Last updated: 2013-04-05Bibliographically approved

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