Yes / This article reports on case study research conducted in a hospital Trust and explores the impact that the Investors in People award had on employees. Investors in People is widely seen as the principal mechanism for increasing workforce skills within a voluntarist system as well as supporting `good¿ employment policies. Yet in this case study, as elsewhere, most of the `soft¿ human resource initiatives had existed prior to accreditation and the internal marketing of corporate value statements was met with both amnesia and cynicism. More worryingly, training activity was focused on business need, and business need was defined in the narrowest sense, with the result that some employees had fewer opportunities for individual development. Motivation and commitment levels were high, staff were enthusiastic about their work and many actively engaged in training and development. But this owed little to Investors in People and its impact here raises questions about its influence on skill levels more broadly.

Yes / This study examines the effect of carbon price uncertainty on stock price crash risk. Utilizing the dynamic panel model on the data of Chinese listed firms from 2011 to 2018, we find that high carbon price uncertainty increases stock price crash risk. The impact of carbon price uncertainty is more prominent in the heavily polluting industries and during the post-period of the Paris agreement. The two underlying channels through which carbon price uncertainty induces stock price crashes are managers' hoarding of bad news and investors' heterogeneity. Furthermore, reducing information asymmetry inside and outside the firms can mitigate the influence of carbon price uncertainty on stock price crash risk. Our findings demonstrate that carbon price uncertainty as a newly underexplored factor induced by the prevailing curb of catastrophe risks has unintended but important implications on stock prices. / This study was supported by the Project of Social Science Achievement Evaluation Committee of Hunan Province (Grant No. XSP22YBZ160), Hunan Provincial Natural Science Foundation of China (Grant No. 2022JJ40644 and No. 2022JJ40647). / The full-text of this article will be released for public view at the end of the publisher embargo on 24th Oct 2024.

Denna studie undersöker graden av felprissättningar för köpoptioner i Black-Scholes prissättningsmodell. Syftet är att undersöka om graden av felprissättningar i Black-Scholes modellen har ökat eller minskat ur ett historiskt perspektiv. Studiens antagande är att med en stor ökning i handelsvolym av optioner, samt ett större deltagande av retail investerare kan det ha en effekt på prissättningen av optioner. Därav, att det indirekt kan ha en effekt på Black-Scholes prissättningsmodell. Studien undersöker ifall en sådan förändring har lett till en mindre effektiv prissättning av modellen idag. Studien använder sig av optionsdata från 2005 som jämförs med data från 2024, där den dagliga stängningskursen för samtligaoptionskontrakt används vid databearbetningen. Det undersöks även om det finns skillnader mellan optionskontrakt med olika löptider och moneyness. Ytterligare används tidigare använda teorier för att definiera moneyness och deras relativa prisfel [RPE]. Studiens resultat visar att Black-Scholes modellen tenderar att producera en lägre grad av felprissättningar idag, 2024, jämfört med 2005. Följande visar modellen en lägre grad av felprissättningar både för kontrakt, out- och in-the-money. Med antagande om att en högre handelsvolym av optioner och därmed likviditet, återspeglar förändrad och mer marknadsinformation. Därav är det fler optionskontrakt som köps och säljs dagligen, som i sin tur gör prissättningen av Black-Scholes modellen mer effektiv. / This paper seeks to investigate the degree of mispricing in the Black-Scholes call optionpricing model. The aim is to research if the degree of mispricing in the Black-Scholes model has increased or decreased, from a historical perspective. Our hypothesis is that with a large increase in option trading volume and a larger participation of retail investors, might have an impact on the option pricing. Thus, indirectly affecting the Black-Scholes pricing model - which we seek to investigate, if such changes have led to less efficiency in the model today. Furthermore, we use options data from the year 2005 and compare it to the year 2024. The daily closing prices of options contracts are used, likewise we test if there are any significant differences between contracts with different time to expiration and moneyness. Additionally, commonly used formulas are used to define the moneyness of the option contracts, and their respective relative price error [RPE]. Our results indicate that the Black-Scholes model generally tends to produce less pricing errors today, year 2024, comparatively to year 2005. Hence, the model also shows a lesser degree of pricing error, both for contracts out- and in-the-money. We believe that with an increase in options volume and liquidity - reflect changed and more market information. Thus, more option contracts being bought and sold daily, makes the pricing to a degree, more efficient in the Black-Scholes model.

Submitted by Cristiane Shirayama (cristiane.shirayama@fgv.br) on 2011-06-02T19:09:28Z No. of bitstreams: 1 66080100238.pdf: 680454 bytes, checksum: 38184d6f6453052e7092f60631e97b3f (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-02T20:20:11Z (GMT) No. of bitstreams: 1 66080100238.pdf: 680454 bytes, checksum: 38184d6f6453052e7092f60631e97b3f (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-02T20:41:50Z (GMT) No. of bitstreams: 1 66080100238.pdf: 680454 bytes, checksum: 38184d6f6453052e7092f60631e97b3f (MD5) / Made available in DSpace on 2011-06-03T18:56:20Z (GMT). No. of bitstreams: 1 66080100238.pdf: 680454 bytes, checksum: 38184d6f6453052e7092f60631e97b3f (MD5) Previous issue date: 2011-01-21 / Este trabalho estuda a formação dos Bookbuildings em emissões de ações no Brasil, também conhecidos como 'Livro de Ofertas', o último e mais importante estágio de um processo de IPO. Testam-se hipóteses de assimetria de informação, monitoramento e liquidez e conflito de interesse para o caso brasileiro em um conjunto de 18 emissões, todas oriundas de IPO’s emitidos no mercado de capitais brasileiro, sob a ótica das 5 variáveis mais significativas: Tipo de Investidor – curto e longo-prazo; Nacionalidade – Investidores dos Estados Unidos e locais; Participações em ofertas; Tamanho das ofertas; e Preço das emissões. O nosso banco de dados analisa todas as 209 operações de listagem primária e secundária dos últimos 7 anos, desde 2004, na Bovespa. São 209 ofertas públicas. Aprofundamo-nos em 18 delas, das quais possuímos todas as informações de formação de livro de ofertas. Demonstrou-se que em todas essas 18 ofertas o volume de ofertas feitas por investidores estrangeiros de fato 'ancorou' as operações (representando mais do que 67% das ordens dos livros), fato que teve uma função muito importante, de 'sinalizar' a força das determinadas ofertas em termos de demanda. Das 18 operações, o livro de ofertas de 39% excedeu mais do que 3 vezes a quantidade ofertada pela empresa issuer ao mercado. Em 56% dos casos, a demanda foi maior do que o dobro do número de ações oferecidas pelo issuer. Em 72% dos casos, a demanda excedeu a oferta em pelo menos 50%. A média de demanda das 2.229 ofertas de compra, divididas nos 18 IPO’s estudados, foi de quase 4 vezes o número de ações ofertadas, ou 394%, conforme tabela 11 deste trabalho. Os resultados obtidos seguem na direção das teorias de preferência por investidores de longo prazo em detrimento de investidores de curto prazo. Encontramos que o preço e a participação em diversos IPO’s não são determinantes para explicar as diferenças nas alocações, distanciando nossos resultados das teorias de assimetria de informação. Já as variáveis que exprimem características dos investidores mostraram-se bastante relevantes para explicar as diferenças nas alocações. Primeiramente, o tipo de investidor mostrou-se uma variável decisiva na alocação. Nas hipóteses testadas, encontramos evidências de que investidores de longo prazo, os chamados Long-Only são beneficiados enquanto investidores de curto prazo, em geral hedge-funds e tesourarias, são penalizados nas alocações. Segundo, a nacionalidade do investidor também exprime papel fundamental na alocação. Investidores norte-americanos são beneficiados enquanto investidores brasileiros são penalizados, outro resultado contrário às teorias de troca de alocação por informação, dado que investidores domésticos, em teoria, deveriam ter maior informação do que estrangeiros. Em realidade, se existe um consenso nesse campo de pesquisa é o de que investidores norte-americanos determinam a direção da grande maioria dos recursos destinados a esse mercado e emitem forte sinalização quando 'entram' em negócios dessa natureza ao redor do mundo, o mesmo ocorrendo no caso brasileiro e demonstrado em nossa análise, conforme acima mencionado. Os resultados apenas comprovam que esse tipo de ação de tais investidores tem sido premiado por meio de favorecimento em alocações nas ofertas no mercado brasileiro, principalmente quando controlamos para emissões com alta demanda, os chamados Hot IPO’s. Também encontramos evidências contrárias às teorias de controle. Ao regredir nossa variável Tamanho, encontramos um sinal contrário ao esperado. Isto é, para os dados que dispúnhamos, verificamos o favorecimento de grandes ofertas em detrimento de pequenas, enquanto esperaríamos que os underwriters evitassem concentração de ações, 'protegendo' as empresas emissoras de eventuais problemas de liquidez e até potenciais tentativas de hostile take-overs no futuro. / This work studies the composition of Bookbuildings of IPOs in Brazil. Bookbuilding is the last and most important stage in an IPO process. Hypotheses tested are information asymmetry, liquidity and monitoring conflict of interest for the Brazilian case in a sample of 18 IPOs, considering the4 5 most significant variables: Investor Profile – short and long term investors; Nationality – Local and US Investors; Participation in offering processes; Size of the offerings; and Pricing of the IPOs. Our database analyses all 209 shares emissions both primary and secondary offerings in the last 7 years in Bovespa, since 2004, all public offerings. We detailed 18, those of which we had more complete data available of the Bookbuilding. We learnt that foreign investors “anchored” those 18 IPOs. Foreign investor’s orders represented more than 67% of the offering books. This fact signed the “strength” of those IPOs in terms of demand. Out of the 18 operations, in 39% of the cases the offering book amounted for 3 or more times the number of offered shares by the issuers. In 56% of the cases, the demand was higher than twice the amount of offered shares. In 72% of the cases the demand exceeded the offer by at least 50%. The average demand of the 2.229 bids was almost 4 times the number of offered shares by the issuers, or 394%, showed in the table 11 of this work. The main results of this work point out in the direction of the preference for long-term investors rather than short-term investors. We found that pricing and participation in many IPOs are not determiners for allocations by book runners, putting our results away from information asymmetry theories. Investor profile was found as a very important variable to explain allocations. We found evidences that long-term investors (long-only) are benefited in allocations and short-term investors (hedge-funds and treasuries) are penalized. The investor nationality was also found as very relevant. US investors are benefited while Brazilian investors are penalized, another result that goes against our first beliefs, once we had the perception that Brazilian investors had more information than the US investors about Brazilian companies. Actually, what explains this preference for US investors in the allocation processes is the fact that when an US investor bids for an specific IPO this investor is actually “sending” a sign to the markets of the quality of the issuer (the company is a “worth investing” company), therefore US investors end up determining the direction of an IPO, if it will be Hot IPO of Cold IPO. So underwriters give better allocations to US investors once the US investors sign positively to the markets about an specific IPO as afore mentioned. When doing our regressions we found a sign contrary to our expectation in the variable “size” of the bid order. This evidence goes against the theories of control. According to our database we found that underwriters favored large bid orders rather than small bid orders, whereas we expected underwriters to avoid concentration of allocations, defending the company issuer from liquidity problems and even a potential hostile take-over threat in the future.

A problem South-Africa is facing is that the wealth created by mines (also called economic rent) may not yet get distributed satisfactorily evenly between the nation and investors. In an attempt to find a solution to the abovementioned dilemma, government initiated a feasibility study for the nationalisation of mines. This proposal was however waived for two reasons: firstly that it would be unaffordable for government to buy out private companies and secondly, that it would create discontent amongst foreign investors, which would result in them withdrawing access to financing. Consequently, the ANC, during 2012 in the SIMS report proposed a possible implementation of a resource rent tax (RRT), akin to Australia’s, to ensure that the State receives a greater/more equitable share of the wealth. Developments in the mining industry since 2012, have drawn attention to two serious issues: labour related concerns and continued strikes as well as a reduction in foreign direct investment as a result of negative investor sentiment towards South Africa. These issues are directly related to the perception that the community (including mine workers) do not benefit fairly from the wealth created by mines, which results in ongoing labour unrests and subsequently in investment withdrawal. It would seem that even though no further consideration has been given to the implementation of a RRT since 2012, it may be regarded as a possible and sensible solution. This study focuses on the possible impact on the taxation payable by the South African mining industry, if a RRT were to be introduced. Research has been conducted in order to obtain an understanding of the working of a RRT, to analyse South Africa’s current tax regime, to develop a simple hypothetical case study to evaluate both the quantitative and qualitative impact of the introduction of a RRT system on South African mining tax (for both the investor and the state). The study concludes that the introduction of a RRT can potentially result in a more fair distribution of resource rents between the investor and the state (community - rightful owners of the natural resources). Research however proved that this is likely to influence the investor’s investment decisions which in turn may result in a general downturn in mining operations and profits. Based on the qualitative results of a case study, a RRT was proven to be inefficient due to the fact that it will only tax mining companies with a higher rate of return and in effect higher risk companies. As investors are prepared to take on high risk projects for the purpose of generating higher returns, the introduction of an RRT reducing this return might influence an investor’s decision. The potential impact on investors’ decisions may be counteracted through further research with regard to variables used in the RRT model namely the percentage of tax charged and the required rate of return. A RRT is therefore proven to have some benefits, even though some aspects will require further evaluation. / MCom (South African and International Tax), North-West University, Potchefstroom Campus, 2015

A problem South-Africa is facing is that the wealth created by mines (also called economic rent) may not yet get distributed satisfactorily evenly between the nation and investors. In an attempt to find a solution to the abovementioned dilemma, government initiated a feasibility study for the nationalisation of mines. This proposal was however waived for two reasons: firstly that it would be unaffordable for government to buy out private companies and secondly, that it would create discontent amongst foreign investors, which would result in them withdrawing access to financing. Consequently, the ANC, during 2012 in the SIMS report proposed a possible implementation of a resource rent tax (RRT), akin to Australia’s, to ensure that the State receives a greater/more equitable share of the wealth. Developments in the mining industry since 2012, have drawn attention to two serious issues: labour related concerns and continued strikes as well as a reduction in foreign direct investment as a result of negative investor sentiment towards South Africa. These issues are directly related to the perception that the community (including mine workers) do not benefit fairly from the wealth created by mines, which results in ongoing labour unrests and subsequently in investment withdrawal. It would seem that even though no further consideration has been given to the implementation of a RRT since 2012, it may be regarded as a possible and sensible solution. This study focuses on the possible impact on the taxation payable by the South African mining industry, if a RRT were to be introduced. Research has been conducted in order to obtain an understanding of the working of a RRT, to analyse South Africa’s current tax regime, to develop a simple hypothetical case study to evaluate both the quantitative and qualitative impact of the introduction of a RRT system on South African mining tax (for both the investor and the state). The study concludes that the introduction of a RRT can potentially result in a more fair distribution of resource rents between the investor and the state (community - rightful owners of the natural resources). Research however proved that this is likely to influence the investor’s investment decisions which in turn may result in a general downturn in mining operations and profits. Based on the qualitative results of a case study, a RRT was proven to be inefficient due to the fact that it will only tax mining companies with a higher rate of return and in effect higher risk companies. As investors are prepared to take on high risk projects for the purpose of generating higher returns, the introduction of an RRT reducing this return might influence an investor’s decision. The potential impact on investors’ decisions may be counteracted through further research with regard to variables used in the RRT model namely the percentage of tax charged and the required rate of return. A RRT is therefore proven to have some benefits, even though some aspects will require further evaluation. / MCom (South African and International Tax), North-West University, Potchefstroom Campus, 2015

本研究主要探討的是三大法人是否對公司能夠發揮監督的效果，並加入股東會的因子觀察三大法人是否為了在股東會行使表決權、發揮監督公司效果以達到改善其經營績效的目的而增加其持股比率。研究樣本來自2006年到2014年所有上市上櫃(但不含F股)公司的市場資料及財務資料，並使用普通最小平方法則和固定效果模型對三大法人持股的影響進行分析。 實證結果顯示，三大法人持股比率越高的公司確實會有較好的經營績效，與許多國內外認為機構投資人可以有效監督公司營運的研究結果符合，但在加入股東會因素後，本研究發現只有外資可能藉由其持股在股東會時發揮影響力，以達監督公司之目的；為了更進一步檢驗外資是否真能藉由股東會加強標的公司之公司治理，本研究使用資訊透明度及財報重編次數作為代理變數，模型結果也顯示外資在股東會最後過戶日前有增加持股的公司會有較好的公司治理表現，因此認為外資可能透過股東會以發揮其影響力，但投信及自營商則沒有此行為。

There is consensus about a need to reduce the amount of green-house gas emission in the electricity industry to be able to deal with the probable consequences of climate change. This necessitates extensive investments in technologies used to generate electricity from renewable energy sources (RES-E). To stimulate such investments, governments have enacted several policy instruments. However, the outcomes of these instruments are mixed. This thesis delineates two reasons for the different effects of policies. First, the development of the renewable electricity industry hinges on a set of driving forces that differ across regions, through the years and for different actors. Given that, policy instruments are not only driving forces behind the renewable electricity industry and can thus by themselves not explain its development. Second, RES-E investors comprise a heterogeneous group of actors whose perceptions of business opportunities vary substantially and are also based on a variety of driving forces. Hence, RES-E investors may react differently to changes within the electricity industry, as well as to government policies that aim to create a more sustainable electricity industry. Garnering a better understanding of these reactions is therefore important as they influence the pace of transition to a more sustainable electricity industry. This is an interdisciplinary study that brings together several theories and research areas. First, using the technological innovation system perspective, it identifies systemic driving forces behind the development of the renewable energy industry that will also accelerate the electricity industry transitions to sustainability. To gain a better insight into the role of policy instruments as such as well as in relation to other driving forces, this thesis explores what factors are accounted for in attempts to assess the instruments’ performance. Second, drawing on sustainability transition studies and dynamic capability theories, this thesis seeks to explore which firms are willing to contribute—and capable of contributing—to sustainability transitions in the electricity industry. The thesis argues that good forecast and policy plans need to be built on a solid understanding of the firms that change the structure of the electricity industry through their RES-E investments. This thesis leverages a mix of qualitative and quantitative methods. Empirical data are collected through two extensive literature reviews on the driving forces of the renewable energy industry development in Europe, a longitudinal case study on a European multinational energy company, and statistical analyses of data on RES-E investors in Sweden. The thesis makes theoretical, methodological, and empirical contributions to this area of research. The findings explain what motivates the development of the renewable energy industry; who competes in the renewable electricity industry; and what the future renewable electricity industry may look like. The thesis outlines implications for policies, for managers as well as for renewable energy technologies. / <p>This research was conducted within the framework of the “European Doctorate in Industrial Management” - EDIM - which is funded by The Education, Audiovisual and Culture Executive Agency (EACEA) of European Commission under Erasmus Mundus Action 1 programme. </p><p>QC 20160119</p>

This dissertation studies the reaction of trading behavior of investors, especially institutional investors, to the public information in Taiwan. Two kinds of public information are chosen in this dissertation. One is open-ending closed-end funds under the regulation set up by Taiwan authority. The other is the change of stocks in MSCI Taiwan Index that is decided by Morgan Stanley Capital International (MSCI), a well-known foreign institution in constructing various indices. Consistent with earlier studies using U.S. data, our results show that open-ending is a wealth-enhancing event for shareholders. We also provide evidence of the existence of noise traders in the closed-end fund market. The evidence is derived from the trading behavior of domestic institutional investors and small individual investors, who ignore price discounts when open-ending is imminent. The trading by noise traders impedes price adjustments to the discounts, and provides profit opportunities to arbitragers. Furthermore, we show that foreign investors gain considerable wealth, largely at the expense of domestic institutional investors and small individual investors, in the open-ending process. On average, their gains account for 30% of the total gains associated with open-ending, or NT$562 millions per case. On the issue of the change of stocks in MSCI Taiwan Index, we find that MSCI prefers to select the securities with good performance, high liquidity, and large firm size into MSCI Taiwan Index while tends to drop the securities with poor performance, lower liquidity, and small firm size from MSCI Taiwan Index. Besides, consistent with the previous studies, prices increase (decrease) significantly for stocks added to (deleted from) the MSCI Taiwan Index after the announcement date. As well as the deletions, the price decreases for unchanging stocks after the announcement date. However, there is no evidence to find that foreign investors have information advantage in MSCI news over domestic investors. Foreign investors increase (decrease) their holdings on stocks included in (excluded from) the MSCI Taiwan Index after the announcement date. Moreover, price pressure hypothesis is not supported. Visibility hypothesis, information content hypothesis, downward sloping demand curves hypothesis are supported. Finally, for additions and deletions, the market-adjusted returns are driven by the contemporaneous excess buy of foreign investors and the contemporaneous excess sells of domestic corporations and individuals.

Standard finance theory portrays investors as rational utility maximisers. Persisting market anomalies and observed investor practice, however, have led to widespread recognition that the fundamental axioms of rationality are often violated. In response to the limitations inherent in standard theory, the Behavioural Finance approach relaxes the rationality assumption and takes account of psychological influences on individuals’ decision-making processes. Adopting the behavioural approach, this thesis, which includes two empirical studies, examines why, and to what extent, investors depart from rational or optimal investment practices. The thesis examines the effect of Myopic Loss Aversion (MLA) suggested by Benartzi and Thaler (1995) as a response to the Equity Premium Puzzle highlighted by Mehra and Prescott (1985). While previous studies are almost exclusively based on experiments in a laboratory setting, this approach provides more compelling empirical evidence by investigating the effects of MLA on real individual investors’ portfolio allocations through the use of the Dutch National Bank Household Survey. For the first time, the concept of MLA is identified through the interaction of two separate effects, firstly, individuals’ myopia, reflected in portfolio evaluation and rebalancing frequencies, and secondly, loss aversion. The thesis finds that individuals who are less affected by MLA invest more in risky financial assets. Further, individuals who are less myopic increase their share of risky assets invested in their financial portfolios over time, although this is unrelated to their loss aversion. These findings support the prediction of MLA theory that short investment horizons and high loss aversion lead to a significantly lower share of risky investments. In summary, the high equity premium can be explained by the notion of MLA. If individuals evaluate their investment performance over the long-term, they perceive much smaller risks relative to stockholding returns; consequently, they will be prepared to accept smaller equity premiums. The findings suggest possible interventions by policy makers and investment advisors to encourage individuals to remain in the stock market, such as providing long-term investment instruments, or restricting evaluation frequency to the annual reporting of investment performance. In response to the stockholding puzzle (Haliassos and Bertaut, 1995), this thesis also investigates individuals’ stock market returns expectations and their varying levels of risk aversion. Previous studies find that individuals’ heterogeneous stock market expectations determine variations in their stockholdings. The thesis accounts for the effect of risk aversion on stock market expectations, as well as on stockholding decisions. Additionally, the causality issue as between individuals’ expectations and stockholding status is controlled. The thesis finds that more risk averse individuals hold lower stock market expectations, and that the stock market return expectations of more risk averse individuals affect their stock market participation decisions negatively. The portfolio allocation decisions of individuals who already hold stocks are only affected by their expectations, with risk aversion being no longer significant. The thesis argues that persistent risk aversion effects cause individuals to hold pessimistic views of stock market returns, thus contributing to the enduring stockholding puzzle. The thesis reinforces existing perceptions that individuals in the real world may not make fully rational decisions due to their judgments which are based on heuristics and affected by cognitive biases. Individual investors often fail to maximise their utility given their preferences and constraints. Consequently, this thesis draws attention to the possible role of institutions, policy makers, and financial advisory bodies in providing effective interventions and guidelines to improve individuals’ financial decisions.