O presente trabalho buscou investigar, sob a perspectiva da Teoria da Sinalização, o papel certificador dos fundos de Private Equity e Venture Capital (PE/VC) sobre a qualidade das empresas estreantes na BM&FBovespa (IPOs). Para isso, propôs-se um estudo de evento visando constatar a existência de retornos anormais acumulados (proxy para qualidade dos IPOs) em carteiras de investimentos compostas por ações provenientes dos IPOs realizados na BM&FBovespa, no período de janeiro de 2004 a dezembro de 2007. As hipóteses do trabalho foram verificadas por meio de três procedimentos distintos: teste de médias, método CAPM e regressões CAR. Os resultados dos testes de médias indicaram que os IPOs de empresas investidas por fundos de PE/VC apresentaram desempenhos de curto, médio e longo prazo (até 5 anos) superiores e estatisticamente significantes em relação às empresas não investidas. Além disso, os resultados demonstraram que quanto maior a participação dos fundos de PE/VC na empresa investida, melhor o desempenho de longo prazo. Os resultados do método CAPM indicaram que os retornos observados dos IPOs foram inferiores aos retornos esperados, dado o nível de risco assumido. As regressões CAR verificaram se a presença de fundos de PE/VC explica retornos anormais positivos dos IPOs, após controle de outros fatores. As evidências encontradas sugerem que a presença de fundos de PE/VC nas empresas estreantes na BM&FBovespa possui efeito positivo sobre os retornos anormais acumulados dos IPOs e, quanto maior a participação acionária detida pelo fundo de PE/VC na empresa, no momento imediatamente anterior ao IPO, maiores os retornos anormais acumulados de longo prazo. Em geral, os retornos das amostras analisadas foram inferiores ao desempenho do índice Ibovespa, podendo ser um reflexo da crise financeira mundial, com maior impacto sobre empresas com histórico recente na bolsa (IPOs), em relação às empresas tradicionais (blue chips) que integram o Ibovespa. / This study investigated, under the perspective of Signaling Theory, the certifier role of Private Equity and Venture Capital investments (PE/VC) on the quality of initial public offerings (IPOs) at BM&FBovespa. It was proposed an event study in order to examine the existence of cumulative abnormal returns (proxy for IPOs quality) in portfolios composed of stocks from the IPOs occurred on BM&FBovespa, from January 2004 to December 2007. The hypotheses of this study were verified by three different procedures: test for equality of means, CAPM method and CAR regressions. The tests for equality of means suggested that the companies that received investments of PE/VC, before the IPOs, had statistical significant short, medium and long-term performances (up to 5 years) higher than non-invested companies. Besides that, the results showed that the higher the equity PE/VC held in the companies, before the IPO, better the long-term yield. The CAPM method indicated that the observed returns were lower than the expected returns, given the level of risk assumed. CAR regressions examined whether the presence of PE/VC explains positive abnormal returns of the IPOs, after controlling for other factors. The evidence suggests that the presence of PE/VC has positive effect on the cumulative abnormal returns on the IPOs, and the higher the equity held by the PE/VC in the firm, immediately before the IPO, the greater the long-term cumulative abnormal returns. In general, the returns of the samples were below Ibovespa index, which may be a reflection of the global financial crisis, with greater impact on companies with recent history in the stock market (IPOs), compared to traditional firms (blue chips) that integrate Ibovespa.

民國89年6月我國立法院通過公司買回本公司股份法案，庫藏股制度正式實施，本論文之主要目的在利用市場資料，探析我國上市（櫃）公司買回庫藏股之市場反應及其資訊內涵。本研究以民國89年8月至90年2月間公告買回庫藏股之公司，及依同產業及相似買回比率配對之公司組成研究樣本，首先採事件研究法探討庫藏股法令制定與修正之相關事件日市場反應，以及宣告買回庫藏股之市場反應及其影響因素，並以關聯性研究法實證宣告買回庫藏股市場反應之資訊內涵及買回目的之影響因素。 　　在市場反應議題之主要研究發現為：（1）在庫藏股立法初期、降低操作困難度及解除指撥特別盈餘公積規定等有助於庫藏股制度之推行:投資人有正面顯著之回應；（2）宣告買回樣本之股票累積異常報酬顯著高於未宣告買回之樣本；（3）維護股東權益買回目的者之股票累積異常報酬顯著高於轉讓與員工為目的者；（4）宣告買回比率愈多市場反應愈佳；及 （5）價格回升之公司其實際執行率較低。 　　在資訊內涵議題之主要實證結果顯示，我國宣告買回庫藏股之資訊本質顯著支持企業價值低估假說，公司價值被低估程度愈高，宣告買回庫藏股之市場反應愈大。至於自由現金流量假說、資本結構調整假說及剝奪債權人假說則無法解釋我國宣告買回庫藏股之資訊內涵。在買回庫藏股目的之實證結果顯示，高淨值市價比之公司偏向以維護股東權益為買回目的，而研發活動愈密集之公司傾向以轉讓與員工為買回目的。 / The enactment of Article 28-2 of the Securities and Exchange Act on June 30, 2000 allows firms listed in Taiwan Stock Exchange (TSE) and Over-The-Counter (OTC) to repurchase their owner shares under certain conditions. Based on the use of a control sample design and firms listed in TSE and OTC over the period of August 2000 to February 2001, this research examines the market reaction to various events including: (1) the enactment of the law and amendment of regulations with regard to share buyback, (2) the announcement of repurchase ratio and purpose, and (3) the disclosure of actual buyback ratio. In addition, this study tests hypotheses underlying market reaction around the announcement of share repurchases in the open market. 　　The empirical findings indicate that (1) market reacts favorably to establishment of stock repurchases system, (2) cumulative abnormal return (CAR) for the share buyback announcement sample is found to be greater than that for the control sample, (3) CAR for firms aimed at retaining the interests of equity shareholders as buyback purpose is found to be higher than that for transfer to employees as purpose, (4) the higher the announced buyback ratio, the greater the market reaction, and (5) the actual buyback ratio is less for firms with stock price recovery. 　　This study also finds undervaluation hypothesis explains the market reaction on the announcement date. With respect to the disclosure of share buyback purposes, the analysis indicates that firms with higher book-to-market ratio are more likely to announce protecting shareholders equity as the buyback purpose, whilst firms with higher demand for research & development activities are prone to announce transfer shares to their employees as the buyback purpose.

自1990年代中期，隨著環保、消費者權利、童工…等這些議題被廣泛檢討，越來越多人同意各別公司與整個社會是價值共享且相互依存的，若要達到共存共榮的理想，則公司必定要將社會責任融入其自身追求競爭力和商業策略的核心架構中。企業社會責任(Corporate Social Responsibility)並無公認標準，但一般泛指企業除了追求股東的利益極大化外，還必須兼顧員工、顧客、供應商、合作夥伴、社區團體、環境…等。 道瓊永續性指數(Dow Jones Sustainability Index)為現今資本市場衡量企業社會責任的標竿指數，而企業名列在被大眾認可的永續性指數上，就是企業可以傳達給利益相關者(stakeholders)，表明他們注重企業社會責任的訊號之一。藉由研究企業被涵蓋在聲譽卓著的永續性指數之內是否能為股東創造價值，本論文將探討企業永續發展和企業價值之間的複雜關係。 本研究利用傾向分數配對法(Propensity Score Matching)，降低進入與退出道瓊永續性指數這兩組公司間的異質性，以求得出的結果較不受公司規模、財務槓桿、產業等外在其他因素干擾。將2002至2009年間的樣本數配對後，以道瓊永續性指數作為企業社會責任之代理變數，以累積異常報酬率(Cumulative abnormal return)代表為股東創造之財富，我們追蹤資本市場對於企業進入和退出道瓊永續性指數的反應，來探討股東是否認同公司參與企業社會責任是創造價值之行為。 本研究結果顯示如下: 第一、當企業被加入道瓊永續性指數時，該企業之股東將獲得正向且顯著性的累積異常報酬率，這代表名列著名的的永續性指數是一個股東認可，且企業應追尋的目標。第二、當企業被道瓊永續性指數剔除時，該企業之股東將獲得負向但不顯著的累積異常報酬率。因此我們至少可以推論，從事企業社會責任活動，並不會破壞企業整體之價值。 / Corporate social responsibility (CSR) gradually becomes an important corporate strategy to every company in the worldwide economy. The social performance of a firm can shape the images to key stakeholders, no matter they are employees, suppliers, customers or investors, and influence decision making and relationships with the firm in the later stage. While corporations are busy engaging and enhancing CSR practices, there are few established empirical research on CSR effects and relevance in the capital markets. Hence, my thesis explores the relationship between corporate sustainability and firm value by asking whether membership on a recognized sustainability index is value generating. As stakeholders are urging that firms demonstrate their commitment to sustainability, one signal that companies can send to stakeholders to indicate that they are sustainable is membership on a recognized sustainability index. My research investigates this issue by tracing the market reaction to corporate entries and exits from Dow Jones Sustainability Index, recognized as a CSR benchmark, between 2002 and 2009. Instead of using regression models, I employ a propensity score matching (PSM) pairs design to overcome heterogeneity between different firms. My thesis highlights two main findings: a significant share price rising trend in cumulative abnormal returns (CAR) of the samples under the addition situation, suggesting that inclusion on the Dow Jones Sustainability Index (DJSI) is a goal that firms should pursue. Another is an insignificant negative stock market reaction while firms are removed from the DJSI, and I can draw from the results that, at the very least, adopting CSR doesn’t deteriorate the value of the firms. Our results suggest that the benefits of being included on the DJSI outweigh or equal to the costs associated with applying a membership on DJSI.

Inledning: Ett företag som sponsrar en känd person förknippas starkt med denna. Tidigare forskning har visat att det finns en positiv påverkan på aktiepriset och avkastningen hos företag som tecknar sponsringsavtal med kända personer. Syfte: Syftet med uppsatsen är att med hjälp av eventstudiemetoden undersöka huruvida tio oväntade händelser relaterade till tre idrottare påverkat aktievärdet för Nike Inc. Teori: Den effektiva marknadshypotesen bygger på antagandet att finansiella marknader är effektiva och att all information finns tillgänglig vilket i sin tur exakt återspeglas i priset på en tillgång. Det finns empiriska belägg för att marknaden inte alltid kan sägas vara effektiv som effektiva marknadshypotesen hävdar, något som teoretiskt kallas för anomali. Metod: Denna studie antar ett deduktivt angreppssätt och har en kvantitativ inriktning. Eventstudiemetoden används för att mäta den tänkbara effekt som en oväntad händelse har på företagets värde. Aktieprisförändringen undersöks genom den kumulativa onormala avkastningen (CAR) och hypotesprövningar görs för att nå en slutsats på syftet och problemformulering. Slutsats: Vi har utfört undersökningen i enlighet med eventstudiemetoden och kommit fram till att 9 av 10 oväntade händelser påverkar aktievärdet för Nike Inc. Detta genom att hypotestesta de oväntade händelserna som har visat ett statistiskt samband, positivt eller negativt, mellan den oväntade händelsen och den kumulativa onormala avkastningen (CAR). Vi har även studerat respektive diagram där vi ser en förändring i CAR efter att nyheten kring de oväntade händelserna släppts men att förändringen i de flesta fall inte är så stor. Vi har också funnit att annan information som släppts av Nike under respektive händelseperioder har haft störst påverkan på CAR, särskilt finansiell information.

Syfte: Syftet med uppsatsen är att undersöka hur marknadseffektiviteten på Stockholmsbörsen har blivit påverkat av finanskrisen 2008, vilket genomförs genom att undersöka om bolag får avvikande avkastning vid publicering av kvartalsrapporter. Teori: Teorikapitlet utgår från den effektiva marknadshypotesen, där dess tre olika komponenter samt anomalier tas upp. Metod: Undersökningen genomförs med hjälp av en event studie och en hypotesprövning för att kontrollera hur effektiviteten på NasdaqOMX har blivit påverkad av finanskrisen. Undersökningen utgår ifrån en period på tre år, 2009-2011, och omfattar aktierna på index OMXS30. En insamling av kursdata från de 29 bolag som ingick i OMXS30 har skett, med hänsyn till datum för publicering av kvartalsrapporter. Detta ger totalt 261 observationer under dessa tre år. Empiri: Hypotesprövningen tillsammans med övrig empiri har visat att det kan finnas ett samband mellan publicering av kvartalsrapporter och bolagens aktiepris. Dock visar empirin att finanskrisens påverkan på effektiviteten har varit mycket liten. Analys: Analys av empirin tyder på att det finns tydliga tecken på att bolagens aktiepris påverkas vid publicering av kvartalsrapporter. Störst påverkan sker däremot publicering av kvartalsrapport ett och två. Analys av empirin visar även att marknaden har återhämtat sig snabbt efter finanskrisen. Slutsats: Undersökningen visar att det finns tecken på en mellanstark form av effektivitet på NasdaqOMX, även om denna inte är helt hundraprocentig. Dock är det svårt att dra en generell slutsats hur mycket 2008 års finanskris har påverkat denna effektivitet eftersom en finanskris har efterlöst en annan. / Purpose: The purpose of this paper is to examine how market efficiency on the Stockholm stock exchange has been affected by the financial crisis of 2008, which is carried out by examining if companies earn abnormal returns when publishing quarterly reports. Theoretical perspectives: The theory chapter is based on the efficient market hypothesis, where its three different components and anomalies are discussed. Methodology: The examination is carried out by an event study and a hypothesis test to control how the efficiency on NasdaqOMX has been affected by the financial crisis. The examination is based on a three year period, 2009-2011, and includes the stocks on the index OMXS30. Stock data has been collected from the 29 companies in the OMXS30, with regard to dates the quarterly reports were published. This gives a total of 261 observations under three years. Empirical outcome: The hypothesis test, together with other empirical results, has shown that there may be a relation between the publishing of quarterly reports and company stock price. However, empirical results show that the financial crisis effect on the market efficiency has been insignificant. Analysis: Analysis of the empirical results show that there are clear signs of change in company stock price when publishing quarterly reports. However, the significant change can be seen during the publishing of quarterly report one and two. Analysis of the empirical results also shows that the market has quickly readjusted after the financial crisis. Conclusion: The study shows that there are signs of semi-strong market efficiency on NasdaqOMX, even if this efficiency is not 100 percent strong. However, it is hard to come to a general conclusion on how much the financial crisis 2008 has affected this efficiency due to the fact that one financial crisis has resolved after another.

The aim of this paper is to test whether an investment strategy originally created by Piotroski (2000), can be refined by combining it with the price-to-earnings-anomaly. In detail, we accomplish this by implementing Piotroskis F_SCORE-model to identify and consequently separate financially weak- and strong firms. Furthermore, we create an investment portfolio based on a combination of the highest rated companies according to the F_SCORE-model, and the most undervalued companies from the price-to-earnings-anomaly, to create a joint investment strategy (M_STRAT). This is carried out during the time-period 1999-2009, while reconstructing the portfolio annually. The results of our study show that, by combining the two models, we are able to achieve a market-adjusted return of 44,1%, hence amplifying the original F_SCORE-model by 17%.

本文係利用高頻資料研究股票指數期貨的到期日效應，考量到中國的衍生性商品起步甚晚，相關研究不如台灣來的多，因此選取中國的滬深300股指期貨市場作為本研究的主題，希望能夠為後續有興趣的研究者提供參考。但是因為中國市場的資料取得不易，本文所使用的樣本資料只為期兩年，選取2010年4月16日到2012年4月20日的滬深300股指期貨的1分鐘高頻數據作為原始數據。 本文目的在於研究滬深300股指期貨經由考慮成交量、價格反轉以及波動度的到期日效應，實證結果發現在期貨到期日當天與隔一天的某些交易時段明顯存在著型0、型I與型II價格反轉，成交量檢驗指出，到期日成交量明顯大於非到期日成交量，波動度異常檢驗顯示，到期日收盤前五分鐘的波動度有異常放大的現象。本文的實證結果部分，利用模擬投資策略去檢驗價格反轉在經濟上是否有意義，發現價格反轉不只是在統計上顯著，同樣也是具有經濟意義的，但是把資料依據時間區分為前後兩部分並做檢驗之後也發現，這種經濟意義會隨著時間而呈現遞減的狀態。 / The central idea of this thesis is studying expiration effects of stock index futures. As we know, China stock index futures market, which is also known as CSI 300 Index futures market, is experiencing its early stage with fewer related studies comparing to Taiwan stock futures market. In order to provide research references for succeeding researchers interested in CSI 300 Index futures market. However, having difficulties collecting high frequency market data from CSI 300 Index futures market, we use only two years data from the beginning of CSI 300 Index futures market. The main purpose of this thesis is to study the expiration effect of CSI 300 Index futures by from three aspects, price reversals, volume effects and abnormal return volatility. The empirical results shows that type 0, type I and type II existed in several trading hours in both the expiration day and the next trading day. Second, it indicated that the trading volume in expiration days is significantly larger than in non-expiration days. Third, the empirical result also pointed out that magnified return volatilities existing in five minutes before market closes on the expiration day. Moreover, we used simulated investment strategies as analysis tools and found that price-reversal effect is significant on economical basis. However, we discovered that the level of these effects is declining gradually from the beginning to the end of data period.

Syfte: Undersökningens syftet är att mäta huruvida det går att få ut en överavkastning av aktier som väljs in i (respektive ut ur) OMX Stockholm Benchmark (OMXSB), som följd av att ett index ändrar sin komposition. Delsyftet är att undersöka om det går att se en signifikant ökning av handelsvolymen i anslutning till ändringsdagen. Metod: Studien tillämpar en eventstudie som undersökningsmetod av kvantitativ karaktär. Studien undersöker indexet OMXSB och innefattade totalt 111 stycken ingående och utgående aktier fördelat på 10 tillfällen. Två eventfönster har konstruerats; ett kring annonseringsdagen och ett kring ändringsdagen. Den procentuella handelsvolymen har mätts över eventfönstret kring ändringsdagen. Resultat: Den genomsnittliga kumulerade överavkastningen för eventfönstret vid annonseringsdagen uppgick till 1,02 % (-6 %) för de aktier som valdes in (ut). Det motsvarande resultatet 2,55 % (-0,41 %) framkom i eventfönstret för ändringsdagen. Handelsvolymen uppnådde i båda fallen en signifikant ökning dagen innan ändringen genomfördes. Slutsatser: Resultatet visade en signifikant överavkastning för aktier som valdes in (ut) i eventfönstret kring ändringsdagen (annonseringsdagen). Den signifikanta skillnaden av handelsvolymen tyder på att indexerarna handlar aktierna dagen innan ändringen genomförs. För aktier som väljs in gick det att se ett pristryck där priset höjdes fram till dagen innan ändringen genomfördes, som sedan återgick. Resultaten kan ha påverkats av externa faktorer vilket kan ha lett till en missvisande bild av den undersökta effekten. / Purpose: The study aims to investigate whether it is possible to get an abnormal return of stocks added to (or deleted from) the OMX Stockholm Benchmark index (OMXSB), as a result of a changes of the index composition. A subsidiary aim of the study is to investigate whether it is possible to see a significant increase in trading volume in close to the change day. Methodology: The study applies an event study as method of investigation of a quantitative character. The study examines the OMXSB and include a total of 111 added and deleted stocks distributed on 10 occasions. Two event windows have been designed: one around announcement day and one around change day. The percentage change of trading volume has been measured over the event window around the change day. Results: The average cumulative abnormal return for the event window around announcement day reached 1.02% (-6%) for the added (deleted) shares. Corresponding results of 2.55% (-0.41%) emerged in event window for change day. In both cases the trading volume reached a significant increase the day before the change was implemented. Conclusions: The results showed a significant abnormal return for stocks that were added (deleted) in the event window around the change day (announcement day). Trade volume suggests that index funds trade shares the day before the change day. For the added shares a price pressure could be identified up to the day before change day. The results may have been influenced by external factors which may have lead to a misleading picture of the investigated effect.

One could argue that the most discussed topic in finance is whether or not it is possible to “beat the market”. Even though many people claim to do this, there is little evidence to support the idea that one can consistently beat the market over a long period of time. There are indeed several examples of investors who have managed to outperform the market consistently for a long time, but the efforts of these individuals or institutions could by many be considered to be pure luck. One of the many strategies that have been evaluated by several researchers and is said to generate a risk adjusted return greater than that of the market, is one based on the P/E-effect. This strategy is based on the financial ratio P/E – price divided by earnings – and used by constructing portfolios consisting of stocks with low P/E ratios. Several studies have confirmed the existence of the P/E-effect on various stock markets around the world and over different time periods. On the Swedish market, however, few studies have generated the same results. Most of these studies can be considered to be insufficient with regards to sample sizes and methods, spawning a need for more extensive studies. We have examined the P/E strategy on the Swedish Stock Exchange (SSE) between 2004 and 2012. The sample included 358 companies (excluding financial companies) with available necessary data. The stocks were divided into five portfolios based on their yearly P/E ratios (low to high), upon which the monthly returns of the individual stocks were calculated using a logarithmic formula. The returns were also risk adjusted using the Capital Asset Pricing Model (CAPM), followed by a regression analysis to see if possible abnormal returns could be considered to be statistically significant for the examined time period. The results of our study indicate that the P/E effect is not present on the Swedish Stock Exchange during the examined time period, and we therefore conclude that it was not possible to utilize a strategy based on the P/E effect between 2004 and 2012 in order to achieve an abnormal return. The results can be used to argue that the Swedish stock market is more efficient than for example the U.S. stock market where the P/E effect has been found to exist.

Problemformulering: Går det att uppnå en signifikant återkommande överavkastning samt riskjusterad överavkastning i förhållande till den svenska aktiemarknaden genom systematiskt följande av investeringsstrategin “Dogs of the Dow”? Syfte: Syftet är att undersöka huruvida teorin ”Dogs of the Dow” är applicerbar på den svenska aktiemarknaden i sökandet efter en signifikant återkommande överavkastning i förhållande till marknaden. Med detta hoppas det finnas en positiv differens av den riskjusterade överavkastningen gentemot index. Metod: Studien samlar in primärdata för empirin via SIX Trust, SIX Edge samt från Riksbankens hemsida. Sekundärdata härstammar från vetenskapliga artiklar uthämtade från främst JStor och EBSCO Host. Även studentlitteratur, tidigare studier utgör sekundärdata. Studien tillämpar befintliga teorier för att via modeller studera studiens syfte. Resultat: Resultatet anses av författarna vara imponerande. Portföljerna sammansatta i enlighet med investeringsstrategin ”Dogs of the Dow” presterar till de skådade faktorerna i genomsnitt över lag bättre än jämförelseindexen SIXRX och SIX30RX. Resultaten kan dock inte fastställas statistiskt men författarna önskar skilja på statistisk och praktisk signifikans då en möjlig kumulativ effekt genererar enorm förmögenhetsutveckling. / Problem: Is it possible to receive a reoccurring significant abnormal return as well as risk adjusted abnormal return against the Swedish stock market through systematic appliance of the investment strategy ”Dogs of the Dow”? Objective: The objective is to study whether the theory ”Dogs of the Dow” is applicable on the Swedish stock market in the search of a significant reoccurring abnormal return against the market. The hopes are to find a positive difference between the risk adjusted abnormal return and index. Method: The study collects the primary empirical data through SIX Trust, SIX Edge as well as from the Swedish central bank. The secondary data is derived from scientific articles, student literature, and previous studies. Models are used to study the objective. Results: The authors find the results to be impressive. The portfolios structured through the investment strategy “Dogs of the Dow” outperform the comparison indices SIXRX and SIX30RX in general on all the observed accounts. The results can although not be stated as statistically significant within any reasonable confidence levels, but the authors would like to emphasize the difference between the terms statistically and practically significant. This since cumulative gains could contribute to a massive gain of wealth which could be practically significant for the long-term investor.