Browsing by Author "Bodin, Oscar"

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Can an investor gain positive abnormal return by mimicking insider transactions?
(2021-02-24) Bodin, Oscar; Tell, Jonatan; University of Gothenburg/Department of Business Administration; Göteborgs universitet/Företagsekonomiska institutionen
Background: The efficient market hypothesis is a theory that has been widely debated and studied during the years. Some agree with the theory, but some disagree. One way to study the efficient market hypothesis is by looking at the possibility to gain positive abnormal return on the stock market. A lot of studies have been made throughout the years but mainly in bigger countries and markets like USA and UK and the results vary. This makes it interesting to study the Swedish market to see to what extent insiders can exploit insider information and the markets efficiency to price these insider transactions. The study is based on insider transactions in all companies on OMXS30 during the period 2015- 01-01 to 2020-10-30. We also investigate if there is a correlation between abnormal return and transaction size, transaction type or the position of the insider. Question at issue: Can an investor gain positive abnormal return by mimicking insider transactions of firms in OMXS30? Methodology: An event study is done where the price of each stock is compared to OMXS30, when an insider transaction has been made, over a time period of 20, 60 and 120 business days. Further, we investigate if the results are statistically significant by doing a t-test with a 95% significance level. The study’s null hypothesis and alternative hypothesis are the following: H0: It is not possible to gain positive abnormal return by mimicking insiders. HA: It is possible to gain positive abnormal return by mimicking insiders. Results: The study shows that it is possible to gain positive abnormal return on OMXS30, but only by mimicking the sell transactions of insiders. It also shows that the mimicking of any chief officer position will generate the highest short-term return, also, the highest transaction size points to the highest short-term return.
Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market
(2023-06-29) Bodin, Oscar; Börjeson, Pär; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
This study investigates the performance of the traditional return momentum strategy and the residual momentum strategy on the Swedish market over the period 1990 to 2022. The residual momentum strategy show higher risk-adjusted return compared to the traditional return momentum strategy in equally weighted portfolios, and the opposite in value-weighted portfolios. A key finding is that the residual momentum strategies experience notably lower volatility overall. In addition, we find the momentum strategies to be size-dependent and perform significantly better in the medium-sized companies. In the end, it is still difficult to say whether strategies like this will generate positive return in real life since momentum investing is plagued by high turnover, which implies high transaction costs.