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A survey is conducted through an event study on the Stockholm Stock Exchange based on 119 historical stocks splits with a split factor of at least two, for the years between 1997 and 2012. This study has tested if there is an increase in return variance and systematic risk followed by a stock split. This is a quantitative study with the deductive approach and the positivistic epistemological standpoint. By matching 8925 squared daily returns for 75 days of pre- and post- split data, the sample of stock splits showed an increased return variance 0.515 of the matched squared daily returns, this number is significant at the 1% level in our binomial z-statistics. If the returns are compared on a 15 week interval instead of 75 days, the change in variance disappears; this confirms Dubofsky (1991) findings. When 52 weeks of pre- and post- split data is used, there is an increased variance in a proportion if 0.55 of the 6186 matched observations, this proportion is far greater than our daily sample and tells us that there is a long term effect on the return variance. The systematic risk measured as beta derived from the CAPM, did not show any increase in any of the three different time periods (75days, 16weeks and 52 weeks); the results confirms Wiggins (1992) findings; beta changes are just illusory.  The results suggest that there is an average increase in returns variance in the short and long term after a stock split, that confirms some existing studies by Ohlson and Penman (1985) and Dubofsky (1991). The increase in returns variance can be viewed as the management’s success of signaling the market, enhancing liquidity and reducing information asymmetry without any additional cost of capital. Our findings also contradict the theory of economic irrelevance of shares outstanding. This study is expanding Ohlson and Penman (1985) and Dubofsky (1991) studies, on a European stock market.

Abstract   Purpose The purpose of this thesis is; “To find out whether a strategy based on accumulated stock recommendations are able to outperform mutual funds and/or index funds with similar holdings over time”. Background During the past 30 years the interest for the financial market has been ever increasing. With the increased interest for the financial market, also an increased interest for the different investment alternatives have developed, thus also the amount of various financial products. Further there has been a discussion whether the different investment products actually add value to the investors. Method To be able to reach our purpose we have constructed a portfolio containing stocks based on recommendations. We have also come up with a method in order to decide the weights of the individual stocks in our portfolio. Further, we have used existing theories in order to estimate the return and the standard deviation. We have also benchmarked our portfolio against popular funds on the market. Conclusion We have seen that our portfolio during the six years running have performed better than the existing funds and also resulted in a lower standard deviation i.e. risk. Thus the results are applicable on our specific data, more research is needed in order to make any statements of statistical significance.

With the increasing complexity of banking operations, the demand for extensive disclosure has advanced over the years. In 2007, the International Accounting Standards Board (IASB) has consolidated and expanded disclosure requirements related to financial instruments in IFRS7. Arguably, the adoption of IFRS7 in Europe was met with substantial differences in implementation among countries. Moreover, IFRS7 was launched a few months before the global financial crisis hit Europe. This study examines the level of disclosure according to IFRS7 of 12 banks spread across Europe using their annual accounts from 2007-2010. The banks were chosen on the basis of their market capitalization by the end of 2007. A disclosure index based on IFRS7 was created for this study to evaluate the level of disclosure of the banks. After examining the disclosure level, this paper analyzes if there is a correlation between compliance on disclosure index and bank performance as measured by the Total Shareholder Return. This study aims to find out if a high compliance significantly affects performance in terms of TSR and if it helped banks weather the global financial crisis. The background part provides a broad perspective on disclosure, financial reporting, accounting standards, and IFRS7. It also provides a situation on bank run, and on the recent financial crisis. With the use of secondary data from published accounts of banks, the empirical study presents the disclosure level of banks and TSR performance. The findings suggest that most banks have a selective compliance and moderate fulfillmenton disclosure obligations. Inadequacy is particularly seen in areas where additional disclosure is required by using the implementation guidance of IFRS7. The correlation between compliance and performance is seen to be very minimal which suggests that a high disclosure during a financial crisis does not help prevent huge financial losses.

In chapter 1, we show (i) that the risk-return characteristics of our sample of 17 developed stock markets of the world have converged significantly toward each other during our study period 1974 2004, and (ii) that this international convergence in risk-return characteristics is driven mainly by the declining country effect, rather than the rising industry effect, suggesting that the convergence is associated with international market integration. Specifically, we first compute the risk-return distance among international stock markets based on the Euclidean distance and find that the distance thus computed has been deceasing significantly over time, implying a mean-variance convergence. In particular, the average risk-return distance has decreased by about 43% over our sample period. The speed of convergence, however, varies greatly across individual markets, largely reflecting the initial distance of each individual market from the international average risk-return characteristic. Lastly, we document that the risk-return characteristics of our sample of 14 emerging markets have been converging rapidly toward those of developed markets in recent years. This development notwithstanding, emerging markets still remain as a distinct asset class. In chapter 2, we examine the historical evolution of international earnings-to-price ratios for a sample of 17 markets over the period 1980 2004. We introduce a distance measure of earnings-to-price ratios among international stock markets and find that earnings-to-price ratios of 17 markets have significantly converged toward each other during the period. The average distance measure for 17 markets has decreased by about 80 percent during the period. The speed of convergence for individual markets varies and mainly reflects the initial distance of individual markets from the international average. We also find that although both country and industry effects account for convergence in earnings-to-price ratios among the sample markets, country effect dominates industry effect in terms of the magnitude. We further examine what could explain the declining country effect and document that the time trend of dividend-yield distance measure closely follows that of earnings-to-price distance measure. This result suggests that convergence in earnings-to-price ratio is mainly due to convergence in economic factors such as growth opportunities or discount rates rather than due to convergence in accounting practices.

Since the Bretton Woods System collapsed, the volatility of the exchange rate return has been an important and concerned issue in financial domain. The purpose of this paper is to investigate the empirical relevance of stricture breaks for the volatility of the exchange rate return, and we use both in-sample and out-of-sample tests. GARCH(1,1) Model is considered to be the representative quantitative method for analyzing the volatility of asset returns, as a result, we picked GARCH(1,1) as natural benchmarks in this article. In addition, we cogitated the structure breaks in this paper, and used ICSS(Iterated Cumulative Sums of Squares) algorithm to test the points of structural breaks. The results of empirical analysis show that there are significant evidences of structural breaks in the unconditional variance for six of eight US exchange rate return series, which implying unstable GARCH processes for these exchange rates. We also find those competing models that accommodating structural breaks will have higher predictive ability. Pooling forecasts from different models that allow for structural breaks in volatility appears to offer a reliable method for improving volatility forecast accuracy given the uncertainty surrounding the timing and size of the structural breaks.

Since its debut in 2002 in Taiwan, private placement has become more and more popular for the corporate to collect capital in the market. However, because of its divergent characteristics and loose regulations, it has also aroused a great number of controversies so far. This study concentrates on the companies collecting capital by private placement from 2002 to 2007 and examines if obvious discount or premium on placement price existed in these cases. In addition, the study also examines the correlation between the degree of placement discount (premium) and firm characteristics. Finally, it will also be discussed if placement discount (premium) causes positive or negative effect on cumulative abnormal return of the firms. The empirical results show that on average a premium exists in placement price in Taiwan. As for firms¡¦ characteristics, financial crisis, free cash flow, and times of placement have a positive correlation with the discount (premium) degree. Two out of three intangible variables also show a positive correlation with the discount (premium). degree. Finally, the degree of discount (premium) is not significantly correlated with long-term cumulative abnormal return of private placed firms.

In this thesis, we propose two genetic-programming-based models that improve the trading strategies for mutual funds. These two models can help investors get returns and reduce risks. The first model increases the return by selecting funds with high Sortino ratios and allocates the capital equally, achieving the best annualized return. The second model also selects funds with high Sortino ratios, but reduces the risk by allocating the capital with the mean variance model. Most importantly, our model utilizes the genetic programming to generate feasible trading strategies to gain return, which is suitable for the market that changes anytime. To verify our models, we simulate the investment for mutual funds from January 1999 to December 2009 (11 years in total). The experimental results show that our first model can gain return from 2004/1/1 to 2008/12/31, achieving the best annualized return 9.11%, which is better than the annualized return 6.89% of previous approaches. In addition, our second model with smaller downside volatility can achieve almost the same return as previous results.

For the application of 802.11a wireless communication system, this thesis aims to develop a novel suspending antenna with periodic structures to reduce electromagnetic wave from substrate using electrochemical deposition, surface micromachining and bulk micromachining technologies. This research presents two particular structures to increase the bandwidth and the radiation efficient and to reduce the return loss of the antenna, including: (i) the optimum design of periodic structures to restrain electromagnetic wave from substrate and to reduce the return loss of the antenna. To reduce the effective dielectric constant of the silicon substrate and to increase the bandwidth of the antenna, anisotropic etching the backside of the silicon substrate formed regular cavities using bulk-micromachining technology, (ii) to utilize a suspending structure to reduce the power loss through the substrate and to confirm the result using high frequency simulator. The implemented Si-based suspending antenna with periodic structures were characterized by a commercial network analyzer under 1~8 GHz testing frequency range. All the bandwidth and the return loss of the antenna proposed in this thesis are extracted by the commercial simulation software. Based on the measurement results, the center frequency is equal to 4.85 GHz, the return loss is around -35.5 dB and the bandwidth is equal to 42.9% (3.75~5.8 GHz). Eventually, this thesis successfully develops a low-loss and broadband antenna with novel structures using high frequency simulator and MEMS technologies for 802.11a wireless communication system.

This research proposes a decision and behavior model which tries to approximate the fund trading. The main idea is based on the principle of the publication ¡§Genetic Algorithms for the Investment of the Mutual Fund with Global Trend Indicator¡¨, and four optimization schemes are proposed as well. First, the calculation of GTI is refined to prevent the possible problems caused by the case that all the fund are getting rise, or the opposite. Second, the tolerance is considered to avoid the reduction of profits owing to the increase of rates for transaction which Funds, those near threshold ones, might exchange ranking too often. Third, the concept of Stop-Loss Point is involved to release the fund dynamically instead of oversell. The last, Someone like to investment more profitable with short-term data, but high-risk. Someone like to investment long-term data, therefore, we added (1-£\)History + (£\)Recent to make users could set by themselves. And we also design genetic algorithm to calculate £\ for reference. Under the constraints of three different coefficients of stop-loss and release, the Return of Investment (ROI) is four times than original one(8.98%), which is compared in 2007.