This paper investigates the European CDS markets response to earnings announcements between the years 2011-2013. Through the use of event study methodology, we investigate if the CDS market reacts to earnings news in terms of abnormal spread changes. Furthermore, by exploring the pre- and post announcement window the study examines the efficiency of the CDS market. The results imply that earnings announcements provide valuable information to the CDS market, with statistically significant results on the 5 % and 10 % significant level for negative and positive news respectively. Additionally, the paper shows that the market has a rather symmetric reaction to negative and positive earnings news since there is no significant difference in effects. The paper further reveals that there is no significant difference in the response between different credit rating groups. In terms of market efficiency, the study cannot confirm that there is anticipation for earnings announcements. The study further shows that there is no post-earnings announcement drift in the CDS market and that the market, overall, is efficient in incorporating the information into the spreads. Finally, a cross-sectional regression analysis confirms that negative earnings surprises are linked to large announcement day reactions, while positive earnings surprises are not.

This dissertation consists of two empirical studies in corporate finance. The first study, The Impact of Acquisitions on the Short-Run Returns to Shareholders and Bondholders, investigates shareholder and bondholder wealth with respect to 310 acquisitions in the UK market between 1994 and 2006. It tests the 3-day and 41-day excess security returns with an event study. The results show positive returns for target shareholders and bondholders, and negative returns for acquirer shareholders and bondholders. Moreover, the tests on value-weighted combined security returns show that stockholders lose, bondholders gain, target firms gain, acquirer firms lose, and shareholders/bondholders of target and acquiring firms as a whole lose. These results support the co-insurance hypothesis, wealth transfer hypothesis, hubris hypothesis, and bond return based on hubris hypothesis, and reject the synergy hypothesis. The univariate and multivariate analyses on the deal characteristics find that target and acquirer stock returns are higher with cash payment, acquirer stock returns are higher in friendly and industry unrelated takeovers, acquirer bond returns are higher in industry related takeovers, target firm share returns are higher when target size is smaller than the acquirer size, target and acquirer stock returns are higher in bull market period, and acquirer bond returns are higher in the bear market period. The second study, A Test of the Partial Adjustment Theory of Leverage Using Leverage Changes Arising from Takeovers, investigates firms’ capital structures by the event of takeovers. It examines 659 US acquiring firms which involved in acquisitions between 1962 and 2001. These acquiring firms’ book leverage ratio deviations are tested in an 11-year window. This result shows that takeovers have significant impact on firms’ book leverage ratios in the announcement year. The trend that firms gradually reverse their actual leverage ratios towards their optimism in the five years after the takeovers supports the dynamic trade-off theory. The partial adjustment models on the speed of adjustment further support the dynamic trade-off theory and reject the alternative capital structure theories. The tests on method of payment and source of fund demonstrate that cash payment and raise of funds are likely to increase firms’ leverage ratios at announcement and to maintain these ratios at a high level in the years after the merger.

The covered warrant market in the UK has gained in popularity over time since first launched in 2002. This has opened up an alternative investment choice which offers derivative securities with a life of typically one to two years. It seems to fulfill many of the functions of a traded options market. Since most research has been focused on options trading, the investigation on covered warrants trading is still very limited. This is also largely due to the lack of readily available data for end-traded covered warrants and the existing covered warrants. A unique set of hand-collected data, supplemented by public and private data from main covered warrants issuer and the financial database are employed, making this thesis possible. The sample periods can be divided into two separate sets. The UK covered warrants trading during the period July 2004 - December 2006 are used to examine the impact of warrant introduction and expiration on the price, volume and volatility of the underlying securities. For the introduction analyses, both the announcement and listing of covered warrants have negative impacts on the price of underlying securities for both call and put features, though the impact of the announcement is more pronounced than that of the listing. These affects are temporary and do not persist much beyond the introduction of the warrants. Negative price impacts of the expiration event are also reported for both call and put covered warrants. However, this study finds no significant impacts on the volume of underlying securities trading from the announcement, listing and expiration of call and put covered warrants. Further evidence indicates an increase in volatility of the underlying securities during the announcement and listing of covered warrants. The results hold true for both call and put warrants cases. On the other hand, a decreasing stock volatility is found as a consequence of the expiration of both call and put covered warrants. The second data set involves the call covered warrants traded in the UK market between April 2007 and December 2008; this was analysed for evidence of the best appropriate covered warrants pricing model. This study suggests default risk as a major concern for the warrant price which is called the Vulnerable warrant price. The reasons behind this arise from concern about the issuer’s creditworthiness due to traders’ fraudulent action and the recent subprime problem, the difficulties of dynamic hedging by issuers because of market imperfections, as well as the no guarantees on covered warrant trading provided by the London Stock Exchange. The most salient findings of the study are the following. The Vulnerable warrant price is generally lower than both the Black-Scholes price and warrant market price throughout the warrant’s lifetime. The evidence suggests an overvalued warrant price in the UK market. Moreover, the in-the-money warrants indicate a higher rate of default in comparison to the out-of-the-money warrants. An additional finding shows that the market becomes aware of the default risk only on a short-term basis. The presentation of negative abnormal returns of both market and the Black-Sholes prices support the assumption that default risk is a relevant factor in pricing the UK covered warrants. These findings add to the literature dealing with the effect of derivatives trading on the underlying securities as well as providing more empirical evidence on a particular covered warrant market. This could be of interest not only for practitioners to widen their investment opportunities but also for regulators to have this as a guideline for their future related policies planning.

Many potential benefits of new product introductions (NPI) have been identified in existing literature, yet there are empirical and theoretical evidence that suggests that such benefits are not assured. Building on the concepts of time compression diseconomies, absorptive capacity, and time diversification, we argue that benefits that a firm derives from introducing new products depend on the process of NPI, which we conceptualize as how and what products are introduced by the firm. We propose that pace, rhythm, and the scope are three important characteristics of the process of NPI that affect firm value. Further, we argue that this effect is moderated by organizational marketing and technological intensities. We use an unbalanced panel dataset of the products introduced by public firms between 1991 and 2015 to investigate the proposed framework in the bio-pharmaceutical industry. We estimate the proposed model using a multilevel modeling framework, accounting for endogeneity, unobserved heterogeneity, and heteroscedasticity. The proposed framework and modeling approach provide empirical support for the role of pace, rhythm and scope of NPI on firm performance, and guide managers on choosing the right growth strategy to improve new product performance.

This thesis deals with the behaviour of stock markets during the period of election process. We focus on the influence of elections to the German Bundestag on stock market performance of the countries allied in Visegrad Group during the reference period 1994-2013 covering six Bundestag elections. Germany is a major export partner for all members of Visegrad Group - the Czech Republic, Hungary, Poland and Slovakia. We examine whether there are abnormal returns on stock markets in Visegrad Group countries around the date of German Bundestag elections. We thus examine if the fact that performance of German economy is important for performance of economies of countries allied in Visegrad Group means that Bundestag elections influences their stock markets. We also analyze the influence of elections to German Bundestag on domestic stock market during the reference period 1961-2013. To measure the effect of elections we employ event study methodology using the mean-adjusted return model to measure normal returns. Our event window consists of 65 trading days around the election day (-15,50). We use the estimation window of 100 days (-150,-51). We assess our main hypothesis for each country around every Bundestag elections in our reference period separately over three event windows and also over eight event...

[pt] Com o aumento de pequenos investidores no mercado secundário de ações do Brasil, a informação pública ganha cada vez mais peso sobre as expectativas e, conseqüentemente, sobre o valor de determinados papéis negociados neste mercado. Neste contexto, um estudo de eventos pode identificar irregularidades geradas pela imperfeição da disseminação das informações, e seus efeitos no mercado acionário. Este trabalho analisa, através de um estudo de eventos, o impacto de artigos publicados na capa do jornal Valor Econômico sobre a valorização das ações das empresas abordadas. Foi utilizada a comparação das valorizações dos papéis anti e post factum, visando identificar desvios que provem ou não a força das informações publicadas. / [en] With the increase in the number of small investors in the Brazilian stock market, public information increases its influence over expectations and, consequently, over the value of determined stocks traded in this market. In this context, an event study can identify irregularities caused by imperfections in the dissemination of information, and their effects on the stock market. This project analyzes, using an event study, the impact of articles published on the front page of the Valor Econômico newspaper on the value of the stocks involved in those articles. The comparison of the returns of those stocks before and after the event was performed, aiming at identifying biases that could demonstrate or not the strength of the information issued.

[pt] O objetivo desta dissertação é investigar a existência de retornos anormais no contrato de dólar futuro de primeiro vencimento nos momentos próximos à realização dos leilões de câmbio pelo Banco Central do Brasil. Em respondendo positivamente à primeira indagação, avaliamos a persistência de tais retornos que, em última instância, descreverá o quão rápido novas informações são difundidas e incorporadas aos preços. Para isso, aplicamos os arcabouços de estudos de eventos e microestrutura do mercado de câmbio aos dados de alta frequência obtidos junto à BMEFBovespa e ao BC. A disponibilidade dos dados dos negócios permite que se utilize da variável de fluxo de ordem e, assim, se corrijam potenciais problemas relacionados a viés de variável omitida, não considerados na literatura sobre intervenções dos bancos centrais. Encontram-se retornos anormais estatisticamente positivos nos minutos que seguem à abertura de um leilão e negativos nos minutos seguintes ao fechamento do mesmo. Adicionalmente, as evidências mostram que o horário do leilão pouco afeta os resultados. / [en] The goal of this dissertation is to investigate the existence of abnormal returns in U.S. dollar futures contract maturing in the first moments near to the realization of exchange auctions by the Central Bank of Brazil. On the occasion of a positive response to the first question, we evaluated the persistence of these returns that ultimately describe how fast new information is disseminated and incorporated into prices. For this, we apply the frameworks of Event Studies and Microstructure of the exchange market to high-frequency data obtained from the BMANDFBovespa and the CB. The availability of transactions data allows the use of variable order flow and thus to correct potential problems related to omitted variable bias, not considered in the literature on Central Bank intervention. We found statistically positive abnormal returns in the minutes following the opening of an auction and negative in the minutes following the closure of the same event. Additionally, the evidence points to the direction that, among the times chosen by the monetary authority in the database, there is no statistically significant difference with respect to the effects of such events on the movements in the exchange rate on intraday basis.

Etableringen av sociala medier har skapat ett nytt medielandskap där beslutsfattare och politiker kan kommunicera direkt med allmänheten. Donald J. Trump är en politiker som valt att kom- municera med sin publik via twitter. Han misstror traditionell medias förmåga att objektivt återge hans utsagor och underminerar journalistiken genom att använda begrepp som ’fake news’. Att en amerikansk presidenten twittrar är inget nytt fenomen men frekvensen och reto- riken i Donald J. Trumps tweets är något nytt. Dessa nya medievanor kan få konsekvenser inom flera sektorer inte minst på finansmarknaden. Vilken påverkan hans twittrande har på aktiemarknaden är frågan som behandlas i denna uppsats. Uppsatsens syfte är således att studera om Donald J. Trumps tweets påverkar Dow Jones In- dustrial Average (DJIA). Studien avgränsas till handelskriget mellan USA och Kina. Vidare avgränsas studien till en tidsperiod om ett år, från februari 2018 till februari 2019. Uppsatsen studerar enbart USA:s president Donald J. Trumps tweets. Studien genomförs genom event study som jämför normal returns innan händelsen (tweet) med den abnormal returns efter. Tweetsen är utvalda baserat på ett antal nyckelord som testas inom varaktighetsfönster på 5, 10, 15 och 20 minuter, vilket ger uttryck för hur länge effekten varar. Resultatet visar att 8 av 12 tweets har en statistisk signifikant påverkan på DJIA på antingen 1%, 5% eller 10% signifikansnivå. Studien tyder således att presidentens twittrande påverkar DJIA. Slutsatsen av studien är att Donald J. Trumps tweets utgör information som påverkar värde- ringen på aktiemarknaden (DJIA) och dess avkastning. Därför kan konstateras att sociala me- dier, såsom Twitter, är informationskällor som är högst väsentliga att följa för aktörer på finansmarknaden. Vidare får resultatet implikationer för rådande lagstiftning och regleringar, något som redan diskuteras i USA. Studier på området har varit svåra att finna varför vidare forsk- ning på området vore önskvärt.

The purpose of this study is to investigate the effect of a stock recommendation from the leading financial magazines in Sweden. The study aims to measure the impact a recommendation illustrates in true value. The measurements are mean abnormal returns (AR), mean cumulative abnormal returns (CAR) and mean abnormal volume (AV). Conducting an event study to monitor, not only the date of announcement, but to also validate or invalidate the recommendation as a fundamental changer in the stock case. Where the calculations are made before, on and after the event occurs. With the aim to test if the market is efficient and in line with the rational theories, or if there are other explanatory theories, like the behavioral financial approach, that can explain the results. The sample consists of 571 recommendations that have been announced 2017 and 2018, divided into categories of buy and sell. The sample of buy and sell are also tested in subcategories of small and large companies, to measure the impact due to size of the firm, as a dependent variable. The empirical results shows that there are AR and AV existing due to recommendations. Small companies have the highest measured AR, with sell recommendations having the largest effects. The sell recommendations changes the value and the fundamentals of the stocks, while buy recommendations react positive to the recommendations on the day of announcement, then reverses back to the same price in the end of the event window. Suggesting that the market act both efficient and rational, but also irrational and ineffective, depending on what type of recommendation that is being released and how large and well monitored the company, that gets the recommendation is.

Desde 2010, os bancos brasileiros são obrigados a publicar suas demonstrações financeiras anuais consolidadas em dois padrões contábeis diferentes, COSIF e IFRS. Este estudo buscou conhecer e apontar impactos do peculiar processo de adoção dos bancos brasileiros ao IFRS, tanto sob o ponto de vista de quem fornece as informações, quanto dos investidores. Para tanto, buscou-se inicialmente conhecer a população brasileira de bancos e quais as mudanças divulgadas em suas demonstrações financeiras. Por meio de uma análise comparativa das demonstrações financeiras, foram encontradas diferenças entre os valores publicados em praticamente todas as contas das DREs das instituições e com uma aparente independência entre as decisões de reclassificação uma vez que ocorreram em amplitudes e sentidos diferentes. Por meio de uma amostra de 16 bancos, observou-se que o Lucro Líquido apresentado em IFRS foi menor em nove e o Patrimônio Líquido aumentou em 14 bancos. Pela ótica dosinvestidores (usuários externos da informação) o impacto foi mensurado por meio de variações de valor de mercado e de um estudo de evento. Os resultados do estudo de evento evidenciaram a existência de retornos anormais acumulados (CAR) entre -16,9% e +12,5%, sugerindo que a adoção de IFRS foi Value Relevant. O relacionamento entre as variáveis foi obtido por meio de uma matriz de correlações de Spearman e indica que o mercado reagiu em sentido inverso ao risco, com correlação de -0,89. A reação do mercado foi mensurada pelo CAR e o risco pelos betas. Esta correlação fornece indícios de que o mercado reagiu mais negativamente a instituições de maior risco. Logo, pode-se supor que o novo padrão contábil apresentou informações que podem ter aumentado a percepção dos investidores ao risco. / Since 2010, Brazilian banks are required to publish their consolidated financial statements in accounting standards: IFRS and COSIF. This study aims to know and point impacts of particular adoption process of Brazilian banks to IFRS, both from the point of view of who provides the information and investors. It sought to know the population of Brazilian banks and the changes disclosed in its financial statements. The results showed differences between the values published in all accounts of Income Statement, in all institutions, with rare exceptions, and an apparent independence of the reclassification decisions as they occurred in different directions and amplitudes. Given a sample of 16 banks, net income presented in accordance with IFRS was lower in nine and equity increased by 14. From the standpoint of investors (external users of information) impact was measured through changes in market value and an event study. The results of the event study indicated the existence of cumulative abnormal returns between -16.9% and +12.5%, suggesting evidence that the adoption of IFRS was Value Relevant. The relationship between variables was obtained from a matrix of Spearman and showed evidence that the market reacted to the risk in reverse, with a correlation of -0.89. Market reaction was measured by the CAR and risk betas. This correlation points to evidence that the market reacted more negatively the greater the risk, where one can assume that the new accounting standard may have increased investors\' perception of risk.