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School of Business | Department of Economics | Economics | 2014
Thesis number: 13725
Investment and stock returns: Evidence from the Finnish stock market
Author: Ikonen, Tuomas
Title: Investment and stock returns: Evidence from the Finnish stock market
Year: 2014  Language: eng
Department: Department of Economics
Academic subject: Economics
Index terms: taloustieteet; economic science; investoinnit; investment; sijoitukset; investments; osakemarkkinat; stock markets; pörssit; stock exchanges; Helsinki; Helsinki; tehokkuus; effectiveness; tuotto; rate of return; rahoitus; financing
Pages: 60
Key terms: investment, investment anomaly, Helsinki Stock Exchange, fundamental analysis, technical analysis, anomalies, market efficiency, stock returns

The purpose of this study is to discuss the past research on investment anomaly and explore whether the investment anomaly exists in the Helsinki Stock Exchange. In addition, this study tests the common stock return drivers, i.e. beta, size, book to market and momentum, in the Helsinki Stock Exchange. Furthermore, this paper presents an overview on the stock return predictability literature in general focusing on the most widely investigated determinants of stock returns.


The sample data includes quarterly accounting and stock price data for companies listed in the Helsinki Stock Exchange between March 2003 and December 2013. Only companies with investment data are included in the sample. Furthermore, all financial companies are excluded from the study. The applied accounting and stock market data is collected from Thomson Financial database.


The results show statistically significant negative relation between one of the studied measures of investment and subsequent stock returns. Thus the study provides evidence that the investment anomaly does exist in the Helsinki Stock Exchange. Furthermore, the generally applied controlling variables do not seem to perform strongly in the Helsinki Stock Exchange, producing however similar effects as shown in previous literature.
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