A 21st Century Breakdown? The Development of Capital Market Anomalies and Market Turnover in Finland

Abstract

This thesis studies the existence and development of capital market anomalies in Finland during the 21st century. In theory, factors that reduce trading frictions should lead to more efficient markets and thus attenuating anomaly returns. I study whether the changes in market turnover has the kind of effect on seven capital market anomalies. Three of the seven anomalies are statistically significant during the time period. I do not find evidence of the anomalies decreasing over time. Furthermore, I find that the market turnover in Finland has had a negative trend during the 21st century. I find weak evidence of anomalies having an inverse trend with market turnover and by using the quantile regression method I find more extreme values of the anomalies having a stronger reaction to changes in market turnover.