This thesis aims to investigate to what extent the quantitative easing monetary policy tool, applied by the Riksbank, contributed to abnormal returns at the Swedish stock market during Covid-19. The chosen time period is 2007-2022, including the period before and after the implementation of quantitative easing in Sweden in 2015. Furthermore, the chosen time period includes two crises, the global financial crisis (GFC) and the Covid-19 crisis. Two artificial portfolios are created, one representing a high-risk portfolio and the other representing a low-risk portfolio. The thesis applies the ADL error correction model to estimate a potential relationship amongst QE and the returns for each of the computed portfolios. Results show a short-run relationship for both the high-risk and the low-risk portfolio. From the long-run perspective, there is only a relationship found concerning the high-risk portfolio. A modified CAPM-model is used as an interpretation when calculating abnormal returns, where the growth rate of industrial production reflects the expected return. Results show the presence of QE and abnormal returns for both portfolios during the time period of Covid-19, 2020-2022. / Denna uppsats syftar till att undersöka i vilken utsträckning Riksbankens kvantitativa lättnader bidrog till abnorm avkastning på den svenska aktiemarknaden under Covid-19. Den valdat idsperioden är 2007 – 2022, vilket inkluderar perioden före och efter genomförandet av kvantitativa lättnader i Sverige. Vidare inkluderar den valda tidsperioden två kriser, den globala finanskrisen samt Covid-19-krisen. Två artificiella portföljer konstrueras, där en representerar en högriskportfölj och den andra representerar en lågriskportfölj. Studien tillämpar en ADL error correction modell för att undersöka huruvida det existerar ett samband mellan kvantitativa lättnader och avkastningen för var och en av portföljerna. Resultaten visar ett kortsiktigt förhållande för både högrisk- och lågriskportföljen. Ur det långsiktiga perspektivet hittades endast ett samband för högriskportföljen. En modifierad CAPM-modell används vid beräkning av abnorm avkastning, där variabeln för den industriella produktionstillväxten reflekterar den förväntade avkastningen. Resultaten visar förekomsten av abnorm avkastning i samband de kvantitativa lättnader som genomfördes under Covid-19 för båda portföljerna under tidsperioden 2020–2022.

This essay examines the impact of game releases on the Swedish stock market. As previous research has examined product launches and news releases, this thesis intends to investigate game releases by game developer companies such as developers of computer, console or mobile games. Previous research has been based on a business perspective and business valuation, the authors of this thesis intend to examine the individual investor's perspective. The theoretical framework consists of information asymmetry, the signaling model, the effective market hypothesis, random walk hypothesis and market reaction to new products. The study has chosen a deductive quantitative research approach with the event study method. The sample consists of 14 game developer companies in computer, console and mobile games during theperiod 2017–2021 that are listed on the Swedish market, which were observed during a period of 180 days before the event day and 40 days after. The results showed that there is a statistically significant relationship before, after and during the event day for game releases.The period during and after the event day can also be generalized where 9/14 respective 10/14 game developer companies showed statistically significant within the accumulated abnormal return. / Denna uppsats undersöker påverkan av spelsläpp på den svenska aktiemarknaden. Då tidigare forskning har undersökt produktlanseringar och nyhetssläpp ämnar denna uppsats att undersöka spelsläpp av spelutvecklarebolag som utvecklar PC-, konsol eller mobilspel. Tidigare forskning har utgått från ett företagsperspektiv och företagsvärdering, författarna för denna uppsats ämnar undersöka den individuella investerarens perspektiv. Det teoretiska ramverket består av informationsasymmetri, signaleringsmodellen, den effektiva marknadshypotesen, random walk hypothesis och marknadsreaktion till nya produkter. Studien har en deduktiv kvantitativa forskningsansats med eventstudie metoden. Urvalet består av 14 spelutvecklarebolag inom dator-, konsol- och mobilspel under tidsperioden 2017–2021 som är börsnoterade på den svenska marknaden. Dessa bolag observerades under en tidsperiod 180 dagar innan eventdagen och 40 dagar efter. Resultatet visade på att det finns ett statistiskt signifikant samband innan, efter och under eventdagen för spelsläpp. Perioden under och efter eventdagen kan även generaliseras där 9/14 respektive 10/14 spelutvecklarbolag visade på statistisk signifikant inom den ackumulerade abnormala avkastning.

[pt] Nas últimas décadas, os programas de recompra de ações têm se tornado cada vez mais populares entre as empresas abertas ao redor do mundo. Além de constituírem uma forma de remuneração aos acionistas, as recompras de ações geram uma série de efeitos secundários e impactos distintos sobre as companhias, o que dificulta a identificação de um fator único para sua execução e para a existência das anomalias de mercado. Ao mesmo tempo que se observa uma evolução gradual dos estudos sobre recompra de ações nos mercados desenvolvidos, como no caso dos Estados Unidos, observa-se um gap de conhecimento sobre tais eventos no Brasil. O presente estudo tem por objetivo analisar as anomalias observadas nos preços das ações após os anúncios de recompra sob um ângulo diferenciado dos estudos já desenvolvidos com referência ao tema na literatura nacional. A partir de uma conceituação internacional, identifica-se que cada vez mais os insiders têm um papel importante na execução e nos retornos dos programas de recompra. Utilizando pela primeira vez uma base de dados recente e mais precisa sobre os programas de recompra de ações anunciados e realizados no país nos últimos anos, este estudo identifica características únicas do mercado brasileiro, como por exemplo o alto nível de recompras anunciadas e não executadas. Esta visível discrepância entre os anúncios e as execuções resulta na identificação de um efeito reputacional, através do qual empresas que possuem histórico de execução apresentam retornos anormais ao redor das datas de anúncio dos programas de recompra. Além deste efeito reputacional, também são obtidas evidências positivas do papel da governança corporativa e da existência de uma relação significativa entre a execução das recompras e as negociações de ações realizadas pelos insiders. / [en] In the recent decades, share repurchase programs gained increasing importance among public companies worldwide. Besides being an alternative form of distribution to shareholders, share repurchase programs have a series of secondary effects and distinct impacts within each company, which does not allow the identification of one exclusive factor to justify such behavior. While several studies regarding share repurchases have been conducted in developed markets, such as the United States, there is a large gap of knowledge between those markets and the Brazilian market. This research represents a step forward to the understanding of the share price behavior anomalies following share repurchase announcements using a different perspective than previous studies in the Brazilian literature. Following an international review, the behavior of the companies insiders is identified as an important factor that directly affects the execution and returns generated by the share repurchase programs. Using for the first time a more recent and accurate data base about the announcements and execution of share repurchase programs in Brazil covering the past years, this study identifies unique characteristics of the Brazilian market, such as a high level of repurchase program announcements without executions. This notorious difference between announcement and execution creates a reputational effect by which companies with a history of past execution present superior abnormal return nearby announcement dates. Besides this reputational effect, it s also presented evidence regarding the positive influence of corporate governance and the existence of a significant relationship between the execution of the share repurchase programs and insider trading.

隨著國際化的發展，企業為降低財務報表重編的相關成本，採用全球統一的財務會計準則已成趨勢。近年來，我國之財務會計準則委員會陸續修訂了若干公報，其中之一為第十號公報。該公報修訂至生效時期，正值全球金融風暴。因此，政府對實施該公報的時機決策反覆，而企業界、會計界及媒體皆對該公報相當關注。 本研究旨在探討新十號公報對整體市場、各產業及不同特性公司之影響。本研究採用事件研究法，以似乎不相關迴歸模式，分析我國公司在該公報修訂期間及政府實施決策期間之股票累積平均異常報酬率。 研究結果指出，在新十號公報修訂期間，市場對該公報的反應較為負面；在政府政策反覆期間，市場反應則有正有負。各產業部份，電子業於該公報修訂初期受影響較大，推論原因為電子業固定成本高、毛利較低之緣故；而在該公報政府實施決策階段則受影響較小，推論原因為大部分電子業公司均做好因應措施。公司特性部分，大公司對該公報愈持正面態度；老公司則較排斥該公報；前三年度虧損的公司，受該公報影響較小；而成長機會較多之公司，在該公報制定初期受影響較大，但於政府實施決策階段反而受影響較小。 / To pursue globalization, it has been a trend for firms to gradually adopt the International Accounting Standards; that would help reduce the costs related to cross-border restatement of financial reports. To converge with the International Accounting Standards, the Financial Accounting Standards of Taiwan has been revised in recent years. One of the revised standards is the new SFAS No. 10. That revision took place amid the financial crisis. Before the new standard became effective, the government in Taiwan swung on the timing issue of formal adoption. As a result, firms, practitioners, and the media all paid close attention to the new SFAS No. 10. This study aims to examine the revision and adoption decision effects of the new SFAS No. 10 on the stock market, industries, and firms. Firm characteristics that could be factors of the reaction were also examined. This research is an event study using seemingly unrelated regression to analyze the accumulated average abnormal returns of stocks of listed companies in Taiwan. The empirical results are as follows. First, the whole market mostly reacted negatively in the standard revision period and in either way during the standard adoption decision period. Next, in the standard revision period, the electronic industry also reacted negatively, as it would be more affected because of its higher fixed cost and lower gross profit. Yet, in the adoption decision period, the electronic industry was less affected likely because most electronics firms were ready for adoption. Thirdly, as to firm characteristics, bigger firms were willing to adopt the new standard, but older firms were not so. In addition, firms that had losses in the previous three years were less affected by the new standard. Finally, firms that had greater growth opportunities were more affected in the early period of standard revision but became less affected in the adoption decision period.

This thesis consists of four self-contained essays on the various topics in finance.  The first essay, The Information Content of The Systematic Risk Structure of Corporate Yields for Future Real Activity: An Exploratory Empirical Investigation, constructs a proxy for the systematic component of the risk structure of corporate yields (or systematic risk structure), and tests how well it predicts real economic activity in the United States. It finds that the systematic risk structure predicts the growth rate of industrial production 3 to 18 months into the future even when other leading indicators are controlled for, outperforming other models. A regime-switching estimation also shows that the systematic risk structure is very successful in identifying and capturing different growth regimes of industrial production.  The second essay, How Much Leverage is Too Much, or Does Corporate Risk Determine the Severity of a Recession? investigates whether financial conditions of the U.S. corporate sector  can explain the probability and severity of recessions. It proposes a measure of corporate vulnerability, the Corporate Vulnerability Index (CVI) constructed as the default probability for the entire corporate sector. It finds that the CVI is a significant predictor of the probability of a recession 4 to 6 quarters ahead, even controlling for other leading indicators, and that an increase in the CVI is also associated with a rise in the probability of a more severe and lengthy recession 3 to 6 quarters ahead.  The third essay, Asian Flu or Wall Street Virus? Tech and Non-Tech Spillovers in the United States and Asia (with Jorge A. Chan-Lau), using TGARCH models, finds that U.S. stock markets have been the major source of price and volatility spillovers to stock markets in the Asia-Pacific region during three different periods: the pre-LTCM crisis period, the “tech bubble” period, and the “stock market correction” period. Hong Kong SAR, Japan, and Singapore were sources of spillovers within the region and affected the United States during the latter period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the “tech bubble” period.  The fourth essay, Coping with Financial Spillovers from the United States: The Effect of U. S. Corporate Scandals on Canadian Stock Prices, investigates the effect of U.S. corporate scandals on stock prices of Canadian firms interlisted  in the United States. It finds that firms interlisted during the pre-Enron period enjoyed increases in post-listing equilibrium prices, while firms interlisted during the post-Enron period experienced declines in post-listing equilibrium prices, relative to a model-based benchmark. Analyzing the entire universe of Canadian firms, it finds that interlisted firms, regardless of their listing time, were perceived as increasingly risky by Canadian investors after the Enron’s bankruptcy. / Diss. Stockholm : Handelshögskolan, 2003

We examine the effect of merger announcements on the stock performance of acquirers' industry rivals in the context of Chinese and US deals between 1994 and 2017. Our analysis reveals that investors of rivals are able to earn abnormal returns during days around merger announcement, meaning that markets are not fully efficient as implied by the Efficient market hypothesis. We conclude that in a reaction to the announcement, US rivals achieve generally negative abnormal returns with higher magnitude and volatility compared to Chinese rivals. Additionally, we observe that Chinese investors' perception of mergers turned out to be more conservative after the Global financial crisis. During days around the merger announcement, signs of rivals' abnormal returns also differ on whether the target is public or private in both countries. Rivals operating in industries that are substantially supported by Chinese government such as real estate, pharmaceuticals, and chemicals experience positive reaction on mergers of their competitors. Furthermore, we find that industries with increasing im- portance in Chinese developing economy such as banking, telecommunications, and cyclical consumer products show a positive reaction of rivals' returns on merger announcements while in the developed US economy, a negative...

This study aims to see if it is possible to generate abnormal returns in the Swedishstock market through the use of three different trading strategies based on technicalindicators. As the indicators are based on historical price data only, the study assumesweak market efficiency according to the efficient market hypothesis. The study isconducted using daily prices for OMX Stockholm PI and STOXX 600 Europe from theperiod between 1 January 2010 and 31 December 2019. Trading positions has beentaken in the OMX Stockholm PI index while STOXX 600 Europe has been used torepresent the market portfolio. Abnormal returns has been defined as the Jensen’s αin a Fama French three factor model with Carhart ­extension. This period has beencharacterised by increasing prices (a bull market) which may have had an impact onthe results. Furthermore, a higher frequency of rebalancing for the Fama ­French andCarhart model could also increase the quality of the results. The results indicate thatall three strategies has generated abnormal returns during the period. / Denna studie syftar till att se om det är möjligt att generera överavkastning på densvenska aktiemarknaden genom att använda tre olika handelsstrategier baserade påtekniska indikatorer. Eftersom indikatorerna endast baseras på historiska prisdataantar studien svag marknadseffektivitet enligt den effektiva marknadshypotesen.Studien genomförs med hjälp av dagliga priser för OMX Stockholm PI och STOXX 600Europe från perioden 1 januari 2010 till 31 december 2019. Positionerna i studien hartagits i OMX Stockholm PI medan STOXX 600 Europe har använts för att representeramarknadsportföljen . Överavkastning har definierats som Jensens α i en Fama French trefaktormodell med Carhart-­utvidgning. Perioden som används i studien har präglatsav stigande priser (en bull market) som kan ha påverkat resultatet. Dessutom skulleen högre frekvens av ombalansering av Fama ­French och Carhart-­modellen ocksåkunna öka kvaliteten på resultaten. Resultaten visar att alla tre strategier har genereratonormal avkastning under perioden.