Market Efficiency Analysis at the Stockholm Stock Exchange: Measuring Intraday Stock Price Performance around Interim Reports of the OMXS30 Large Cap Stocks - An Event Study Approach
The purpose of this thesis is to perform event studies that determine the level of efficiency of twenty-two large cap stocks from the OMXS30 Index. Under the event study methodology, analysts’ expectations, the standard Capital Asset Pricing Model and a set of parametric tests are implemented. As a...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
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Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2010
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9667 |
| Summary: | The purpose of this thesis is to perform event studies that determine the level of efficiency of twenty-two large cap stocks from the OMXS30 Index. Under the event study methodology, analysts’ expectations, the standard Capital Asset Pricing Model and a set of parametric tests are implemented. As a result, significant evidence is found on the existence of intraday abnormal returns at the exact moment of an interim report publication. However, further evidence on market corrections state efficient market behavior. |
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