In the first essay titled "Shareholder Coordination, Information Diffusion and Stock Returns", we show that the quality of information sharing networks linking firms' institutional investors has stock return predictability implications. First, we demonstrate that firms with high shareholder coordination experience less local comovement and less post earnings announcement drift, consistent with the notion that coordination improves firms' information environment. We then document that the stock return performance of firms with high shareholder coordination leads that of firms with low shareholder coordination, supporting the view that coordination acts as an information diffusion channel. Finally, we provide evidence consistent with the notion that the market does not readily recognize the superior quality of high shareholder coordination firms and prices it gradually through the trading of sophisticated institutional investors, thereby causing future returns to be positively associated with shareholder coordination. In the second essay titled "Shareholder Coordination and Stock Price Informativeness", we find that stock prices of firms with better information sharing networks linking institutional shareholders exhibit higher levels of idiosyncratic volatility. This positive relation between shareholder coordination and stock price informativeness is mainly driven by coordination among dedicated and independent institutions and exists even after accounting for endogeneity. We further show that institutional trading serves as an information diffusion channel that strengthens the relationship of shareholder coordination with price informativeness. Overall, our results indicate that a higher degree of shareholder coordination leads to more informative stock prices by encouraging the collection of and trading on private information.

This study explores the impact of complexity upon unintentional non-compliance behaviour for personal taxpayers in Australia. This area of research did not appear to have been previously studied in an Australian context and in this respect, the study represents an original contribution. While studies have been conducted both in Australia and overseas, they have generally been directed at other types of compliance behaviour and tend to be inconclusive in their findings. According to the compliance literature, there appeared to be little consensus of opinion on the factors that determined behaviour and appropriate research methods. It emerged that more narrowly-defined studies with stronger research methods offered potential for furthering knowledge in this field. Thus the study focused on one behavioural outcome and one type of taxpayer, using a multi-paradigm research method. Unintentional non-compliance, as an outcome, was selected as it appeared to hold promise for improvements in overall compliance to be readily made, provided its causes were understood. Complexity was considered to be the most likely cause of unintentional non-compliance, and those who prepared their own income tax return, the group likely to be most affected. The study used both a quantitative and qualitative component from which a number of convergent results emerged. These included that the major cause of complexity was the ambiguity of tax laws and the volume of explanatory material required. Further, personal taxpayers were committed to compliance even though they regarded the system as less than fair. Together, complexity and commitment to compliance caused taxpayers to experience unnecessary compliance costs. Where taxpayers completed their own return, complexity resulted in a high level of errors that generally resulted in an overstatement of tax liability. In addition, some taxpayers chose to be over-compliant as a means of dealing with complexity and commitment. It was concluded that complexity compromised the integrity of the Australian income tax system by imposing an unfair burden on personal taxpayers in respect of both tax paid and compliance costs incurred. However, there appeared to be little, if any, financial incentive for the tax authority to address the causes of complexity for personal taxpayers.

There is a renewed interest in further exploring the significance of culture to the accounting disclosure model in view of a highly competitive global business environment. To date, there is no empirical research to investigate this issue with respect to a specific industry, namely banking. There are three main reasons for focusing only on the banking industry (Hooi 2004). First, it is considered to be the most important industry for the country’s economic and financial stability. Moreover, the IASB has recognised its significance by issuing unique accounting standards i.e. IAS30, IAS32 and IAS39. Second, Saidenberg and Schuermann (2003) argue that with the scope and complexity of Basel II, it provides opportunities for researching issues through Pillar 3. Third, with national banking systems being non-homogenous, it is important to investigate the effects of national culture because prior research has argued that cultural differences have partly explained international differences in disclosure framework of accounting systems. The purpose of this study is to apply and extend Gray’s (1988) theoretical framework of national culture with respect to four research questions. First, to contribute to Gray’s (1988) theory of cultural influence on international banking disclosures. Second, to investigate the possible significance of investor protection to the banking disclosure model. Third, to explore Gray’s (1988) theory on the relationship of national culture to capital market research using banking returns. Fourth, to investigate the value relevance of investor protection and banking disclosures to the returns model. Seventeen developed and developing countries with a representative sample of 37 listed domestic commercial banks were examined in 2004. For the disclosure model, the study finds that national culture is a significant factor in the banking industry. Individualism has been found as the primary cultural dimension for banking disclosures. Moreover, the explanatory power of the model significantly improves with the legal dimensions of common law and anti-director rights. The positive association between common law and banking disclosures is consistent with La Porta et al. (1998) which argue that common law countries with stronger investor protection are more transparent than civil law countries. However, there is a negative association between investor protection variable of anti-director rights with banking disclosures. This may suggest that investor protection does not encourage minority investors to enter the stock market specifically in the global banking industry. This situation may lead to a lack of demand for transparency through a smaller dispersion of ownership across the domestic banks. For the returns model, the study finds that national culture is value relevant in the banking industry. Collectivism and power distance have been found to be the two primary cultural dimensions for banking returns. Moreover, the explanatory power of the model significantly improves with anti-director rights and banking disclosures. These results are (1) consistent with La Porta et al. (2002) which argue that investor protection increases firm valuation with respect to Tobin’s Q and (2) international investors tend to support the Basel Committee’s commitment in providing a more transparent framework by implementing Pillar 3 in the near future, starting with the Basel member countries. Finally, an interesting finding from the study is that firm size has a negative association with banking returns.

<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>

This study investigates the settlement period, including payment delays and failed deliveries that occur during the processing of U.S. equity transactions, and its effects on observed stock prices. Payment and delivery occur three to six calendar days after the trade date in the standard three business day settlement cycle, referred to as T+3. First, the buyer benefits from a payment delay, during which time he can earn interest on the cash needed to settle the trade. Since the seller has no analogous opportunity, I anticipated that the cost of the payment delay would be reflected in equity prices at a rate equivalent to the risk-free rate over the settlement period in ordinary circumstances and at a higher rate during financial market crises if sellers believe they may not be paid on time. Using CRSP daily market index returns from 1995 through 2009, I measured the cost of this delay to be approximately three to five times the risk-free rate, proxied by the effective Fed funds rate. These results suggest that buyers are forced to compensate sellers at rates greater than I expected during normal conditions. Second, the risk of failed delivery may also affect security prices if market participants expect that sellers will not deliver securities on time. A failed delivery effectively becomes a forward transaction. I predicted that buyers compensate sellers at the risk-free rate over the extended settlement period. This compensation would be in addition to the normal payment delay and directly related to the probability of failed delivery; thus, I added SEC Regulation SHO daily failed deliveries data, available from 2004 through 2009, to the model with payment delays. By constructing a proxy for the change in probability of failure from aggregated fails and market volume, I found that buyers compensate sellers over the lengthened settlement period due to failed deliveries at a rate of approximately 11 basis points daily for an increase in the likelihood of failure of one percentage point.

There is sparse research literature in agricultural economics regarding early weaning as a potential alternative production/marketing strategy. The objective of this research is to estimate and analyze the impacts on net returns of alternative weaning dates for Tennessee cow-calf operations including alternative post-weaning treatments for calves. The Decision Evaluator for the Cattle Industry (DECI) simulation program was used for this study to produce outputs such as calf numbers, gender, and weights, other output including cow weights and body condition score, both at calving and at weaning, and pregnancy percentages. Forty-two simulations were run for average and summer drought weather, weaning at an average age of 135, 165, 195, 225, 255, and 285 days and selling at weaning or after a 60 or 90-day drylot backgrounding period. Prices for steers, heifers, and culled cows from 1995-2008 were taken from market reports. Costs were derived from University of Tennessee Extension Beef and Forage Budgets and USDA-NASS. The outputs from DECI were combined with prices to result in total revenues. Subtracting the costs of feed, interest, veterinary and medical, and marketing resulted in return to land, labor, management, and risk to the enterprise. The results of this study revealed that under average weather conditions in East Tennessee, marketing at weaning in November yielded the highest net return. Weaning in August and backgrounding for 60 days yielded the lowest net return with the base 90-cow herd. Under summer drought conditions, marketing at weaning in August resulted in the highest net return. Weaning in November and marketing after a 90-day backgrounding period yielded the lowest net return. Under the conditions used in this study, the only time early weaning makes economic sense is when herd size is increased for June or July weaning or under drought conditions when August (195 days) weaning and sale is optimal. Several limitations of this study imply that additional research is required on this topic before definite conclusions can be drawn.

Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference.

One of the newest emerging areas of research in supply chain management is ReverseLogistics. It involves all activities related to the flow of products from the customerback to the supplier. In the last decade scholars have developed theories and models,however empirical data is still in its infancy. In response, this paper strives to close thisgap by conducting research to create new knowledge on the first element of reverselogistics, which is the product return process. The main intention of having a returnprocess is to handle returned products efficiently in order to recover value and to savecosts. Therefore, it is a value-adding operation and can become profitable for thecompany.The purpose of this study is to investigate the implementation and perception of thereturn process of Swedish e-retailers. Sweden is considered to be one of the mostmatured e-commerce markets. In addition, e-retailers experience the highest rate ofproduct returns. Together those two factors influenced the decision to dedicate thisthesis to this particular region and industry.Initially, this paper introduces reverse logistics focusing specifically on the productreturn process. An overview of the existing theories and concepts within the returnprocess is presented and summarized, resulting in the creation of the Boomerang ReturnModel. Based on this foundation the questionnaire was created. By cooperating with theSwedish e-retail federation - Svensk Distanshandel, access to the industry was gained toperform a quantitative study.It was found that the empirical data only gives insight into the implementation andperception of the return process of small sized companies. The findings demonstrate thelimited awareness of the importance of an efficient return process. Companies tend toperceive the return process as unimportant instead of value adding. Hence, there is anopportunity for improvements in the Swedish e-retail market. From these findings amodified version of the Boomerang Return Model was created to adjust the initialmodel particularly for small sized companies. The model can be utilized as a theoreticalgroundwork in future research. Additionally, it could also serve as guidance for smallcompanies how to implement an appropriate return process.

This study develops a multi-period log-return quantile forecasting procedure to evaluate the performance of eleven nearby commodity futures contracts (NCFC) using a sample of 897 daily price observations and at-the-money (ATM) put and call implied volatilities of the corresponding prices for the period from 1/16/2008 to 7/29/2011. The statistical approach employs dynamic log-returns quantile regression models to forecast price densities using implied volatilities (IVs) and factors estimated through principal component analysis (PCA) from the IVs, pooled IVs and lagged returns. Extensive in-sample and out-of-sample analyses are conducted, including assessment of excess trading returns, and evaluations of several combinations of quantiles, model specifications, and NCFC's. The results suggest that the IV-PCA-factors, particularly pooled return-IV-PCA-factors, improve quantile forecasting power relative to models using only individual IV information. The ratio of the put-IV to the call-IV is also found to improve quantile forecasting performance of log returns. Improvements in quantile forecasting performance are found to be better in the tails of the distribution than in the center. Trading performance based on quantile forecasts from the models above generated significant excess returns. Finally, the fact that the single IV forecasts were outperformed by their quantile regression (QR) counterparts suggests that the conditional distribution of the log-returns is not normal.

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.