This thesis analyzes the effects of analysts’ recommendations on stock prices and trade volumes of firms listed on OMXS30 during the three-year period 2018-2020. An event study of 313 recommendations issued during the three- year period was conducted in order to calculate the abnormal returns and abnormal volumes during the event window. Our results show only one occasion respectively where buy and sell recommendations induces abnormal returns significantly different from zero. We thereby conclude that analysts’ recommendations, on average, do not impose significant abnormal returns for OMXS30-firms during the event window. A potential investment value can be found in short selling sell recommended stocks, provided that one obtains information prior to public release. However, the nature of short selling may reduce or erase this value. Our results indicates that recommendations in general, do not contain new information and that the market to an extent, acts efficient. Positive abnormal volumes significant on the 5% level are found on three occasions, hence the majority are found to be insignificant. Significant abnormal volumes of 0,071% were found on the first post-event day of a recommendation, implying a small initial volume reaction. In general, however, the results do not show clear indications of a recommendation generating positive abnormal volumes.

This study examines how the stock market reacts when a publicly-listed company announces a corporate green bond issuance in the European market. We examine 155 corporate green bond issuance announcements from 2017 to 2021 made by companies listed on the European stock exchange. Our findings can not confirm a stock market reaction to the announcement of a corporate green bond. The result shows no significant positive stock market reaction when a company announces a corporate green bond issuance for the first time. This finding suggests that the signaling argument is not necessarily applicable, as it suggests that companies signal their environmental commitment to the investors by announcing a corporate green bond issuance. Our findings do neither show a stronger stock market reaction due to a company having a low environmental performance at the time of announcement. This means that companies that actively try to transition into climate-friendly financing are not rewarded by the stock market.

We examine 102 share lockup agreements following IPOs on the Swedish stock market and whether any abnormal returns exist in the days surrounding the expiration of lockup agreements. We also test three potential explanatory variables based on previous research, the length of the lockup agreement, the type of pre-IPO ownership for the firm (if it is backed by private equity or not), and if the lockup has multiple expiration dates (staggered lockup) or only one. Our results are unable to prove that there are abnormal returns surrounding the expiration lockups, and our variables fail to provide any explanation for the cumulative abnormal return (CAR). One variable that could prove interesting in future research is the change of free float, which we add in a robustness test and find a significant increase in explanatory power.

本研究旨在以投資大眾的角度出發，研究正、負面企業社會責任事件宣告如何影響投資者的投資決策，進而影響股價產生異常報酬。實證結果發現，正面企業社會責任事件宣告將產生顯著為正的股價異常報酬；負面企業社會責任事件宣告則將產生顯著為負的股價異常報酬。另外，本研究針對負面企業社會責任事件所產生的累積異常報酬建立了複迴歸模型，探討企業規模、企業所屬產業及負面企業社會責任事件宣告之消息種類與該累積異常報酬是否存有關聯性，實證結果發現，大型企業、宣告之消息種類屬於資訊公告問題者，與該累積異常報酬呈現顯著負相關；企業屬於高汙染產業者與該累積異常報酬呈現顯著正相關。本研究除了瞭解企業社會責任資訊如何影響投資者的投資決策外，更希望能提供企業經營者作為經營策略之參考。 / Abstract The purpose of this study is to investigate the market reaction of positive and negative CSR announcements. The empirical results show that there is a significant positive (negative) relationship between positive (negative) CSR announcements and abnormal stock returns. Furthermore, this study establish a regression, trying to find whether company size, business industry, type of negative CSR announcements will have a relationship with negative CSR announcement’s abnormal returns. The author of this research hopes that the findings in this study can not only understand how CSR announcements effect the investors but also help managers develop a CSR strategy.

本篇研究專注於首次公開發行公司上市櫃初始交易日之異常報酬與新聞情緒兩 者間之關係。本研究建立情緒字典以判別新聞之正負情緒,並過濾出與首次公開發 行有關之新聞,利用本研究建立之情緒字典以過濾出正負情緒之詞組。利用正負情 緒詞組數量計算出三種新聞情緒變數,並採實證研究方法檢測三種新聞情緒變數與 首次公開發行公司之初始交易日之異常報酬兩者間之關係。根據本研究之實證結果, 發現初始交易日之前的新聞能影響首次公開發行之異常報酬,而相關新聞之情緒語 調亦和異常報酬有關。此外,本研究亦檢測三種情緒變數和三種傳統變數之交乘項 對異常報酬之影響,發現公司規模大小與首日交易量與情緒變數之交乘項會對初始 交易日之異常報酬有影響。總言論之,本研究對新聞會影響首次公開發行初始交易 日之異常報酬提供了實證證據。 / This study focuses on the relation between IPOs’ abnormal returns on initial trading days and news sentiment. To identify the tone of news, sentiment dictionary was established for this study, and news regarding IPO firms was picked out to count positive and negative words and phrases based on the sentiment dictionary. Using quantities of positive and negative words and phrases, three news variables were adopted and calculated. And linear regression was utilized to investigate the relation between IPOs’ abnormal returns on initial trading days and news sentiment. According to empirical results, I find that news prior to the IPO’s initial trading day can affect IPOs’ abnormal returns. The number of negative words and phrases is negatively related to the abnormal returns; the tone of news is positively related to the abnormal returns. Furthermore, I also investigated whether interaction terms of news variables and three control variables are related to abnormal returns on IPOs’ initial trading days. I find that interaction terms of the natural logarithm of firm size and two news variables and interaction terms of the natural logarithm of first-day trading volume and two news variables are related to abnormal returns. Overall, there is evidence that news can influence IPOs’ abnormal returns on initial trading days.

This dissertation consists of two essays. First essay investigates Fortune 500 companies that implemented Six Sigma. Since the 1980s, industrial organizations have adopted practices such as Six Sigma to maintain and enhance competitiveness. The purpose of this study is to look at the long run stock price and the operating performance of Fortune 500 companies that were identified to have implemented Six Sigma compared to the overall market performance as well as the performance of industry and size matched firms. Even though our sample firms improved several variables after implementing Six Sigma, their operating performances were not quite close to the performances of the matching firms. After implementing Six Sigma, compared to the industry and size matched firms, the only variable that improved out of 14 variables we looked at, is the growth in staff levels. The findings may contribute to understanding the reasons that underlie the so-called jobless recovery. Second essay investigates the real estate price indices in 19 emerging markets. The main objectives of the central banks are not necessarily in line with the goals for asset prices, particularly house prices; however house price changes can have important implications for economic activity and inflation. The consequences of excess changes in house prices also should be watched carefully by central banks and other government agencies that regulate financial institutions for the purpose of financial stability. This essay searches for a link between house prices, broad money, private credit and the macro-economy among 19 emerging markets. We are also trying to explain which variables predict the emerging markets real estate index returns. Our results show that money market rate, growth in GDP and CPI as well as log of private credit and money supply have significant predictive power on growth in real estate price indices a quarter ahead. We also show that there is multidirectional causality among all of the variables. A unique data is being used for the emerging markets real estate price indexes in this study. The data is provided by aDubaibased private company which offers emerging markets real estate information to its customers.

[pt] O presente estudo tem como objetivo testar a possibilidade de obtenção de retornos anormais de capital entre jan/2003 e dez/2012 para o mercado acionário brasileiro no curtíssimo prazo. Investigou-se, para tanto, a hipótese de reversão à média de curto prazo associada a uma seleção de ativos (ações) com base no critério de ordenamento decrescente do múltiplo P/VPA. Os ativos integrantes das carteiras vigentes do IBrX-100 foram ordenados de forma decrescente e em seguida estratégias contrárias com carteiras compradas em ações perdedoras e vendidas em ganhadoras foram montadas e testadas nos períodos subseqüentes. Evidências empíricas foram encontradas a favor da combinação de estratégias de valor e momento e, consequentemente, a favor da possibilidade de retornos anormais. Entretanto, o teste estatístico realizado felha em rejeitar a hipótese da significância dos resultados. Por fim, o trabalho investigou a existência de retornos residuais, expressos pelos Coeficientes de Jensen. Contudo, novamente o teste estatístico realizado não foi capaz de confirmar a significância dos resultados. / [en] The goal of this study is to test the possibility of obtaining abnormal capital returns between Jan/2003 and Dec/2012 for the Brazilian stock market in the very short run. We investigated, therefore, the hypothesis of mean reversion of returns associated with a selection of assets (shares) based on the criteria of descending order of P/BV ratio. Assets present in IBrX – 100 existing portfolios were ranked in decreasing order of P/BV ratio and then contrarian strategies were used with portfolios built by winner and loser stocks to test the abnormal returns in subsequent periods. Empirical evidences were found for the combination of Value and Momentum strategies and therefore for the possibility of abnormal returns. However, the statistical test performed fail to reject the hypothesis of significance of the results. Finally, the study investigated the existence of residua returns, expressed by Jensen Coeficients. However, once again the statistical test performed was not able to confirm the significance of the results.

Studien undersöker den abnormala avkastningen för de 100 största förvärven genomförda av svenska företag mellan 2007-2017. Studien beaktar även variabler som kan vara påverkande faktorer för denna avkastning. Variablerna som undersöks i denna studie är; betalningsmetod, affärsstorlek samt förvärvsland. Tillvägagångssättet som tillämpades för att mäta den abnormala avkastningen var i form av en eventstudie. Hypoteser framläggs utifrån studiens referensram, som sedan prövas via signifikanstest och multipel regressionsanalys. Resultaten visar en totalt positiv marknadsreaktion vid tillkännagivandet av förvärv. Samtliga portföljer genererar en värdeskapande affär, med undantaget av förvärv som uppstått i samband med kontantbetalning. Stora förvärv påvisade högre genomsnittlig kumulativ abnormal avkastning än för små förvärv. Ett signifikant samband mellan förvärv finansierade av kontanter och positiv abnormal avkastning påvisades. Däremot visar studiens resultat att förvärv finansierade med aktier/tillgångar genererade en högre genomsnittlig kumulativ abnormal avkastning jämfört med förvärv som var finansierade med kontanter. Detta resultat påvisar dock ingen signifikans. Ytterligare påvisas en högre positiv abnormal avkastning under händelsefönstret, för utländska förvärv. Det existerar ett signifikant samband, på 90%, mellan betalningsmetoden kontanter och den kumulativa genomsnittliga abnormala avkastningen. Studien fann inte ett signifikant samband för varken storlek på förvärv eller huruvida förvärvet var inhemskt eller utländskt och den kumulativa abnormala avkastningen. / This study examines the abnormal return for the 100 largest acquisitions made by Swedish companies between 2007-2017. The study also considers variables that may be influencing factors for the abnormal return. The variables examined in this study are; payment method, deal size and country of acquisition. The approach used to measure the abnormal return was an event study method. Hypotheses are presented based on the study's frame of reference, which is then tested via significance test and multiple regression analysis. The results show a total positive market reaction when announcing acquisitions. All portfolios generate value creation, with the exception of acquisitions with connection to cash payment. Large deal value acquisitions showed higher average cumulative abnormal returns than for small deal value acquisitions. A significant relationship between acquisitions financed by cash and positive abnormal returns was demonstrated. However, the study's results show that acquisitions financed by shares/assets generated a higher average cumulative abnormal return compared to acquisitions that were financed with cash. However, this result shows no significance. Further, a higher positive abnormal return is shown, during the event window, for foreign acquisitions. There is a 90% significant relationship between the cash payment method and the cumulative average abnormal return. The study did not find a significant relationship between either deal size or domestic/foreign acquisitions and the cumulative abnormal return.

This paper investigates the signaling effect of insider trading by analyzing the market reaction to 147 insider transactions executed within the period 2014-2016 on the Stockholm Stock Exchange. We present three major findings. First, we find significant market reactions for both insider purchases and insider sales, suggesting a signaling effect of insider trading. Second, we find the signaling effect to be similar for both insider purchases and insider sales. Third, we find that firm size has an influence on the signaling effect. Our findings indicate that the market values information about insider trading and that firm size has an effect on this informative value. / Denna studie undersöker signaleringseffekten av insynshandel genom att analysera marknadsreaktionen för 147 insynstransaktioner utförda under perioden 2014-2016 på Stockholmsbörsen. Vi presenterar tre huvudsakliga upptäckter. Den första är att vi finner en signifikant marknadsreaktion för både köptransaktioner och säljtransaktioner utförda av insynspersoner vilket indikerar att det finns en signaleringseffekt av insynshandel. För det andra finner vi att signaleringseffekten är lika stark för både köptransaktioner och säljtransaktioner. För det tredje finner vi att bolagsstorlek har en påverkan på signaleringseffekten. Dessa upptäckter visar på att marknaden ser ett värde i information om insynshandel och att bolagsstorlek påverkar detta informationsvärde.

Submitted by Maicon Juliano Schmidt (maicons) on 2015-05-19T17:42:55Z No. of bitstreams: 1 2015 - Marcelo Pinto da Silva.pdf: 409898 bytes, checksum: 76321a9a9f4e504829e3de371afa40ec (MD5) / Made available in DSpace on 2015-05-19T17:42:55Z (GMT). No. of bitstreams: 1 2015 - Marcelo Pinto da Silva.pdf: 409898 bytes, checksum: 76321a9a9f4e504829e3de371afa40ec (MD5) Previous issue date: 2015-02-23 / Nenhuma / O presente trabalho concentra-se em uma investigação empírica acerca da relação entre os investidores institucionais e o comportamento dos retornos anormais das ações após a divulgação dos resultados, anomalia reconhecida na literatura estrangeira como post-earnings-announcement drift (PEAD). Esta pesquisa objetiva verificar alterações na hipótese de eficiência de mercado através da relação entre os investidores institucionais e o PEAD. Para tanto, elaborou-se quatro modelos de regressão com dados em painel com base em estudos anteriores em que a variável dependente é o retorno anormal acumulado (RAA) e as variáveis independentes explanatórias da pesquisa são o standardized unexpected earnings (SUE) e a participação acionária dos investidores institucionais (PII). Aplicou-se o teste de hipótese para verificar se a média do RAA era diferente de zero, bem como se aplicou o teste de Hausman para identificar o modelo de efeito fixo ou variável dos dados em painel. Verificou-se que os coeficientes das variáveis PII e RAA foram negativos e significantes a 1% e 10%. Dessa maneira, evidenciou-se para o período e empresas pesquisadas que os investidores institucionais contribuem para a eficiência de mercado, bem como para o conteúdo informativo dos dados contábeis, através de sua relação com o PEAD. / This work focuses on an empirical investigation about the relation between institutional investors and the abnormal returns of shares after earnings announcement, anomaly known in the foreign literature as post-earnings-announcement drift (PEAD). It aims at verifying alterations in the market efficiency hypothesis through the relationship between institutional investors and PEAD. Thus, it was developed four regression models with panel data based on previous studies, in which the dependent variable is the cumulative abnormal return (CAR) and the independent explanatory variables, the standardized unexpected earnings (SUE) and the share participation of investors (SPI). The hypothesis test was applied to verify whether the CAR average was different from zero, as well as it was applied the Hausman’s test to identify the variable or fixed effect of panel data. It was verified that the coefficients of SPI and CAR were negative and significative to 1% and 10%. Thus, it was evidenced for the period and companies investigated that the institutional investors contribute for the market efficiency, as well as for the informative content of accounting data through the relationship with PEAD.