This paper investigates whether greater investor distraction on the Swedish stock market during the summer months of June, July and August leads to a more pronounced post earnings announcement drift (PEAD) effect, during the ten year period between 2000 and 2009. PEAD is an anomaly whereby the information contained in earnings announcements is not immediately or completely incorporated into stock prices, in the cases where the announcement contains an ‘earnings surprise’. The methodology involves using the standardised unexpected earnings (SUE) metric to measure the level of ‘earnings surprise’ and a buy and hold abnormal returns (BHAR) trading strategy to measure return. The study tests and confirms the existence of greater investor distraction during summer months on the Swedish market. For a holding period of 12 months, a BHAR trading strategy generates a greater abnormal return for summer months (11.3%) compared with the abnormal return for non-summer months (10.5%). These results are also interesting in a broader context, as they confirm the existence of the PEAD effect, one of the strongest counter-arguments to the efficient markets hypothesis (EMH); the foundation of many financial models used for stock market valuation. This is because, according to the EMH, in an efficient market it should not be possible to generate abnormal returns based on available information. However, it may be noted that these results do not take into account transaction costs. This means that while it can be demonstrated that there is greater investor distraction during the Swedish summer, in order to implement a successful trading strategy based on this finding, further testing would be required. Therefore, based on the findings of this paper, a number of areas for future research have been identified.

Submitted by Espen Schie (schie.espen@gmail.com) on 2016-10-16T12:10:49Z No. of bitstreams: 1 2015-16_S2-26278-16-Espen_Schie FGV.pdf: 3207969 bytes, checksum: cbdb1bbe909765f1d984b14ff8673810 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Espen, Unfortunately, your thesis is different from the guidelines that must be the FGV thesis. I will send to you by email the model for you to follow. All work must be done using the standards defined by ABNT or APA (American Psychology Association): http://bibliotecadigital.fgv.br/site/bkab/normalizacao. best. Ana Luiza Holme 37993492 on 2016-10-17T11:50:41Z (GMT) / Submitted by Espen Schie (schie.espen@gmail.com) on 2016-10-19T19:30:04Z No. of bitstreams: 1 2015-16-c334442-Espen_Schie FGV.pdf: 3181725 bytes, checksum: 340993a2fe39d6fd701b7e2e6f30b164 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Espen, The title of your thesis is different from the oficial document of your examining board. It can't be different, please change to the original title, below: SOVEREIGN WEALTH FUNDS' INVESTMENT IMPACT ON LISTED TARGET FIRMS Also the number of pages should appear only in the introduction but count from the cover. example introductio page 10 Best. Ana Luiza Holme 37993492 on 2016-10-19T19:36:19Z (GMT) / Submitted by Espen Schie (schie.espen@gmail.com) on 2016-10-19T20:43:46Z No. of bitstreams: 1 2015-16-c334442-Espen_Schie FGV.pdf: 3181048 bytes, checksum: bc89d43276d78eef9b4ddfb0ce178087 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Espen, The title of your thesis is a little bit different from the title send by Nova de Lisboa, it can't be different, because the oficial document from your examining board has to be the same as the post in the Biblioteca Digital. Could you please change to "SOVEREIGN WEALTH FUNDS' INVESTMENT IMPACT ON LISTED TARGET FIRMS" Warm regards. Ana Luiza Holme 37993492 on 2016-10-20T12:29:36Z (GMT) / Submitted by Espen Schie (schie.espen@gmail.com) on 2016-10-21T06:15:53Z No. of bitstreams: 1 2015-16-c334442-Espen_Schie FGV.pdf: 3180995 bytes, checksum: c83f0592de725c5a2798d3968f68831d (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Espen, The title of your thesis is different from the official document from your examining board, it can't be different. and you can't change the title after the examining board. Please change the title to the title below, if the title below is incorrect please let me know by email. Title: SOVEREIGN WEALTH FUNDS' INVESTMENT IMPACT ON LISTED TARGET FIRMS Best. Ana Luiza Holme 37993492 on 2016-10-21T12:33:42Z (GMT) / Submitted by Espen Schie (schie.espen@gmail.com) on 2016-10-21T19:36:52Z No. of bitstreams: 1 2015-16-c334442-Espen_Schie FGV.pdf: 3180826 bytes, checksum: b7715d967a8cc190a4fdc71eb15f0345 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-10-21T19:47:19Z (GMT) No. of bitstreams: 1 2015-16-c334442-Espen_Schie FGV.pdf: 3180826 bytes, checksum: b7715d967a8cc190a4fdc71eb15f0345 (MD5) / Made available in DSpace on 2016-10-24T10:40:01Z (GMT). No. of bitstreams: 1 2015-16-c334442-Espen_Schie FGV.pdf: 3180826 bytes, checksum: b7715d967a8cc190a4fdc71eb15f0345 (MD5) Previous issue date: 2016-10-29 / This is a study on the share price effect of Sovereign Wealth Funds (SWFs) investment announcements. The study examines the short- and the long-term impact of SWF investments on publicly traded companies, performed with an event study methodology to estimate the abnormal returns of the stock prices of the acquired firms around the dates when the announcements become publicly available. The announcements included in this study were made between 1990 and 2015. First, the results are compared to the level of transparency, as measured by the LTMI Index, to examine how the changes in stock prices react to the event. Then, the study presents six extensions with portfolios for IFSWF membership, SWF funding source, open market transactions and privately negotiated deals, domestic and foreign targets, deal value and acquired target stake. The results of the study provide empirical evidence of short-term significant cumulative abnormal returns and that SWFs with high transparency tend to generate more and positive cumulative abnormal returns, while SWFs with low transparency generate negative cumulative abnormal returns. Moreover, the long-term results suggest negative cumulative abnormal returns, though mostly insignificant, and show a tendency to mean revert. / Este é um estudo sobre o efeito do preço das ações sobre investimentos anúnciados pelos fundos soberanos (SWFs). O estudo examina o impacto a curto e a longo prazo dos investimentos dos fundos soberanos em empresas de capital aberto, através de estudo de evento para estimar os retornos anormais dos preços das ações das empresas adquiridas em torno das datas em que os anúncios são públicos. Os anúncios incluídos neste estudo foram feitos entre 1990 e 2015 sendo que, em primeiro lugar, os resultados são comparados com o nível de transparência, medida pelo índice de LTMI, de forma a analisar possíveis alterações nos preços das ações face ao anúncio. Posteriormente, o estudo apresenta seis extensões: portfólios da IFSWF, fonte de financiamento dos SWFs, com investimentos privados e públicos, investimentos em empresas nacionais e estrangeiras, valor do negócio e percentagem adquirida. Os resultados do estudo fornecem evidência empírica dos retornos anormais acumulados significativos a curto prazo e que, os fundos soberanos com elevada transparência, tendem a gerar maiores retornos anormais acumulados ao passo que os SWFs com menor transparência geram retornos anormais acumulados negativos. Além disso, os resultados a longo prazo sugerem retornos anormais cumulativos negativos, embora na sua maioria insignificantes, apresentando uma tendência da reversão da média.

Submitted by Rafael da Cunha Carneiro (rafaelcunhacarneiro@gmail.com) on 2018-01-08T13:37:28Z No. of bitstreams: 1 Rafael Carneiro - Versão Corrgida Final.doc: 1291264 bytes, checksum: 9b35d01c3f5fdd592fd02ed717e9329e (MD5) / Rejected by Thais Oliveira (thais.oliveira@fgv.br), reason: Boa noite Rafael, Para que possamos aprovar o seu trabalho, é necessário que faça as seguintes alterações: - Na capa, Getulio NÃO tem acento, retire "mestrado profissional em economia", somente nome completo da escola, seu nome e título (COMPLETO em maiúsculo e negrito); - Contracapa: título completo em negrito e letra maiúscula, manter somente local e ano (como está na capa); - A seguinte página (3) deve conter a Ficha catalográfica; - A página 4, retirar nome da escola, e o título deve estar como descrito acima também; - Retirar páginas em branco. Para qualquer dúvida, ligue ou mande e-mail. mestradoprofissional@fgv.br - 3799-7764 Att, Thais Oliveira. on 2018-01-08T22:36:54Z (GMT) / Submitted by Rafael da Cunha Carneiro (rafaelcunhacarneiro@gmail.com) on 2018-01-09T16:51:31Z No. of bitstreams: 1 Rafael Carneiro - Versão Corrgida Final v2.doc: 1294848 bytes, checksum: afcb854c24be5f9b1a39cf4b2cd47203 (MD5) / Rejected by Thais Oliveira (thais.oliveira@fgv.br), reason: Prezado Rafael, boa tarde! A contracapa deve conter seu nome completo na parte superior da página (acima do título, como está na capa, mas sem o nome da escola), e abaixo do título, na parte inferior direita o texto "Dissertação apresentada à Escola de Economia de São Paulo da Fundação Getúlio Vargas para formação stricto sensu do Mestrado Profissional em Economia" logo abaixo o campo de conhecimento e Orientador. Assim que feitas as alterações aprovaremos seu trabalho. Att. on 2018-01-10T15:44:39Z (GMT) / Submitted by Rafael da Cunha Carneiro (rafaelcunhacarneiro@gmail.com) on 2018-01-10T18:39:11Z No. of bitstreams: 1 Rafael Carneiro - Versão Corrgida Final v2.doc: 1294336 bytes, checksum: 1a9c381d646c122e470d47d8fd4630e7 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2018-01-10T22:19:44Z (GMT) No. of bitstreams: 1 Rafael Carneiro - Versão Corrgida Final v2.doc: 1294336 bytes, checksum: 1a9c381d646c122e470d47d8fd4630e7 (MD5) / Made available in DSpace on 2018-01-11T12:01:34Z (GMT). No. of bitstreams: 1 Rafael Carneiro - Versão Corrgida Final v2.doc: 1294336 bytes, checksum: 1a9c381d646c122e470d47d8fd4630e7 (MD5) Previous issue date: 2017-12-18 / O trabalho estuda os determinantes da performance a longo prazo de ativos após seus lançamentos de ação na B3 entre 2004 a 2014 utilizando a metodologia do BHAR, Buy-and-Hold Abnormal Returns, ajustado pelo IBOVESPA no período. Utilizando regressões multivariadas estudou-se quais variáveis e índices de resultados podem ser determinantes para o BHAR acima ou abaixo do mercado. Desta maneira diferencia os ativos por aqueles em que realizaram o IPO, oferta inicial de ações, e os FOLLOW-ON, oferta subsequente de ações, de modo a entender quais os impactos positivos ou negativos de um lançamento subsequentes na performance a longo prazo do ativo. Com estes resultados foi avaliado os impactos dos indicadores de resultados para os dois tipos de lançamentos. Contrariando boa parte da literatura a respeito de performance de IPOs a longo prazo, neste período foi possível observar que o resultado dos ativos que lançaram suas ações via IPO ou SEO, tiveram um rendimento acima do IBOVESPA. É possível observar, ainda, que os ativos que realizaram a oferta subsequente, em geral, possuem uma performance melhor que os demais. Isto poderia indicar uma redução do conflito de agencia e assimetria de informação. Além disto indicou-se que há uma relação forte entre o crescimento do EBITDA e do indicador Preço/Lucro e a performance do ativo ao longo do período. / This paper studies the determinants of long-run performance of IPOs and SEO after its B3 share launches between 2004 and 2014 using the Buy-and-Hold Abnormal Returns methodology adjusted by IBOVESPA index. Using multivariate regressions it was studied which variables and financial indices may be determinant for the BHAR performance above or below of the market. In this way, it differentiates the stocks by those in which they performed the IPO, the initial public offering, and the SEO, Seasoned equity offering, in order to understand the positive or negative impacts of an initial or subsequent offering on the long-run performance of the stock. With these results, the paper evaluate the impacts of the financial indices for the two types of offering. Despite of the literature regarding long-run IPO performance, in this period it was possible to observe that the result of the stock offering via IPO or SEO, had a performance above the IBOVESPA. It is also possible to observe that the stock that made the seasoned equity offering, in general terms, perform better than IPOs. This could indicate a reduction of agency conflict and information asymmetry. Besides this, was evidenced that there is a strong relationship between the EBITDA growth and the Price / Profit index and the performance of the stock over the period.

The purpose and intent of this study is to conduct comparative research between domestic and foreign investors in regard to short selling positions on the Swedish financial market. The performance differences are measured by compounding short selling positions by the investors between 2015-2018. Two comparative methods were utilized to conduct this research: The cumulative abnormal return (CAR) and the buy-and-hold abnormal return, with each calculation being utilized in accordance with Barber & Lyon (1997). The produced results have been scrutinized via univariate descriptive statistics (t-test) and a regression in order to verify if there is any significant difference between the investors. The result of the study shows that there is a tangible, noteworthy difference in an average performance amongst the investors. We can now recognize that foreign investors who hold their short selling positions for a longer time-period demonstrate better performance. To compare with the domestic investors, their displayed trading behavior seems to be more unpredictable and they have not been performing as good in this selected time-interval.

Denna studie har genomförts i syfte att undersöka huruvida nyintroduktioner generar en överavkastning i förhållande till OMXSPI på svenska handelsplatser under en börsuppgång och en börsnedgång för olika tidsintervall och branscher. Studien har undersökt nyintroduktioner genomförda under tidsperioden Q1 2004 till Q2 2009. Syftet har för avsikt att utmynna i huruvida nyintroduktioner vid svenska handelsplatser är effektiva och om investerare kunnat utnyttja eventuella ineffektiviteter som investeringsstrategier. Undersökningen är en eventstudie baserad på en kvantitativ metod där korrigerade historiska aktiekurser har inhämtats och beräkningar har genomförts med hjälp av två metoder, den genomsnittliga abnormala avkastningen och den genomsnittliga abnormala avkastningen för en buy-and-hold strategi, för att säkerställa en hög validitet i studien. Slutsatsen påvisar att investerare som investerat i nyintroduktioner på AktieTorget under börsuppgången hade kunnat utnyttja den något lägre grad av effektivitet utifrån en buy-andhold strategi på tre månader och erhållit en genomsnittlig signifikant överavkastning gentemot OMXSPI på 32,6 procent. En investerare som valt att investerare i nyintroduktioner utifrån en buy-and-hold period på tre månader på Alternativa Aktiemarknaden under börsnedgången hade i genomsnitt erhållit en signifikant överavkastning på 11,8 procent. För den investeraren som inte tagit hänsyn till när introduktionen genomförts och investerat i nyintroduktioner på AktieTorget utifrån en buy-and-hold period på en månad hade i genomsnitt erhållit en signifikant överavkastning på 18,2 procent.