7. Slutsats
7.2 Förslag till framtida forskning
Framtida forskning inom ämnet överreaktion bör ta hänsyn till företagens storlek. Denna uppsats, som ett antal tidigare studier har indikerat, bekräftar att
överreaktionseffekten, till stor del, är resultatet av en småbolagseffekt. Ur detta
hänseende vore det intressant att undersöka fenomenet med en annan avkastningsmodell än CAPM. En modell som bättre tar hänsyn till småbolagseffekten, exempelvis Fama och Frenchs (1993) 3-faktorsmodell kan lämpligen användas.
Resultaten indikerar att investerare kan, genom contrarianstrategin med en veckas innehavsperiod, själva likavikta sina portföljer och på så sätt generera överavkastning. Uppsatsen har diskuterat effekten av transaktions- och informationskostnader av en sådan strategi. Det vore ändock intressant att undersöka om en sådan strategi skulle fungera i praktiken, genom att investerare riktiga pengar i strategin.
40
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Appendix
T-test av marknadsjusterade, likaviktade portföljer (Tabell 1)
Two-Sample T-Test and CI: ACARF,1; ACARV,1Two-sample T for ACARF,1 vs ACARV,1 N Mean StDev SE Mean ACARF,1 2821 0,020 0,140 0,0026 ACARV,1 2886 -0,015 0,126 0,0023
Difference = μ (ACARF,1) - μ (ACARV,1) Estimate for difference: 0,03473 95% lower bound for difference: 0,02893
T-Test of difference = 0 (vs >): T-Value = 9,85 P-Value = 0,000 DF = 5613
Two-Sample T-Test and CI: ACARF,2; ACARV,2
Two-sample T for ACARF,2 vs ACARV,2 N Mean StDev SE Mean ACARF,2 2773 0,005 0,175 0,0033 ACARV,2 2821 0,001 0,172 0,0032
Difference = μ (ACARF,2) - μ (ACARV,2) Estimate for difference: 0,00373
95% lower bound for difference: -0,00391
T-Test of difference = 0 (vs >): T-Value = 0,80 P-Value = 0,211 DF = 5586
Two-Sample T-Test and CI: ACARF,3; ACARV,3
Two-sample T for ACARF,3 vs ACARV,3 N Mean StDev SE Mean ACARF,3 2768 0,006 0,203 0,0039 ACARV,3 2822 -0,002 0,192 0,0036
Difference = μ (ACARF,3) - μ (ACARV,3) Estimate for difference: 0,00793
95% lower bound for difference: -0,00076
T-Test of difference = 0 (vs >): T-Value = 1,50 P-Value = 0,067 DF = 5554
Two-Sample T-Test and CI: ACARF,4; ACARV,4
Two-sample T for ACARF,4 vs ACARV,4 N Mean StDev SE Mean ACARF,4 2780 0,004 0,223 0,0042 ACARV,4 2800 -0,001 0,206 0,0039
Difference = μ (ACARF,4) - μ (ACARV,4) Estimate for difference: 0,00529
95% lower bound for difference: -0,00418
T-Test of difference = 0 (vs >): T-Value = 0,92 P-Value = 0,179 DF = 5538
Two-Sample T-Test and CI: ACARF,5; ACARV,5
Two-sample T for ACARF,5 vs ACARV,5 N Mean StDev SE Mean ACARF,5 2758 0,004 0,253 0,0048 ACARV,5 2796 0,002 0,225 0,0043
Difference = μ (ACARF,5) - μ (ACARV,5) Estimate for difference: 0,00128
95% lower bound for difference: -0,00930
T-Test of difference = 0 (vs >): T-Value = 0,20 P-Value = 0,421 DF = 5460
Two-Sample T-Test and CI: ACARF,6; ACARV,6
Two-sample T for ACARF,6 vs ACARV,6 N Mean StDev SE Mean ACARF,6 2765 0,009 0,340 0,0065 ACARV,6 2802 0,007 0,246 0,0046
Difference = μ (ACARF,6) - μ (ACARV,6) Estimate for difference: 0,00230
95% lower bound for difference: -0,01080
T-Test of difference = 0 (vs >): T-Value = 0,29 P-Value = 0,387 DF = 5031
Two-Sample T-Test and CI: ACARF,7; ACARV,7
Two-sample T for ACARF,7 vs ACARV,7 N Mean StDev SE Mean ACARF,7 2750 0,011 0,358 0,0068 ACARV,7 2798 0,009 0,267 0,0050
Difference = μ (ACARF,7) - μ (ACARV,7) Estimate for difference: 0,00143
95% lower bound for difference: -0,01254
T-Test of difference = 0 (vs >): T-Value = 0,17 P-Value = 0,433 DF = 5080
Two-Sample T-Test and CI: ACARF,8; ACARV,8
Two-sample T for ACARF,8 vs ACARV,8 N Mean StDev SE Mean ACARF,8 2724 0,005 0,371 0,0071 ACARV,8 2787 0,016 0,350 0,0066
Difference = μ (ACARF,8) - μ (ACARV,8) Estimate for difference: -0,01105 95% lower bound for difference: -0,02704
T-Test of difference = 0 (vs >): T-Value = -1,14 P-Value = 0,872 DF = 5473
Two-Sample T-Test and CI: ACARF,9; ACARV,9
Two-sample T for ACARF,9 vs ACARV,9 N Mean StDev SE Mean ACARF,9 2723 0,012 0,446 0,0085 ACARV,9 2797 0,019 0,375 0,0071
Difference = μ (ACARF,9) - μ (ACARV,9) Estimate for difference: -0,0076 95% lower bound for difference: -0,0258
T-Test of difference = 0 (vs >): T-Value = -0,68 P-Value = 0,752 DF = 5310
Two-Sample T-Test and CI: ACARF,10; ACARV,10
Two-sample T for ACARF,10 vs ACARV,10 N Mean StDev SE Mean ACARF,10 2736 0,018 0,497 0,0095 ACARV,10 2776 0,017 0,391 0,0074
Difference = μ (ACARF,10) - μ (ACARV,10) Estimate for difference: 0,0013
95% lower bound for difference: -0,0185
T-Test of difference = 0 (vs >): T-Value = 0,11 P-Value = 0,457 DF = 5187
T-test av riskjusterade, likaviktade portföljer (Tabell 2)
Two-Sample T-Test and CI: ACARF,1; ACARV,1Two-sample T for ACARF,1 vs ACARV,1 N Mean StDev SE Mean ACARF,1 2655 0,019 0,144 0,0028 ACARV,1 2739 -0,016 0,130 0,0025
Difference = μ (ACARF,1) - μ (ACARV,1) Estimate for difference: 0,03487 95% lower bound for difference: 0,02873
T-Test of difference = 0 (vs >): T-Value = 9,35 P-Value = 0,000 DF = 5297
Two-Sample T-Test and CI: ACARF,2; ACARV,2
Two-sample T for ACARF,2 vs ACARV,2 N Mean StDev SE Mean ACARF,2 2604 0,002 0,178 0,0035 ACARV,2 2685 -0,001 0,173 0,0033
Difference = μ (ACARF,2) - μ (ACARV,2) Estimate for difference: 0,00282
95% lower bound for difference: -0,00514
T-Test of difference = 0 (vs >): T-Value = 0,58 P-Value = 0,280 DF = 5269
Two-Sample T-Test and CI: ACARF,3; ACARV,3
Two-sample T for ACARF,3 vs ACARV,3 N Mean StDev SE Mean ACARF,3 2606 0,001 0,205 0,0040 ACARV,3 2680 -0,006 0,194 0,0037
Difference = μ (ACARF,3) - μ (ACARV,3) Estimate for difference: 0,00786
95% lower bound for difference: -0,00118
T-Test of difference = 0 (vs >): T-Value = 1,43 P-Value = 0,076 DF = 5244
Two-Sample T-Test and CI: ACARF,4; ACARV,4
Two-sample T for ACARF,4 vs ACARV,4 N Mean StDev SE Mean ACARF,4 2619 -0,001 0,225 0,0044 ACARV,4 2657 -0,007 0,211 0,0041
Difference = μ (ACARF,4) - μ (ACARV,4) Estimate for difference: 0,00571
95% lower bound for difference: -0,00416
T-Test of difference = 0 (vs >): T-Value = 0,95 P-Value = 0,171 DF = 5243
Two-Sample T-Test and CI: ACARF,5; ACARV,5
Two-sample T for ACARF,5 vs ACARV,5 N Mean StDev SE Mean ACARF,5 2599 -0,001 0,256 0,0050 ACARV,5 2653 -0,004 0,226 0,0044
Difference = μ (ACARF,5) - μ (ACARV,5) Estimate for difference: 0,00299
95% lower bound for difference: -0,00797
T-Test of difference = 0 (vs >): T-Value = 0,45 P-Value = 0,327 DF = 5140
Two-Sample T-Test and CI: ACARF,6; ACARV,6
Two-sample T for ACARF,6 vs ACARV,6 N Mean StDev SE Mean ACARF,6 2605 0,002 0,345 0,0068 ACARV,6 2667 -0,000 0,250 0,0048
Difference = μ (ACARF,6) - μ (ACARV,6) Estimate for difference: 0,00293
95% lower bound for difference: -0,01076
T-Test of difference = 0 (vs >): T-Value = 0,35 P-Value = 0,362 DF = 4737
Two-Sample T-Test and CI: ACARF,7; ACARV,7
Two-sample T for ACARF,7 vs ACARV,7 N Mean StDev SE Mean ACARF,7 2594 0,003 0,366 0,0072 ACARV,7 2664 0,001 0,268 0,0052
Difference = μ (ACARF,7) - μ (ACARV,7) Estimate for difference: 0,00189
95% lower bound for difference: -0,01270
T-Test of difference = 0 (vs >): T-Value = 0,21 P-Value = 0,416 DF = 4752
Two-Sample T-Test and CI: ACARF,8; ACARV,8
Two-sample T for ACARF,8 vs ACARV,8 N Mean StDev SE Mean ACARF,8 2566 -0,005 0,370 0,0073 ACARV,8 2660 0,006 0,355 0,0069
Difference = μ (ACARF,8) - μ (ACARV,8) Estimate for difference: -0,0113 95% lower bound for difference: -0,0278
T-Test of difference = 0 (vs >): T-Value = -1,13 P-Value = 0,871 DF = 5192
Two-Sample T-Test and CI: ACARF,9; ACARV,9
Two-sample T for ACARF,9 vs ACARV,9 N Mean StDev SE Mean ACARF,9 2571 0,001 0,447 0,0088 ACARV,9 2670 0,008 0,384 0,0074
Difference = μ (ACARF,9) - μ (ACARV,9) Estimate for difference: -0,0072 95% lower bound for difference: -0,0262
T-Test of difference = 0 (vs >): T-Value = -0,62 P-Value = 0,734 DF = 5057
Two-Sample T-Test and CI: ACARF,10; ACARV,10
Two-sample T for ACARF,10 vs ACARV,10 N Mean StDev SE Mean ACARF,10 2583 0,007 0,500 0,0098 ACARV,10 2646 0,003 0,395 0,0077
Difference = μ (ACARF,10) - μ (ACARV,10) Estimate for difference: 0,0044
95% lower bound for difference: -0,0161
T-test av marknadsjusterade, värdeviktade portföljer (Tabell 3)
Two-Sample T-Test and CI: ACARF,1; ACARV,1Two-sample T for ACARF,1 vs ACARV,1 N Mean StDev SE Mean ACARF,1 2821 0,000 0,237 0,0045 ACARV,1 2886 0,001 0,229 0,0043
Difference = μ (ACARF,1) - μ (ACARV,1) Estimate for difference: -0,00025 95% lower bound for difference: -0,01042
T-Test of difference = 0 (vs >): T-Value = -0,04 P-Value = 0,516 DF = 5687
Two-Sample T-Test and CI: ACARF,2; ACARV,2
Two-sample T for ACARF,2 vs ACARV,2 N Mean StDev SE Mean ACARF,2 2773 -0,012 0,474 0,0090 ACARV,2 2821 0,017 0,436 0,0082
Difference = μ (ACARF,2) - μ (ACARV,2) Estimate for difference: -0,0286 95% lower bound for difference: -0,0487
T-Test of difference = 0 (vs >): T-Value = -2,35 P-Value = 0,991 DF = 5536
Two-Sample T-Test and CI: ACARF,3; ACARV,3
Two-sample T for ACARF,3 vs ACARV,3 N Mean StDev SE Mean ACARF,3 2768 -0,015 0,391 0,0074 ACARV,3 2822 0,025 0,620 0,012
Difference = μ (ACARF,3) - μ (ACARV,3) Estimate for difference: -0,0402 95% lower bound for difference: -0,0630
T-Test of difference = 0 (vs >): T-Value = -2,91 P-Value = 0,998 DF = 4776
Two-Sample T-Test and CI: ACARF,4; ACARV,4
Two-sample T for ACARF,4 vs ACARV,4 N Mean StDev SE Mean ACARF,4 2780 -0,021 0,500 0,0095 ACARV,4 2800 0,027 0,830 0,016
Difference = μ (ACARF,4) - μ (ACARV,4) Estimate for difference: -0,0479 95% lower bound for difference: -0,0781
T-Test of difference = 0 (vs >): T-Value = -2,61 P-Value = 0,995 DF = 4599
Two-Sample T-Test and CI: ACARF,5; ACARV,5
Two-sample T for ACARF,5 vs ACARV,5 N Mean StDev SE Mean ACARF,5 2758 -0,024 0,503 0,0096 ACARV,5 2796 0,030 0,957 0,018
Difference = μ (ACARF,5) - μ (ACARV,5) Estimate for difference: -0,0543 95% lower bound for difference: -0,0880
T-Test of difference = 0 (vs >): T-Value = -2,65 P-Value = 0,996 DF = 4240
Two-Sample T-Test and CI: ACARF,6; ACARV,6
Two-sample T for ACARF,6 vs ACARV,6 N Mean StDev SE Mean ACARF,6 2765 -0,030 0,783 0,015 ACARV,6 2802 0,04 1,17 0,022
Difference = μ (ACARF,6) - μ (ACARV,6) Estimate for difference: -0,0688 95% lower bound for difference: -0,1125
T-Test of difference = 0 (vs >): T-Value = -2,59 P-Value = 0,995 DF = 4906
Two-Sample T-Test and CI: ACARF,7; ACARV,7
Two-sample T for ACARF,7 vs ACARV,7 N Mean StDev SE Mean ACARF,7 2750 -0,024 0,767 0,015 ACARV,7 2798 0,04 1,40 0,026
Difference = μ (ACARF,7) - μ (ACARV,7) Estimate for difference: -0,0634 95% lower bound for difference: -0,1130
T-Test of difference = 0 (vs >): T-Value = -2,10 P-Value = 0,982 DF = 4359
Two-Sample T-Test and CI: ACARF,8; ACARV,8
Two-sample T for ACARF,8 vs ACARV,8 N Mean StDev SE Mean ACARF,8 2724 -0,016 0,838 0,016 ACARV,8 2787 0,04 1,24 0,023
Difference = μ (ACARF,8) - μ (ACARV,8) Estimate for difference: -0,0558 95% lower bound for difference: -0,1025
T-Test of difference = 0 (vs >): T-Value = -1,96 P-Value = 0,975 DF = 4912
Two-Sample T-Test and CI: ACARF,9; ACARV,9
Two-sample T for ACARF,9 vs ACARV,9 N Mean StDev SE Mean ACARF,9 2723 -0,017 0,841 0,016 ACARV,9 2797 0,04 1,27 0,024
Difference = μ (ACARF,9) - μ (ACARV,9) Estimate for difference: -0,0542 95% lower bound for difference: -0,1018
T-Test of difference = 0 (vs >): T-Value = -1,87 P-Value = 0,969 DF = 4864
Two-Sample T-Test and CI: ACARF,10; ACARV,10
Two-sample T for ACARF,10 vs ACARV,10 N Mean StDev SE Mean ACARF,10 2736 -0,016 0,961 0,018 ACARV,10 2776 0,04 1,46 0,028
Difference = μ (ACARF,10) - μ (ACARV,10) Estimate for difference: -0,0547
95% lower bound for difference: -0,1093
T-Test of difference = 0 (vs >): T-Value = -1,65 P-Value = 0,950 DF = 4814
T-test av riskjusterade, värdeviktade portföljer (Tabell 4)
Two-Sample T-Test and CI: ACARF,1; ACARV,1Two-sample T for ACARF,1 vs ACARV,1 N Mean StDev SE Mean ACARF,1 2655 0,002 0,163 0,0032 ACARV,1 2739 0,001 0,171 0,0033
Difference = μ (ACARF,1) - μ (ACARV,1) Estimate for difference: 0,00142
95% lower bound for difference: -0,00607
T-Test of difference = 0 (vs >): T-Value = 0,31 P-Value = 0,377 DF = 5390
Two-Sample T-Test and CI: ACARF,2; ACARV,2
Two-sample T for ACARF,2 vs ACARV,2 N Mean StDev SE Mean ACARF,2 2604 -0,006 0,456 0,0089 ACARV,2 2685 0,011 0,461 0,0089
Difference = μ (ACARF,2) - μ (ACARV,2) Estimate for difference: -0,0169 95% lower bound for difference: -0,0377
T-Test of difference = 0 (vs >): T-Value = -1,34 P-Value = 0,910 DF = 5285
Two-Sample T-Test and CI: ACARF,3; ACARV,3
Two-sample T for ACARF,3 vs ACARV,3 N Mean StDev SE Mean ACARF,3 2606 -0,009 0,362 0,0071 ACARV,3 2680 0,011 0,590 0,011
Difference = μ (ACARF,3) - μ (ACARV,3) Estimate for difference: -0,0192 95% lower bound for difference: -0,0413
T-Test of difference = 0 (vs >): T-Value = -1,43 P-Value = 0,923 DF = 4468
Two-Sample T-Test and CI: ACARF,4; ACARV,4
Two-sample T for ACARF,4 vs ACARV,4 N Mean StDev SE Mean ACARF,4 2619 -0,016 0,492 0,0096 ACARV,4 2657 0,011 0,650 0,013
Difference = μ (ACARF,4) - μ (ACARV,4) Estimate for difference: -0,0272 95% lower bound for difference: -0,0533
T-Test of difference = 0 (vs >): T-Value = -1,72 P-Value = 0,957 DF = 4945
Two-Sample T-Test and CI: ACARF,5; ACARV,5
Two-sample T for ACARF,5 vs ACARV,5 N Mean StDev SE Mean ACARF,5 2599 -0,020 0,512 0,010 ACARV,5 2653 0,011 0,795 0,015
Difference = μ (ACARF,5) - μ (ACARV,5) Estimate for difference: -0,0305 95% lower bound for difference: -0,0608
T-Test of difference = 0 (vs >): T-Value = -1,65 P-Value = 0,951 DF = 4542
Two-Sample T-Test and CI: ACARF,6; ACARV,6
Two-sample T for ACARF,6 vs ACARV,6 N Mean StDev SE Mean ACARF,6 2605 -0,024 0,738 0,014 ACARV,6 2667 0,016 0,597 0,012
Difference = μ (ACARF,6) - μ (ACARV,6) Estimate for difference: -0,0399 95% lower bound for difference: -0,0703
T-Test of difference = 0 (vs >): T-Value = -2,16 P-Value = 0,984 DF = 5000
Two-Sample T-Test and CI: ACARF,7; ACARV,7
Two-sample T for ACARF,7 vs ACARV,7 N Mean StDev SE Mean ACARF,7 2594 -0,016 0,728 0,014 ACARV,7 2664 0,012 0,778 0,015
Difference = μ (ACARF,7) - μ (ACARV,7) Estimate for difference: -0,0281 95% lower bound for difference: -0,0623
T-Test of difference = 0 (vs >): T-Value = -1,35 P-Value = 0,912 DF = 5247
Two-Sample T-Test and CI: ACARF,8; ACARV,8
Two-sample T for ACARF,8 vs ACARV,8 N Mean StDev SE Mean ACARF,8 2566 -0,006 0,727 0,014 ACARV,8 2660 0,01 1,00 0,019
Difference = μ (ACARF,8) - μ (ACARV,8) Estimate for difference: -0,0178 95% lower bound for difference: -0,0575
T-Test of difference = 0 (vs >): T-Value = -0,74 P-Value = 0,770 DF = 4856
Two-Sample T-Test and CI: ACARF,9; ACARV,9
Two-sample T for ACARF,9 vs ACARV,9 N Mean StDev SE Mean ACARF,9 2571 -0,010 0,791 0,016 ACARV,9 2670 0,01 1,08 0,021
Difference = μ (ACARF,9) - μ (ACARV,9) Estimate for difference: -0,0211 95% lower bound for difference: -0,0641
T-Test of difference = 0 (vs >): T-Value = -0,80 P-Value = 0,790 DF = 4884
Two-Sample T-Test and CI: ACARF,10; ACARV,10
Two-sample T for ACARF,10 vs ACARV,10 N Mean StDev SE Mean ACARF,10 2583 -0,011 0,894 0,018 ACARV,10 2646 0,01 1,09 0,021
Difference = μ (ACARF,10) - μ (ACARV,10) Estimate for difference: -0,0234
95% lower bound for difference: -0,0687