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Bigger is not always better: En studie om likviditetens påverkan på småbolagseffekten på Nasdaq OMX Stockholm, 2002-2013
Linnaeus University, School of Business and Economics, Department of Management Accounting and Logistics.
Linnaeus University, School of Business and Economics, Department of Management Accounting and Logistics.
2015 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesisAlternative title
Bigger is not Always Better : A study on the effect of liquidity on the small firm effect on Nasdaq OMX Stockholm, 2002-2013 (English)
Abstract [sv]

Prissättningsteorier och modeller som the capital asset pricing model (CAPM) förutsätter en friktionslös marknad som är hundra procent likvid. Då verkligen inte lever upp till dessa förutsättningar har forskare inom det finansiella området sökt efter förklaringar, utöver marknadsrisk, till tvärsnittsskillnader i aktiers avkastning. Banz (1981) visar att skillnader i avkastning kan förklaras av bolagens börsvärde och att småbolag systematiskt sett överpresterar i förhållande till större. Bolagets storlek i sig kan dock inte antas vara förklaringen till detta faktum, utan snarare okända faktorer korrelerade med storlek. Frågan är inte om småbolag avkastar bättre, utan snarare varför! En vanlig förklaring ligger i skillnader i transaktionskostnader och likviditet mellan stora och små bolag.

Abstract [en]

Standard Asset Pricing theories and models like the capital asset pricing model (CAPM) assume that markets are frictionless and a hundred percent liquid. Since the market in reality does not live up to these assumptions, scientists within the field of finance have sought for explanations, other than market risk, to cross-sectional differences in stock returns. Banz (1981) shows that differences in stock returns can be explained by the market capitalization of the stock and that small stocks systematically outperform larger ones. However, this fact cannot be contributed to the size of the company itself, but rather to unknown factors correlated with size. The question is not if small cap companies generate higher returns, but rather why! A common explanation lies within the cross-sectional differences in transaction costs and liquidity of small- and large cap stocks.

Place, publisher, year, edition, pages
2015. , 102 p.
Keyword [sv]
Likviditet, småbolagseffekten, finans, stockholmsbörsen, likviditetspremie, likviditetsrisk
National Category
Business Administration Economics
Identifiers
URN: urn:nbn:se:lnu:diva-47082OAI: oai:DiVA.org:lnu-47082DiVA: diva2:867884
Subject / course
Business Administration - Accounting
Educational program
Business Administration and Economics Programme, 240 credits
Supervisors
Examiners
Available from: 2015-11-16 Created: 2015-11-06 Last updated: 2015-11-16Bibliographically approved

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CiteExportLink to record
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