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Ex-dagseffekten: Existerar överavkastningar på Stockholmsbörsen i samband med utdelningar?
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2012 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Denna studie har undersökt huruvida det är möjligt att på Nasdaq OMX Stockholm generera systematiska överavkastningar i samband med att aktier börjar handlas exklusive rätt till utdelningar. Samtliga utdelningstillfällen har undersökts under perioden 2007-2011 vilket givit en total observationsmängd på 699 stycken tillfällen. Genom att ha tagit hänsyn till eventuella marknadsfluktueringar och vikta dessa med bolagets unika risk, i form av betatal, har resultaten även justerats för normalavkastningar under den undersökta dagen. Resultaten från Large Cap, Mid Cap samt Small Cap har sedan jämförts. Resultaten visar att överavkastningar är möjliga under dagen då aktien slutar handlas inklusive utdelning, samt att effekten är större för de mindre bolagen.

Abstract [en]

This study, has examined the possibility of achieving abnormal returns in the Swedish stock market on the day when stocks no longer trade with its dividend rights. All stocks on Nasdaq OMX Stockholm had been analyzed during 2007-2011, a total of 699 observations. By also including market fluctuations and weight of these fluctuations with the stock’s unique risk, the results have been adjusted for the normal return during the observed day. The results from Large Cap, Mid Cap and Small Cap have then been compared to one another. The overall result shows that abnormal returns are possible on the day stocks no longer trade with the rights of dividends. The result also shows larger, abnormal returns for smaller companies.

Place, publisher, year, edition, pages
2012. , 46 p.
Keyword [en]
dividend, dividend yield, ex-dividend, ex-dividend day, abnormal return, Nasdaq OMX Stockholm
Keyword [sv]
aktieutdelning, direktavkastning, ex-dag, ex-dagseffekt, överavkastning, Nasdaq OMX Stockholm
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-181445OAI: oai:DiVA.org:uu-181445DiVA: diva2:556133
Subject / course
Economics
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2012-09-24 Created: 2012-09-24 Last updated: 2012-09-24Bibliographically approved

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Citation style
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