Purpose: To examine how IR-related press releases affect share price for stock companies, and to explore how said companies practice Investor Relations. Methods: The study was conducted using an event study as well as e-interviews. The event study has a quantitative deductive research approach where the market model is used for calculating the abnormal return based on press releases. The e-interviews have a qualitative research approach and follow a semi structured interview guide. The study includes all listed stock companies within the Swedish construction industry and includes press releases from the last decade. Theory: The study is based on the efficient market hypothesis and its semi strong form, theories within Investor Relations and previous research. Results: The event study shows a significant negative abnormal return during a four day period starting the day after the press release event. The negative abnormal return could derive from investor relations being used by companies as damage control, or that the investors’ expectations are too high as a result of IR. No significant differences in how companies practice IR was found in e-interviews. To the contrary, companies show similar tendencies in IR practice. It can be concluded that stock companies, through investor relations, are able to affect their share price. / Syfte: Att undersöka hur IR-relaterade pressmeddelanden påverkar aktiekursen hos börsnoterade företag samt att undersöka hur företagen arbetar med Investor Relations. Metod: Studien är utförd med hjälp av en eventstudie tillsammans med e-intervjuer. Eventstudien har en kvantitativ deduktiv ansats där marknadsmodellen används för beräkning av avvikande avkastning baserat på pressmeddelanden. E-intervjuerna har en kvalitativ ansats och följer en semistrukturerad intervjuguide. Studien innefattar alla börsnoterade företag i den svenska byggindustrin och pressmeddelanden från det senaste decenniet. Teori: Den effektiva marknadshypotesen och dess halvstarka form, teorier inom investor relations tillsammans med tidigare genomförda forskning har legat till grund för studien. Resultat: Resultatet från eventstudien visar på en signifikant negativ avvikande avkastning med start dagen efter händelsedagen till och med fyra dagar efter händelsedagen. Den negativa avvikande avkastningen kan bero på att arbetet med IR försöker dämpa befintlig negativitet hos investerare, alternativt kan det bero på att investerares förväntningar är för höga på grund av positiv IR. Utmärkande strategier för hur IR-arbetet går till i praktiken bland de observerade företagen har inte funnits i e-intervjuerna, istället liknar företagens IR-arbete varandra i stort. Slutsatsen dras att börsnoterade företag kan påverka sin aktiekurs med hjälp av investor relations.

Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. Dividend is a common tool for publicly listed firms when rewarding their shareholders. On ex- dividend day, the day after the dividend payout, the stock price should according to theory decrease in order for the valuation of the stock to be held constant. In our research we investigate if there are arbitrage opportunities in connection to the dividend payouts, namely the ex-dividend effect. We want to generalize our results across experimental settings, thus across different stock markets. As a basis for our research we picked the OMXS. We base our research on three theoretical areas: the dividend irrelevancy theory, the efficient market hypothesis and the anchoring theory. The dividend irrelevancy relates to how the stock price ought to behave on ex-dividend day whereas the efficient market hypotheses states that prices on a market fully reflects all available information. Both theories concur that no arbitrage opportunities should be available on the financial market. The anchoring theory highlights the fact that investors formulate an anchor price for financial assets, for example stocks. In our research we aim to formulate a practical method on how to make abnormal returns on the ex dividend effect, based on the anchoring theory. Our census sample consists of dividend-paying firms publicly registered on the OMXS, and consists of 694 observations taken from 2009 to 2012. The sample was picked on the basis of characteristics, for example that the firm has been registered for at least four years and paid dividend one time during the four years of investigation. In order to tests for arbitrage opportunities on ex-dividend day, we used a simple mathematical model measuring the deviation between the price drop cum-dividend day to ex-dividend day, and the dividend amount. We conclude that the price drop differs from the dividend amount, only accounting for a price drop of 0.73 of the dividend amount. Thus, the price drop for each dividend unit is 0.73, in relation to a perfectly efficient market where there should be no difference; hence the price drop would be equal to the dividend amount, 1. Research on the ex-dividend effect is a thoroughly investigated area, where the first research was presented in 1955. Previous research all attempts to explain why there are market anomalies, but none examine how one can capitalize on the findings. In our research we examine if it is possible to make abnormal returns based on a segmenting of stocks, depending on their price volatility. This research is thereby first in examining how to capitalize on found arbitrage opportunities.

[Truncated abstract] This thesis examines informational efficiency and price discovery processes within the Perth housing market for the period 1988-2000 by utilising a rich source of Western Australian Valuer General’s Office (VGO) data. Fama’s (1970) classification of market efficiency as potentially weak form, semi-strong, or strong form has been a dominant paradigm in tests of market efficiency in many asset markets. While there are some parallels, the results of tests in this thesis suggest there are also limitations in applying this paradigm to housing markets. The institutional structure of housing markets dictates that a deeper recognition of important housing market characteristics is required. Efficiency in housing markets is desirable in that if prices provide accurate signals for purchase or disposition of real estate assets this will facilitate the correct allocation of scarce financial resources for housing services. The theory of efficient markets suggests that it is desirable for information diffusion processes in a large aggregate housing market to facilitate price corrections. In an efficient housing market, these processes can be observed and will enable housing units to be exchanged with an absence of market failure in all price and location segments. Throughout this thesis there is an emphasis on disaggregation of the Perth housing market both by price and location criteria. Results indicate that the Perth housing market is characterised by varying levels of informational inefficiency in both price and location segments and there are some important pricing-size influences.

Thesis (Ph.D.)--University of Canterbury, 2006. / Typescript (photocopy). Includes bibliographical references (p. 223-236). Also available via the World Wide Web.

BAKGRUND: Investerare har försökt slå marknaden så länge kapitalmarknader har funnits. En investeringsstrategi som använts är ”Dogs of the Dow”. Investeringsstrategin bygger på att investera i de bolagen med högst utdelningsandel. Vedertagna ekonomiska teorier förespråkar även att investeringar i stabila utdelningsbolag ger möjlighet att generera riskjusterad överavkastning. Det finns idag motstridiga bevis från olika aktiemarknader huruvida det går att skapa riskjusterad överavkastning genom placeringar i högutdelande bolag. SYFTE: Syftet med studien är att undersöka om det går att skapa högre riskjusterad avkastning än SIX Return Index (.SIXRX) genom att placera i de aktierna med högst direktavkastning på Stockholmsbörsen. Vidare syftar studien att undersöka både huruvida ”Dogs of the Dow”- strategin och en investeringsstrategi i stabila utdelningsbolag kan generera riskjusterad överavkastning jämfört med index på Stockholmsbörsen. GENOMFÖRANDE: Det skapas två portföljstrategier där den ena utgår från ”Dogs of the Dow” och den andra utgår från placeringar i stabila utdelningsaktier. Studien är en kvantitativ undersökning där data samlas in från välrenommerade databaser. Portföljerna innehåller tio bolag som rebalanseras varje år för att sedan justeras för risk och transaktionskostnader. SLUTSATS: Studien presenterar inga bevis för att det går att skapa riskjusterad överavkastning med utgångspunkt i ”Dogs of the Dow”-strategin på Stockholmsbörsen. Däremot visar studien att det med hjälp av placeringar i stabila utdelningsbolag går att skapa riskjusterad överavkastning på Stockholmsbörsen men utan statistiskt signifikans. / BACKGROUND: Investors have been trying to beat the market for as long as capital markets have existed. An investment strategy used to outperform the market is “Dogs of the Dow”. The investment strategy is based on investing in the companies with the highest dividend yield. Economic theories argue that investments in companies with stable dividend payouts are able to create risk-adjusted excess returns. There are contradictory evidence from different markets whether it is possible to earn risk-adjusted excess return through high-yield investments. PURPOSE: The purpose of the study is to investigate whether it is possible to earn higher risk- adjusted returns than the SIX Return Index (.SIXRX) through investing in the highest dividend yield companies on the Stockholm Stock Exchange. The study aims to investigate whether the “Dogs of the Dow” strategy and an investment strategy in companies with stable dividend payouts can generate risk-adjusted excess return compared to the SIX Return Index. COMPLETION: There are two portfolio strategies, one of which is based on ”Dogs of the Dow” and the other is based on investments in companies with stable dividend payouts. The quantitative study collects data from reputable databases. The portfolios contain ten companies that are rebalanced each year and the returns are adjusted for risk and transaction costs. CONCLUSION: The study presents no evidence that it is possible to earn risk-adjusted excess return with the “Dogs of the Dow” strategy on the Stockholm Stock Exchange. However, the study shows that investments in companies with stable dividend payouts can earn risk-adjusted excess return on the Stockholm Stock Exchange but without statistical significance.

Den här uppsatsen undersöker hur aktiekursen reagerar när bolag offentliggör information angående ett VD-byte. Studien undersöker både frivilliga uppsägningar och avsked av VD:n på bolag noterade på Stockholmsbörsen mellan år 2011 och 2018. För att kunna undersöka aktiekursens reaktion har MacKinlays form av eventstudie tillämpats på 90 bolag. Bolags aktiekurs tenderar att reagera negativt vid ett tillkännagivande angående ett byte av verkställande direktör. Studien finner signifikanta resultat beroende på om bytet varit frivillig uppsägning eller avsked under eventdagen. Undersökningen påvisar signifikanta resultat på aktiekursen när investerare haft kännedom om ersättare och om tillkännagivandet skett innan ett byte. / This paper examines how the share price responds when companies publish information regarding a change of CEO. All the companies that are examined are listed on the Stockholm Stock Exchange between 2011 and 2018. The study is based on a sample of 90 companies where the CEO has been replaced. Of the entire sample there has been 65 voluntary CEO´s changes and 25 involuntary. To investigate how the share price react we use MacKinlays (1997) form of event study. This study also examines how different factors effect the reaction of the share price. These factors are; the availability of a successors, the size of the firm, the time interval between the event day and the day the CEO leaves the company. We find that the market tends to react negatively at the event day. We also find a significant difference between voluntary and involuntary change of CEO a few days after the event. The involuntary change of CEO´s tends to give a positive market reaction and the voluntary a continued negative market reaction. When companies announce a change of CEO simultaneously as they announce successors the market tends to react positively.

This diploma thesis was aimed at analysing the investment strategies on the American stock market. The main aim was to evaluate the market efficiency, to analyse various strategies and to select the most appropriate one according to the assessed form of the market efficiency. Firstly, the weak-form efficiency was validated by correlation and runs tests. Subsequently, the methods of technical and fundamental analysis were applied. The final part is focused on creating the investment portfolio, which is also considered the most suitable strategy.

The first part of thesis describes the Efficient Market Theory, its characteristics and forms. Another theoretical approach are Behavioral Finances that can also explain the stock market price making. The main topic is Financial Market Anomalies that defy the Efficient Market Theory. Anomalies state that an investor is able to achieve above average profits in the long term regularly. The thesis is focused on two anomalies selected for further testing on the data of companies traded on German exchange Xetra. Data was obtained from Yahoo Finance and processed for statistical tests. Anomalies occurrence was scarce, therefore it cannot be said that an investor is able to achieve above average profits in the long term regularly.

Submitted by Rodrigo Fernandes Malaquias (rodrigofmalaquias@yahoo.com.br) on 2012-04-17T22:25:22Z No. of bitstreams: 1 Tese_Rodrigo_F_Malaquias.pdf: 576659 bytes, checksum: 8f69c77c88c361b0ff739ef8c6b56262 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2012-04-18T12:03:43Z (GMT) No. of bitstreams: 1 Tese_Rodrigo_F_Malaquias.pdf: 576659 bytes, checksum: 8f69c77c88c361b0ff739ef8c6b56262 (MD5) / Made available in DSpace on 2012-04-18T12:40:01Z (GMT). No. of bitstreams: 1 Tese_Rodrigo_F_Malaquias.pdf: 576659 bytes, checksum: 8f69c77c88c361b0ff739ef8c6b56262 (MD5) Previous issue date: 2012-03-20 / The aim of this study was to analyze the performance of Brazilian multimarket investment funds, using a measure that is more adequate to the characteristics of their returns distribution. Given that these class involve the Brazilian funds which most resemble the foreign hedge funds, traditional measures such Sharpe’s Ratio and Jensen’s Alpha may not be appropriate to analyze the ability of its managers to add extraordinary value. The measure used is related to the paper of Amin and Kat (2003), which compares the expected return of the fund with the returns generated by a strategy that, in the absence of arbitrage, has no cost to be implanted and yields a risk-free rate. With monthly data of 107 multimarket funds in the period from January 2005 to August 2011, the main results showed that the average net performance of the funds was lower than zero. On the other hand, the average gross performance (measured with returns before management fees and performance) was statistically greater than zero, indicating that managers can add extraordinary value, but these gains are eroded by management and performance fees. The work also showed that periods of crisis not only have a significantly (and negative) impact on the performance of the funds, but also on the relationship of this performance with its determinants. Thus, the results of this work may have important contributions to the development of the theory on investment fund performance in Brazil, both because it involves the use of a more adequate analysis tool and considers the crisis as a variable that moderates the relationship between performance and its determinants. / A proposta deste trabalho foi analisar a performance dos fundos multimercados brasileiros com uma medida mais adequada às características da distribuição de frequência de seus retornos. Tendo em vista que estes são os fundos brasileiros que mais se assemelham aos hedge funds estrangeiros, medidas tradicionais, como o Índice de Sharpe e o Alfa de Jensen, podem não ser adequadas para analisar a habilidade dos gestores em agregar valor extraordinário para os seus cotistas. A medida utilizada está relacionada com o trabalho de Amin e Kat (2003), que compara o retorno esperado do fundo com o retorno gerado por uma estratégia que, na ausência de arbitragem, possui custo zero para ser implantada e rende a taxa livre de risco. Com dados mensais de 107 fundos multimercados no período de Janeiro/2005 a Agosto/2011, os principais resultados mostraram que a performance líquida média dos fundos foi estatisticamente menor que zero. Já a performance média medida com base nos retornos brutos (antes das taxas de administração e de performance) foi estatisticamente superior a zero, indicando que os gestores podem até agregar valor extraordinário, mas esses ganhos são corroídos por taxas de administração e de performance. Destacam-se também resultados mostrando que períodos de crise impactaram significativamente não só a performance dos fundos, mas também a sua relação com seus determinantes. Desta forma, entende-se que os resultados podem introduzir importantes contribuições para a construção da teoria sobre a performance de fundos de investimentos brasileiros, tanto por envolver a utilização de uma ferramenta de análise mais adequada quanto por considerar a crise como uma variável moderadora da relação entre a performance e seus determinantes.

Submitted by Rodolfo Zeidler (rodolfo.zeidler@gmail.com) on 2014-10-14T12:22:56Z No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-10-14T12:55:20Z (GMT) No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) / Made available in DSpace on 2014-10-14T13:09:41Z (GMT). No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) Previous issue date: 2014-10-13 / O objetivo deste trabalho é realizar procedimento de back-test da Magic Formula na Bovespa, reunindo evidências sobre violações da Hipótese do Mercado Eficiente no mercado brasileiro. Desenvolvida por Joel Greenblatt, a Magic Formula é uma metodologia de formação de carteiras que consiste em escolher ações com altos ROICs e Earnings Yields, seguindo a filosofia de Value Investing. Diversas carteiras foram montadas no período de dezembro de 2002 a maio de 2014 utilizando diferentes combinações de número de ativos por carteira e períodos de permanência. Todas as carteiras, independentemente do número de ativos ou período de permanência, apresentaram retornos superiores ao Ibovespa. As diferenças entre os CAGRs das carteiras e o do Ibovespa foram significativas, sendo que a carteira com pior desempenho apresentou CAGR de 27,7% contra 14,1% do Ibovespa. As carteiras também obtiveram resultados positivos após serem ajustadas pelo risco. A pior razão retorno-volatilidade foi de 1,2, comparado a 0,6 do Ibovespa. As carteiras com pior pontuação também apresentaram bons resultados na maioria dos cenários, contrariando as expectativas iniciais e os resultados observados em outros trabalhos. Adicionalmente foram realizadas simulações para diversos períodos de 5 anos com objetivo de analisar a robustez dos resultados. Todas as carteiras apresentaram CAGR maior que o do Ibovespa em todos os períodos simulados, independentemente do número de ativos incluídos ou dos períodos de permanência. Estes resultados indicam ser possível alcançar retornos acima do mercado no Brasil utilizando apenas dados públicos históricos. Esta é uma violação da forma fraca da Hipótese do Mercado Eficiente. / The main purpose of this work is to back-test the Magic Formula in the Bovespa Stock Exchange, gathering evidences of violations of the Efficient Market Hypothesis in the Brazilian market. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between December 2002 and May 2014 combining different number of assets per portfolio and different holding periods. All the portfolios, independently of their number of assets or holding periods, presented returns higher than Ibovespa. The differences between the CAGR from the portfolios and from the Ibovespa were significant, the worst performance portfolio presenting CAGR of 27,7%, as compared with 14,1% of Ibovespa. The portfolios also held positive results after being adjusted for risk. The worst return-volatility ratio was 1.2, as compared to 0.6 from Ibovespa. The portfolios containing the assets with the lowest scores also presented good results in the majority of the scenarios, contradicting the initial expectations and the results observed in other works. In addition, simulations were performed for various 5-year periods aiming to check if the results were robust. All the portfolios presented higher CAGR than Ibovespa in all the simulated periods, independently of the number of assets included in the portfolio or the holding period. These results indicate that it is possible to reach above-market returns using historical public data in Brazil. This is a violation of the Efficient Market Hypothesis in its weak form.