Browsing by Author "Bergsten, Bo"

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    Earnings announcements and the Stockholm Stock Exchange: Irrational investors and market inefficiency
    (2016-09-21) Bergsten, Bo; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
    Earlier research has demonstrated the existence of the anomaly post earnings announcement drift (PEAD) on several efficient markets; i.e. the phenomenon where an unexpectedly good (bad) earnings report causes a firms share price to outperform (underperform) the market for an extended time period after the report. Using event study methodology and an extended sample of 10,252 quarterly earnings reports from 297 small, medium and large-cap stocks listed on the Stockholm Stock Exchange during the time period 2005 through 2015, I confirm the existence of PEAD. I present a simple trading strategy that in theory would have generated 11.1 percent in annual abnormal returns. Using a more practical and perspicuous method, I confirm the findings of Setterberg (2007). My findings support the view that liquidity and risk factors are not the sole cause of PEAD and I argue for a behavioral explanation.
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    Market efficiency and herding: A cross-country analysis
    (2014-06-24) Bergsten, Bo; Olsson, Mattias; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
    In this thesis we examine whether or not herd behavior, the act of market participants to ignore their own beliefs and instead follow the market consensus, is present in four different stock markets. To be able to establish if herd behavior is present, a measure based upon cross-sectional deviation are employed to a set of data covering stock markets returns. Furthermore, we decide to divide these four stock markets into a group of two emerging markets and compare the empirical results against two developed markets. We find significant evidence of herd behavior in the emerging stock markets. In addition, our results indicate that herd behavior is more profound when prices are decreasing than increasing. As a consequence of our results, investors need a larger set of stock to achieve the same level of diversification in markets with herd behavior.