We study some aspects of liquidity of stocks traded through the National Stock Exchange (NSE) of India. Initially we examine the multi-dimensional nature of liquidity by conducting day-wise factor analysis of eleven liquidity proxies across a cross-section of stocks, using data from two periods reflecting different market conditions. Five factors emerge consistently, interpretable as depth, spread, volume, price elasticity and relative activity. Subsequently, we study execution of limit orders in the NSE from three angles. First we consider order execution probability, using 106 stock-specific logistic models. Important predictors of order execution probability are price premium followed by volatility, relative activity, bid ask spread and order imbalance. Some differences are noted when comparing companies of different sizes and between buy and sell orders. Second, we study order execution times using survival analysis. Several diagnostic tests indicate that parametric Accelerated Failure Time models using the log-logistic distribution for the survival time S(t) are suitable for current data. 100 stock-specific models are built; results are consistent with the logistic models. Additionally depth is also found to be important. Finally we build 4 combined models across stocks for both execution probabilities as well as times. These models perform well on out of sample data, suggesting their predictive utility.

Prior studies have shown that investment knowledge and motivation increases when students in a school setting have access to a stock trading learning platform.  This thesis aims to further investigate if a stand-alone online stock trading learning platform, on its own, can help non stock investors understand financial literacy concepts.It further attempts to identify what type of system functionality that is most beneficial for the beginner when it comes to understanding and applying these concepts.  To explore this, an MVP stock trading learning platform1 was initially developed so that new features could be implemented and modified freely, without being bound by existing software. The development was done using the lean UX method and Jobs To Be Done interviews. From this, it was found that merely enabling the users to trade stocks (without risk) did not significantly help them to understand investing concepts and draw new conclusions.  New functionality was then added to the learning platform, in the form of a historical propagation feature. It lets the user assemble a stock portfolio and see what the portfolio would be worth today if bought earlier. This enabled the user to quickly and interactively see the effects of diversification and return of investment over time. Pre/post interviews showed that the platform, with historical propagation functionality, altered the users perception of both diversification and return, which indicates that it also has the potential to affect financial literacy. / Tidigare studier har visat att investerings-kunskap och motivation ökar när elever i en skolmiljö har tillgång till en inlärningsplattform för aktiehandel.  Detta examensarbete syftar till att ytterligare undersöka om en fristående online- aktie-inlärningsplattform, i sig, kan hjälpa icke-aktieinvesterare att förstå begrepp rörande finansiell kompetens. Arbetet försöker vidare identifiera vilken typ av systemfunktionalitet som är mest fördelaktig för nybörjaren när det gäller att förstå och tillämpa dessa begrepp.  För att utforska detta utvecklades inledningsvis en MVP (minimum viable product) lärplattform för aktiehandel så att nya funktioner kunde implementeras och modifieras fritt utan att begränsas av befintlig programvara. Utvecklingen skedde med hjälp av lean UX-metoden och Jobs To Be Done intervjuer. Av arbetet kunde man konstatera att funktionaliteten med att bara göra det möjligt för användarna att handla aktier (utan risk) inte hjälpte dem nämnvärt att förstå investerings-koncept och dra nya slutsatser.  Ny funktionalitet lades sedan till på inlärnings-plattformen i form av en historiepropagagerings-funktion. Funktionen låter användaren skapa en aktieportfölj och se vad portföljen skulle vara värd idag om den köptes tidigare. Detta gjorde det möjligt för användaren att snabbt och interaktivt se effekterna av diversifiering och resultatet av investeringar över tid. Pre / post intervjuer visade att plattformen, med historiepropagerings-funktionalitet, förändrade användarnas uppfattning om både diversifiering och avkastning, vilket indikerar att den också har potential att påverka finansiell kompetens.

Wang, Xiaolei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 34-39). / Abstracts in English and Chinese. / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Identification of Stock Market Crashes --- p.5 / Chapter 2.1 --- Identification Criteria --- p.7 / Chapter 2.2 --- Identification Results --- p.8 / Chapter Chapter 3. --- Data --- p.10 / Chapter 3.1 --- Data Issue for Chapter 4 --- p.10 / Chapter 3.2 --- Data Issue for Chapter 5 --- p.12 / Chapter 3.3 --- Data Issue for Chapter 6 --- p.12 / Chapter Chapter 4. --- Examination of AFE --- p.13 / Chapter 4.1 --- Definition of AFE and MAAFE --- p.13 / Chapter 4.2 --- Examination of MAAFE --- p.14 / Chapter 4.3 --- Examination of AFE by Grouping Duration --- p.15 / Chapter Chapter 5. --- Examination of AFD --- p.18 / Chapter Chapter 6. --- Examination of the Relationship between AFD and ESR --- p.22 / Chapter 6.1 --- Portfolio Strategy - Sorting by Size and Dispersion --- p.23 / Chapter 6.2 --- Portfolio Strategy - Sorting by Size and Book to Market Ratio --- p.26 / Chapter 6.3 --- Fama-French Time Series Regression Test (Three-Factor Model) --- p.28 / Chapter 6.4 --- Fama-French Time Series Regression Test (Three-Factor Model with Dispersion on the Right Hand Side) --- p.30 / Chapter 6.5 --- Introduction of a Nonlinear Form of AFD to the Fama-French Model --- p.31 / Chapter Chapter 7. --- Conclusions --- p.32 / References --- p.34 / Appendix Table I to Table XVI --- p.40-55 / Figure I to Figure VI --- p.56-61

We investigate if the size of goodwill compared to total assets has any effect on the shareholders return on companies listed on the Swedish Stock market. We put up two different hypotheses with a foundation from previous research and later dismiss one of them. Our evidence does not show any indicators that the size of goodwill have an effect on the shareholders return, which brings us to believe that there, from a share holders point of view, isn’t any need for concern regarding the standards about accounting for goodwill as stated by IFRS.

Prior studies have shown that returns exhibit certain predictable patterns that are inconsistent with the mainstream finance theory. In this thesis, I explore the behaviour of returns following three different types of market events with a particular focus on behavioural and non-behavioural factors that are attributable to the predictability of post-event returns. This thesis consists of three self-contained empirical essays. The first essay examines the information role of large S&P500 futures trades (commercial, noncommercial, dealers, asset managers, and hedge funds) in shaping future index returns. I find that commercial firms’ net trading level appears positively correlated with future index returns but the relationship is not stable across time. Based on more recent data, hedge funds appear superior in terms of access to information and/or trading ability but this advantage is only preserved at high frequency. Therefore, the current weekly Commitment of Traders (COT) report - published with a three-day delay - prevents timely public access to this type of information. Also, trading signals based on two of the more popular position-based sentiment indicators do not produce significant average returns. Overall, this calls into question the reliability of COT-based trading signals used by market professionals. The second essay studies the impacts of short sellers’ trading in shaping the behaviour of stock returns following extreme price moves using data from stock market in mainland China where short sales were initially prohibited. Extreme price moves occurring under non-prohibitive/prohibitive short-sale constraints are defined as shortable/non-shortable events. I find shortable events exhibit less post-event price drift/reversals than non-shortable ones, indicating an increase in the efficiency of stock prices reacting to unexpected events. Further analysis of short sellers’ trading activities on the price event days suggests that they are successful in trading informed price shocks but not in trading uninformed ones. Finally, I find evidence of massive short-covering that amplifies price shocks. The third essay investigates investors’ reaction to stock market rumours using data from China where listed companies are required to clarify rumours appearing in the media. I find that post-clarification abnormal returns exhibit continuation of pre-clarification momentum for rumours that are not denied by the listed companies and reversals for those which are denied. These results suggest that investors are unable to distinguish the reliable rumours from the false ones, as they under-react to rumours containing material information and over-react to those without. Further regression analyses on post-clarification abnormal returns using various subsamples of rumour events show that investors respond more efficiently to rumours when they are more informed about news topics or the rumoured companies.

WHAT WAS DONE? This study researches the success of several value investment strategies in the stock markets of the United Kingdom and Germany based on nine firm fundamentals that are extracted from listed firms annual financial statements. In this regard, we first examine alternative forecast combination methods in a novel way to utilise fully the financial information at hand. Second, we examine the drivers of investment returns, particularly the role of information uncertainty, for which a new direct measure is developed. Finally, we evaluate the performance of these financial health investment strategies in alternative institutional environments by focusing on the differences between the two markets regarding both their corporate culture and their legal environment. WHY WAS IT DONE? Similar to economics, the discipline of finance is a social science because its observations emanate from economic transactions between humans. Nevertheless, a significant part of the research in this area is undertaken by means that are almost exclusively applied to the natural sciences, such as mathematics or physics. Although the reasons seem manifold, an increased form of scientificity, in conjunction with greater credibility of the research process and results, is deemed to be of primary importance. However, the benchmark for evaluating these research outcomes differs from those used in the natural sciences. From the example of the efficient market hypothesis one can see that alternative research results that cast serious doubt upon efficiency per se are disregarded as aberrations, leading to the assumption that the hypothesis in its entirety is more or less valid. This study assumes that inefficiencies in the stock market do exist for prolonged periods of time and investors are actually able to benefit from them. HOW WAS IT DONE? Secondary financial statement data of listed companies in the United Kingdom and Germany were downloaded from Datastream for the period between 1992 and 2010. A quantitative analysis of the significance of the correlation between groups of firms with similar financial characteristics and their one-year-ahead stock returns was subsequently performed. Various combination methods for differential weighting of individual financial statement items were conducted. The aim was to increase the profitability of the investment strategy. WHAT WAS FOUND? In general, a classification of stocks according to certain internal criteria of financial health is capable of separating future winners from losers and at the same time confirms the results of a previous US study. More specifically, we first show that a wide range of combination methods generate profitable investment strategies whereby especially measures of profitability are the central indicator of a firm s future performance. Secondly, the more complex methods neither consistently nor substantively outperform the simpler methods. Thirdly, information uncertainty does not seem to be the prime driver of the profitability of an investment strategy. Lastly, we show that financial health investment strategies are profitable both in market-oriented, common law settings and in bank-oriented, code law settings.

Intresset och deltagandet på aktiemarknaden har ökat betydligt bland svenskar. En erkänd informationskälla om aktier är inlägg på sociala medier och speciellt på Twitter. Med hjälp av sentimentanalys av dessa inlägg, så kallade tweets, kan en allmän åsikt extraheras och användas för att förutsäga framtida resultat för ett företags aktiekurser. Syftet med denna studie är att ta fram en artefakt som kan extrahera sentiment från tweets om svenska mindre företag. Företagen valdes utifrån att de var relativt småskaliga jämfört med de företag som analyserats i liknande studier genomförda inom forskningsområdet. För denna studie har data samlats in från Twitter, analyserats och bearbetats. Olika metoder har testats för att extrahera sentiment ur tweets. Resultatet från sentimentanalys med framtagen artefakt är möjlig att använda i maskininlärningsmodeller som förutsäger aktieprisers rörelse. Resultatet från experimentet kan sammanfattas med att extrahering av sentiment från tweets är svår men möjlig. Vid analys av resultatet så framgår det att det maskininlärningsbaserade tillvägagångssättet ger en ökad prestanda jämfört med det lexikonbaserade på tweets likt de som använts i denna studie. / Interest and partaking on the stock market has increased significantly among Swedes. A recognized source of information about stocks is posts on social media and Twitter in particular. With the help of sentiment analysis on these social media posts called tweets, a public opinion can be extracted and perhaps predict the future performance of a company’s stock prices. This report is written in Swedish and the aim of the study is to produce an artefact that can extract sentiment out of tweets about minor Swedish companies. The companies were chosen on the basis that they were relatively small-scale in comparison to other studies conducted in related research. For this study data has been collected from Twitter, analyzed and processed. Different methodologies have been tested to extract sentiments out of tweets. Results of sentiment analysis with produced artefact is possible to use in machine learning models predicting stock movement. Results from conducted experiments conclude that extracting sentiment from tweets is difficult but possible. Through analysis of the results, a machine learning approach shows better performance than a lexicon based with tweets like the ones used in this study.

This thesis investigates if the announcement of lockdown had a significant impact on stock market return in Denmark. The research approach used is quantitative and deductive and the sample consists of ​​daily adjusted close prices of stock from the 20 largest listed companies in Denmark, according to market capitalization rate. The time period studied is 28th of February 2020 till 27th of March 2020. Lockdown's effect on stock market return is studied using a Difference-in-Difference model, where daily adjusted close prices of stocks from the 20 largest companies in Sweden are used as a control group.  The COVID-19 pandemic has for the past two years had a huge impact on societies globally. At the beginning of the COVID-19 outbreak, to try and stop the spread of the virus, governments around the world implemented lockdowns of varying degrees. Denmark was one of the first countries to implement lockdown. However, the culturally and market similar Sweden, opted for a different approach and did not implement a lockdown at all. It is therefore of interest to investigate whether lockdown announcements had a measurable impact on stock returns at the beginning of the COVID-19 outbreak. Previous research conducted by Vasileiou (2020), Baker (2020), Ichev and Marnič (2018), Hassing Nielsen & Lindvall (2021) and Ashraf (2020) on the subject have found that COVID-19 generally contributed to market uncertainty. This uncertainty in turn affected the stock market significantly, both positively and negatively. The major findings of this thesis suggest that the lockdown implemented in Denmark had no significant effect on stock returns during the investigated sample period.

Final qualification work (master thesis) is devoted to analysis of the development of the Russian stock market, identifying the main problems and steps to address them, and developing models for the formation of an optimal investment portfolio of Russian shares. The need for scientific research lies in the fact that the securities market is an integral part of the market economy. The development and degree of its regulation by the state are the most important indicators of the maturity of the country's economic development. The relevance of scientific research lies in the fact that in the modern market it is necessary to develop models for attracting private capital for long-term investments in securities, which will contribute to the development of the Russian market and the growth of its capitalization. / Выпускная квалификационная работа (магистерская диссертация) посвящена анализу развития российского рынка акций, выявлению основных проблем и шагов по их решению, а также разработке моделей формирования оптимального инвестиционного портфеля из российских акций. Необходимость научного исследования заключается в том, что рынок ценных бумаг является составной частью рыночной экономики. Развитость и степень регулирования его со стороны государства являются важнейшими индикаторами зрелости экономического развития страны. Актуальность научного исследования заключается в том, в условиях современного рынка необходима разработка моделей привлечения частного капитала для долгосрочных инвестиций в ценные бумаги, что будет способствовать развитию российского рынка и росту его капитализации.

This thesis consists of an introductory chapter and four self-contained essays on the value relevance of financial statement information. Essay 1: The purpose of this essay is to examine relevance of environmental information from an investor’s perspective. The study proposes that the market value of companies will reflect both financial and environmental performance. The theoretical foundation of the study is the accounting based valuation theory outlined by Ohlson (1995). This study provides new insights into how environmental performance is reflected in the market value of Swedish companies listed on the Swedish Stock market. Essay 2: In financial accounting research, much effort has been devoted to study the relation between accounting earnings and stock prices. The primary purpose of the second essay is to investigate the effect of alternative return-earnings model specifications to the estimated returns-earnings relation, that is, the earnings response coefficients. The returns-earnings models investigated include the traditional earnings levels and changes, and models including analysts’ earnings forecasts based on Ohlson’s (1995) extended residual income model. Essay 3: Fundamental analysis research that focuses on the use of accounting information to estimate equity value, has surfaced as a central theme in market based accounting research of the 1990s (Lee, 1999). The purpose of third essay is to compare two different approaches to valuation based on the theory presented in Ohlson (1995) in terms of explanatory and predictive power of the value estimates. Both approaches are implemented with and without the use of analysts forecasts. Essay 4: In this essay data from the Swedish stock market is used to investigate the profitability of two different types of investment strategies based on fundamental-to-value ratios and past insider trading activity. The purpose of the research is to explore four related research questions: (i) Do accounting based trading strategies generate abnormal returns on the Swedish stock market?; (ii) Do trading strategies based on insider trading behaviour generate abnormal returns on the Swedish stock market?; (iii) Do insiders who buy stocks tend to favour value stocks and do insiders who sell stocks tend to dispose growth stocks?; and (iv) Are insiders able to discriminate between temporary high/low fundamentals and temporary low/high prices when buying/selling value stocks and growth stocks?