O objetivo desse trabalho é analisar os efeitos do anúncio da dupla-listagem sobre o comportamento das ações no mercado doméstico das empresas que promoveram a listagem de ADRs. Os aspectos do comportamento analisados são os retornos anormais, os padrões de liquidez e volatilidade de preços. Foram analisados 22 programas de ADRs. Para cada uma das características analisadas foi utilizada uma diferente técnica empírica. A análise dos retornos anormais foi realizada através de um estudo de eventos para 5 diferentes janelas de estudos. A segunda técnica empírica utiliza-se do Índice de Negociabilidade, uma métrica desenvolvida pela Economática envolvendo o número de negócios diários e o volume diário transacionado da ação para medir potenciais alterações na liquidez das ações e, por fim, a terceira técnica utilizada utiliza a variância dos retornos como medida relevante de alteração de volatilidade dos mesmos. Embora com limitações, o estudo apresentou resultados em linha com parte da literatura de referência, demonstrando, excetuando-se pela janela de 5 dias pré e pós evento, que não é possível afirmar que os retornos das ações estudadas após o anúncio da emissão das ADRs são diferentes dos retornos apresentados pelas ações antes do anúncio. Com relação à análise de impacto sobre a liquidez das ações (INM 50d), foi possível rejeitar a hipótese de que o programa não causa impacto na liquidez com um nível de significância de 10% após comparar a liquidez das ações das empresas que emitiram ADRs com a liquidez das ações das empresas que compunham as carteiras dos grupos de controle. Finalmente, ao estudar a volatilidade das ações, foi possível observar que, para os testes-F realizados, das 22 ações testadas, 11 apresentaram resultados que permitem rejeitar a hipótese nula e, portanto, inferir que, para essas companhias, a variância dos retornos durante o período de 50 dias pós-evento foi diferente da variância dos retornos durante o período de 50 dias pré-evento dentro de um nível de significância de 5%. Para as outras 11 empresas testadas, não foi possível rejeitar a hipótese nula e, portanto, não foi possível concluir, para essas empresas, que o evento do anúncio da emissão de ADRs exerceu qualquer influência sobre a volatilidade dos retornos das ações subjacentes. Essa dissertação contribui para o entendimento mais aprofundado das consequências da emissão de ADRs. Tal processo, caro e demandante, expõe as companhias a diferentes níveis de regulação e exige um nível mais elevado de governança e, portanto, deve ser bem entendido por gestores, bancos e consultores. / The purpose of this paper is to analyze the effects of the cross-listing announcement on the behavior of the shares of Brazilian companies that enroll in ADR programs. The analyzed aspects of the domestic shares’ behavior are the abnormal returns, the liquidity levels and the volatility of the returns measured by their variance. 22 ADR programs were analyzed. For each of the characteristic studied, a different empirical technique was utilized. The abnormal returns analysis was conducted through an event study for 5 different study windows. The second empirical technique rely on the “Indice de Negociabilidade”, a metric developed by Economatica which involves the number of daily trades of the market and of the shares to measure potential changes in the liquidity levels of the shares. Finally, the third method used analyzes the variance of the returns of the domestic shares as relevant measure of volatility of returns. Although with limitations, the study presented results aligned with part of the reference studies and bibliography, demonstrating, except for the window of 5 days pre and post event, that it is not possible to assert that the returns of the shares analyzed after the announcement of the issuance of the ADRs are different from the returns presented by the shares before the announcement. With regard to the analysis of the impact on shares’ liquidity (INM 50d), it was possible to reject the hypothesis that the program does not impact liquidity with a significance level of 10% after comparing the liquidity of the shares of the companies that issued ADRs with the liquidity companies’ shares that composed the portfolios of the control groups. Finally, in studying volatility of the shares, it was possible to observe that for the F-tests performed, of the 22 shares tested, 11 presented results that allow the rejection of the null hypothesis and, therefore, infer that for these companies, the variance of returns during the 50-day period postevent was different from the variance of returns over the 50-day period previous to the event within a significance level of 5%. For the 11 other companies tested, it was not possible to reject the null hypothesis and therefore it was not possible to conclude, for these companies, that the event of the announcement of the issuance of ADRs had any influence on the volatility of the returns of the underlying shares. This dissertation contributes to a more in-depth understanding of the consequences of issuing ADRs. Such an expensive and demanding process exposes companies to different levels of regulation and requires a higher level of governance and therefore must be well understood by managers, banks and consultants.

This thesis builds upon literature that for many decades have examined the possible wealth creation of M&A’s. We investigate the acquiring firms share value response to M&A’s performed by public acquirers active on the Swedish market in 1998-2016. Our research builds upon previously conducted studies depicting both positive- and negative returns. Furthermore, our study considers how M&A’s are affected by merger waves and their creation of hot and cold markets. Our sample consists of 517 acquisitions including both smaller and larger transactions. Through an event-study, we investigate how the share value reacts during an 11 day event window surrounding the announcement of an M&A. Our findings show predominantly positive abnormal returns disputing much of the previous M&A research. Additionally, because abnormal returns are present throughout the event window, our results indicate that the Swedish market does not operate at a strong level of efficiency. Our main contribution is providing a coherent view of M&A’s conducted in Sweden during nearly two decades. As well as, providing evidence that M&A’s create value for the acquirer.

Ces dernières années, les fusions et acquisitions transfrontalières réalisées par les entreprises chinoises en Europe et en Amérique du Nord se sont développées et ont attiré l’attention des chercheurs. Cependant, il existe peu de recherches se concentrant sur leurs motivations, leur performance et leurs déterminants. Ainsi, l’objectif de cette thèse est d’analyser les opérations annoncées ou réalisées en Europe et en Amérique du Nord entre 2002 et 2012, afin de (1) comprendre les motivations des entreprises en croissance, (2) de déterminer si ces opérations créent de la valeur pour les actionnaires et (3) d’identifier les déterminants de la création/destruction de valeur. Pour ce faire, nous avons utilisé trois méthodes : (1) l’analyse des déclarations d’acquisitions faites par les entreprises chinoises, (2) le calcul de rendements anormaux (AAR, ACAR, CAR) via plusieurs études d’évènements, (3) l’élaboration d’un modèle d’identification des déterminants de la création/destruction de valeur. Les opérations analysées ont été réalisées par des entreprises cotées aux bourses de Shanghai, Shenzhen et Hongkong. Des données supplémentaires ont été tirées de la base de données « Zephyr ». Au total, 93 opérations ont été analysées. Les résultats confirment les résultats antérieurement identifiés pour les acquéreurs occidentaux, étendant ainsi les théories des F&A aux opérateurs chinois. Malgré la différence de structure de propriété (contrôle par l’Etat), les FMN chinoises ont un niveau de performance comparable à leurs homologues occidentaux privés lorsqu’elles réalisent des opérations de F&A. / In recent years, the cross-border mergers and acquisitions by Chinese companies in Europe and North America are developing and have attracted the attention of researchers. However, there is few research focusing on their motivations, their performance and their determinants. Thus, the objective of this thesis is to analyze the transactions announced or completed in Europe and North America between 2002 and 2012, (1) to understand the motivations of growing companies, (2) to know whether these operations create value for shareholders and (3) to identify the determinants of the creation / destruction of value.To do this, we used three methods: (1) analysis of acquisitions statements made by Chinese companies, (2) the calculation of abnormal returns (AAR ACAR CAR) via several events studies (3) development of a model to identify the determinants of the creation / destruction of value. The operations were made by Chinese listed companies in Shanghai, Shenzhen and Hong Kong stock exchanges. Additional data were obtained from the database "Zephyr." A total 93 operations were analyzed. The results confirm the previously identified results for western acquirers. Despite the difference in ownership structure (state control), Chinese MNCs have a level of performance comparable to their private western counterparts when they carry out operations of M & A.

Dans les deux premiers articles de cette thèse, nous explorons les réactions des marchés financiers aux annonces de fusions et acquisitions dans deux contextes différents. Nous nous intéressons en premier lieu, à la régulation des marchés de fusions et acquisitions par la Commission Européenne. Nous nous attachons à déterminer si la Commission Européenne présente toujours des comportements protectionnistes depuis la mise en place de la nouvelle régulation en 2004. Nos résultats suggèrent effectivement que la Commission Européenne agissait de façon protectionniste avant 2004 mais que ce phénomène disparait ensuite et même plus tôt, en 2002. Dans le second article de la présente thèse, nous testons la possible extension à long-terme de l’effet de certification dont bénéficient les entreprises lors de l’obtention d’un crédit syndiqué. Nous souhaitons déterminer si la certification bancaire concerne le projet financé spécifiquement ou plutôt la qualité de l’équipe dirigeante de l’entreprise. Pour cela, nous comparons les réactions des investisseurs à l’annonce d’opérations de fusion et acquisition mises en œuvre par des entreprises américaines avant et après l’annonce de l’obtention d’un prêt syndiqué. S’il existe un effet de long-terme de la certification bancaire, les réactions des investisseurs devraient être plus positives après l’octroi du crédit. Nos résultats ne supportent pas cette hypothèse et nous concluons que la certification bancaire concerne plus particulièrement le projet financé en lui-même. Ayant constaté l’importance de la qualité des données pour la réalisation d’études empiriques en finance, nous comparons, dans un troisième article, deux bases de données de fusions et acquisitions : SDC et Zephyr. Il apparait que ces bases présentent des différences notoires tant au niveau de la présentation que du contenu des données qui peuvent, dans certains cas, entrainer des différences de résultats lors d’analyses économétriques. / We study market reactions to mergers and acquisitions (M&A) announcements in different contexts in two papers. First, we explore the regulation of M&A markets by the European Commission. Our aim is to determine whether the European Commission has still protectionist tendencies towards European firms since the implementation of the new regulation in 2004. Our results confirm that the European Commission presented protectionist behaviors before the new regulation was set in place but this phenomenon does not appear anymore after 2004 and even before, from 2002. In the second paper, we test long-term effect of lender certification. We want to determine if lender certification relates to the financed project only or also sends a good signal about the quality of the management team of the firm. We compare market reaction to M&A announcements for operations carried out by US firms before and after the obtaining of a syndicated loan. If there is a long-term effect of lender certification, market reaction to M&A announcements should be more positive after the loan has been granted. Our results do not support this hypothesis and we conclude that lender certification relates to the financed project only. Since we noticed the great importance of data quality in empirical studies in finance, we compare in the third paper, two M&A databases: SDC and Zephyr. It appears that these databases present noticeable differences in the presentation as well as in the content of data provided which may lead, in some cases, to different results in empirical analysis

Du fait de biais dont souffrent les dirigeants d’entreprises lorsqu’ils prennent des décisions d’acquisition, le M&A a une longue tradition de ne pas générer des retours positifs pour les acheteurs. Au travers de 3 essais, notre recherche explore l’impact de récentes évolutions de l’environnement économique et social, incluant 1) le déploiement des normes IFRS, 2) le développement des comités de conseil d’administration ou de surveillance, et 3) la publication de la Loi NRE, sur la performance M&A des acquéreurs en France. Analysant les rendements anormaux générés au moment où une acquisition est faite, nous trouvons que la performance M&A ne s’est pas améliorée, principalement du fait que les principaux changements intervenus ont laissé un important pouvoir discrétionnaire au management mais aussi parce l’adoption de nouvelles pratiques de marché ont pu être intégrées par les investisseurs dans leur évaluation de résultats d’acquisition. Nous trouvons aussi que les stratégies RSE ont un impact négatif. Cependant, nous trouvons que la mise en place de comités de conseil et l’entrée en vigueur de la Loi NRE, qui ont pu conduire à une transparence accrue de l’information, ont eu un impact positif. / Because management suffers from biases when making acquisition decisions, M&A has been having a longstanding reputation for providing acquirers with no or limited returns. Through 3 essays, our research explores the impact of recent evolution in business environment, including 1) the implementation of IFRS regulations, 2) the development of board committees popularized following SOX regulations, and 3) the implementation of the NRE Law, on acquirers’ M&A performance in France. Analyzing abnormal returns generated at the time of an acquisition is made, we find that M&A performance has not overall improved, mainly because most the changes reviewed can be assumed to leave a significant space for managerial discretion but also because new business practices become market standards integrated by investors when valuing acquisition outcomes. We also find CSR strategies to have a negative impact on M&A performance. We however find that the implementation of a board committee and the enforcement of the NRE Law in France, that may lead to more information transparency, have had a positive impact.

This thesis aims to examine whether it is possible to forecast which firmswill be shorted. To do this a regression was constructed using a sample of thecompanies currently included in S&P 500. Short interest as percentage offloat was set as the dependent variable with volatility, institutionalownership, past stock returns, growth in net sales and price-to-earnings ratio(P/E) as the independent variables. Our results concluded that all variablesexcept institutional ownership were statistically significant at a 5% level withthree of these being significant even at a 1% level. Based on these results, webelieve that it to a certain degree is possible to forecast which firms will beshorted.

Background: Societies around the world have seen an increased willingness to contribute to social responsibilities activities. One way for corporations to commit to corporate social responsibility (CSR) have been to donate corporate assets. However, donating company assets has been questioned if justifiable. Arguments ranging from the missuses of assets to increased competitive advantage as a part of corporate strategy have been mentioned in connection to corporate donations. These different opinions have created an uncertainty of how corporate donations ultimately will affect a company’s market value. Objective: The objective of this thesis is to distinguish if corporate donations have a significant effect on a company’s market value. It is further examined if different amounts or recipient area of a donation significantly impacts the response to the donation. The aim is to understand if the donation amount is lost or if donating can create value for a company, possibly helping to motivate managers to donate and thus create value for our society. Method: An event-study methodology approach was used to examine abnormal returns associated with corporate donation announcements. Linear regressions were applied to distinguish if different donation amounts or if the recipient area played a significant role regarding how realised donation announcements is interpreted by the market. Result: No market significance regarding abnormal returns was found connected to donation announcements during any of the three studied event windows. The linear regressions performed revealed that the donation amounts significantly affect market reactions during a two day-period before an announcement as well as a seven day-period after the announcement day. Indicating information leakage and lagging reactions to the announcement. Recipient area was identified to not affect abnormal returns with the regressions for any of the investigated event windows. However, through an analysis of means, some specific cases where the donation amount and the recipient area resulted in a significant difference between groups were distinguished. Conclusion: No significant punishment to donating companies was found; hence no lost firm value was identified, indicating that the act of donating is not viewed as inappropriate by the market. Therefore, managers do not need to fear the market’s reactions when planning a corporate donation. Internal value can emerge from the act of donating, in the form of goodwill, brand image, reputation, company image, positioning or awareness. Further, it was determined that neither the donation amount nor the recipient area have a significant relation to the effect for any of the whole event windows tested. / Bakgrund: Samhällen runt om i världen har upplevt en ökad strävan att bidra till samhällsansvar. Ett sätt som företag bidrar till detta är genom att donera sina tillgångar. Dock har användningen av företagstillgångar till detta ändamål ifrågasatts. Där argument som felanvändning av företagstillgångar till konkurrensfördel som en del av företagsstrategi har använts i samband med företagsdonationer. Dessa skilda åsikterna har skapat oklarhet kring hur företagsdonationer verkligen påverkar ett företags marknadsvärde. Syfte: Syftet med denna uppsatts är att urskilja om företagsdonationer har en signifikant effekt på ett företags marknadsvärde. Vidare undersöks om mängden som doneras har betydelse och om mottagarområdet påverkar den initiala reaktionen. Målet är att förstå om donationsvärdet går förlorat eller om donationer kan skapa värde för företag, vilket möjligen kan bidra till att motivera chefer att donera och på så vis skapa värde för samhället. Metod: Event-studiemetoden används för att undersöka abnormal avkastning som förknippas med offentliggörandet av företagsdonationer. Linjära regressioner används för att urskilja om olika donationsmängder eller mottagarområden har ett signifikant inflytande angående hur publikationen av en donation tolkas av marknaden. Resultat: Ingen marknadstäckande signifikans beträffande abnormal avkastning observerades kopplat till offentliggörandet av donationer under något av de tre testade eventfönstren. De linjära regressioner som utfördes avslöjar att donationsmängden signifikant påverkar marknadsreaktioner under en tvådagarsperiod innan offentliggörandet samt under en sjudagarsperiod efter annonseringsdagen. Detta indikerar att det finns informationsläckage och eftersläpande reaktioner kopplat till tillkännagivandet. Mottagarområde påverkade inte abnormal avkastning enligt de utförda regressionerna för något av de testade eventfönsterna. Däremot kunde vissa specifika fall urskiljas genom en medelvärdesanalys där donationsmängd och mottagarområde resulterade i en signifikant skillnad mellan grupperna. Slutsats: Ingen signifikant bestraffning mot donerande företag hittades, därav är inget förlorat företagsvärde identifierat; vilket indikerar att handlingen att donera inte anses som felaktig av investerare. Följaktligen behöver chefer inte bekymra sig för investerares reaktioner i samband med donationer. Inneboende värde kan skapas av akten att donera i form av goodwill, varumärke, rykte, företagssyn, positionering och/eller medvetenhet. Vidare kunde det fastställas att varken donationsmängden eller mottagarområdet har en signifikant relation till effekten under något av de testade eventfönsterna.

[pt] Esta dissertação tem por objetivo investigar a possibilidade de obtenção de retornos anormais – utilizando-se o período entre jan/2005 e dez/2014 como espaço amostral – no mercado acionário brasileiro. Investigou-se, então, a hipótese de reversão à média móvel de 21 dias para os ativos integrantes do Índice Brasil 100 – IBrX-100. Estratégias contrárias com carteiras compradas em ações cujos preços estivessem abaixo da média móvel e vendidas em ações cujos preços estivessem acima da média móvel foram montadas e testadas para os referidos períodos. Por fim, não foram encontradas evidências em favor da reversão à média móvel de 21 dias para o período estudado. / [en] The goal of this study is to investigate the possibility of obtaining abnormal returns – using the period between January/2005 and December/2014 –in the Brazilian stock market. The main hypothesis in focus is the moving average of 21 days reversion of the securities of the Index Brasil 100 – IBrX 100. Contrarian strategies were used with portfolios built by buying stocks whose prices were below the moving average and selling stocks whose prices are above the moving average. There is no evidence in favor of the reversion and in favor of the possibility of abnormal returns in the study period.

Aktiemarknaden uppfattas som effektiv då aktiepriset faller i paritet med utdelningen på ex-dagen. Tidigare studier ger belägg för att aktiepriset faller med mindre än utdelningen. Att aktiepriset faller med mindre än utdelningsbeloppet på ex-dagen utgör ex-dagseffekten och innebär en avvikande avkastning för aktier kring ex-dagen. Ex-dagseffektens existens har genom historien undersökts och det råder delade meningar kring dess uppkomst och existens. Skattehypotesen, kortsiktiga handelshypotesen, mikrostrukturhypotesen och dispositions-effekten är fyra olika förklaringar till ex-dagseffektens uppkomst som ligger till grund för denna studie. Hypoteserna analyseras i samband med tidigare utförda studier och sedan dras slutsatsen att skattehypotesen är den mest uppmärksammade förklaringen till ex-dagseffekten. / The stock market is perceived as efficient under the presumption that stock prices falls in parity with the dividends on the ex-dividend day. Earlier researches establish that stock prices rather falls with less than the amount of the dividend. The phenomen that the stock prices falls with less than the dividend constitutes the ex-div effect and implicate an abnormal return on the ex-dividend day. The existence of the ex-div effect has been examined through the history and there are shared opinions about its origin and existence. The tax hypothesis, the short-term trading hypothesis, the microstructure hypothesis and the disposition effect are four different explanations of the ex-div effect that forms the basis of this study. The hypotheses are analyzed in conjunction with earlier researches and the conclusion of the study is that the tax hypothesis is the most common explanation for the ex-div effect.

Bakgrund: Ett osäkert världsläge har lett till högre räntenivåer och många svenska företag hotas med sänkta kreditbetyg. Tidigare forskning har kunnat påvisa att företags aktiekurser påverkas signifikant av kreditbetygsförändringar. Den svenska aktiemarknaden har inte studerats i någon större utsträckning, varpå det finns ett behov av den aktuella studien. Syfte: Studiens primära syfte är att undersöka om kreditbetygshändelser publicerade av Moody's leder till en onormal aktiekursutveckling. Studien ämnar sekundärt att belysa hur de undersökta händelserna förhåller sig till en större population av svenska börsbolag som erhållit en offentlig kreditbetygshändelse. Teori: Studiens frågeställningar och hypoteser grundas i den effektiva marknadshypotesen som formulerats av Fama (1970:1991). Metod: Den genomförda studien är en totalundersökning av kreditbetygshändelser som publicerats av Moody's mellan 10/4 2005 - 10/4 2023, och som berör bolag noterade på OMXS Large och Mid Cap. En eventstudie genomfördes där onormal avkastning beräknades utifrån market model. Onormal avkastning ses som differensen mellan den förväntade och den observerade avkastningen under eventfönstret. Därtill gjordes statistiska prövningar för att testa totalundersökningens generaliserbarhet. Resultat: Totalundersökningen berör 116 observationer fördelat på 22 bolag. Uppgraderat och nedgraderat kreditbetyg genererade en negativ onormal avkastning där resultatet för det uppgraderade kreditbetyget skiljer sig från de deducerade hypoteserna. För ett bekräftat kreditbetyg med positiv, negativ och stabil framtidsprognos uppmättes positiv onormal avkastning där den stabila framtidsprognosen hade högst onormal avkastning. Slutsatser: Resultaten av studien visade, likt tidigare forskning, en viss motstridighet. Stabila framtidsprognosers påverkan på aktiekursen är något som inte påtalats inom tidigare forskning, varpå den aktuella studien fyller ett forskningsgap. Den teoretiska slutsatsen är att den svenska aktiemarknaden uppvisat tendenser av den semi-starka formen av marknadseffektivitet under undersökningsperioden. Däremot kan resultatet endast hänföras till den undersökta populationen och kan inte generaliseras till alla svenska börbolag som erhållit en offentlig kreditbetygshändelse. / Background: The uncertain worldwide situation has led to higher interest rates and many Swedish companies are threatened with lowered credit ratings. Previous research shows that companies' stock prices are significantly affected by credit rating changes. The Swedish stock market has not been studied to any great extent, whereby there is need for the current study. Purpose: The primary purpose of this study is to investigate whether credit rating actions published by Moody's lead to abnormal returns. The study's secondary purpose is to shed lighet on how the investigated events relate to a larger population of Swedish listed companies that have received a public credit rating action. Theory: The study's research questions and hypotheses are based on the efficient market hypothesis formulated by Fama (1970:1991). Method: The performed studi is a census survey of credit rating actions published by Moody's between 10/4 2005 - 10/4 2023, and which concerned companies listed on the OMXS Large or Mid Cap. An event study was carried out where abnormal returns were calculated based on the market model. Abnormal returns are seen as the difference between expected and observed returns during the event window. In addition, statistical tests were carried out to test the generalizability of the census survey. Results: The census survey concerns a total of 116 observations spread over 22 companies. Upgraded and downgraded credit ratings generated at negative abnormal return where the performance of the upgraded credit ratings differs from the deduced hypotheses. For a confirmed rating with a positive, negative and stable forecast, positive abnormal returns were measured where the stable forecasts had the highest abnormal returns. Conclusions: The results of the study showed, like previous research, a certain contradiction. The impact of stable forecasts on stock prices is something that has not been mentiones in previous research, thus the current study fills this research gap. The theoretical conclusion is that the Swedish stock market showed tendencies of the semi-strong form of market efficiency during the investigated period. However, the results can only be attributed to the investigated population and cannot be generalized to all Swedish listed companies that receive a public credit rating action.