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Marknadsimperfektioner i samband med kontantutdelning på Stockholmsbörsen
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2018 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Market imperfections on Stockholm Stock Exchange in conjunktion with cash dividends (English)
Abstract [sv]

Aktiepristeorier påstår att priset justeras proportionerligt med förlorad rätt till utdelning vid köppå ex-dagen. Tidigare studier har gett bevis på prisanomalier i USA, Japan och Oman. Genom attestimera en teoretisk aktiekursrörelse och jämföra den med den faktiska aktiekursrörelsen drar vislutsatsen att prisanomalier förekommit på Stockholmsbörsen under vår undersökta tidsperiod.Vårt resultat visar att ex-dagseffekten är relaterad till kontantutdelningar; den är inte entillfällighet och kan inte helt förklaras av egenskaper på specifika marknader.

Abstract [en]

Stock price theories suggest that prices adjust proportionate to the loss of dividend yields on ex-days.Earlier studies have shown evidence of pricing anomalies in USA, Japan and Oman. By estimating atheoretical stock return and comparing it to the actual returns over a time period close to the ex-dayswe can conclude that pricing anomalies have occurred in Stockholm Stock Exchange during ourmeasured period. Our findings show that the ex-day effect is related to cash dividends; it is notcoincidental and cannot be fully explained by attributes of particular markets.

Place, publisher, year, edition, pages
2018. , p. 29
Series
TRITA-ABE-MBT ; 18253
Keywords [en]
Ex-day, Cash dividend, Buying pressure, Market imperfections
Keywords [sv]
Ex-dagen, Kontantutdelning, sinken, marknadsimperfektion, Prisanomali, Köptryck
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-231852OAI: oai:DiVA.org:kth-231852DiVA, id: diva2:1230472
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Examiners
Available from: 2018-07-03 Created: 2018-07-03 Last updated: 2018-07-03Bibliographically approved

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Output format
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