本研究主要目標在探討有關員工認股選擇權租稅政策訊息之發布，是否對國內發行員工認股權憑證之上市及上櫃公司— 資訊電子業的股票報酬造成異常影響。在五個事件期間中，以第一、二及第五個事件期（即員工認股選擇權初步比照員工分紅入股依面額課徵所得稅、財政部初步擬定員工執行認股權時，須以執行價與當初認購價格間的價差，核課所得稅以及財政部在民國93年4月30日發布員工認股權證課稅行政命令，依照財政部當初的規劃，在執行日課徵員工認股權證的所得稅之兩事件期）中發現以面額或價差課稅之消息初步規劃和發布，確實對市場造成負向異常報酬。而有利員工之認股選擇權租稅政策消息發布（即財政部未對課稅政策做出最後決定）時，市場對資訊電子業股價產生正向累積異常報酬。 另外，研究亦發現，不利員工之員工認股選擇權課稅行政命令發布之特定事件時期，發行比例愈高及發行員工認股權之公司，過去研究發展支出愈高者，將產生較小之負向累積異常報酬。 相較於員工分紅入股制度，員工認股選擇權之激勵效果更能提供長期之誘因，但單就對工之課稅制度而言，收到的似乎是相對不利之懲罰效果。 / In this thesis, event study methodology is employed to examine the electronics industry’s stock market reaction to the announcement of tax policy changes of employee stock option. Market model and Ordinary Least Square (OLS) are adopted to estimate abcdrmal returns (AR) and accumulated abcdrmal returns (CAR) during event periods. A related issue also examined is the relation between the ratio of employee’s stock options and the CAR. Specifically, the effects of five events are examined. The first、second and fifth event (when Minister of Finance proposed to tax employee Stock options based on their par value. The second is when the Ministry of Finance announced that employee stock options would be taxed at the difference between the market price employee execute the option and the execute price．The fifth event is when Minister of Finance indeed announced an administrative decree) really show up the negative CAR. Findings concluded by the thesis are as follows: 1. When the Finance Minister proposed to tax employee stock options based on their par value or at the difference between the market price employee execute the option and the execute price, electronics companies on average had negative CAR. 2. During the fifth event period, companies with higher ratio of employee stock options and R＆D expenses had lower negative CAR than those with lower ratio of employee stock options and R＆D expenses.

近年來房價持續攀升，政府決定實施特種貨物及勞務稅條例以降低投機買賣之行為，達到防止房價泡沫化，平抑房價之目的。為探討資本市場對該條例之預期，本論文首先以事件研究探討特種貨物及勞務稅條例消息公布之際，上市櫃建設公司是否產生負的累積異常報酬率，並採用迴歸模型探討公司特性與該公司受特種貨物及勞務稅條例影響幅度的關聯性。本論文進而透過對上市櫃建設公司營業收入及營業毛利率在特種貨物及勞務稅條例消息公布後是否產生不利影響之探討，了解特種貨物及勞務稅條例消息公布對建設公司銷售面之實質影響，最後採用迴歸模型探討公司特性與建設公司銷售面受影響幅度之關聯性。 本研究研究結果發現： 1、在特種貨物及勞務稅條例消息公布之相關事件日，上市櫃建設公司普遍均產生顯著的負向股票異常報酬率。 2、股票累積異常報酬率與公司特性關聯性之迴歸結果顯示，研議及開徵特種貨物及勞務稅消息公布之事件日，存貨比率較高、公司規模較大、公司成長性較高之上市櫃建設公司，其累積異常報酬率較低。 3、在特種貨物及勞務稅條例消息公布後，上市櫃建設公司之營業收入產生不利影響，但對營業毛利率並無顯著之不利影響。 / In order to curb the housing price hike and prevent housing bubble, Taiwan government implemented the Specifically Selected Goods and Services Tax Act. The Act is expected to have negative impacts on stock market returns of construction companies and real estate market. Using event study method, this study examines the stock market reactions to the announcements of the legislature policy. This study explores the relation between the stock cumulative abnormal returns (CAR) of the Act and firm characteristics. This study finds that the stock market reacts negatively when the news of the Act are released. The regression results indicate when the news of the Act are released, for construction companies, CARs are negatively related with inventory-to-total assets ratio, corporate size and growth. This study also finds the construction companies’ revenue reflected the negative impacts on real estate market.

本研究探討我國自2009年5月14日行政院金融監督管理委員會宣布正式採用IFRSs當日，對於某些受IFRSs影響較大的金融、百貨、航空、營建以及保險這些產業，資本市場是否有顯著之反應。而正式宣布採用IFRSs後，與IFRSs相關的重要訊息，例如有企業提前適用IFRSs，投資性不動產因公允價值估價後使公司淨值大為提升，是否會讓資本市場對於其他帳上擁有較多不動產、廠房及設備與投資性不動產之公司產生顯著影響；金管會對於不動產、廠房及設備和投資性不動產與無形資產後續衡量限採成本模式之規定是否也會讓資本市場有顯著反應等。研究發現我國金管會宣布正式採用IFRSs當日，金融、百貨以及航空業者因顧客忠誠度計畫必須估列部分收入遞延，對於此項訊息市場給予負面反應。在與IFRSs有關的重要訊息上，新版租賃會計草案使市場對於海運及航空業者有負面反應；提前適用IFRSs使公司淨值提升對擁有較多不動產、廠房及設備與投資性不動產之企業有正向影響；金管會對於不動產、廠房及設備和投資性不動產與無形資產入帳及衡量的保守態度讓市場產生負面反應。對於我國導入IFRSs，投資人、企業及主管機關等充滿了期待及關注，也多持有正向的看法，但2013年後正式採用的狀況為何，仍有待密切注意。 / This study examines the market reaction to finance, general merchandise, airline, construction, and insurance these industries at the announcement of IFRSs adoption in Taiwan on May 14th, 2009. Furthermore, it also examines how the market reacts to relative and important news about IFRSs after the announcement of IFRSs adoption. It finds a negative reaction to financial, general merchandise and airline industries at the announcement of IFRSs adoption. It also finds a negative reaction to shipping and airline industries when a new lease draft gives out. In addition, firms with more plants, properties and equipments, investment properties and intangible assets have a positive reaction when news reports there is a company adopts IFRSs previously, but have a negative reaction due to the conservative attitude of Financial Supervisory Commission to the way of the measurement of properties.

University, Diss.--Frankfurt am Main, 2007. / Die Vorlage enth. insgesamt 3 Werke.

Background: Previous studies on the subject, contrary to corresponding studies on mergers and acquisitions, have shown significant positive market reactions from all over the world on the announcements of divestitures. However, similar studies have not been done on the Swedish market. There are split opinions on the origin of the abnormal returns from the announcements of divestitures, but the economic cycle, choice of payment method and industry affiliation are recurring explaining variables in event studies. Aim: The aim of the study is to investigate the effect on shareholder wealth from the announcements of a divestiture on the Swedish market during the period from 1997-2017, as well as investigating how the abnormal returns are affected by the economic cycle, choice of payment method and industry affiliation. Completion: The study is conducted using the event study methodology and a deductive approach. Historical time series from divesting companies share prices are used to estimate expected returns which are then compared to actual returns to decide whether the announcement of a divestiture has an impact on shareholder wealth. Results: The study finds significant results that divesting companies’ shareholder wealth are positively affected by the announcement of a divestiture for both event windows (-3, +3) and (-1, +1). For each separate day within the event window the authors find statistically significant returns for day T-2 and T0. The authors find no statistically significant differences between the returns regarding the economic cycle. Regarding the choice of method of payment, it is concluded that payment through stock generates excess returns when compared to other financing alternatives. No differences could be found between different industry affiliations. / Bakgrund: Tidigare studier inom ämnet har, till skillnad från motsvarande forskning om företagsförvärv, påvisat signifikanta positiva reaktioner från marknader över hela världen vid tillkännagivandet av en avyttring. Däremot saknas studier om avyttringars effekt på den svenska marknaden. Det råder delade meningar om varför abnormal avkastning uppstår vid tillkännagivandet, där konjunkturläge, finansieringsalternativ och branschtillhörighet är vanligt förekommande förklarande variabler i eventstudier. Syfte: Studiens syfte är att undersöka hur tillkännagivandet av en avyttring påverkar säljande bolags aktiekurs på den svenska marknaden under tidsperioden 1997–2017, samt att undersöka hur rådande konjunkturläge, valt finansieringsalternativ och branschtillhörighet påverkar avkastningen Genomförande: Studien genomförs genom eventstudiemetodologin med en deduktiv ansats. Empirin utgår från historisk tidsseriedata från avyttrande bolags aktiekurser för att bestämma förväntad avkastning som sedan jämförs med faktiskt avkastning för att urskilja om tillkännagivandet påverkar kursutvecklingen. Resultat: Studien visar statistiskt signifikanta resultat för att avyttrande bolags aktiekurs påverkas positivt av tillkännagivandet av en avyttring både för eventfönstret (-3, +3) och (-1, +1). För de enskilda dagarna i eventfönstret finner författarna statistiskt signifikanta avkastningar för dag T-2 och T0. Författarna finner inga statistiskt säkerställda skillnader i avkastning beroende på rådande konjunkturläge. Gällande val av finansieringsalternativ visas att betalning genom aktier genererar signifikant högre avkastning än övriga alternativ. Inga samband kunde säkerställas beroende på företagens branschtillhörighet.

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.

Avec la globalisation financière, une concurrence internationale accrue, l'importance de plus en plus grandissante des marchés financiers, chaque année des centaines de dirigeants introduisent leur société en bourse ou transfèrent le marché de cotation des titres de leur société. Les dirigeants changent la place ou le marché de cotation des titres de leur entreprise pour diverses raisons. Entre autres, nous pouvons citer la recherche d'une plus grande visibilité, du prestige, de la liquidité ou d'une source de financement alternative… Cette opération de changement de marché/compartiment de cotation à l'instar d'autres opérations sur titres (OPA, OPE, OPR, augmentation de capital, division d'action…) est susceptible d'influencer le cours des titres et certaines caractéristiques financières des sociétés qui la font. Le changement de compartiment de cotation au sein d'une bourse est un sujet qui a été relativement peu traité dans la littérature financière. Ses motivations et ses conséquences n'ont pas été assez explorées. L'objectif de ce travail de recherche est de combler ce vide en cherchant, dans un premier temps, à identifier les facteurs déterminants du transfert de compartiment de cotation et dans un second temps, à analyser les effets du transfert compartiment de cotation sur la valeur de l'entreprise migrante. En outre, nous tentons également de trouver des explications aux réactions du marché observées. Ce travail de recherche est très intéressant, car il porte sur une problématique qui n'a, jusque là, pas été suffisamment abordée par la littérature financière. De plus, la thématique est à la croisée de plusieurs domaines de recherche en Finance (microstructure, finance de marché, finance d'entreprise et comptabilité). Il ambitionne d'apporter un éclairage sur le transfert de marché de cotation à plusieurs niveaux. Tout d'abord, au delà des aspects méthodologiques, ce travail de recherche pourrait aider les dirigeants à mieux comprendre les conséquences économiques de leur décision de transférer les titres de leur société sur un compartiment plus exigeant, plus visible et mieux réglementé. Il pourrait apporter aux places boursières de nouveaux arguments pour justifier la création ou l'existence de plusieurs compartiments adaptés aux besoins des différentes sociétés émettrices. Enfin, ce travail pourrait servir aux investisseurs à mettre en place des stratégies pour profiter des opérations de transfert de marché. / With financial globalization and the increasingly significant role of financial markets, hundreds of managers are motivated each year to list their company or to move their firm's common stocks to a different listing location. This can be explained for a number of reasons. Among these are included the search for greater visibility, prestige, liquidity and/or for an alternative source of financing. Listing location transfer, like other securities transactions (takeover bids, seasoned equity offering, splits...) is likely to influence stock prices and certain financial characteristics (e.g. profitability, liquidity, risk) of the firms involved. Indeed, through such an operation, the CEO's send a signal to the financial markets in terms of their confidence in their firm's future prospects. Consequently, if the market perceives this transfer to be a signal for quality improvements among others, it might react favorably to its announcement. Listing market switching can take several forms. The transfer can be made between two independent stock markets from the same country (stock exchange transfer) or between two marketplaces located in two different countries (cross-listing). It can also be realized between two sections of the same stock exchange (stock exchange compartment transfer). This last category of market transfer is relatively unaddressed by financial literature. Its motivations and consequences were not investigated enough. In this research work, we attempt, in one hand, to identify the determinants of compartment transfer and on the other hand, to investigate its possible consequences. Our analysis has implications for managers who are faced with or are considering a decision to change the trading compartment of their stocks. We found evidence indicating that although the market appears to value a move to a more regulated market segment, the market's reaction is not uniform. Firms with relatively low liquidity before the transfer announcement have the most to gain in terms of a positive price movement and improvement in liquidity. Moreover, price increases observed after the transfer announcement are not permanent for all stocks. Thus managers need to give careful consideration to the possible effects on the pricing and liquidity behavior of firms being switched from a less regulated exchange section to a more regulated one. This research could also bring to stock marketplaces' managers new arguments to justify the creation or the existence of several compartments adapted to the needs of various issuing companies. Finally, this work could be used by investors to set up strategies to take advantage from an operation of stock exchange compartment transfer.

Nas últimas duas décadas, estudos empíricos em finanças têm utilizado o método de estudo de eventos para detectar retornos anormais no entorno de eventos que, teoricamente, deveriam ser incorporados instantaneamente no preço dos títulos. O método de estudo de eventos, a partir da década de 90, com a massificação das planilhas eletrônicas e dos pacotes estatísticos, se popularizou no meio acadêmico brasileiro, sendo um dos principais métodos de pesquisa em finanças com ênfase em mercado de capitais ou finanças corporativas. Apesar da eficácia do método em detectar a anormalidade dos retornos, comprovada em diversos estudos empíricos, acredita-se que o método seja pouco eficiente em determinar a verdadeira amplitude do retorno anormal, uma vez que são necessários pressupostos estatísticos e argumentos econômico-financeiros que podem não ser válidos. O fato de que cada modelo apresenta um desempenho diferente de captura dos retornos anormais contribui com a tese de que os modelos utilizados atualmente não conseguem filtrar totalmente o retorno anormal da série normal. Portanto, este estudo teve como objetivo principal testar a aplicabilidade do método de Análise de Componentes Independentes - ICA - em detectar retornos anormais em séries temporais e comparar o seu desempenho com os modelos geradores de retornos anormais mais utilizados em testes empíricos. Com este objetivo, foram realizadas milhares de simulações envolvendo parâmetros semelhantes aos do mercado de ações brasileiro, com o uso de algoritmos de simulação elaborados exclusivamente para esta finalidade. Os resultados sugerem que o método ICA é capaz de detectar anormalidades em séries temporais, fornecendo, desta forma, a descoberta do real impacto do retorno anormal nos elementos da amostra, necessitando apenas de uma modelagem prévia em função do tamanho da amostra e sua variância. / In the last two decades financial empiric studies have used the event study method to detect abnormal return on events that in theory should be instantly incorporated on securities price. This method became popular to Brazilian academic environment through the intensification usage of electronic worksheet and statistic packages in the 90`s turning into one of the main research methods for financial studies with emphasis on stock market and corporative financing. Despite the efficiency of the method in detecting abnormalities it`s believed that it`s least effective on establishing the real amplitude of the abnormal return considering that statistics presupposed and economic and financial arguments may not be valid. The fact that each model shows a different performance on capturing abnormal returns contributes to the idea that today`s models can`t completely filter the abnormal return on a normal series. Therefore this study has as a main objective to test the applicability of the Independent Component Analysis method – ICA – in detecting abnormal returns in time series and comparing its performance against abnormal return generating models more used on empiric tests. With this objective, thousands of simulations involving parameters similar to the Brazilian stock market with the usage of simulation algorisms elaborated exclusively for this purpose. The results suggest that ICA method is capable of detecting abnormalities in time series supplying in this form a discovery on the real impact of abnormal return on sample elements needing only a previous molding due to the size of its sample and variance.

[pt] O objetivo do presente estudo foi investigar a possibilidade de alterações de ratings soberanos de países emergentes produzirem efeitos no mercado acionário brasileiro. Para tanto, adotou-se o teste estatístico paramétrico de estudo de evento, amplamente utilizado para testes de eficiência semi-forte de mercado. Os resultados sugerem que alterações de ratings soberanos de países emergentes produzem efeitos no comportamento dos preços do mercado acionário brasileiro, ainda que sua intensidade esteja associada ao tipo de informação que foi incorporada. Notícias negativas, principalmente os rebaixamentos de outlook, carregam um conteúdo informacional maior do que as positivas. Observou-se ainda a existência de antecipação dos anúncios negativos por parte dos agentes. / [en] The objective of the study was to investigate the possibility that sovereign rating changes of emerging countries impact the brazilian equity market. For such, the parametric statistical test of event study was adopted, widely utilized for semi-strong efficiency market tests. The results indicate that emerging markets sovereign rating changes produce effects over the behavior of brazilian equity market prices, although the intensity of the impact is associated to the type of information that was incorporated. The study shows that negative news, specially the negative outlook rating assignments, produce higher effects on prices compared to positive news. Futhermore, it was noted that market participants anticipate negative news.

Submitted by Luca Werth (luca.camilla.werth@gmail.com) on 2016-02-13T14:21:02Z No. of bitstreams: 1 Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-02-15T11:43:25Z (GMT) No. of bitstreams: 1 Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5) / Made available in DSpace on 2016-02-15T15:01:53Z (GMT). No. of bitstreams: 1 Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5) Previous issue date: 2016-01-19 / This study researches whether there has been abnormal stock market behaviour in Brazil as a consequence of election news (observed via opinion polls), regarding the last Brazilian presidential election, held in October 2014. Via applying event study methodology, the research on the Ibovespa and Petrobras suggests that events in which Rousseff was gaining in share have been subject to negative abnormal returns, and events where Rousseff was loosing in share have led to positive abnormal returns. Moreover, volatility has been significantly elevated during the election period and volume has been found to have slightly increased. / Este estudo investiga se houve comportamento anormal no mercado de ações no Brasil decorrente de notícias sobre as últimas eleições presidenciais brasileiras (através da utilização de sondagens), realizadas em outubro de 2014. Utilizando uma metodologia de estudos de evento (event studies), a investigação sobre o Ibovespa e a Petrobras sugere que, nos períodos em que Dilma melhorava a sua posição nas sondagens existiram retornos anormais negativos e, nos períodos em que Rousseff piorava a sua posição, existiram retornos anormais positivos. Além disso, a volatilidade foi bastante elevada durante o período eleitoral tendo o volume de transações aumentado ligeiramente.