Inlämning av Examensarbete / Submission of Thesis

Pawel Merdi , pp. 36. MAM/Sektionen för Management, 2012.

The work

Författare / Author: Pawel Merdi
pawel.merdi@gmail.com
Titel / Title: Anomalies in ex right day of rights offers: (Evidence from the Swedish Stock Market)
Abstrakt Abstract:

The purpose of this thesis is to study the anomalies around the ex-right day of right issue. Evidence suggests that the equity price is not always adjusted according to the Theoretical ex-right price (TERP) around ex-right date and therefore creates large arbitrage opportunities. In an international perspective very few studies have been conducted on this area and to make attempt to provide explanations for market inefficiency of these markets. This study comprises an investigation of rights issues carried out on the Stockholm Stock Exchange during the period of 2009 and 2011, counting 45 rights offerings on the Large, Mid and Small Cap lists.

The study is based on quantitative nature and is derived with an event study and a hypothesis testing. Collected data were analysed during an event window of nine days with ex-right date set as the event day and an estimation window of 100 days.

Common Efficient Market Hypothesis (EMH) has been utilized to study the market efficiency around the ex-right date to explain the behaviour. Findings in this paper tell us that the excess return that has been observed can tactically be utilized by an observant investor to save money in a right issue that is commonly associated with diminishing returns for the investor..

Ämnesord / Subject: Företagsekonomi - Business Administration\International Business

Nyckelord / Keywords: Right Issues, Rights Offer, Ex-right day, Record date, Efficient Market Hypothesis (EMH), Theoretical Ex-right Price (TERP), Event Study, Abnormal Returns, Swedish Stock Exchange, Seasonal Equity offerings (SEO), Subscription Rights

Publication info

Dokument id / Document id: houn-92mjup
Program:/ Programme Master of Business Administration (MBA)
Registreringsdatum / Date of registration: 12/03/2012
Uppsatstyp / Type of thesis: Magisterarbete/Master's Thesis (60 credits)

Context

Handledare / Supervisor: Fredrik Jörgensen
Examinator / Examiner: Ossi Pesämaa
Organisation / Organisation: Blekinge Institute of Technology
Institution / School: MAM/Sektionen för Management
S-372 25 Ronneby
+46 455 38 50 00

Files & Access

Bifogad uppsats fil(er) / Files attached: master thesis pawel merdi.pdf (492 kB, öppnas i nytt fönster)