market efficiency

THE EX-DIVIDEND DAY STOCK PRICE BEHAVIOR: FTSE 100 of the London Stock Exchange

This report evaluates the ex-dividend stock price behavior in the London Stock Exchange to find out if the share prices really drop by the same amount as the dividend on the ex-dividend day. The test data covers Eighty FTSE100 corporations of the London stock exchange for the period 2001 to ...

Category : Finance Projects
Time Series Econometrics: Heteroskedasticity in Stock Return Data: Volume and Number of Trades versus GARCH Effects

The result of Lamoureux and Lastrapes and Omran and McKenzie are extended to the Swedish stock market, and this paper examines their findings that GARCH modelling captures the serial dependence in information flow into the market. Moreover, this paper also examines if (as a proxy for information flow) the number ...

Accounting Information for Stock Market Efficiency

This thesis contributes to the discussion on the importance of accounting information for stock market efficiency. As any analysis of market efficiency depends on the use of adequate risk proxies, the thesis first investigates the ability of commonly used risk factors to explain the cross-sectional variation of Swedish stock returns. ...

Category : Finance Projects