Alphabetic bias and its impact on stock turnover, liquidity and value
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School of Business | Bachelor's thesis
AbstractThis thesis tests whether alphabetic bias is found present in the Swedish stock market and leaves visible signs to company turnover, liquidity and company value. I also check whether the investor composition matters for alphabetic bias. I use the predictive panel regressions econometric approach of Jacobs and Hillert (2016). The results are based on a sample of 267 OMX Stockholm and 54 AktieTorget companies with the sample period covering January 1991 to December 2016 for the OMX listed companies and January 1998 to December 2016 for the AktieTorger sample. The results provide strong support for the presence of alphabetic bias in the OMX Stockholm sample in the case of turnover and liquidity and limited support in the case of company value. The results show that institutional ownership reduces the effect of alphabetic bias on turnover and liquidity in OMX Stockholm companies.
Thesis advisorRantapuska, Elias
alphabetic bias, turnover, liquidity, company value