[pt] A presente pesquisa se insere em um contexto caracterizado pela crescente discussão de geração de valor ao acionista intensificada pela crise econômica ocorrida entre os anos de 2008 e 2009, que fez crescer diversas dúvidas relacionadas à doutrina de maximização do valor para o acionista principalmente no que tange as estratégias para alcançar este objetivo. Neste contexto, a definição e a escolha da estratégia mais adequada se mostram como diferenciais para enfrentar os desafios impostos pelo cenário econômico no que tange a questão do desempenho da empresa e seu retorno para os acionistas. Desta forma, o objetivo central do estudo foi relacionar as estratégias de crescimento (fusões e aquisições ou crescimento orgânico) com o desempenho de empresas que passaram por um processo de fusões e aquisições no período de 2003 até 2013 baseado no indicador de desempenho definido como Q de Tobin. A pesquisa foi realizada por meio de testes estatísticos com dados empíricos das empresas de capital aberto, com ações negociadas na bolsa de valores de São Paulo e avaliou indicadores de retornos das ações das empresas que foram adquiridas e das firmas que as compraram, bem como características da transação tais como a forma de pagamento, a quantidade de compradores, o tamanho relativo entre as empresas e o desempenho destas empresas medido pelo índice Q de Tobin. Os resultados demonstraram que a base de dados disponível para o período analisado não é suficiente para chegarmos a uma conclusão definitiva sobre o impacto das variáveis citadas acima sobre o retorno das ações. / [en] This research is part of a context characterized by increasing use of discussion to generate shareholder value enhanced by the economic crisis that occurred in 2008 and 2009 that has increased several questions related to the doctrine of maximizing shareholder value, especially regarding the strategies to achieve this goal. In this context, the definition and selection of the most appropriate strategy is shown as differential to face the challenges posed by the economic scenario regarding the issue of the performance of the company and its shareholder return. Thus, the main objective of this research was to compare the growth strategies ( mergers and acquisitions or organic growth ) with the performance of companies that have gone through a process of mergers and acquisitions from 2003 to 2013 based on the performance indicator defined as Tobin s Q. The survey was conducted by means of statistical tests with empirical data of publicly traded companies with shares traded on the São Paulo Stock Exchange and assessed indicators of stock returns of companies that went through the acquisition event as well as features transaction such as payment method, the number of buyers, the relative size between firms and the performance of these companies measured by Tobin s Q. The results showed that the available database for the reporting period is not sufficient to come to a definite conclusion about the impact of the aforementioned variables on stock returns.

The last decades have seen a rapid increase of sustainable investing, also known as ESG (Environmental, Social and Governance) investing. There has also been an increasing body of academic literature devoted to whether investors can gain any financial benefits from taking ESG under consideration. Previous literature of portfolio performance in terms of risk-adjusted returns has given much of its attention to best-in-class approaches, which is a strategy that selects top performers in ESG within a sector or industry. The purpose of this study is foremost to investigate a best-effort approach to ESG investing, which is a strategy that focuses on the top improvers in ESG. The purpose is further to compare this with a best-in-class approach, since the findings from earlier studies of this strategy still are inconsistent. The region chosen to perform this study in is the Eurozone. Several theories that have implications for portfolio studies and abnormal returns are taken under consideration in relation to the study and its findings. This includes the efficient market hypothesis, the adaptive market hypothesis and modern portfolio theory. The theoretical framework also cover asset-pricing models and the notions of risk-adjusted returns. A quantitative study with a deductive approach are used to form portfolios, with a Eurozone index as the investable universe. Best-effort and best-in-class portfolios as well as difference portfolios of the two approaches are created, based on ESG data and different cut-off rates for portfolio inclusion. As for risk-adjusted performance measure, the Carhart four-factor model are used. The overall results are mostly insignificant findings in terms of abnormal returns. However, three best-effort portfolios based on the top ESG improvers show significant positive abnormal returns. These findings are strongest for the environmental and social factor. As for the best-in-class approach, only the governance portfolios provided weakly significant results in terms of abnormal returns. Further, the study is not able to significantly distinguish between a best-effort and a best-in-class approach when it comes to risk-adjusted performance. The exception is the environmental factor based on the top performers in each approach, where the best-effort portfolio outperforms the best-in-class portfolio. Finally, none of the portfolios provided significant negative risk-adjusted returns. This can at least be considered as good news for ESG investing, since it indicates that investors do not have to sacrifice risk-adjusted returns in order to invest in a more sustainable way.

A presente pesquisa foi desenvolvida com o objetivo de avaliar a capacidade dos investidores em interpretar os dados emanados pela Contabilidade; mais especificamente, analisou sua habilidade em compreender informações relativas ao lucro. De forma complementar, buscou analisar a existência de oportunidades de obtenção de ganhos econômicos por intermédio da adoção de estratégias de investimento com base em informações relativas aos accruals. A amostra compreendeu empresas não financeiras para as quais o banco de dados Economática dispunha de informações relativas ao período de 1995 a 2010. Foram descartadas da amostra as empresas com patrimônio líquido negativo, companhias com dados faltantes (missings), bem como observações com comportamento distinto dos demais (outliers). Por conta do baixo impacto dos números contábeis no mercado de capitais brasileiro detectado por Lopes (2005) esperava-se uma baixa presença da anomalia dos accruals no mercado de capitais brasileiro. Isso porque, países em que a importância dos lucros para os preços de mercado é reduzida, a precificação de ações seria menos influenciada pela fixação funcional no lucro final reportado o que, por sua vez, provocaria interferências na anomalia dos accruals (EL MEHDI, 2011). Para avaliar se a persistência dos componentes dos accruals era significativamente inferior aos componentes de fluxos de caixa, estimou-se uma regressão com dados em painel, na qual foi possível comprovar a hipótese de que os ajustes do regime de competência exibem uma menor persistência, com um parâmetro padronizado e estatisticamente significativo na regressão estimada de 0,43, enquanto os componentes de fluxos de caixa apresentaram um parâmetro de 0,53. A falta de significância estatística entre os accruals correntes e retornos anormais futuros das companhias estudadas, bem como, da ausência de retornos anormais significativos de estratégias baseadas em accruals demonstraram que uma baixa qualidade dos lucros correntes - devido a um alto nível de accruals - não resultou em retornos anormais negativos no período posterior. As proxies relativas a adoção das normas IFRS (International Financial Reporting Standards) e ao nível de investimentos - incluídas no modelo de regressão - compreendem parte das contribuições deste tralho, ainda que não se tenha identificado significância estatística para tais variáveis. Isso porque, por intermédio do teste-t, foi explicitada a ocorrência de uma relação entre o nível de acrruals e o crescimento do imobilizado. Tal resultado sugere indícios de que ambas as variáveis captariam o mesmo efeito, qual seja, a atividade investimento por parte das firmas (WEI; XIE, 2007; ZACH, 2007). Os resultados coadunam com as evidências detectadas por Cupertino (2010), ampliando os indícios sobre o comportamento do mercado frente a informações emanadas pela Contabilidade em mercados emergentes, além de explicitar a ausência da denominada anomalia dos accruals no mercado de capitais brasileiro. / This research was developed to evaluate investors\' ability to interpret Accounting data, more specifically, to examine its ability to effectively understand earnings information. As a complement, we have analyzed the existence of economic opportunities to obtain abnormal returns through investment strategies based on accruals. The sample was composed by nonfinancial companies with available information in Economatica database from 1995 to 2010. We\'ve excluded firms with negative equity, missing data, as well as outliers. In countries in which profits importance to market price is lower, pricing of shares would be less influenced by the bottom line functional attachment, which in turn, would decrease the Accruals Anomaly (El MEHDI, 2011). Since Accounting numbers in Brazilian stock market have demonstrated low impact (LOPES, 2005) we previously expect a lower presence of the Accrual Anomaly. To assess whether persistence of accruals was significantly lower than cash flow component, we\'ve estimated a panel data regression, in which it was possible to prove our first hypothesis, that accrual\'s exhibit a lower persistence with a 0.43 estimated parameter, while the cash flows have presented a 0.53 parameter, both significantly different from 0 at the 0.05 level. The lack of statistical significance between current accruals and future abnormal returns among studied companies and the absence of significant abnormal returns in strategies based on accruals have demonstrated that a low quality of current earnings - due to a high level of accruals - did not result in a negative abnormal return, thereafter. Adding proxies to IFRS adoption and investment level can be considered as an additional contribution. Although these variables have shown no statically significance, we\'ve found a relationship, explicit by T-test, between accruals level and inventory growth, providing evidences that both variables would capture the same effect, namely, investments activity by firms (WEIK; XIE, 2007; ZACH, 2007). The results are consistent with Cupertino (2010) research, have increased evidences about market behavior to Accounting information in emerging markets, and explicit the absence of the Accrual Anomaly in Brazilian stock market.

This paper investigates how CEOs in public Swedish mid-cap corporations time their transactions in their own company’s stock in a short-term perspective. To investigate this, an event study methodology is employed on cumulative returns surrounding these insiders’ transactions, both absolute and relative to the market. We find that these insiders, on average, purchase stock subsequent to a period of decline in both total and abnormal cumulative returns and sell stock following a period of positive total and abnormal returns. This is in line with our hypotheses. We also find that total and abnormal cumulative returns tend to turn and increase for a short period following a purchase transaction, while for a sale transaction, the trend does not turn but continues upward, implying that purchases may be timed more rigorously in the short run than sales. This paper discusses these observations in connection to earlier findings and motivates further research on the subject of insider transaction timing.

Submitted by Nara Lays Domingues Viana Oliveira (naradv) on 2015-08-29T14:35:41Z No. of bitstreams: 1 tonidandel.pdf: 937131 bytes, checksum: 8e7451c0e897bad1c49e3351c8eb5f4e (MD5) / Made available in DSpace on 2015-08-29T14:35:41Z (GMT). No. of bitstreams: 1 tonidandel.pdf: 937131 bytes, checksum: 8e7451c0e897bad1c49e3351c8eb5f4e (MD5) Previous issue date: 2013 / Nenhuma / O presente trabalho verifica se as operações realizadas por insider trader com ações da própria empresa auferem rentabilidade superior à média do mercado. Nesse sentido é importante identificar possíveis movimentos de insiders traders, bem como evidências de retornos anormais. Isso poderia ajudar os órgãos reguladores a serem mais efetivos na coibição desse tipo de operação. Para tanto, foram coletadas 38.141 operações, obtidas em 9.945 formulários de 167 empresas com liquidez em bolsa superior a 1% que foram enviados mensalmente à CVM no período de janeiro de 2006 a dezembro de 2011. O método utilizado para determinar o retorno anormal médio acumulado foi o estudo de eventos, definido a partir do modelo de Campbell, Lo e Mackinlay (1997). Para a concepção da amostra final restaram 109 empresas das quais foram encontradas 665 operações que se destacaram por apresentarem volumes muito superiores à média de negociações realizadas pelos insiders das respectivas empresas. Destas 665 operações, 474 (71,28%) apresentaram retornos anormais. Sendo assim, foram encontradas 281 operações de venda e 193 operações de compra realizadas por insiders que diagnosticaram retornos anormais. As ações vendidas por insiders apresentaram retorno anormal médio de -3,73%, -7,03% e -10,12% após 30, 90 e 180 dias da data da venda, o que sugere que os insiders detinham alguma informação desconhecida do mercado e se anteciparam à futura queda vendendo suas ações. Já as operações de compras realizadas pelos insiders traders foram seguidas de alta das ações, o que sugere que a utilização de informações antecipadas em relação ao mercado para a realização de compras com retornos anormais positivos que foram respectivamente de +5,49%, +8,03% e +10,12%, após 30, 90 e 180 dias. Em seguida, foram efetuados vários procedimentos para avaliar a rentabilidade obtida pelos insiders de acordo com o tipo de controle, origem do capital, setor de atividade, segmento de governança corporativa, tipo de operações, insiders por operações e tamanho da empresa. Estas análises e procedimentos apenas confirmaram os retornos encontrados no computo geral quanto a presença de insider trading no mercado acionário brasileiro. / This study verifies that the operations performed by insider trading with shares of the company earn higher returns than the market average. In this sense it is important to identify possible movements Insider traders, as well as evidence of abnormal returns. This could help regulators to be more effective in the deterrence of such operations. To this end, we collected 38 141 operations, obtained in 9945 Forms 167 companies with liquidity in the stock exceeds 1% who were sent to CVM monthly from January 2006 to December 2011. The method used to determine the average abnormal return was the study of events, defined from the model of Campbell, Lo and Mackinlay (1997). For the design of the final sample remaining 109 companies of which 665 were found to operations stood out for having much higher than average volumes of transactions made by insiders of their respective companies. Of these 665 operations, 474 (71.28%) had abnormal returns. Thus, we found 281 transactions of sale and purchase of 193 operations performed by insiders who diagnosed abnormal returns. The shares sold by insiders showed average abnormal return of -3.73%, -7.03% and -10.12% after 30, 90 and 180 days from the date of sale, which suggests that insiders held some information unknown to the market and the anticipated future selling their shares fall. Since the operations of purchases by insiders traders were followed by high shares, which suggests that the use of advance information about the market to make purchases with positive abnormal returns that were respectively +5.49%, +8 , and 03% +10.12% after 30, 90 and 180 days. Then, several procedures were performed to assess the profitability achieved by insiders according to the control type, source of capital, industry, corporate governance segment, type of transactions, transactions by insiders and company size. These tests and procedures only confirmed the returns found in the general computation as the presence of insider trading in the Brazilian stock market.

This study analyzes the impact of merger and acquisition financing method on buyer cumulative abnormal returns. The model builds on findings in previous literature by including deal structure variables, company variables, industry variables, time variables, and post-acquisition announcement return data from 2000 to 2018. The analysis does not find a statistically significant relationship between cash plus debt/stock financing and cumulative abnormal returns. However, significant coefficients for buyer and target industry suggest that deal structure varies and ultimately effects cumulative abnormal returns within specific industries. Additionally, significant results for buyer profitability and time variables provide insight on how the financial market interprets synergy realization and economic crises in relation to security valuation and the mergers and acquisitions market.

Purpose: The main objective of this thesis is to study if acquiring companies’ shareholders on the Swedish market earn abnormal returns after an M&A and further to examine possible differences in the abnormal return depending on whether the M&A is announced during a period with high level of merger activity or low level of merger activity. Method: This thesis uses a quantitative research method and an event study to examine abnormal returns. The abnormal return is obtained by calculating the difference between the actual return and the normal return. Stock prices for the thirty companies in the sample have been collected; fifteen M&As from periods characterized by high merger activity and fifteen M&As from periods of low merger activity. The event window consists in total of eleven days, five days before the announcement day and five days after. Day minus six is used as an index. Finally, the results have been tested with t-statistics for further analyzing. Conclusion: Our findings regarding the Swedish market in this thesis is not consistent with most of the previous research. Earlier research claims negative abnormal returns for the acquiring companies’ shareholders. In our study we have found that the Swedish acquiring companies’ shareholders actually earn positive abnormal returns after an M&A. Moreover, the abnormal returns are higher for M&As announced during times with high level of merger activity on the market compared to the abnormal returns for M&As announced when the level activity of merger is low. / Syfte: Syftet med denna uppsats är att undersöka om förvärvande företags aktieägare på den svenska marknaden uppnår onormal avkastning efter ett företagsförvärv. Studien undersöker även skillnader i onormal avkastning till det förvärvande företaget beroende på om förvärvet genomförts under en tidsperiod med hög respektive låg aktivitet av företagsförvärv på marknaden. Metod: Denna uppsats använder sig av en kvantitativ forskningsmetod samt en eventstudie för att undersöka onormal avkastning. Den onormala avkastningen erhålles genom att beräkna skillnaden mellan den faktiska avkastningen efter ett företagsförvärv med den normala avkastningen om förvärvet inte genomförts. Aktiepriset för de trettio företagen i urvalet har samlats in, hälften av urvalet är hämtat från en period med hög förvärvsaktivitet och resterande från en period med låg förvärvsaktivitet. Händelsefönstret består av elva dagar, fem dagar före och fem dagar efter tillkännagivandet av företagsförvärvet. Dag minus sex används som index. Slutligen har resultatens testats med t-test för vidare analys. Slutsats: Våra resultat gällande den svenska marknaden är inte samstämmiga med de flesta av de presenterade tidigare forskningarna. Enligt mycket tidigare forskning erhåller förvärvande företagens aktieägare negativ onormal avkastning medan vår studie av svenska företag visar positiv onormal avkastning till följd av ett företagsförvärv. Dessutom är den onormala avkastningen högre för företagsförvärv som genomförs i perioder med hög aktivitet av förvärv på marknaden jämfört med den onormala avkastningen för företagsförvärv som genomförs när aktivitetsnivån på förvärv är låg.

We investigate whether multiple large shareholders (MLS) play an internal corporate governance role in mitigating agency problems between the controlling shareholder and minority shareholders in a cross-country sample of public firms. We draw our conclusion by examining the market reaction (in terms of bidder announcement period abnormal returns) to acquisition announcements made by firms with and without MLS in their ownership structure. Using an international sample of acquisition announcements made by firms with at least one large shareholder from 10 Western European and 5 East Asian countries between 1996 and 2000, we find the presence of MLS, their voting rights, relative voting power, the number of blockholders and the relative voting power of these blockholders have a positive and significant impact on bidder announcement period abnormal returns. We also find that the legal institutions such as disclosure requirement, investor protection, common-law legal origin and anti-self-dealing have positive effects on bidder announcement period abnormal returns.

We investigate whether multiple large shareholders (MLS) play an internal corporate governance role in mitigating agency problems between the controlling shareholder and minority shareholders in a cross-country sample of public firms. We draw our conclusion by examining the market reaction (in terms of bidder announcement period abnormal returns) to acquisition announcements made by firms with and without MLS in their ownership structure. Using an international sample of acquisition announcements made by firms with at least one large shareholder from 10 Western European and 5 East Asian countries between 1996 and 2000, we find the presence of MLS, their voting rights, relative voting power, the number of blockholders and the relative voting power of these blockholders have a positive and significant impact on bidder announcement period abnormal returns. We also find that the legal institutions such as disclosure requirement, investor protection, common-law legal origin and anti-self-dealing have positive effects on bidder announcement period abnormal returns.

Investment decisions grounded in personal values and societal norms has seen a growth in the last decades, to a point where large institutional investors are abstaining from certain industries that share a specific characteristic altogether. The affiliation with sinful industries that promote human vice is not viewed as socially responsible in the eyes of the public, a reason why socially responsible investment funds that screen out these companies has experienced an increase in popularity. This study sets out to investigate the performance of American sin stocks in an attempt to increase the awareness of how these shunned industries has performed. While the existing literature provides evidence which proves sin stocks outperforms the market, we will provide further evidence concentrating on a mix of industries previously not focused on. Additionally we will extend the observation period beyond what has been done in the past. In this study, the definition of sin incorporates the industries of alcohol, defense, gambling and tobacco, and investigates the performance of a survivorship-free sample of 159 companies between July 1973 and June 2012. As performance measure, the four factor model is employed to capture any abnormal performance in relation to the market with three additional risk factors. In addition, we set out to investigate the performance of the different industries individually, to find if there is any that acts as a driver of the performance. Further, we look into the persistency of the performance over time. We find that the sample outperforms the market with 5.8% annually, and where the tobacco industry stands out with the highest abnormal return, the other industries grouped together still produce significant outperformance. The sinful index examined in this degree project has shown persistent performance, with no obvious trends of growth or decline. Unlike what has been found in previous research, the sample has shown a substantial difference in performance depending on the weighting scheme applied, not only individually for the industries, but also collectively.