Made available in DSpace on 2016-04-25T16:44:40Z (GMT). No. of bitstreams: 1 Alessandra Orchis Machado.pdf: 1676745 bytes, checksum: fda25269467d033aa40b44f2831d2a4d (MD5) Previous issue date: 2014-08-27 / Most companies have to manage their foreign exchange risk, and the appropriate use of financial derivatives would consist among most efficient strategies to minimize this risk. Through the theory of modern finance, the combination of rationality and technique would be sufficient to ensure the success of protection policies, generating low volatility of results and value to businesses. However, behavioral finance theory has identified that agents psycological and social factors interfere in decision process, and may cause unexpected results to individuals and companies. Thus, this study expects to answer why not always use currency derivatives for hedging purposes adds value to the firms, despite its benefits seem obvious. For it, it was analyzed secondary data from Brazil, emerging country with currency volatility and growing derivatives market, suitable for behavioral studies. Among many behavioral aspects presented in financial theory, this research delimited its analysis in anchoring, availability, herd behavior and aversion to certain loss. Anchoring and availability heuristics, would be expressed by managers decisions based on market forecasts was analyzed by correlation between observed and projected foreign exchange rates. The herd effect was studied by the time series evolution of the exchange rate and outstanding of OTC derivatives. The aversion to certain loss, was studied by the correlation between the hedging premium, differential between spot and futures exchange, and the evolution derivatives outstanding. By these data it was possible to identify moderately the heuristics and herd behavior. The aversion to certain loss was not evidenced by the data studied. Anyway, this research contributes to academic foundations, companies and regulators, and provides fertile field for further studies / Boa parte das empresas são desafiadas a gerir seu risco cambial, sendo que a utilização adequada de derivativos financeiros constaria entre as estratégias mais eficientes para minimização deste risco. Pela teoria de finanças moderna, a combinação entre racionalidade e técnica seriam suficientes e garantiriam o sucesso de políticas de proteção, gerando baixa volatilidade de resultados e valor às empresas. Contudo, a teoria de finanças comportamentais identificou que fatores psicossociais dos agentes interferem no processo decisório, podendo gerar resultados inesperados a indivíduos e empresas. Assim, com este estudo espera-se responder por que nem sempre o uso de derivativos cambiais com finalidade de hedge adiciona valor às empresas, apesar de seus benefícios parecerem óbvios. Para tanto, foram utilizados dados secundários do Brasil, país emergente com alta volatilidade cambial e mercado de derivativos crescente, propício para estudos comportamentais. Entre os diversos aspectos comportamentais apresentados na teoria financeira, esta pesquisa delimitou sua análise na ancoragem, disponibilidade, efeito manada e aversão à perda certa. A ancoragem e a disponibilidade, as heurísticas, manifestadas por gestores que tomariam decisões de hedge baseadas em projeções de câmbio do mercado, foram analisadas pela correlação entre câmbio projetado e observado. Para o efeito manada buscou-se identificar relações entre as séries temporais, evolução da taxa de câmbio e estoque de derivativos de balcão. A aversão à perda certa, por sua vez, foi estudada por meio do cálculo de correlação entre prêmio pelo hedge, diferencial de pontos entre câmbios à vista e futuro, e evolução do estoque de derivativos. As amostras estudadas permitiram a identificação, ainda que moderada, de potenciais deficiências das heurísticas e efeito manada. Já a aversão à perda certa não foi evidenciada na base de dados estudada. De qualquer forma, esta pesquisa contribui para as bases acadêmicas, empresas e órgãos reguladores, e apresenta terreno fértil para novos estudos

O objetivo principal desta tese é estudar a estrutura de financiamento das empresas brasileiras de capital aberto do setor de construção civil do segmento de incorporação de empreendimentos imobiliários e compreender o contexto das decisões de financiamento por emissão de ações, tomando por base algumas variáveis previamente consideradas na literatura e suportadas pela Teoria de Finanças. Secundariamente, analisa-se o perfil de financiamento das demais empresas brasileiras não financeiras de capital aberto, com a finalidade de comparar aos resultados encontrados para o setor. Para atingir o objetivo, são realizadas pesquisas bibliográfica, exploratória e empírico-analítica. A pesquisa bibliográfica busca o levantamento das principais correntes teóricas e evidências relacionadas ao tema. A pesquisa exploratória, descritiva e comparativa se caracteriza na análise de informações econômicofinanceiras das empresas não financeiras de capital aberto e no estudo do seu perfil de financiamento. A partir de dados contábeis é desenvolvida estatística descritiva, para conhecer as fontes de recursos das empresas, com destaque para as construtoras, avaliando não só a proporção entre capital próprio e capital de terceiros, mas também o tipo de financiamento utilizado. Finalmente, a pesquisa empírico-analítica busca, através de modelo estatístico de regressão em painel, os determinantes da estrutura de financiamento do setor de construção civil e das empresas brasileiras não financeiras de capital aberto. A partir dos resultados obtidos, observa-se relação negativa entre endividamento total e tangibilidade e oportunidades de crescimento para a amostra de empresas do setor. Para a amostra ampla de empresas, por outro lado, observa-se relação positiva entre endividamento oneroso líquido e tangibilidade e negativa entre endividamento oneroso líquido e as variáveis oportunidades de crescimento e rentabilidade, resultados em conformidade com estudos anteriores sobre o tema. Também são observadas variações nas fontes de financiamento em função do porte e o do tipo de controle acionário. A análise dos tipos de dívida permitiu, também, identificar diferenças entre o setor e a amostra ampla de empresas. Conclui-se que as características setoriais influenciam a estrutura de financiamento; o setor de construção civil apresenta endividamento inferior à média das demais empresas, mais concentrado em moeda nacional e aplicações financeiras superiores à dívida onerosa; e o setor apresenta características que, de acordo com estudos anteriores em Finanças, indicam o baixo uso de recursos de terceiros e, que, portanto, explicariam as emissões de ações: baixa tangibilidade, empresas de menor porte, elevado crescimento, elevada volatilidade de resultados. / The main objective of this thesis is to study the financial structure of the Brazilian publicly held civil construction companies. The research focused on the incorporation of real estate developers industry. The purpose is to understand the fund raising structure stemming from stock issues, based on variables previously considered in literature and supported by the Theory of Finance. The second aim is to analyze the financing pattern of Brazilian nonfinance publicly held companies and compare them to the sector\'s results. Bibliographical, empirical and analytical research was carried out. The bibliographical research consisted of an empirical analysis of the main theoretical works. The descriptive and comparative research looked at economic and financial statements of publicly held companies and their financing structure. The analysis was supported by descriptive statistics to identify the companies\' sources of funds and focused on construction firms to assess not only the debtequity ratio, but also the type of financing applied. Finally, the empiric-analytical research looked at the determinant factors of the financing structure for both the civil construction industry and the Brazilian publicly held companies, through a statistical panel regression model. Results unveil a negative relation between total debt-equity ratio and both asset structure and growth for the industry sample. On the other hand, a positive relation between net onerous indebtedness and asset tangibility as well as a negative relation between net onerous indebtedness and growth and yield were observed for the total sample of publicly held companies. Those findings were in compliance with the findings observed in previous studies on the same topic. In addition, variations in the financing sources resulting from the firm size and of the type of shareholding control were observed. The analysis of the types of debt also enabled the identification of differences between the civil construction industry and the total sample of corporations. The conclusion is that industry characteristics influence the financial structure; the civil construction industry presents low debt-equity ratio in relation to the average of the companies, which is concentrated in domestic funds, and, additionally, its cash and short-term investments are higher than its onerous debt; the industry presents characteristics that, in accordance with previous studies in the Finance field, indicate the low debt rates which in turn explains the recent issues of shares: low asset tangibility, small size, growth, and high volatility of earnings.

Despite its prominent role in firms' external financing, debt is highly underrepresented in the academic literature, compared to equity financing (Cumming, 2016). This thesis investigates corporate debt under diverse bankruptcy regulation in Europe (Chapter 1), as well as benefits arising from debt renegotiation among US firms (Chapter 2 and 3). The first study examines whether corporate borrowing responds to the strength of creditor rights, which differ greatly across countries. We use a difference-in-differences (DiD) methodology around an EU-wide bankruptcy reform in 2002 as an exogenous shock that reshaped the institutional environment for corporate debtors and their creditors in Europe. Our findings suggest that subsidiaries in the EU decrease their leverage when they are exposed to less creditor-friendly regimes after 2002, while there is hardly any impact on leverage when shifting to an equally creditor-friendly regime, and even less so when shifting to a more creditor-friendly one. We conclude that the legal environment under which credit is granted matters for firms' access to finance. The following two studies take a closer look into the bank-firm relationship during which renegotiations of existing loans are frequently observed. While the area of private debt renegotiation (among healthy firms) is not very well researched so far, this is the first study to link between loan renegotiation and firms' credit rating (Chapter 2) and firms' adjustments toward capital structure targets (Chapter 3). Firms' credit rating is important as it determines the rate firms have to pay for private debt and it governs capital requirements of lenders (Basel II and III). The study shows a positive impact on a firm's credit ratings whenever there was a loan amendment in the month prior to the rating update. Amending loans after the initial loan contract therefore carries signalling power to the capital market (in line with existing literature) and implies benefits to both borrowers and lenders. The third study finds an additional beneficial effect of loan amendments for firms. We investigate whether loan amendments might serve as a channel available to firms to speed up their adjustments toward capital structure targets. Against a broad range of alternative leverage target definitions used in the capital structure literature recently, loan amendments tend to accelerate firms' speed of adjustments by up to 10.6 percent points within twelve months after the loan has been amended (in addition to firms' general speed of adjustment). Therefore, our studies provide evidence for additional, novel benefits of corporate debt renegotiation which encourages firms to update and optimise financial contract design even after origination.

A fundamental issue at the interface of economics, finance, and accounting involves the relation between a firm\'s reported earnings and its stock returns. The lack of research in this field using Brazilian data and the limitations of previous research in terms of time-series data (small length available) motivates the present research. In addition, the practical justification of this research is that time-series properties of accounting earnings and the determinants of Earnings Response Coefficient (ERC) have a direct application in earnings forecasting and the valuation process. Based on this, the general objectives of this dissertation are to analyse the earnings time-series properties and to find the economic determinants of ERC in Brazil. Consequently, this dissertation is divided into three main sections/studies: (1) An analysis of the time-series properties of accounting earnings and the long-term relationship among price, return and earnings; (2) An analysis of the relevance and significance of ERC for individual companies and pooled data; and, (3) Elucidation of the economic determinants of ERC in Brazil. In order to achieve these objectives, quarterly and annual data were gathered and analysed. The quarterly sample is composed by 71 firms with quarterly data from the first quarter of 1995 until first quarter of 2009 (57 time-observations), and the annual sample is composed by 61 firms and annual observations from 1995 to 2008 (14 time-observations). Two measures of accounting earnings (SEPS and UNEPS) and two measures of stock returns (RET and ARET) were used. Additionally, proxies of systematic risk (BETA), expected economic growth opportunity (GRO), leverage (LEV), risk-free interest rate (INTER) and size (SIZE) were used as measures of the economic determinant of ERC. In each study, the two different measures of earnings and returns resulted in a combination of four functional models (regressions), in an annual and a quarterly basis. These models were estimated into firm-specific level and pooled data by using different methods (OLS and GLS); these varieties of designs, periodicity and estimations provide a robust analysis. The results of the first study show that earnings present, for most firms, stationarity series and seasonal fluctuation. The evidence also suggests that the accounting earnings in Brazil follow an auto-regressive model AR(1). Test results indicate long-term relationships between earnings and prices/returns, although, it is not possible to robustly infer about the Granger causality direction since a general behaviour was not identified. The second study indicates that for annual and quarterly firm-specific regressions between earnings and stock returns, only a few companies presented a significant relationship. However, the annual pooled analysis presents positive and significant coefficients, and contemporaneous observations (at t level) seem to fit better in the models than the lagged variable of return. Cross-sectional weight in the panel aggregates some refinement to the models in terms of significance and explanatory power. In the quarterly pooled regressions, coefficients with statistical significances were found; nevertheless, these regressions report an extremely low or nonexistent explanatory power, suggesting a slight relationship between the variables. The results of the third study show that systematic risk, interest rates and size significantly explain cross-sections and intertemporal variations of ERC according to previous hypothesis. On the other hand, differently from what has been hypothesized, expected economic growth and leverage do not significant explain cross-section variations of ERC in Brazil. Since the interest rate level in Brazil is higher than those in developed countries and given that interest rate levels affect both earnings and discount rate, the regressions presented different signals according to the proxy for return used. Finally, it is possible to conclude that, by including the significant factors noted above, the empirical specification of the earnings-returns relation is significantly improved, however, given some contrasting results presented here, this dissertation advocates for further research in this field. / Um desafio fundamental que interliga economia, finanças e contabilidade envolve a relação entre lucros contábeis divulgados e o retorno das ações. A falta de pesquisa nesta área utilizando dados brasileiros e a limitação das pesquisas anteriores devido à falta de séries temporais adequadas (as séries disponíveis são curtas) motivam a presente pesquisa. Adicionado a isso, uma justificativa pragmática é que a propriedade temporal dos lucros contábeis e os determinantes do Coeficiente de Resposta ao Lucro (ERC) têm aplicação direta na previsão de lucros e em processos de valuation. Baseado nisso, o objetivo geral desta tese é analisar as propriedades estocásticas do lucro contábil e encontrar os determinantes econômicos do ERC no Brasil. Para isso, a tese está dividida em três seções/estudos: (1) Análise as propriedades dos lucros contábeis e a relação de longo prazo entre preço das ações, retorno e lucros; (2) Análise a relevância e significância do ERC por empresa e em dados agrupados (pooling); e, (3) Teste dos determinantes econômicos do ERC. Para atingir tais objetivos, dados trimestrais e anuais foram coletados e analisados. A amostra trimestral é composta por 71 empresas entre o 1º trimestre de 1995 e o 1º trimestre de 2009 (57 observações trimestrais) e a amostra anual é composta por 61 empresas com observações anuais entre 1995 a 2008 (14 observações anuais). Duas medidas para lucro contábil (SEPS e UNEPS) e duas medidas de retorno das ações (RET e ARET) foram utilizadas. Adicionalmente, proxies para risco sistemático (BETA), oportunidades de crescimento econômico esperado (GRO), alavancagem (LEV), taxa de juros livre de risco (INTER) e tamanho (SIZE) foram utilizadas como medidas de determinantes econômicos do ERC. Em cada estudo, as duas medidas de lucro e de retorno resultaram em uma combinação de quatro modelos funcionais (regressões), em uma base anual e uma trimestral. Tais modelos são estimados individualmente nas empresas e por agrupamento de dados (pooling) por meio de diferentes métodos (OLS e GLS); essa variedade de modelagem, periodicidade e estimação proporcionam uma análise mais robusta. Os resultados do primeiro estudo mostram que os lucros apresentam, para a maioria das empresas, séries estacionárias e com flutuações sazonais. As evidências também sugerem que os lucros no Brasil seguem um modelo autoregressivo de ordem um - AR(1). Os resultados dos testes indicam a existência de relacionamento de longo prazo entre lucro e retorno, no entanto, não é possível inferir de forma robusta sobre a direção da causalidade de Granger visto que não foi encontrada uma tendência geral para os dados. O segundo estudo indica que poucas empresas apresentaram regressões com coeficientes significantes. No entanto, a análise com dados agrupados apresenta coeficientes positivos e significantes, sendo que as observações em períodos similares (no nível t) aparentam melhor adequação do que variável de retorno defasada. Atribuição de peso em variação transversal (cross-sectional) no painel de dados agrega maior refinamento nos modelos em termos de significância e poder explicativo. Nas regressões trimestrais agrupadas, coeficientes com significância estatística foram encontrados; entretanto, essas regressões indicam um poder explicativo extremamente baixo ou inexistente, sugerindo um pequeno relacionamento entre as variáveis. Os resultados do terceiro estudo mostram que risco sistemático, taxa de juros e tamanho explicam com significância estatística as variações temporais e transversais do ERC de acordo com hipóteses prévias. Por outro lado, diferentemente do hipotetizado por estudos anteriores, oportunidades de crescimento econômico esperado e alavancagem não explicam com significância as variações transversais do ERC no Brasil. Visto que a taxa de juros no mercado brasileiro é significativamente maior do que em países desenvolvidos e que a taxa de juros afeta tanto a geração de lucros quanto a taxa de desconto, a regressões apresentaram sinais diferentes de acordo com a proxy de retorno utilizada (RET ou ARET). Finalmente é possível concluir que, ao incluir os fatores estatisticamente significantes, apresentados acima, a especificação empírica da relação lucro/retorno é significativamente melhorada, entretanto, considerando que alguns resultados contraditórios foram verificados, esta tese advoga por maiores pesquisas neste campo.

Made available in DSpace on 2016-03-15T19:26:18Z (GMT). No. of bitstreams: 1 Hugo Garbe.pdf: 696698 bytes, checksum: 11502f18d4fcaf0231bbc818afc66dc5 (MD5) Previous issue date: 2015-02-02 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The unusual keeper box is the tendency of companies to have greater liquidity. After the 2008 Subprime crisis, it was observed that some US companies retiam a greater amount of cash compared to pre-crisis period. This behavior was attributed , among several factors, the set of uncertainties in the economic and regulatory environment. The aim of this work is to incorporate research in the United States to the Brazilian reality , analyzing its grip on the national context. The population of interest in this study refers to non-financial companies listed on the São Paulo Stock Exchange . In this case we have 156 companies that comprise the initial sample . The study covers the years 2003 to 2013. Companies that were not traded during this period , were removed from the analysis. At this stage , the sample is 83 companies, which was reduced to 54 companies opened after a preliminary check of the data. The outbreak of the 2008 economic crisis , international markets found themselves in a situation of fragility , especially those who were not prepared in terms of financial regulation to address its effects. Economic crises encourage companies to have a higher level cash retention , since there is essentially a reduction in their levels of investment , reduction of credit in the financial market , and the effects of uncertainty about the future of the economy. The above authors analyzed the cash US companies during the crisis of 2001 and found that during the period there were cash retention, compared with previous periods. In this study, where the sample is comprised of companies with publicly traded on the São Paulo stock exchange , it was found in the data, that when comparing pre and post-crisis , there is a reduction of cash retention after 2008, which brings us to the conclusion that the economic crisis had a negative impact on companies surveyed. / A retenção não usual de caixa é a tendência das empresas de ter maior liquidez. Após a crise do Subprime de 2008, observou-se que algumas empresas americanas retiam um montante maior de caixa, comparativamente ao período pré-crise. Esse comportamento foi atribuído, entre diversos fatores, ao conjunto de incertezas no ambiente econômico e regulatório. O objetivo do presente trabalho é transpor pesquisas realizadas nos Estados Unidos para a realidade brasileira, analisando sua aderência no contexto nacional. A população de interesse do presente estudo refere-se às empresas não financeiras listadas na Bolsa de Valores de São Paulo. Neste caso, temos 156 empresas que compões a amostra inicial. O estudo abrange o ano de 2003 a 2013. Empresas que não tinham capital aberto durante este período, foram retiradas da análise. Neste estágio, a amostra é de 83 empresas, que foi reduzida a 54 empresas abertas após checagem preliminar dos dados obtidos. A deflagração da crise econômica de 2008, os mercados internacionais se viram em uma situação de fragilidade, principalmente aqueles que não estavam preparados em termos de regulação financeira para enfrentar os seus efeitos. As crises econômicas incentivam as companhias a ter um nível maior de retenção de caixa, uma vez que há essencialmente uma redução de seus níveis de investimentos, redução do crédito no mercado financeiro, e os efeitos da incerteza quanto ao futuro da economia. Os autores supracitados analisaram o caixa de empresas norte-americanas durante a crise de 2001 e verificaram que durante o período houve retenção de caixa, se comparado com períodos anteriores. Na presente pesquisa, onde a amostra é composta por empresas com capital aberto na bolsa de valores de São Paulo, verificou-se nos dados estatísticos, que na comparação pré e pós-crise, há uma redução da retenção de caixa após 2008, o que nos traz a conclusão de que a crise econômica teve um impacto negativo nas empresas pesquisadas.

Estudos realizados no Brasil e no exterior têm obtido evidências de que as empresas experimentam retornos anormais, em média, nulos ou próximos de zero em anúncios de aquisição de outras firmas, mas com elevada dispersão. Identificar fatores que possam explicar tal variância, com foco na estrutura de governança das empresas adquirentes, é o tema desta tese. De forma mais específica, a presente tese procura investigar se características ligadas à estrutura de controle e propriedade e ao conselho de administração das firmas adquirentes apresentam relações estatisticamente significantes com o retorno anormal das adquirentes nos anúncios de aquisição, nas direções sugeridas pela literatura. As análises foram efetuadas com uma amostra de 249 anúncios de aquisições feitos, entre 2001 e 2013, por empresas negociadas em bolsa no Brasil. Os resultados indicam que, em média, tais transações criaram valor para os acionistas das adquirentes. Todavia, como ocorrido em outros estudos, foi observada elevada dispersão. Por meio de análises de regressão linear múltipla, foram obtidas evidências de relação positiva entre o retorno anormal das adquirentes e a concentração da propriedade, especialmente em altos níveis e nas mãos do maior acionista (em termos de direitos de votos). Este resultado corrobora a hipótese de que a concentração da propriedade alinha os interesses dos acionistas controladores aos dos demais acionistas. Também foram obtidas evidências de relação negativa entre o retorno anormal e o controle estatal. Além de se encontrar uma relação negativa, foram obtidas evidências de destruição de valor nas aquisições feitas por tais empresas. Tais resultados estão em linha com a hipótese de que os acionistas minoritários de tais empresas estão sujeitos a maior nível de expropriação pelo controlador. É preciso, todavia, tomar os resultados com cautela, pois o número de observações em que a adquirente tem controle estatal é baixo (apenas 3,2% da amostra). Ainda sobre a identidade do controlador, não foram obtidas evidências de relação estatisticamente significante entre o retorno anormal e o controle familiar. Tal resultado é consistente com os obtidos em estudos realizados com dados de outros países. Com relação ao conselho de administração, foram obtidas evidências de uma relação positiva entre a sua independência e o retorno anormal. Este resultado pode ser explicado tanto por uma redução dos conflitos de interesses em empresas com conselhos mais independentes, quanto por uma melhoria do processo decisório em decorrência da redução das chances de ocorrência de vieses cognitivos. A diversidade do conselho também apresentou relação positiva com o retorno anormal, mas com significância estatística em apenas parte das análises. Em termos gerais, esta pesquisa apresenta evidências de que as características da estrutura de governança das empresas adquirentes podem colaborar para explicar a variância nos retornos anormais associados a anúncios de aquisições em um ambiente caracterizado por maior concentração do controle e da propriedade. / Research in Brazil and abroad has obtained evidence that firms experience, on average, zero or near zero abnormal returns on announcements of acquisitions of other firms, but with high dispersion. Identifying factors that may explain such variance, focusing on the governance structure of the acquiring firms, is the subject of this thesis. More specifically, this thesis aims to investigate whether characteristics related to the structure of ownership and control and of the board of directors of the acquiring firms show statistically significant relationships with the abnormal return of acquiring firms on acquisition announcements, in the directions suggested by the literature. Analysis was performed over a sample of 249 announcements of acquisitions made between 2001 and 2013 by publicly-traded companies in Brazil. The results indicate that, on average, such transactions have created value for acquiring companies\' shareholders. However, as other studies have found, high dispersion has been verified. By using multiple regression analysis, evidence of a positive relationship between abnormal returns of acquiring companies and their ownership concentration has been verified, especially at high levels and in the hands of the largest shareholder (in terms of voting rights). This result supports the hypothesis that concentration of ownership aligns the interests of the controlling shareholders to the interests of other shareholders. Evidence of a negative relationship between abnormal returns and state control over acquiring firms has also been found. In addition to such negative relationship, evidence of value destruction in acquisitions made by those companies has been verified. These results are in line with the hypothesis that minority shareholders of such companies are subject to higher levels of expropriation by the controlling shareholder. However, it is necessary to take the results with caution because the number of observations on which the acquirer has state control is low (only 3.2% of the sample). Still regarding the identity of the controlling shareholder, no evidence of a statistically significant relationship between abnormal return and family control over the acquiring companies has been found. This result is consistent with those obtained in studies over data from other countries. With regard to the board of directors, evidence of a positive relationship between independence and abnormal returns has been found. This result can be explained both by a reduction of conflicts of interests in firms with more independent boards, and by an improvement in the decision-making process due to a reduction of the probability of occurrence of cognitive biases. Board diversity also showed a positive relationship with abnormal returns, but with statistical significance in only part of the analysis. Overall this research presents evidence that the characteristics of the structure of corporate governance of acquiring firms can contribute to explain the variance in abnormal returns associated with acquisition announcements in an environment characterized by concentration of control and ownership.

This study examines excess risk-adjusted returns generated by mid-cap firms with an average market equity between $2.4 billion and $5.5 billion in 2017. Researchers have heavily studied the small-firm effect since its identification in the early 1980s, leading investors to overweight small-cap securities. Additional investments in the small-cap segment caused the small-cap anomaly to weaken. This study finds that excess returns of small-cap firms compared to mid-cap firms are not statistically significant in the periods 1946 – 2017 and 1982 -2017. However, mid-cap firms generate significantly higher 3-year average returns relative to small and large-cap firms after the initial identification of the small-cap anomaly (1982 – 2017). Further, mid-cap securities generate a higher risk-adjusted return after the small-cap anomaly was identified. This study hypothesizes the mid-cap anomaly results from greater growth potential for mid-caps relative to large-caps while still being large enough to weather economic storms. This study also hypothesizes that non-size related factors have the largest impact on the mid-cap segment. The results support the existence of a mid-cap anomaly; however, the results suggest the anomaly is not a result of the growth potential of firms within the segment. Additionally, the results suggest non-size related factors such as book-to-market and operating profitability have the smallest impact on mid-cap securities. Therefore, this study concludes excess returns generated by mid-cap securities represent a true anomaly that is not dependent upon non-size related factors.

In my first chapter, I use a novel dataset of customer reviews from Amazon.com to study the impact of managerial myopia on product market reputation. Using exogenous variation due to the timing of CEO equity vesting events, I show that short-term incentive shocks predict declines in reputation. A changing product market lineup and a deterioration of existing products are two mechanisms through which reputation is affected. The effect is larger when the CEO has other short-term concerns and when the firm has a low reputation in the product market. However, higher advertising expenses mitigate the negative reputational effect among consumers. Using an alternative empirical methodology, I find that higher short-term ownership in the firm is also associated with declining product market reputation, while higher long-term ownership is associated with increasing reputation. My second chapter uses a different setting to examine the consequences of personal wealth incentives. We test whether household wealth shocks affect professional misconduct by financial advisors. We use a panel of advisors' home addresses and examine within-advisor variation relative to other advisors who work at the same firm and live in the same ZIP code. We show that advisors increase misconduct following declines in their homes' values. The increased misconduct is due, in part, to willful actions, such as churning. We show that advisors' housing returns explain misconduct targeting out-of-state customers, breaking the link between customer and advisor housing shocks. Further, the results are stronger for advisors with lower career risk from committing misconduct.

In Chapter 1, the staggered nature of the adoption of interstate bank branching deregulation in the United States is utilized as an exogeneous shock to investigate the managerial incentives involved in corporate socially responsible (CSR) activities. Using Kinder, Lydenberg, and Domini Research & Analytics, Inc. for our CSR measures, we find a significant negative relation between the extent of deregulation and CSR practices, which implies that deregulation-led rising competition in product market makes the non-financial firms more concerned about protecting interests of shareholders than other stakeholders. Specifically, firms with low pricing power tend to significantly reduce their CSR activities. Our results are robust using alternative empirical specifications and CSR measures. Chapter 2 investigates the interaction between price stability and financial stability for “Fragile Five” countries. In the first step, we investigate the causation linkage between price stability and financial stability indicators. In the second step, we analyze the effect of financial stability instruments, lending rate and required reserve ratio, on price stability. We then test the price stability instrument policy rate on financial stability. Empirical findings, in the first step, indicate that there is no meaningful relationship between policy objectives in the short run, while the relation between financial stability and price stability occurs in the longer time frequencies. However, the situation is not valid for all economies. In the second step, we measure the effects of monetary policy tools employed by the central bank of each of the Fragile Five countries. The findings from the analysis that investigates the effects of each policy instrument imply that the policy rate instrument implemented to achieve the inflation target does not affect the financial stability goal. Similarly, the reserve requirement ratio instrument to achieve the financial stability goal does not affect the price stability goal. On the other hand, results give some implication about the negative effects of the lending rate instrument on the inflation targeting objective.

Since 1980, many convertible bonds have been issued by Swedish companies. Most of these issues have been aimed at the employees. The great number of these employee issues gave rise to a new tax law. This tax law made it necessary to obtain a value on a convertible bond certificate at issue. In the first part of the dissertation, the institutional setting for the issuing of convertible bonds in Sweden is discussed. The relevant tax laws and recommendations given by different organizations are described. Also other features related to the issues are described. Furthermore, an empirical study of convertible bonds issues to emplyees in listed companies is carried out. The main purpose of the study is to quantify the volume of convertible bond issues to employees which have defaulted. Issues with a nominal value of around 500 million Swedish Crowns have been involved in some form of default. In this study, several models are compared to investigate whether the choice of model for valuing convertible bonds is important. These models all fall within the framework of Contingent Claims Analysis. Contingent Claims Analysis is an option based technique for determining the value of a claim whose payoffs depend upon the development of one or several underlying variables. In the study, it is shown in great detail how to set up and use those models. It is shown that the choice of model is important for the value of a convertible bond in certain situations. Those situations are identified by an empirical study of Swedish convertible bonds and through sensitivity analysis. / <p>Diss. Stockholm : Handelshögskolan, 1993</p>