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This thesis investigates the impact of terrorist attacks on equity financial markets. It employs traditional event study approaches to identify and measure stock market reactions to terrorist attacks in New York on September 11, 2001, and subsequent terrorist attacks in Madrid, London and Bali. Three studies are presented. The first study investigates the impact of September 11 on the tenant firms within the World Trade Centre. The second study investigates industry effects following the Madrid and London bombings. The third study undertakes a sensitivity analysis to different event study techniques over the various terrorist attacks. The results from the three studies suggest that equity markets can remain efficient in the wake of terrorist events. Terrorist events can trigger large abnormal movement in both equity prices and volume traded. These price and volume effects are influenced by industry effects. Terrorism has a differential impact on stock markets and industry portfolios within stock markets. The detailed analysis presented in this thesis can be used to exploit that industry effect and can be employed to guide diversification strategies that could minimize terrorist risk through industry diversification. The thesis has also evaluated alternative event study methods and produced a critical analysis of event study methodology. It shows clearly that methodological choices can and do significantly influence results. The thesis contributes to eliminating some uncertainty about the markets response to terrorist events, and identifies opportunities for reducing terrorist risk in stock markets.

This dissertation utilizes the event study methodology from the modern theory of finance to examine corporate name changes (CNCs). Data sources include press releases and articles announcing CNCs compiled by Lexis Nexis, annual reports collected from the SEC File microfiche database compiled by Q-Data and the EDGAR database compiled online by Mergent, and the Center for Research on Stock Prices and COMPUSTAT compiled by Wharton Research Data Services. These data sources are used to answer three primary research questions. First, what is the effect of a CNC related to a change in corporate image, as opposed to a change in corporate entity (e.g., acquisition), on a firm’s stock price? Second, what is the effect of a major change versus a minor change to the corporate name during a CNC related to a change in corporate image? Third, what is the effect of a non-brand name altering CNC versus a brand name altering CNC on a firm’s stock price? This dissertation makes its primary contribution to the study of CNCs by finding that CNCs related to a change in corporate image will have a positive impact on stock price whereas CNCs related to a change in corporate entity will not. Moreover, it finds that major changes to the corporate name during CNCs related to a change in corporate image will have a positive impact on a firm’s stock price whereas minor changes to the corporate name during CNCs related to a change in corporate image will not. Finally, it is the first study to examine the effect of CNCs on firms’ brand names and finds that non-brand name altering CNCs related to a change in corporate image will have a positive impact on a firm’s stock price whereas brand name altering CNCs related to a change in corporate image will not.

This dissertation utilizes the event study methodology from the modern theory of finance to examine corporate name changes (CNCs). Data sources include press releases and articles announcing CNCs compiled by Lexis Nexis, annual reports collected from the SEC File microfiche database compiled by Q-Data and the EDGAR database compiled online by Mergent, and the Center for Research on Stock Prices and COMPUSTAT compiled by Wharton Research Data Services. These data sources are used to answer three primary research questions. First, what is the effect of a CNC related to a change in corporate image, as opposed to a change in corporate entity (e.g., acquisition), on a firm’s stock price? Second, what is the effect of a major change versus a minor change to the corporate name during a CNC related to a change in corporate image? Third, what is the effect of a non-brand name altering CNC versus a brand name altering CNC on a firm’s stock price? This dissertation makes its primary contribution to the study of CNCs by finding that CNCs related to a change in corporate image will have a positive impact on stock price whereas CNCs related to a change in corporate entity will not. Moreover, it finds that major changes to the corporate name during CNCs related to a change in corporate image will have a positive impact on a firm’s stock price whereas minor changes to the corporate name during CNCs related to a change in corporate image will not. Finally, it is the first study to examine the effect of CNCs on firms’ brand names and finds that non-brand name altering CNCs related to a change in corporate image will have a positive impact on a firm’s stock price whereas brand name altering CNCs related to a change in corporate image will not.

This study aims to establish if a relationship between the investor sentiment generated from social media posts, such as Tweets, and the return on securities exists. If a relationship exists, one would be able to obtain an informational advantage from public information and outperform the market on a risk-adjusted basis. This would give the “outsider” information processed the predictive power of insider information, hence the title of the paper. The study makes use of Bloomberg's social activity data, which through natural language processing, allows for investor sentiment to be obtained by analysing a combination of Twitter and Stock Twits posts. This paper makes use of a three-prong approach, firstly examining if investor sentiment is a predictor of next-day returns. Next, an event study methodology is used to examine the optimal holding period, which can further be expanded to test market efficiency. Lastly, this paper considers the asymmetric risk aversion as outlined by Kahneman and Tversky (1979). Results show that there is little to no correlation between sentiment and next day returns. There is evidence for a multi-day holding period being optimal but statistically insignificant and there is no evidence found for asymmetric risk aversion.

This study expands on previous research regarding the effect of CEO performance on firm value. An event study is conducted using a market model of CEO successions and daily returns in order to generate predicted returns. Two separate regressions are run using a 3 day and 5 day event window respectively. The results of the regressions are using to compare abnormal returns between industries and market capitalization. While some daily abnormal returns are statistically significant, cross-sectional analysis of CAR are for the most part not significant. Further study is needed in order to come to a stronger conclusion.

<p>En akties pris påverkas av många olika faktorer. Såväl företagets verksamhet som externa</p><p>faktorer har betydelse för akties utveckling. Denna studie undersöker specifikt huruvida en</p><p>oren revisionsberättelse påverkar priset på aktien. Vår problemformulering lyder:</p><p>Påverkas aktiekursen av informationen i ett noterat aktiebolags</p><p>orena revisionsberättelse?</p><p>Syftet med vår studie är att redogöra för hur aktiekursen påverkas då ett noterat aktiebolags</p><p>revisor skriver en oren revisionsberättelse. Studien visar också vad som eventuellt kan</p><p>förklara denna påverkan. För att besvara vår problemformulering har vi undersökt de</p><p>aktiebolag noterade på Stockholmsbörsen som har orena revisionsberättelser. Genom en</p><p>kvantitativ studie har vi sedan studerat om, och i så fall hur, aktiemarknaden påverkas när ett</p><p>bolag offentliggör sin orena revisionsberättelse.</p><p>Studien präglas av ett positivistiskt synsätt, med vissa inslag av hermeneutik, då vi utifrån en</p><p>större mängd observationer har undersökt sambandet mellan aktiekurs och en oren</p><p>revisionsberättelse genom att testa våra hypoteser och ge en förklaring till det undersökta. Det</p><p>hermeneutiska inslaget visar sig i den förståelse vi har försökt skapa för att förklara de</p><p>samband som föreligger mellan den orena revisionsberättelsen och aktiekursen. Det deduktiva</p><p>angreppssättet bygger upp vår studie, då vi utgår från en redan befintlig teori.</p><p>Bland tidigare genomförda studier finns det både de som hävdar att vad som står i</p><p>revisionsberättelsen har betydelse och påverkar aktiekursen och de som menar att det inte</p><p>spelar någon roll.</p><p>Denna studie är genomförd enligt en s.k. event study-modell där vi har beräknat abnormala</p><p>avkastningar och genomfört hypotestest för att undersöka om våra antaganden om att den</p><p>orena revisionsberättelsen har en negativ påverkan på aktiekursen är sanna och signifikanta.</p><p>Vi har även genom att ställa upp diagram där vi gjort skillnad på olika orsaker, branscher, etc.</p><p>försökt se om vi kan få någon förståelse för sambandet mellan den orena revisionsberättelsen</p><p>och aktiekursen.</p><p>Vi har ej sett några statistiska bevis för att det faktiskt existerar ett samband mellan en oren</p><p>revisionsberättelse och aktiekursen. Detta hypotestest till trots har vi genom diagrammen</p><p>kunnat se att aktiekursen påverkas olika beroende på innehållet i revisionsberättelsen. Vi kan</p><p>se att anmärkningar och kommentarer som rör värderingar av tillgångar är vadsom har den</p><p>mest negativa effekten på aktiekursen under vår tidsperiod. Studien visar att aktiekursen har</p><p>störst negativ utveckling i bolag som sysslar med konsultverksamhet och att de negativa</p><p>effekterna på aktiekursen är högre om den orena revisionsberättelsen är oväntad. Vi kan även</p><p>se att de bolag som har en anmärkning i sin revisionsberättelse har en kraftigare negativ</p><p>avkastning på sin aktiekurs, än de bolag som har en eller flera kommentarer. Samt att de bolag</p><p>som har fler än en anmärkning har ett kraftigare fall på sin aktiekurs än de bolag som endast</p><p>har en anmärkning.</p><p>Vidare verkar det som om att marknaden justerar sig innan revisionsberättelsen blir offentlig.</p><p>Detta tyder på att informationen läcker ut tidigare, eller att informationen ges innan</p><p>tidpunkten för hela revisionsberättelsens offentliggörande.</p>

Interorganizational alliances are widely recognized as critical to product innovation. A notable trend is the rapid growth of new product development (NPD) alliances between large, well-established firms and small, growing firms. This dissertation is comprised of two studies on the formation and termination of asymmetric new product development alliances. In study one I examine the factors that drive the changes in shareholder values of the partner firms. I develop and empirically test a model of short-term changes in shareholder values of larger and smaller firms involved in NPD alliances, using the event study methodology on data covering 167 asymmetric alliances in the information technology and communication industries. The model accounts for selection correction, potential cross-correlation across the residuals from the models of firm value changes for the larger and smaller firms, and unobserved heterogeneity. The results suggest that both the partners experience significant short-term financial gains, but there are considerable asymmetries between the larger and smaller firms with regard to the effects of alliance, partner and firm characteristics on the gains of the partner firms. The findings of this study have important implications for managers of both large and small firms. In study two I develop and test a framework of the determinants of new product alliance (NPA) terminations. The hypotheses for study two are tested on a unique database comprised of 401 new product alliances involving 24 pharmaceutical firms during 1990-2005. NPA terminations are modeled using Cox’s proportional hazard specification that accounts for the unobserved heterogeneity of firms with multiple NPAs, competing risks and ties among NPA duration times. The results suggest that NPA terminations are not made in isolation but are influenced by composition of the firm’s portfolio. The results also suggest that NPA terminations are predicted to a great extent by competition between alliances (i.e., product market rivalry) and competition within alliances (i.e., partner value). The findings of this study have important implications for managing a portfolio of new product partnerships.

Syftet med den här magisteruppsatsen är att undersöka hur tillkännagivandet av företags-förvärv påverkar aktieavkastningen på ett uppköpande bolaget. Testet är begränsat till före-tag som enbart är listade på Stockholmsbörsen under perioden 1996 till 2005. För att testa onormal avkastning användes marknads modellen. Resultatet visade att tillkännagivandet av företagsförvärv har en signifikant effekt på avkastningen för aktien för det bolag som ska förvärva. Majoriteten av uppköpande bolag upplevde en negativ onormal avkastning under test perioden (100 dagar före tillkännagivandet och 100 dagar efter). / The purpose of this master’s thesis is to examine the effect a corporate takeover an-nouncement has on share prices for acquiring companies. The test will only involve com-panies listed on the Stockholm Stock Exchange during the period 1996 to 2005. To test the effect an announcement has, abnormal return for a period before and after the takeover announcement was calculated. The findings from the testing showed that takeover an-nouncements have a significantly impact on shareholder return. The majority of acquirers in the sample had negative average abnormal returns during the event period (100 days prior to the announcement and 100 day after).