為瞭解上市公司股利政策改變，由股票股利變更為發放現金股利政策之初次宣告效果，本研究以蒐集台灣證券交易所掛牌上市之公司，於2001年1月至2005年12月間，股利政策有變動且首次宣告發放現金股利之資訊電子類股公司，且宣告日前至少有150個交易日資料之公司，共計71個研究樣本。利用事件研究法之市場模式為計算模型，並以一般化之自我相關異質條件變異數模式，分析檢定事件宣告所造成之異常報酬。 本研究以事件研究法，將董事會宣告發放現金股利宣告為事件日（t=0），t=-150~t=-31共120天為估計期，t=-30~t=30共61日為事件期，利用樣本公司之日股價資料，分析異常報酬率。分析方式除針對事件期各日之平均異常報酬率分析外，另開立五個事件窗口，探討各窗口之累積異常報酬率是否顯著，藉以分析事件影響效果。另股利政策改為發放現金股利宣告時，針對當年度與前一年度之股利發放變化程度不同及事件宣告年度市場多、空頭景氣等因素，將樣本分類並分析檢定，在不同條件下之異常報酬率是有否仍顯著。經實證分析，獲得以下結論： 一、公司改變股利政策，由股票股利變更為現金股利的首次宣告事件，對投資人而言，具有公司對未來投資機會認知的資訊內涵。 二、公司改變股利政策由股票股利變更為發放現金股利之首次宣告，投資人對此政策反應抱持正面看法，股價會有兩波上漲趨勢，第二波會有顯著異於零之正異常報酬率。 三、公司改變股利政策，由股票股利變更為現金股利之首次宣告，當年度總發放股利與前一年度比較，股利發放變動大小會影響宣告時市場投資人之投資意願，投資人會隨減少發放股利量而延緩對此政策之正面買進股票反應，事件日後10日內股價會有一波正異常報酬反應。

<p>Recent accounting scandals, often led by managers trying to improve results and thereby their own bonuses, have severely damaged the publics view of management. In the aftermath of scandals such as Enron, Parmalat and Skandia, demand has increased for Corporate Governance codes and similar regulation. The Swedish code for Corporate Governance came into effect on July 1, 2005. The code requires all Swedish companies listed on the Swedish Stock Exchange (OMX A- and O-list), with a turnover exceeding 3 billion SEK, to disclose a report regarding Corporate Governance, attached to the annual report.</p><p>The purpose of this paper is to examine whether the new disclosure required by the Swedish Corporate Governance code will have a measurable effect on stock prices. The authors have applied event study methodology examining daily returns around the announcement of the Corporate Governance reports. The listed companies mentioned above were also divided into groups depending on whether or not the report hade been audited, and to which extent the authors found the reports to be transparent. Also, two groups were formed with companies applying SOX, and companies not required to apply the code.</p><p>The results show that a measurable negative effect could be identified on the 1% significancelevel on the day of the event for the whole sample of companies. Companies publishing audited reports found positive Abnormal Returns, but without significance. Negative abnormal returns were found on the 1% significance-level for companies not presenting audited reports. No significant results were found for the groups classified after the degree of transparency. The findings suggest that the market is not fully mature enough to evaluate unaudited reports. The market rewards companies that audit the reports. The conclusion of this paper is therefore that reports regarding Corporate Governance do have a negative effect on stock prices.</p>

Syfte: Undersöka om det är möjligt att generera en överavkastning på aktier gentemot marknadsindex på OMXS Industrials enligt Net Current Asset Value strategin. Metod: Studien baseras på en kvantitativ metod för att undersöka historiska aktievärden. Datan som används i undersökningen hämtas från Thomson Reuters Datastream och de statistiska värdena bearbetas i Microsoft Office Excel Teoretiska utgångspunkter: Studien har sin förklaring med utgångspunkt från teorierna om den effektiva marknadshypotesen och CAPM modellen, samt ett avsnitt som utreder principerna om hur värderingsstrategier bör följas. Resultat: Beroende på längden av innehavsperioden visar studien att det i de samtliga fall är fullt möjligt att överträffa marknadsindex, och att den riskjusterade avkastningen i de flesta fall är högre än marknadsindex. / Objective: To examine whether it is possible to generate an excess return on stocks in relation to the market index of OMXS Industrials according to the strategy of Net Current Asset Value Method: The study is based on a quantitative method to investigate historical stock values. The data used in the study is retrieved from Thomson Reuters Datastream and the statistical values are processed in Microsoft Office Excel. Theoretical usage: The study is explained on the basis of the theory of the efficient market hypothesis and the CAPM model, and even a section that investigates principles of valuation strategies and how they should be followed. Results: Depending on the length of the holding period, the study shows that in all cases it is quite possible to outperform market indices, and risk-adjusted returns in most cases are higher than the market index.

Syftet med studien är undersöka hur förvärvsmetoden påverkar de uppköpande företagens abnormala avkastning på kort sikt, samt utröna huruvida företagens branschtillhörighet har en betydelse för reaktionen. I studien tillämpas tre teorier och flertalet tidigare forskningar som är av relevans för studien. De teorier som nyttjas är olika former av förvärv, effektiva marknadshypotesen och signalteorin. Denna studie utförs av en kvantitativ och komparativ ansats med hjälp av en eventstudie där 64 företagsförvärv observerats. Förvärven är uppdelade på 4 olika branscher och fördelade inom tillvägagångssätten aktie- och inkråmsförvärv. Dessa förvärv har undersökts under en elvadagarsperiod, fem dagar innan till och med fem dagar efter offentliggörandet. Den insamlade sekundärdata som bearbetats har erhållits från Nasdaq OMX, Google Finance och databasen Zephyr. Resultaten enligt denna studie förmedlar om att ett inkråmsförvärv är att föredra i jämförelse med aktieförvärv, detta med undantag för företag i sällanköpsvarubranschen som gynnas av ett aktieförvärv. Det går även att urskilja hur hälsovårdsbranschen är den bransch som gynnas mest vid offentliggörande av företagsförvärv, sett till den abnormala avkastningen. / The purpose of the study is to examine how the acquisition method affects the purchasing companies’ abnormal returns in the short term, and to ascertain whether the companies’ industry affiliation has an impact on the reaction. The study applied three theories and a number of previous researches that are of significance to the study. Theories used are different forms of acquisitions, the efficient market hypothesis and the signal theory. This study was made by a quantitative and comparative approach using an event study where 64 acquisitions were observed. The acquisitions were divided into four different industries and distributed in the approaches of share- and asset acquisitions. These acquisitions have been observed during an eleven-day period, five days before to five days after publication. The collected secondary processed data has been collected from Nasdaq OMX, Google Finance and the database Zephyr. The results according to this study conveys that an acquisition of asset is preferable in comparison with the acquisition of shares, except for companies in the consumer discretionary sector as seen benefits from an acquisition of shares. It is possible to discern how the healthcare sector is the one that benefits most in the publication of an acquisition, in terms of the abnormal returns.

My thesis will focus on optimal investment decisions, especially those that are planned for longer investment horizon. I will review the literature, showing that changes in investment opportunities can alter the risk-return tradeoff over time and that asset return predictability has an important effect on the variance and correlation structure of returns on bonds, stocks and T bills across investment horizons. The main attention will be given to pension funds, which are institutional investors with relatively long investment horizon. I will find the term structure of risk-return tradeoff in the empirical part of this paper. Later on I will add some variables into the model and investigate whether it can improve the results. Finally the optimal investment strategies will be constructed for various levels of risk tolerance and the results will be compared with strategies of Czech pension funds. I am going to use data from Thomson Reuters Datastream, Wharton Research Data Services and additionally from some other sources.

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.

Syfte: Syftet med studien är att undersöka om det finns något sammanband mellan hållbarhetsarbete och lönsamheten hos de företag som är noterade på Nasdaq OMX Stockholm.    Metod: För att uppnå syftet med studien har en kvantitativ metod använts. En tvärsnittsdesign har varit grunden för de statistiska undersökningarna. Den empiriska data som har samlats in är av sekundär art där hållbarhetsarbetet har operationaliserats med hjälp av Folksam index för året 2013. Måtten på företagens lönsamhet består av nyckeltalen avkastning på eget kapital, avkastning på sysselsatt kapital och vinstmarginal. Dessa mått är inhämtade från företagens årsredovisningar från räkenskapsåret 2015. Vidare har den insamlade data analyserats med hjälp av deskriptiv statistik, Pearsons korrelationstest och linjära regressioner. Resultat &amp; slutsats: Studiens resultat visar hur ett positivt samband finns mellan samtliga nyckeltal som berör den finansiella lönsamheten i företagen och dess redovisade hållbarhetsdata. Avkastningen på eget kapital har ett svagt positivt samband med en signifikansnivå på 0,05. Avkastning på sysselsatt kapital har ett svagt positivt samband där signifikansnivån 0,1 analyserades. Vinstmarginalen har det starkaste sambandet med en förklaringsgrad på 52,1 procent och en signifikansnivå på 0,01. Förslag till fortsatt forskning: Ett förslag till vidare forskning är att göra en studie under en längre period, men även att jämföra hållbarhetsarbete inom Europa. Den nya lagen som träder i kraft under 2017 är även en intressant ståndpunkt. Detta för att se hur det kan påverka sambandet mellan hållbarhetsarbete och lönsamhet.   Uppsatsens bidrag: Denna studies praktiska bidrag visar hur sambandet mellan noterade företag hållbarhetsarbete och lönsamhet ser ut. År 2013 var de ungefär 226 företag som redovisade sitt hållbarhetsarbete vilket även utformar studiens population. Det teoretiska bidraget i denna studie är att se vilket samband hållbarhetsarbete och lönsamhet verkligen har och studien berör tre olika mått på företagens finansiella prestation. Samt om det förekom ett positivt, negativt eller neutralt samband mellan den beroende och oberoende variabeln. / Aim: The aim of this study is to investigate whether there is a relationship between sustainability performance and profitability of the companies listed on Nasdaq OMX Stockholm. Method: In order to achieve the aim of the study a quantitative method used. A cross-sectional design has been the basis of the analyses. The empirical data that have been collected from the secondary nature in which sustainability work has been operationalized with the help of Folksam Index for the year 2013. The dimensions of financial performance consist the keywords, return on equity, return on capital employed and profit margin. These measurements are obtained from annual reports from the year of 2015. Furthermore, the collected data were analyzed using descriptive statistics, Pearson correlation test and linear regressions. Results &amp; Conclusions: Our results demonstrate how a positive correlation exists between all the key figures relating to the financial profitability of businesses and its reported sustainability data. Return on equity has a weak positive correlation with a significance level of 0.05. After the analyze return on capital employed has a weak positive correlation with significance level of 0.1. The profit margin has the strongest relationship with an explanation rate of 52.1 percent and a significant correlation at a significance level of 0.01. Suggestions for future research: A proposal for further research is to make a study for a longer period, but also to compare the different European countries CSR. The new law that takes effect in 2017 is also an interesting position to see how it affects the relationship between CSR and corporate profitability during a specific timeline. Contribution of the thesis: This study practical contribution shows how the relationship between listed companies' sustainability performance and profitability looks. In 2013 it was approximately 226 companies that reported its sustainability work and these companies are the population in this study. The theoretical contribution of this study was to see what connection work on sustainability and profitability, indeed, and the study involves three different measures of corporate financial performances. If there was a positive, negative or neutral relationship between the dependent and independent variable.

The foundation stone of this thesis is to perform a financial analysis of Czech non-financial companies for the years from 2007 to 2009 in order to evaluate development of the basic groups of financial analysis ratios before and after the outbreak of the financial crisis. Based on this analysis, I analyze the changes of the selected ratios in relation with the macroeconomic development. This is carried out by means of the description in words and for some significant changes using correlation analysis with GDP. The analysis results in the findings that the changes of ratios of return on assets and return on equity were negative in the analyzed period and for each year the factors of these changes are tracked using the pyramidal decomposition. In the statistical part of my thesis I partially succeeded in proving linear correlation between return on assets and GDP and a lower confidence level linear correlation between personnel cost to revenues ratio and GDP. Also, there were some correlations between individual ratios found to be significant.

Extreme Value Theory nds application in problems concerning low probability but high consequence events. In hydrology the study of heavy rainfall is important in regional ood risk assessment. In particular, the N-year return level is a key output of an extreme value analysis, hence care needs to be taken to ensure that the model is accurate and that the level of imprecision in the parameter estimates is made explicit. Rainfall is a process that evolves over time and space. Therefore, it is anticipated that at extreme levels the process would continue to show temporal and spatial correlation. In this study interest is in whether any trends in heavy rainfall can be detected for the Western Cape. The focus is on obtaining the 50-year daily winter rainfall return level and investigating whether this quantity is homogenous over the study area. The study is carried out in two stages. In the rst stage, the point process approach to extreme value theory is applied to arrive at the return level estimates at each of the fteen sites. Stationarity is assumed for the series at each station, thus an issue to deal with is that of short-range temporal correlation of threshold exceedances. The proportion of exceedances is found to be smaller (approximately 0.01) for stations towards the east such as Jonkersberg, Plettenbergbay and Tygerhoek. This can be attributed to rainfall values being mostly low, with few instances where large amounts of rainfall were observed. Looking at the parameters of the point process extreme value model, the location parameter estimate appears stable over the region in contrast to the scale parameter estimate which shows an increase towards in a south easterly direction. While the model is shown to t exceedances at each station adequately, the degree of uncertainty is large for stations such as Tygerhoek, where the maximum observed rainfall value is approximately twice as large as the high rainfall values. This situation was also observed at other stations and in such cases removal of these high rainfall values was avoided to minimize the risk of obtaining inaccurate return level estimates. The key result is an N-year rainfall return level estimate at each site. Interest is in mapping an estimate of the 50-year daily winter rainfall return level, however to evaluate the adequacy of the model at each site the 25-year return level is considered since a 25 year return period is well within the range of the observed data. The 25-year daily winter rainfall return level estimate for Ladismith is the smallest at 22:42 mm. This can be attributed to the station's generally low observed winter rainfall values. In contrast, the return level estimate for Tygerhoek is high, almost six times larger than that of Ladismith at 119:16 mm. Visually design values show di erences between sites, therefore it is of interest to investigate whether these di erences can be modelled. The second stage is the geostatistical analysis of the 50-year 24-hour rainfall return level The aim here is to quantify the degree of spatial variation in the 50-year 24-hour rainfall return level estimates and to use that association to predict values at unobserved sites within the study region. A tool for quantifying spatial variation is the variogram model. Estimation of the parameters of this model require a su ciently large sample, which is a challenge in this study since there is only fteen stations and therefore only fteen observations for the geostatistical analysis. To address this challenge, observations are expanded in space and time and then standardized and to create a larger pool of data from which the variogram is estimated. The obtained estimates are used in ordinary and universal kriging to derive the 50-year 24-hour winter rainfall return level maps. It is shown that 50-year daily winter design rainfall over most of the Western Cape lies between 40 mm and 80 mm, but rises sharply as one moves towards the east coast of the region. This is largely due to the in uence of large design values obtained for Tygerhoek. In ordinary kriging prediction uncertainty is lowest around observed values and is large if the distance from these points increases. Overall, prediction uncertainty maps show that ordinary kriging performs better than universal kriging where a linear regional trend in design values is included.

Tidigare studier (Scholtens &amp; Peenstra, 2009) inom detta forskningsområde har påvisat att sportsliga resultat har en inverkan på en börsnoterad fotbollsklubbs aktiepris. Motivet bakom de tidigare studierna var den enorma ekonomiska tillväxt som skett inom fotbollsbranschen. Med anledning av den ekonomiska tillväxt som skett mellan åren 2009 och 2018, anser författarna att det är av intresse i denna studie att återigen undersöka huruvida ett sportsligt resultat påverkar en börsnoterad fotbollsklubbs aktiekurs. Tio fotbollsklubbar från tio olika ligor och länder analyseras mellan åren 2014 och 2018. Denna studie behandlar således både fler fotbollsklubbar och fler länder än tidigare studier. Totalt analyseras 1669 matcher, där de tio fotbollsklubbarna har gemensamt att de deltagit i både ligaspel och Europaspel under den givna tidsperioden. Vidare tar studien även hänsyn till spelodds inför varje match i syfte att analysera resultaten utifrån förväntningar. Studien utgår från klassisk finansteori i form av den effektiva marknadshypotesen, samt teorier inom behavioral finance. Den effektiva marknadshypotesen utgår från att marknaden är effektiv och att investerare fattar rationella beslut, medan behavioral finance utgår från att individer tenderar att fatta känslostyrda och irrationella beslut. Prospect theory, som är en del av behavioral finance, redogör för hur individer tenderar att värdera förluster mer negativt än vad de värderar en förlust positivt. I denna uppsats ställs den klassiska finansteorin i kontrast mot den beteendeorienterade finansteorin. Tillsammans kompletterar de varandra, och bidrar med en djupare förståelse för hur investerare agerar på finansiella marknader. Studiens resultat visar, i linje med tidigare forskning, att ett sportsligt resultat har en statistiskt signifikant inverkan på en börsnoterad fotbollsklubbs aktiekurs. Resultatet visar även att samtliga förluster i Europaspel har en statistiskt signifikant större negativ inverkan på aktiekursen än vad samtliga förluster i ligaspel har. Vidare visar även resultatet att oväntade vinster har en statistiskt signifikant större positiv inverkan på aktiekursen än vad förväntade vinster har. I enlighet med prospect theory visar även resultatet att de som investerar i börsnoterade fotbollsklubbar tenderar att värdera en förlust mer negativt än vad de värderar en vinst positivt. Regressionsanalysen visar på ett relativt lågt förklaringsvärde mellan den beroende variabeln, abnormal return, och de oberoende variablerna, förväntningar, turneringar och börsvärde. Däremot finns ett statistiskt signifikant samband mellan den beroende variabeln, abnormal return, och de oberoende variablerna förväntningar och typ av turnering. Det finns inget statistiskt signifikant samband mellan den beroende variabeln och den oberoende variabeln, börsvärde. Efter att ha delat in fotbollsklubbarna baserat på högsta och lägsta börsvärde, visade sig börsvärdet hos de fem lägst värderade fotbollsklubbarna ha en statistiskt signifikant inverkan på den beroende variabeln, abnormal return. Vidare framkommer det att de fem lägst värderade fotbollsklubbarna har en högre idiosynkratisk volatilitet än de fem högst värderade fotbollsklubbarna i studien. / The purpose of this thesis is to examine the effect of football matches on stock-listed football clubs. With a sample containing over 1600 football matches stretching over a four-year period between 2014 and 2018, the authors examine the impact of national and European competitions on stock prices of ten publicly traded football clubs. The stock price reactions were examined the first trading day after the football matches were played. This gives an insight into the direct impact of match outcomes on the stock price, and how abnormal the return is in juxtaposition to the expected return. The results suggest that football matches have a statistically significant effect on a football clubs stock-price. Victory results in positive abnormal returns, whereas defeats, as well as draws, results in negative abnormal returns. The response is significantly stronger after defeats, as well as expected and unexpected defeats, in European competitions than defeats in national competitions. Unexpected victories result in stronger market reactions than expected victories. Furthermore, the stock price reaction is more volatile for the lower-valued football clubs.