En studie av säsongs- och branschanomalier på den svenska aktiemarknaden

Purpose: The purpose of this study has been to investigate whether Frennberg & Hanssons earlier study of anomalies still are correct, and if these are valid for certain sectors. Methodology: In an effort to find seasonal patterns on the Swedish exchange market, we have used the average daily returns. By using these patterns we have created investment strategies which have then been tested over a 10 year period. We also used t-tests to verify our results. Conclusions: We have been able to prove a change in the seasonal patterns that Frennberg & Hansson presented in their study. We find a "winter effect" with a statistically proven positive return. We also found that in search of anomalies, a limit which sets the boundaries to low gives the wrong results. We found that an optimal investment strategy would be a long position in AFGX between November 11th and August 5th, when a position in the risk free asset would start. We have statistically proven that this would generate a positive return, in comparison to a "Buy & Hold" strategy