The dissertation is a collection of 3 essays of empirical finance. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

This year (2018), it is 25 years since the Momentum Strategy was first scientifically described. Despite this, the cause of the effect has not surely been concluded although it has been empirically studied in several previous studies. It has been shown to be valid for different kinds of assets. Since the authors of this thesis are based in Stockholm they thought it would be interesting and relevant to study if the strategy is valid on the Swedish market. The stock data comes from the stocks which has been part of the OMXS30 at least once during the period of 2010-2018. This study has also utilised two different ways on how to quantitate the return of the different portfolios. The effect of the holding period has in this report been attempted to address. The holding period is the length of the period which assets should be enclosed in the portfolio. One of the quantitation methods compared the portfolios’ development each month. The other method was more like a window analysis, to evaluate a portfolio’s return if one decides to invest in that theory until all the invested funds has been turned over. The study finds that the Momentum Strategy with holding periods of 2, 3 and 4 months significantly outperforms the market. With a higher significance level (10%) Momentum Strategy portfolios with holding periods of 2-6 and 11-14 months are outperforming the market. With a larger sample size, it is possible that the results would have been more conclusive.

<p dir="ltr">In the first chapter, I explore the impact of social connections on corporate attention to climate change exposure, focusing on how these connections influence discussions during earnings calls. Using social connection data to capture the transmission of distant shocks, I find that firms in counties more socially connected to disaster areas increase their focus on climate issues compared to less connected counterparts. This heightened attention is associated with real effect, as firms with greater social ties to affected areas significantly reduce their emissions, especially indirect emissions. The findings suggest that social connections play an important role in shaping corporate attitudes towards sustainability and can drive meaningful climate actions.</p><p dir="ltr">In the second chapter, I examine how social networks influence fund managers' evaluation of the climate risks of firms. I show that fund managers tend to decrease the portfolio weights of firms that are located in disaster-affected areas to a greater degree when they have stronger social connections to those regions. This difference remains robust even when controlling for the physical distance between a fund and the disaster area. I show that such a portfolio response is primarily driven by the salience bias channel, which diminishes over time, rather than informational advantage. I do not find any similar change in the portfolio weights of firms located in the neighboring area of the disaster. Moreover, I find no significant performance difference between firms in the disaster area and those in the neighboring area in the post-disaster period.</p><p dir="ltr">In the third chapter, co-authored with M. Deniz Yavuz and Adam Reed, we report evidence that the demand for high short interest stocks by short sellers declined after the meme stock event in January 2021 due to an increased risk of short squeeze induced by the meme stock rally. We show that the positive association between high short interest and next-day borrowing cost decreased after the meme stock event. As the decline in short-selling demand varied across short interests of stocks, the demand curve in the equity lending market became steeper and inelastic after the event. Moreover, we show that this change in short-selling demand leads to higher post-event return predictability of short interest.</p>

Submitted by Luis Azevedo (lfpazevedo@gmail.com) on 2017-04-25T22:48:00Z No. of bitstreams: 1 Tese_Luis_Fernando_Azevedo.pdf: 2851972 bytes, checksum: b18040b51fff2a231332968632ef42ab (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2017-04-27T20:59:44Z (GMT) No. of bitstreams: 1 Tese_Luis_Fernando_Azevedo.pdf: 2851972 bytes, checksum: b18040b51fff2a231332968632ef42ab (MD5) / Made available in DSpace on 2017-05-02T12:32:19Z (GMT). No. of bitstreams: 1 Tese_Luis_Fernando_Azevedo.pdf: 2851972 bytes, checksum: b18040b51fff2a231332968632ef42ab (MD5) Previous issue date: 2017-04-18 / Devido à crescente evolução tecnológica das últimas décadas, eventos locais, econômicos ou não, são divulgados de forma praticamente instantânea de forma global. Muitos destes eventos têm o poder de influenciar os preços dos ativos nos mais diversos mercados, em todas as localidades. Além da divulgação de eventos, o conteúdo das notícias econômicas traz valiosas informações que capturam as variações nos sentimentos dos agentes sobre a situação corrente e prospectiva da economia. Uma pauta negativa sobre atividade econômica, com anedóticos e relatos de empresários, por exemplo, sinaliza um crescimento negativo do PIB antes mesmo da sua divulgação. Apesar da sua amplitude e velocidade, notícias podem estar sujeitas a uma série de vieses, desde má interpretação do tema, passando por preconceito contra algum personagem da matéria, e até mesmo efeito manada. A evolução tecnológica também começa a permitir a superação destes problemas. O estudo de grandes volumes de dados (big data) em redes sociais ou plataformas de buscas fornece um meio de mensurar o sentimento dos agentes econômicos diretamente, em tempo real, sem a necessidade da intermediação por notícias. Através de notícias especializadas com frequência intradiária e ferramentas como o Google Trends, esta tese busca captar a variação de sentimentos de agentes e encontrar se há alguma relação entre estas medidas e flutuações dos ciclos econômicos e precificação de ativos. No capítulo 1, fatores macroeconômicos foram replicados através de notícias e, os aplicando em modelos fatoriais, encontram-se evidências de que notícias contêm informações relevantes para explicar o excesso de retorno de carteiras de ações da BM&FBovespa. Em seguida, no capítulo 2, analisou-se a comunicação do Banco Central do Brasil através da mídia especializada. Há evidências de que a volatilidade dos juros é maior em dias nos quais algum membro do Copom é citado na mídia, principalmente considerando anos mais recentes. Por fim, no capítulo 3, buscou-se extrair o sentimento das pessoas através de suas buscas realizadas no Google. Em um VAR com variáveis macroeconômicas como produção industrial e emprego, este indicador criado foi comparado a indicadores de sentimento dos investidores, condições financeiras e indicadores de incerteza política, encontrando-se evidências que a ferramenta do Google pode fornecer informações relevantes sobre o impacto do sentimento da pessoas na economia real. / Data from texts and Internet search queries are a relatively new source of information to economists. In this PhD dissertation, I analyze the impact of news’ information content and Google searches patterns on asset pricing and business cycle. In chapter 1, using a unique intradaily news database, I create news measures to approximate people’s concern about macroeconomic variables. Using Fama-McBeth framework, I conclude that those measures improve the explanatory power of asset pricing models for brazilian stocks. In chapter 2, I identify days in which the Brazilian monetary authority is cited on media and test whether interest rate volatility is higher in those days. I find evidences that all vertices of the yield curve show a higher volatility on those days, especially short and medium-term vertices. I also find evidence that interest rate volatility is higher in days in which the Brazilian Central Bank releases special reports or when central bank directors deliver speech. Both results are stronger after 2014. Finally, in chapter 3, a proxy for people’s sentiment measured as the relative searches of economic words with positive or negative connotation is extracted from Google’s search queries and used to explain macroeconomic variables in a VAR enviroment. For the US economy, responses of employment and production to shocks (innovations) in this sentiment index are similar to those observed when the innovation comes from a financial conditions indicator, and are higher and last longer than shocks on investor’s sentiment and policy uncertainty.

This thesis emphasizes the role of political risk in international business by analyzing the impact of political events on the valuation of firms. The guiding question is how governments interfere with the business interests of firms located in their own country as well as with the business interests of firms from other nations, as a consequence of the application of international sanctions. Therefore, the focus is on multi-country and multi-sector effects due to the occurrence of specific sanction events. The empirical methodology is the event-study approach, which analyzes stock market reactions to new information. The research objective is to detect abnormal stock returns across multiple markets and sectors, as a consequence of events related to the imposition of or threat of international sanctions. The empirical model of this thesis differentiates between risk-effects for firms located in the sender country (i.e., the origin of sanctions), for firms located in or specifically related to target countries (i.e., the receiver of sanctions) and firms located in third countries (i.e., countries not directly involved). There are three different cases analyzed: E.U. Economic Sanctions against African countries (2002-2005), the U.S. Steel Tariff (2002) and the Iran Sanctions Act (2007). The cases represent sanctions applied on the nationwide, sector- and firm-specific level. The event studies provide empirical evidence for the existence of political risk-effects due to sector-specific sanctions. Risk-effects are detected for firms in target countries and for firms in the sender country itself. The applied political risk framework describes how political risk affects multinational firm value and explains that it varies among firms. The impact of political risk on a firm's value depends on the risk exposure of a firm's individual business interests to it. This contributes a new perspective on political risk that emphasizes multinational and multi-sectoral effects and underlines that a specific political risk can be relevant for a variety of different international business interests. (author's abstract)