In this paper, we investigate the information content of the insider trading. We use book to market ratio to judge the stock price of the firms which tend to be overvalued or undervalued. We suppose that the higher the book to market ratio is, the more the insider buy; vice versa. According to the past papers, seasoning equity offering often happens when the stock price is overvalued. On the other hand, the stock repurchase often happens when the stock price is undervalued. As a result, we propose that if the seasoning equity offering happens, the insiders will sell more holding stocks. If the stock repurchase happens, the insiders will buy more holding stocks. Besides, we try to understand if we can use the insider trading and the book to market ratio to be the signal of seasoning equity offerings or stock repurchase. These empirical results are not the same as our hypotheses because of the specific reason¡Xmost of the corporations in the sample are operated by family. Therefore, they won¡¦t sell their stocks easily. We have to understand the real trading motivation in the subsequences study.

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This paper probes into institutional investor¡¦s impact on Taiwan¡¦s stock market and its shareholding ratio in the relation of return. We aim to find out an effective return index of degree in order to provide another reference basis for investors. This research uses listed companies from 1999 to 2003 as sample. The analysis result shows that Taiwan has gone against the phenomenon of book-to-market and size effect in the past five years, and institutional investors¡¦ partiality is one of the reasons causing this phenomenon. The stock with high share of all kinds of institutional investors is expected to have high return in addition. In consideration of the momentum of the share of all kinds of institutional investors, we are unable to prove that the stock which has the positive momentum of share of all kinds of institutional investors will yield high return. The size factor and book-to-market ratio factor at the regular value prove whether institutional investors still have the ability to select stocks. The result proves that the group with high share of all kinds of institutional investors still has high return under the same book-to-market ratio and size factor, and proves that institutional investors indeed have better tactics in selecting stocks.

Den här studien ämnar förklara hur bedömningar av skogstillgångar till verkligt värde har påverkat värderelevansen mellan redovisningen och börsvärdet för svenska skogsbolag noterade på Stockholmsbörsen. Studien har ett positivistiskt perspektiv som utgångspunkt vilket innebär en föreställning om att det existerar en objektiv värld utanför forskarna själva. En deduktiv ansats tillämpas där teori insamlas i syfte att skapa förväntningar om hur verkligheten ser ut för att sedan samla empiri i syfte att jämföra med teorin. Studien präglas av en kvantitativ metod med kvantifiering av primärdata från årsredovisningar och sekundärdata från Avanza samt OMX Nordic. Studien visar att samtliga av de tre undersökta bolagens materiella anläggningstillgångar -med de biologiska tillgångarna inräknade- steg kraftigt under redovisningsåret 2005. Detta var samma år som IAS 41 trädde i kraft och redovisning till verkligt värde av skogstillgångar blev obligatoriskt för skogsbolag noterade på Stockholmsbörsen. Utifrån studiens resultat förefaller det att redovisning till verkligt värde höjer redovisningens värderelevans - även för bolag med stora innehav av växande skog. Ett förslag på framtida forskning kan vara en kvalitativt inriktad studie där både privata och institutionella investerares åsikter på området insamlas - förslagsvis genom intervjuer eller enkäter. En mer djupgående analys där ett flertal sätt att mäta värderelevans används och även jämförs sinsemellan, skulle mycket väl kunna utgöra ett intressant komplement till detta. En studie liknande denna utförd i andra länder med syfte att förklara hur IAS 41 påverkat värderelevansen för börsnoterade skogsbolag runt om i världen kan vara av intresse, utfall kan sedan jämföras med resultaten från denna studie. Denna studie har bidragit till en ökad insikt i hur bedömningar av skogstillgångar till verkligt värde påverkat värderelevansen mellan redovisningen och börsvärdet för svenska skogsbolag noterade på Stockholmsbörsen.

Whether the quality of a firm's reported earnings affects investors' ability to predict future earnings and stock returns is still a subject of much debate among accounting researchers. Lev (1989) suggests that low quality earnings may be causing the relatively low correlation between reported earnings and stock returns (or the market's evaluation of future earnings). This dissertation used the valuation model described in Ohlson (1995) and Feltham and Ohlson (1995) to explore the possible links between accounting method choices and the ability of investors to use reported earnings to predict future earnings. The results demonstrate that prior researchers' assumptions regarding which accounting methods are generally conservative or liberal are reasonably accurate over large numbers of firms. The results also show that one group of analysts (Value Line Investment Survey) is able to predict future earnings more accurately over medium-term and long-term forecast horizons for firms using generally conservative accounting methods than those firms employing generally liberal accounting methods. This research adds to the prior "quality of earnings" research by showing that analysts can predict earnings more accurately for certain classes of firms (i.e., firms using conservative accounting methods), thus increasing our knowledge of what constitutes high-quality earnings. The research also explores the effects of growth on the quality of earnings question, the effects of firm size, leverage, and industry membership on the relationship, and the robustness of the Feltham and Ohlson Model to alternative definitions of key components of the model. / Ph. D.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Muitos estudos buscam tentar prever o retorno potencial sobre portfólios de ações, com intuito de obter melhor rentabilidade sobre o capital aplicado. Diversas modelagens já foram utilizadas, sendo que as mais conhecidas são as que relacionam o risco com o retorno. Nesta linha destacam-se a Teoria de Carteiras proposta por Markowitz, e o CAPM de Sharpe. Através destas teorias entende-se a questão da influência da covariância dos retornos e que para um melhor desempenho de uma carteira, não é suficiente avaliar cada ativo individualmente. Por outro lado, diversas críticas em relação ao CAPM, vêm ensejando estudos complementares na busca de outras variáveis que melhorem os métodos de seleção de ativos. Fama e French (1993) fizeram um estudo com variáveis complementares em relação ao beta do CAPM, utilizando o tamanho e a relação Book to Market, conseguindo resultados melhores que o CAPM tradicional. O presente estudo leva em conta a questão do reinvestimento do lucro gerado e utilizando o modelo de Gordon propõe uma variável de classificação de empresas de crescimento e empresas valor, conceito já utilizado na literatura de finanças.Com base nesta variável montam-se carteiras de ações entre os anos de 2005 e 2012 e observa-se que é possível obter ganhos com a lógica proposta. Ao longo do período seria possível obter com as carteiras selecionadas ganhos de até 107,85% contra os retornos de 55,58% das carteiras com todos os ativos. Organizamos os mesmos ativos pela ótica da relação Book to Market as quais obtiveram retorno total do período de 90,42%. Apesar de notar uma mudança clara de comportamento, onde apenas nos quatro primeiros anos do estudo as carteiras com empresas value são superiores e nos quatro últimos períodos as carteiras de empresas growth são as melhores. Estes resultados são compatíveis com os resultados de Braga e Leal (2000), e Mescolin, Martinelli Braga e da Costa Jr. (1997), verificando um melhor desempenho para as empresas value. / Many studies have tried to predict the potential return on stock portfolios, aiming to get better return on invested capital. Several modeling have been used, and the more popular are those that relate the risk with the return. In this area, stand out the Portfolio Theory proposed by Markowitz and the CAPM proposed by Sharpe. Through these theories can be understood the influence of the covariance of returns, and for a best performance of a portfolio, is not enough to assess each individual asset. On the other hand, many criticism of the CAPM, have generating additional studies in search of other variables to improve the methods of selection of assets. Fama and French (1993) conducted a study with additional variables in relation to the CAPM beta, using the size and the relationship Book to Market, achieving better results than the traditional CAPM. This study considers the issue of the generated profit reinvestment, and using the model of Gordon proposes a classification variable for growth companies and value companies, which are concepts already used in finance literature. Based on this variable are set up stock portfolios between the years 2005 and 2012 and it is observed that it is possible to get earnings with the logic proposed. Over the period could be obtained with the selected portfolios up to 107.85% gains against the returns of 55.58% of the complete portfolio with all assets. We organize the same stocks from the perspective of the relationship Book to Market which had a total return of 90.42% on the whole period. Although observed a clear change of behavior, where only the first four years of the study portfolios with value companies are superior and the last four years portfolios of growth companies are the best. These results are consistent with the results of Braga and Leal (2000), and Mescolin Martinelli Braga and Costa Jr. (1997), watching a better performance for value companies.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Muitos estudos buscam tentar prever o retorno potencial sobre portfólios de ações, com intuito de obter melhor rentabilidade sobre o capital aplicado. Diversas modelagens já foram utilizadas, sendo que as mais conhecidas são as que relacionam o risco com o retorno. Nesta linha destacam-se a Teoria de Carteiras proposta por Markowitz, e o CAPM de Sharpe. Através destas teorias entende-se a questão da influência da covariância dos retornos e que para um melhor desempenho de uma carteira, não é suficiente avaliar cada ativo individualmente. Por outro lado, diversas críticas em relação ao CAPM, vêm ensejando estudos complementares na busca de outras variáveis que melhorem os métodos de seleção de ativos. Fama e French (1993) fizeram um estudo com variáveis complementares em relação ao beta do CAPM, utilizando o tamanho e a relação Book to Market, conseguindo resultados melhores que o CAPM tradicional. O presente estudo leva em conta a questão do reinvestimento do lucro gerado e utilizando o modelo de Gordon propõe uma variável de classificação de empresas de crescimento e empresas valor, conceito já utilizado na literatura de finanças.Com base nesta variável montam-se carteiras de ações entre os anos de 2005 e 2012 e observa-se que é possível obter ganhos com a lógica proposta. Ao longo do período seria possível obter com as carteiras selecionadas ganhos de até 107,85% contra os retornos de 55,58% das carteiras com todos os ativos. Organizamos os mesmos ativos pela ótica da relação Book to Market as quais obtiveram retorno total do período de 90,42%. Apesar de notar uma mudança clara de comportamento, onde apenas nos quatro primeiros anos do estudo as carteiras com empresas value são superiores e nos quatro últimos períodos as carteiras de empresas growth são as melhores. Estes resultados são compatíveis com os resultados de Braga e Leal (2000), e Mescolin, Martinelli Braga e da Costa Jr. (1997), verificando um melhor desempenho para as empresas value. / Many studies have tried to predict the potential return on stock portfolios, aiming to get better return on invested capital. Several modeling have been used, and the more popular are those that relate the risk with the return. In this area, stand out the Portfolio Theory proposed by Markowitz and the CAPM proposed by Sharpe. Through these theories can be understood the influence of the covariance of returns, and for a best performance of a portfolio, is not enough to assess each individual asset. On the other hand, many criticism of the CAPM, have generating additional studies in search of other variables to improve the methods of selection of assets. Fama and French (1993) conducted a study with additional variables in relation to the CAPM beta, using the size and the relationship Book to Market, achieving better results than the traditional CAPM. This study considers the issue of the generated profit reinvestment, and using the model of Gordon proposes a classification variable for growth companies and value companies, which are concepts already used in finance literature. Based on this variable are set up stock portfolios between the years 2005 and 2012 and it is observed that it is possible to get earnings with the logic proposed. Over the period could be obtained with the selected portfolios up to 107.85% gains against the returns of 55.58% of the complete portfolio with all assets. We organize the same stocks from the perspective of the relationship Book to Market which had a total return of 90.42% on the whole period. Although observed a clear change of behavior, where only the first four years of the study portfolios with value companies are superior and the last four years portfolios of growth companies are the best. These results are consistent with the results of Braga and Leal (2000), and Mescolin Martinelli Braga and Costa Jr. (1997), watching a better performance for value companies.

<p>This paper discusses the indicators of financial success for Swedish companies from 1995 until 2005. Quarterly data on 42 Swedish companies were collected from the Datastream data base and analysed by using both portfolio analyses and parametric analysis. In this study, financial success is measured by using the acclaimed concepts of the Sharpe ratio and the Jensen’s Alpha. The Sharpe ratios of the companies are studied between 1995-2005 and this discussion is complemented by analysis of the Jensen’s Alpha in the second half of that time period i.e. 2000-2005. The relationship between these performance metrics and certain company-characteristics such as the book-to-market ratio, the ROA measure and capital structure is studied. The conclusion is that companies that have a high degree of profitability and maintain high book-to-market ratios outperform other companies in terms of generating excess returns to shareholders. Another interesting observation is the fact that company size does not have any significant relationship to company performance.</p>

Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to explain asset-pricing anomalies like book-to-market and momentum. We test this conjecture empirically by directly estimating conditional alphas and betas from short-window regressions (avoiding the need to specify conditioning information). The tests show, consistent with our analytical results, that the conditional CAPM performs nearly as poorly as the unconditional CAP

This paper discusses the indicators of financial success for Swedish companies from 1995 until 2005. Quarterly data on 42 Swedish companies were collected from the Datastream data base and analysed by using both portfolio analyses and parametric analysis. In this study, financial success is measured by using the acclaimed concepts of the Sharpe ratio and the Jensen’s Alpha. The Sharpe ratios of the companies are studied between 1995-2005 and this discussion is complemented by analysis of the Jensen’s Alpha in the second half of that time period i.e. 2000-2005. The relationship between these performance metrics and certain company-characteristics such as the book-to-market ratio, the ROA measure and capital structure is studied. The conclusion is that companies that have a high degree of profitability and maintain high book-to-market ratios outperform other companies in terms of generating excess returns to shareholders. Another interesting observation is the fact that company size does not have any significant relationship to company performance.