This paper examines the effects of dividend announcements and dividend payments on OMX30 stock prices and tests if these effects indicate market efficiency. An event study methodology is used to find if the dividend events have a significant impact on stock prices. The study finds that both dividend announcements and dividend payments have a significant negative effect on prices. Disappointed investors or lowered expectations for future dividends may be the cause of the announcement effect. The results indicate that the stock market is semi-strong efficient for the announcements but inefficient when it comes to the payments.

Since Engle and Granger formulated the concept of cointegration in 1987, the literature has extensively examined the unbiasedness of the commodity futures prices using the cointegration-based technique. Despite intense attention, many of the previous studies suffer from the contradicting empirical results. That is, the cointegration test and the stationarity test on the differential contradict each other. In marked contrast, my dissertation develops the no-arbitrage cost-of-carry model in the NYMEX light sweet crude oil futures market and tests stationarity of the spot-futures differential. It is demonstrated that the primary cause of the "cointegration paradox" is the model misspecifications resulting in omitted variable bias.

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My dissertation contains three essays on short-selling, margin trading, and market efficiency. The first essay uses a unique exogenous event, the introduction of short selling in the Chinese stock market, to examine the direct link between idiosyncratic risk and short selling. Based on Shleifer and Vishny (1997), I hypothesize that idiosyncratic risk deters arbitrageurs with negative information from taking short positions in overvalued stocks. Consequently, the stocks with high idiosyncratic risk are more overvalued at the onset of the introduction of short sale and perform worse in the subsequent period. The second essay examines the impact of the introduction of margin trading and short selling in the Chinese stock market on market quality. The third essay examines the relationship between short selling and SEO discount under the SEC’s amendment to Rule 105. If the amendment is binding, the short-selling prior to seasoned equity offering (SEO) should correctly reflect negative information and promote price efficiency. Thus the winner’s curse problem during SEO process is reduced and the value discount of a SEO should be less

<p dir="ltr">This paper examines the informational content of insider trades and the impact of the Sarbanes Oxley Act on the ability of outside investors to use this information. I find that while the new reporting requirement speeds up the incorporation of insiders’ information into the market, there still exists an opportunity for attentive outsiders. The studies also address how the increased market efficiency has affected the differences between insiders, such as top-level executives and the rest of insiders. I find that the Sarbanes Oxley Act has greatly leveled the playing field in terms of how outsiders perceive these groups. Further, I extend the analysis of identifying opportunistic insiders. I find that using 8K corporate events in addition to quarterly earnings announcements, we are able to more efficiently label insiders as opportunistic compared to previous studies. Finally, I extend the literature on institutional investors by analyzing the link between this group and insider activity. I show that the previous findings of institutional investors following insiders is being driven by a subset of institutions, and I find evidence to support important distinguishing characteristics of institutional investors indicating institutions should not be studied as a whole, but in groups.</p>

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This thesis examines if price momentum and momentum in firm fundamentals measured by earnings and revenue momentum are related on the Swedish stock market. Price momentum is measured through the 11-month prior performance (11MPM), Earnings Momentum through Standardized Unexpected Earnings (SUE), and Revenue Momentum through Standardized Unexpected Revenue Growth (SURGE). Using firm-level data from 2007 until 2024, zero-investment momentum strategies are established and show significant returns not explained by any conventional asset pricing model. There is a strong dominance of the earnings momentum strategy, by wide margin outperforming both price and revenue momentum. The abnormal price momentum profits disappear when controlling for earnings momentum returns, whereas the returns to earnings momentum remain robust after controlling for the price momentum. These results support the claim that price momentum is a weak manifestation of fundamental momentum. The revenue momentum returns are not explained by earnings momentum, which indicates that these performance metrics contain exclusive information about the fundamental performance of a firm.

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.