market efficiency

This report looks into the short-run price change near the acquisition announcement and the long-run upward tendency of the cross-sectional average buy-and-hold returns. We use the geometric Brownian motion model to decompose the cross-sectional average long-run returns into mean components and volatility components. The decomposition is essential to be able ...

This paper investigates the relationship between inter-firm labor mobility and regional productivity growth. Previous studies have shown that density is positively correlated with growth. I claim that it is not density in itself, but rather the attributes associated with it that drives economic growth. One such attribute is the increased ...

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 ...

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. ...