Este trabalho estuda o impacto do efeito manada do investidor institucional no preço futuro das ações no Brasil. Segundo a literatura internacional, ações compradas (vendidas) pela indústria de fundos de investimentos têm seus preços aumentados (diminuídos) no curto prazo, de 1 a 6 meses. Já no longo prazo, esse efeito se inverte, corroborando a hipótese desestabilizadora de preços do efeito manada dos fundos. Foram realizadas análises em painel com efeitos fixos dos dados mensais da carteira de todos os fundos de investimento brasileiros de 2009 a 2015 e os resultados corroboram parcialmente as expectativas, ações compradas pelos fundos, com persistência positiva, apresentam queda nos retornos futuros, e as ações vendidas pelos fundos, com persistência negativa, sofrem aumento de retornos futuros. Quando separada a variável persistência em persistência de compra e persistência de venda, os resultados são ainda mais surpreendentes, ocorre que as ações compradas pelos fundos apresentam um resultado futuro muito positivo, entretanto as ações vendidas pelos fundos apresentam um retorno futuro, tanto no curto quanto no longo prazo, superior ao das ações compradas. Fundos ativos e pequenos comprando e vendendo ações small caps apresentam um efeito ainda mais forte. / This paper studies the impact of institutional herding on stock prices in Brazil. According to international papers, stocks bought (sold) by the fund industry have their prices increased (decreased) in the short term, from 1 to 6 months. In the long term, this effect is reversed, corroborating the destabilizing hypothesis of the institutional herding on prices. Fixed effects panel analyses were performed with the monthly portfolio data of all stocks held by Brazilian investment funds from 2009 to 2015 and the results partially corroborate expectations, stocks purchased by the funds, with positive persistence, decline in future returns, and stocks sold by the funds, with negative persistence, suffer an increase of future returns. When we separate the persistence variable into persistence of purchase and persistence of sale, the results are even more surprising, it happens that the shares bought by the funds present a very positive result in the following months, however the shares sold by the funds present a future return, both in the short and in the long run, higher than the shares purchased. Small and active funds buying and selling small caps have an even stronger effect.

En investering i en kommersiell fastighet kräver finansiering av något slag. I dagsläget är det vanligt förekommande att fastighetsinvesterare tar banklån för att erhålla likvida medel för fastighetsköpet. För en beviljad kredit krävs det även att en värdering av fastigheten har genomförts. Därför är kreditbedömning och värdering av kommersiella fastigheter två betydelsefulla processer i bankens dagliga arbete. Relationen mellan fastighetsinvesterare och banken är också av avgörande betydelse då fastighetsinvesteraren är i behov av likvida medel för sitt fastighetsköp. Dessa processer för dock med sig ett flertal problem. En värdering är alltid osäker och baseras till stor del på schabloner vilket kan leda till att vissa fastigheter antingen över- eller undervärderas. För bankens del medför en utlåning alltid en kreditrisk, vilken måste minimeras för att banken ska undvika kreditförluster.Syftet med uppsatsen har varit att beskriva och förklara hur kreditbedömnings- och värderingsprocessen för utlåning till kommersiella fastigheter ser ut för tre olika bankkontor i Borås. Vidare har studien byggt på att beskriva vilka likheter och skillnader som förekommer emellan dessa banker. Syftet har även varit att studera hur lokala fastighetsinvesterare i kommersiella fastigheter upplever dessa processer.Studien är främst av kvalitativ karaktär då den största delen av det empiriska materialet är baserat på kvalitativa intervjuer genomförda med representanter från SEB, Swedbank Sjuhärad samt Handelsbanken Stora Torget. Vi har dock även tillämpat en kvantitativ metod eftersom vi har utfört en enkätundersökning med ett tiotal fastighetsinvesterare. Med hjälp av vår teoretiska referensram har vi analyserat det empiriska materialet, utifrån vilken vi senare har kunnat dra slutsatser och föra en diskussion kring.Resultatet visade att bankernas kreditbedömningsprocesser skiljer sig åt främst när det gäller olika beslutsinstanser och interna regelverk. En slutsats vi dragit är att det är bankens interna regelverk som spelar den avgörande rollen för kreditbedömningen. Beträffande värderingen applicerar samtliga banker liknande metoder däremot frånskiljer det sig när det gäller vem som genomför själva värderingen. Utifrån enkätundersökningen med fastighetsinvesterare har vi konstaterat att relationen mellan fastighetsinvesterarna och bankerna i vår studie fungerar väl. Båda parter är villiga att anpassa sig efter varandra och samarbeta för att få igenom en framgångsrik affär. / Program: Civilekonomprogrammet

Uppsatsen undersöker om institutionella investerare nettosäljer innan meddelande om inställd utdelning och om detta beror på asymmetrisk information. Urvalet för studien är företag på Nasdaq OMX Stockholms huvudlistor som har ställt in kontantutdelning under perioden 2004–2018. Studien finner att institutionella investerare nettosäljer under två kvartal innan informationen om inställd utdelning offentliggjorts och att detta troligen beror på asymmetrisk information. Studien visar även att företagsvärdet för de observerade företagen minskar innan meddelande om inställd utdelning. / The paper examines if institutional investors are net sellers prior to dividend omission announcements and if this is due to asymmetric information. By studying companies listed on Nasdaq OMX Stockholm’s main list during the period 2004-2018, we find that institutional investors are net sellers during two quarters prior to dividend omission announcements and that this is likely due to asymmetric information. The study also shows that the market value of the observed companies decreases prior to dividend omission announcements.

This thesis examines the relationship between the aftermarket performance of Chinese initial public offerings (IPOs) and corporate governance for firms that listed during the years 1999 to 2001. The primary objective of this study is to investigate the significance of corporate governance variables as explanations of IPOs aftermarket performance. By doing so, a set of hypotheses dealing with the relationships between IPO aftermarket performance and three categories of independent variables: corporate governance variables; issue variables; and control variables, were examined. The descriptive analysis indicates that IPOs in China continue to provide significant short-term returns to investors, although the level of underpricing has declined from that found in earlier studies. This finding suggests a growing level of maturity and sophistication in the Chinese IPO market. The analysis of long-term performance indicates negative returns to investors which is consistent with international evidence but challenges the bulk of prior Chinese studies. It is found that there is no significant relationship between corporate governance variables and IPO returns in the short-term with the exception of board composition, while IPO underpricing is primarily explained by the imbalance between supply and demand and the inefficient capital market in China. The significance of board composition can be explained by the launch of the new corporate governance code on board structures in 2001. Overall the empirical evidence shows that the Information Asymmetry Hypothesis is an appropriate explanation of the underpricing of Chinese IPOs. In the long-term, it is found that corporate governance variables do have explanatory power for the market performance of Chinese IPOs, in particular state ownership and the separation of Chairman and CEO, supporting the notion that corporate governance appears to be important to IPO investors in the long-term. It also confirms the view that investors are willing to pay a premium for the shares of what they consider to be well-governed firms in the long-term. Besides corporate governance variables, both issue variables and control variables are also found to have explanatory power in IPO aftermarket performance. In particular firm size, IPO offer price, IPO lottery rate and industry are significantly related to IPO short-term performance in China, while growth in earning per share, firm size and industry are related to the long-term market performance.

台灣證券交易所每季會挑選並公告可為權證標的的股票，證券商再從中選取想要發行的股票標的，這些被選為標的的股票被發行權證的次數存在明顯的差異。證券商在發行時掌握了許多優勢，除了可以挑選標的之外，權證契約的內容大多也都由證券商決定，這些權證的契約內容勢必會依據標的股票特性的不同而有所差異。在本文中我們將找出會影響證券商選擇標的的因素。另外，我們也試圖找出權證契約與標的股票的特性的關聯性並且討論避險成本課稅問題解決後，對證券商發行權證的影響。 我們發現證券商偏好以近期受到較多市場關注、具有投資人市場偏好、有較高波動度以及有較好流動性的股票作為權證的標的。我們也發現不同標的特性的股票權證契約特性也會不同，受到市場較多關注、流動性較高的標的股票以及重設型、歐式的權證的溢價比例會較高，也發現標的股票的波動性越高，權證的存續期間會較低、標的股票的市值比例越高，權證的行使比例會越低、標的股票的波動性越高，證券商則傾向以重設型以及美式的形式發行權證。近幾年權證檔數的激增與避險成本課稅問題的解決也存在著緊密的關係。 最後，以避險成本課稅問題的時間點來觀察權證市場前後期的改變，則發現下列幾種現象的差異。第一、單一股票於一季之內被發行的次數增加，第二、權證的溢價比例上升，第三、權證的行使比例與存續期間下降，第四、單一權證的發行量降低。這些現象則顯示證券商發行權證模式的改變，在避險成本課稅問題解決後，證券商發行權證的模式類似於石油輸出國家組織控制石油供給量，透過降低每檔權證的發行量來增加議價的籌碼。 / Taiwan Stock Exchange (TWSE) selects and announces the stocks for issuing warrants quarterly. Brokers can pick up suitable underlying assets for issue warrants. We observed, however, that the frequency for underlying stocks for issuing warrants were different. We know that the broker has many advantages on issuing warrants likes selecting underlying stocks and setting covenants as well. The covenants will be set base on the stock’s characters. We tried to find key factors for brokers for issuing warrants. Besides, after the deregulation on hedge cost, we elaborate the relationship between warrants and underlying assets. We found brokers prefer to issue the warrant whose underlying asset with good liquidity, market frenzy and high volatility. Besides, we also noticed that the warrant’s characters will be different base on their underlying assets. The premium is higher for stocks with market frenzy, high liquidity and European warrant. Underlying assets with high volatility will attribute low duration. Stock with high market capitalization will make exercise ratio lower. Brokers intend to issue Reset and American warrants for underlying asset with high volatility. The surge of warrant issuing attributed to relax on hedging tax. Last, we showed the warrant market different after the relaxing restrictions of hedge cost as follows. First, the frequency of issuing warrant with same underlying asset increases. Secondly, the premium for issuing warrant rises. Thirdly, exercise ratio and duration declines. Fourthly, the volume for single issue is lower. These phenomenon shows that brokers try to increase their bargain power by controlling the warrant volume. This model likes Organization of Petroleum Exporting Countries (OPEC) to control the petrol price by depressing the supply.

The current international monetary system is very different from that of a few decades ago. Many of the old restrictions that had been placed on currency and capital movements between countries have fallen away in favour of a much more liberal international payment and investment system. The global financial arena is now characterized by greater currency instability, volatility and heightened financial risks. Exchange Rate risk is one of the complex topics in the economic world. Since there are so many factors in the financial market that influence a country's currency value, it becomes very risky for importers, exporters and portfolio investors to be involved in the international trade and financial markets. The purpose of this study is to gain an understanding on how the major economic indicators have an impact on the decision-making of the importers, the exporters and investors, to further influence the volatility of the Rand; and to provide various hedging and arbitraging strategies to reduce foreign exchange rate risks. The layout of the study is based on six chapters. Chapter 1 focuses on the background and scope of the study, mainly explaining the reasons, objectives and methodology of this study. An historical overview takes place in chapter 2, where a number of different exchange rate systems will be discussed. Chapter 3 reviews different exchange rate theories in order to support the empirical study in the next chapter. Chapter 4 focuses on an investigation and comparative study on how foreign investments and trade with developed countries have an impact on currency values and visa-versa. A number of management strategies for reducing exchange rate risks are introduced in chapter 5. Chapter 6 is the summary and conclusion of the research. / Thesis (M.Com. (Economics))--North-West University, Vaal Triangle Campus, 2009.

This paper discuss the issue of how corporate governance variables affect the cognitions of groups of investors to lead they separate their investment strategies in 1997-2011 sample period, the results indicate that firms with higher management stockholdings, lower blockholders’ shareholdings, smaller board size, more outside independent supervisors, CEO duality, and one of ultimate controllers served as chairman would be appealing to individual investors; the robust test from 2007 to 2011 only positively affects the investment strategies for foreign institutional investors. Moreover, we explore that lower blockholders’ stockings and smaller board size are favorable characteristics for investors to increase firms’ trading volumes but also the trading volatilities. Finally, we compute the corporate governance score for every sample company called CG-Index, and discover a perfect corporate governance mechanism would inspire investing motivations of domestic individuals and foreign institutions, after considering the information disclosure ranking in 5 years sample period, the stockholding of whole individual investors is indicated positive related to the corporate governance degree.

Choosing the right investment option by a fund manager or analyst is the first step that contributes to the overall performance of any portfolio of assets. The decision making process is complicated. Markowitz portfolio theory (1952, 1959) laid the theoretical foundations for asset selection and management. However the decision maker is influenced by parameters outside the realm of financial theory and mathematical models (French and French 1997; French 2001). The actual behavior of decision makers can deviate from this normative model. This can be due to the problem solving behavior of the human brain. Human problem solving theory began with the work of Newell and Simon (1972) and Simon (1978). They argue that the human memory is characterized by limitations in terms of processing capacities (Newell and Simon 1972). Given the amount of data the decision maker has to analyze, the process of asset selection is complicated and difficult. Besides the volume of data, the information items may provide information relating to the same aspect of the asset making some of the data set redundant. Besides that, some of information contained in the data set might provide contradictory signals about the performance or characteristics of the asset. Thus the information set available to a decision maker is large, multi-channeled (different data providing different information) and multi-dimensional (for example real estate assets have information pertaining to legal aspects, financial aspects, physical aspects etc.). The limitations in the decision maker’s processing capabilities and the characteristics of the information cues make the asset selection process exceedingly difficult. French (2001) in a study of fund managers from U.K finds that asset allocation uses two sets of hard information during the process, namely historic data and current market perceptions. The study also finds differences between exposure levels of the funds dictated by theory (as per portfolio theory) and actual decisions made by companies (true asset allocations of funds). Gallimore, Gray and Hansz (2000) find medium-sized and small companies’ investment decision making does not follow any normative model due to the diverse nature of property markets in the United Kingdom. Past literature in the field of decision making finds that an expert’s decision making behavior differs from that of a novice. (Bedard and Mock (1992), Bouwman (1984) and Jacoby et al. (1984, 1985, 1986, 1987)). The primary purpose of this study is to understand the impact of experience on the decision making behavior of investors and see if their behavior differs from that of inexperienced individuals. In a controlled experiment design, two groups of subjects are tested. One group is composed of experienced subjects (experts) represented by real estate professionals such as acquisition analysts, fund/portfolio managers or real estate investors (experienced individuals investing either their own money or a client’s money in real estate). The other group tested is composed of students, who are inexperienced subjects (novices). Both groups are asked to choose between two investment cases in two different cities. The two options offered are both class A office properties, institutional grade. Fifteen sets of data are given for each investment option. Data for the cases is sourced from investment management companies, involved in managing funds on behalf of institutional clients. Using a process tracing technique, each subject’s behavior is observed and recorded while making the investment choice. These observations will give us insight into the actual (descriptive) behavior of experienced real estate professionals and inexperienced novices. It will help in isolating the impact of experience on the decision making behavior of real estate investors. This study finds mixed evidence relating to the difference in the behavior of novices and experts. On the five aspects that the two groups are tested, evidence that their behavior differs in three has been uncovered. They are search pattern, number of steps and time on task. However, for the other two aspects, sequencing and cue utilization, no difference was found.

The purpose of this study is to investigate whether the location of buying stocks in a Nordic cross-listed company matters in terms of 1) earning abnormal returns, or 2) gaining in optimizing the amount spent by buying the specific stock cheap. Nowadays, markets are becoming more integrated and if we believe in the efficient market hypothesis, prices of the same class of stocks paying the same dividend annually, of an MNC must be the same irrespective of the stock exchange it is listed upon. Though efficient market hypothesis exists in theory, market imperfection is a reality. All the Nordic (Swedish, Finnish, Norwegian, Danish and Icelandic) firms listed on foreign stock exchanges in addition to their home market have been included in the sample. In fact, this sample represents 100% of the population. The daily prices of cross-listed stocks have been analyzed and conclusions have been drawn based on the mean returns and mean prices along with Wilcoxon Signed-Rank test statistics. The data have been analyzed over the last ten years capturing the recent economic cycle. The whole period has also been divided into three sub-periods to establish comparisons with the whole period. This paper reports that even though returns on cross-listed stocks are statistically same over all periods, prices of the stocks vary according to the location of listing. That is, investors can buy from a stock exchange where the specific stock is underpriced thereby decreasing the amount invested in absolute term and optimizing the amount spent if not the return. The returns and prices have analyzed using the local currency of the MNC’s country of origin and Special Drawing Rights (SDRs). No considerable differences on the returns or pattern of price movements have been observed while using two currencies.

The Principles for Responsible Investment (PRI) is a voluntary investor-led initiative, backed by the United Nations. Together, the six principles are meant to provide a ‘best practice’ code of conduct for institutional investors seeking to adopt responsible investment practices with a secondary goal of contributing to improved corporate performance on environmental, social and governance (ESG) issues. Launched in 2006, the PRI has grown to be the single largest global investor initiative with over 700 signatory financial institutions representing assets under management in excess of $US20 trillion. Contributing to the broader literature on plausible explanations for why firms participate in voluntary initiatives, the thesis is primarily concerned with the question of what has motivated institutional investors to create and publicly commit to the PRI. A review of the broader trends behind the growth of responsible investment and the emergence of the PRI indicates the dominant utilitarian, cost-benefit logic is not wholly persuasive in understanding investor motivations. The research findings indicate that decisions to integrate ESG issues and publicly commit to adopting the PRI should be primarily viewed as a response to formal pressures by external stakeholders and actors in an investor’s institutional environment. Regulatory and stakeholder influences in the form of NGO advocacy campaigns have established normative standards directed towards the conduct of investors. As public opinion has shifted to put greater emphasis on sustainable development, the image and reputation of a pension scheme in relation to these trends have come under increasing scrutiny such that being perceived as a ‘responsible’ investor – sometimes even in the absence of a direct market rationale – has become a central driver behind the growth of responsible investment. The decision to adopt the PRI and establish beyond-compliance commitments to integrate ESG issues into investment decision-making should principally be seen as embedded in broader reputational risk management strategies. These findings support complex market rationalism explanations for firm participation in voluntary initiatives which suggest that firms commit to such principles or codes of conduct as a means of assuring stakeholders that their concerns are being internalized into corporate practices. A secondary focus of the thesis is to examine signatory implementation to-date, assessing the adequacy and effectiveness of the voluntary measure for the promotion of more socially-responsible and environmentally-sustainable investments. While substantial progress has been shown by a small group of PRI signatories, it remains unclear whether the PRI has generated significant improvement across the broader signatory base. The PRI suffers from several weaknesses commonly identified in the literature on voluntary initiatives. First, a lack of accountability measures limits incentives for investors to go beyond business-as-usual. Second, less stringent voluntary standards like the PRI are likely to suffer from adverse selection and free riding, therefore threatening the credibility of the initiative’s reputation over the longer-term. Ironically, weaknesses in the institutional design of the PRI may undermine the very reputational benefit sought after by signatories.