This thesis consists of an introductory chapter and four self-contained essays on the value relevance of financial statement information. Essay 1: The purpose of this essay is to examine relevance of environmental information from an investor’s perspective. The study proposes that the market value of companies will reflect both financial and environmental performance. The theoretical foundation of the study is the accounting based valuation theory outlined by Ohlson (1995). This study provides new insights into how environmental performance is reflected in the market value of Swedish companies listed on the Swedish Stock market. Essay 2: In financial accounting research, much effort has been devoted to study the relation between accounting earnings and stock prices. The primary purpose of the second essay is to investigate the effect of alternative return-earnings model specifications to the estimated returns-earnings relation, that is, the earnings response coefficients. The returns-earnings models investigated include the traditional earnings levels and changes, and models including analysts’ earnings forecasts based on Ohlson’s (1995) extended residual income model. Essay 3: Fundamental analysis research that focuses on the use of accounting information to estimate equity value, has surfaced as a central theme in market based accounting research of the 1990s (Lee, 1999). The purpose of third essay is to compare two different approaches to valuation based on the theory presented in Ohlson (1995) in terms of explanatory and predictive power of the value estimates. Both approaches are implemented with and without the use of analysts forecasts. Essay 4: In this essay data from the Swedish stock market is used to investigate the profitability of two different types of investment strategies based on fundamental-to-value ratios and past insider trading activity. The purpose of the research is to explore four related research questions: (i) Do accounting based trading strategies generate abnormal returns on the Swedish stock market?; (ii) Do trading strategies based on insider trading behaviour generate abnormal returns on the Swedish stock market?; (iii) Do insiders who buy stocks tend to favour value stocks and do insiders who sell stocks tend to dispose growth stocks?; and (iv) Are insiders able to discriminate between temporary high/low fundamentals and temporary low/high prices when buying/selling value stocks and growth stocks?

<p>Background: Studying insider trading is difficult due to its sensitive and delicate</p><p>nature. Therefore it is hard to gauge the extent of such activities.</p><p>This problem has resulted in a fierce debate whether it should be</p><p>prohibited or not. Using a method where the effect on monopolistic</p><p>information usage can be isolated insider trading can be monitored.</p><p>Such an event is a profit warning.</p><p>Purpose: This paper examines whether insider trading exist for companies</p><p>making a profit warning between year 2003 and 2007 on the Stockholm</p><p>Stock Exchange. Furthermore the aim with the study is to contribute</p><p>to the debate on the insider trading legislation.</p><p>Method: The study’s purpose is achieved through an event study studying the</p><p>cumulative abnormal return as well as average daily returns during</p><p>the thirty days preceding the warning for a sample of thirty companies.</p><p>Since profit warnings should be completely random and as such</p><p>almost impossible for the market to know in advance, a significant</p><p>abnormal return can only be explained with insider trading. The abnormal</p><p>returns were calculated using the Capital Asset Pricing Model</p><p>since it is the most widely used model.</p><p>Conclusion: For the chosen time frame, when testing on a 95% significance level,</p><p>the study found a significant abnormal return during the last 10 days</p><p>of the event window but not for the entire period of thirty days. The</p><p>daily average return for the thirty companies were significant for six</p><p>of the thirty days within the event window. Two of them were included</p><p>in the last ten day period with a confirmed significant abnormal</p><p>return which might suggest that on average insider trading tend</p><p>to occur during these days. The other four was discarded due to</p><p>sample issues. Since the study was limited to a period of four years</p><p>extending the results to a period other than tested should be made</p><p>with great care since conditions may differ over time. Concerning the</p><p>current debate on the insider legislation, the findings can be used by</p><p>both sides. Either to argue for a strengthening of the law or to question its existence.</p>

Denna studie kartlägger om det är möjligt att med hjälp av svenska insynspersoners värde-pappershandel prognostisera den svenska aktiemarknaden. Individuella insynspersoner har tidigare visats ha mer information kring enskilda företag än övriga aktörer på en aktiemarknad och har vistats skapa överavkastning gentemot marknaden. Aggregerad insynshandel har tidi-gare visat sig ha ett positivt samband med framtida avkastning på aktiemarknader. För att undersöka sambandet mellan svensk insynshandel och den svenska aktiemarknaden använder vi finansinspektionens insynslista som innefattar över 209 000 transaktioner av svensk insynshandel för perioden 1991-2013. Detta material undersöks tillsammans med hi-storiska indexvärden över tidsperioden och sambandet kartläggs med hjälp av OLS-regressioner. Vi undersöker även vad som driver sambandet mellan insynshandel och framtida avkastning, och vilket ekonomiskt värde det finns i insynshandel som prognosinstrument. Resultaten visar på att det finns ett statistiskt signifikant positivt samband mellan insynshan-del och framtida avkastning på den svenska aktiemarknaden. Detta samband blir starkare på lång sikt. Vi ser även att köptransaktioner är en starkare indikator för framtida marknadsrörel-ser än säljtransaktioner. Detta bekräftar tidigare studier där de menar att insynspersoner ofta säljer innehav på grund av andra anledningar än vinstsyfte. Vi finner även att sambandet drivs av ett informationsövertag men även av en Contrarian-strategi samt en genomlysningseffekt. Slutligen skapar vi prognosmodeller grundade i historisk insynshandel och genomför backtest på dessa under 22 år. Resultaten pekar på att insynshandel fungerar bra för att prognostisera framtida uppgångar på den svenska aktiemarknaden och är användbara för att skapa invester-ingsstrategier. / This study investigates if it possible to forecast the Swedish stock market using insider trading data. Individual insiders have been shown to have more information concerning a company than other investors. Additionally, insiders have been shown to be able to outperform the market in earnings from trading in company stock. Aggregate insider trading has, in previous studies, been shown to have a positive relationship with future returns on stock markets. To map the relationship between Swedish insider trading and the Swedish stock market we use the insider trading records from Finansinspektionen containing over 209 000 transactions over the course of 22 years. These records are examined together with a historic stock price index from the same time period. The relationship between the two is examined using OLS-regressions. We examine what factors drive the predictive power of insider trading and what economic value insider trading has as a forecasting instrument. Our results show that there is a statistically significant positive relationship between insider trading and future returns on the Swedish stock market, the significance increases with time. We also find indications that insider purchases have a stronger relationship with future index movements than insider sales have. This is consistent with earlier studies that find that insid-ers sell stock for many other reasons than profit. We conclude that the predictive power of insider trading derive from an information advantage, although our results indicates that some of the predictive power can be explained by a contrarian-strategy and a transparency effect. Finally we construct forecast-models based on historical insider trading and back-test these on the 22 year period. Results from these tests indicate that aggregate insider trading is effective in predicting future rises in the stock market and can function as a basis for successful invest-ment strategies.

Prior to the announcement of a merger or acquisition, the stock price of the target company often experiences a price run-up prior to the announcement of the transaction. This price run-up can be attributed to information leakage and insider trading. This paper examines how changes in the SEC’s budget effects the pre-announcement price run-up of mergers and acquisitions. Furthermore, this paper explores the political processes surrounding SEC budgeting, as well as flaws in the current system. This paper finds that with a $10 million increase in the SEC’s budget, the average pre-announcement run-up ratio decreases by 0.3%. The findings of this paper suggest a concrete means of reducing insider trading, dependent on an increase in SEC budget.

This dissertation consists of two essays: the first investigates informed trading in the Chinese stock exchanges, and the second examines the persistency of correlation of currency future prices. For the first essay, using a sample of Chinese firms dual-listed in both the China mainland stock exchange and the Hong Kong stock exchange, I investigate the two types of informed trading - insider trading and trading derived from better analysis in the A-and H-share markets. The results suggest that H-shares have relatively more informed trading based on better analysis. In addition, the results from the firm size regression can also be seen as indirect evidence that larger firms tend to have trading with better analysis and less insider trading. These patterns are also confirmed in the sub-period analysis. However, I find no significant relation between informed trading and the relative pricing of A- and H-shares. For the second essay I examine the dynamic correlation between currency futures prices, focusing on the persistency of correlation of currency prices. Using the Dynamic Conditional Correlation model developed by Engle (2002), this study incorporates time-varying correlations into the analysis. The sample includes eight currency futures traded on the Chicago Mercantile Exchange from 1999 to 2008 and the U.S. dollar index future. The study finds that the Canadian dollar has the greater persistency while the Brazilian real has the weakest. No less important, the study finds that the time-varying conditional correlation between currency futures and the U.S. dollar futures is influenced by two types of liquidity: price impacts (Amihud illiquidity) and the logarithm of trading volume.

Hedge fund activism announcements are associated with positive market reactions, and they introduce information asymmetry between insiders and outside investors. Target firm insiders have superior information about the campaign and play an important role in the campaign negotiation. This study examines insiders’ behavior as information asymmetry rises following the campaign announcement. Insiders increase trading in their own firms in response to the campaign announcement. These post-announcement insider trades have additional return predictability than insider trades in other times. Post-announcement insider buys predict higher probabilities of achieving successful campaign outcomes including management turnovers, increases in payout, and corporate restructurings, and higher value of these outcomes. I also find evidence that insiders use campaign resistance and trading interactively to achieve higher wealth gain.

A necessidade de tutela eficiente do Mercado de Capitais é, atualmente, indiscutível. O advento de novas tecnologias e o tráfego internacional de capital cada vez maior; tornam o Mercado de Capitais, contemporaneamente, sujeito a amplos riscos e danos. Nesse contexto, o legislador tem respondido com a incriminação de condutas ofensivas ao mercado, contudo a formulação de tipos penais nem sempre se mostra adequada. Dessa forma, questiona-se qual o bem juridicamente tutelado pelos crimes contra o Mercado de Capitais, referente material necessário à intervenção penal do Estado; bem como quais os critérios adequados para verificação da legitimidade de tal intervenção. A dissertação está dividida em quatro capítulos. No primeiro capítulo tem lugar a análise dos dilemas do direito penal clássico frente aos novos riscos decorrentes da sociedade pós-moderna, com especial destaque à expansão dos Mercados de Capitais em uma sociedade globalizada; bem como os efeitos da chamada Globalização no direito penal e o incremento do direito penal econômico. O segundo capítulo destina-se a uma verificação das bases jurídicas e legais da regulação do Mercado de Capitais fundamentais para uma melhor compreensão de sua tutela penal , nomeadamente quanto ao seu controle no âmbito administrativo. Cumpre, ainda, no segundo capítulo, uma delimitação dos critérios científicos, externos ao bem jurídico, capazes de possibilitar um juízo de legitimidade da tutela penal do Mercado de Capitais. O terceiro capítulo trata do processo de criminalização da tutela dos Mercados de Capitais, passando por uma análise crítica acerca da utilização simbólica do direito penal e de sua internacionalização desprovida de critérios dogmáticos; e se encerra com um panorama acerca do tratamento penal dado aos Mercados de Capitais nos Estados Unidos da América e Europa Continental. Por fim, o capítulo quarto versa acerca da tutela penal do Mercado de Capitais no Brasil. Nesse contexto, partindo-se da Teoria pessoal do bem jurídico desenvolvida por Hassemer, foram identificados os interesses patrimoniais do público investidor como referente material limitador da intervenção penal do Estado. Uma vez identificado o bem jurídico tutelado, é realizada uma análise dos tipos penais relativos às operações do Mercado de Capitais, notadamente, a manipulação de mercado e o uso indevido de informação privilegiada; bem como acerca da utilização de tipos penais excessivamente abertos e crimes de perigo abstrato. Nesse capítulo também é apresentada uma proposta de adequação típica aos crimes de manipulação de mercado e uso indevido de informação privilegiada. Ao final, são expostas as conclusões do trabalho. / The need for efficient protection in the current Capital Market cannot be disregarded. The advent of new technologies and increasing international capital movements have rendered the contemporary Capital Market subject to extensive risks and damages. In this context, legislators have responded by criminalizing offensive conducts to the market, albeit through the establishment of criminal types that are not always adequate. Therefore, this thesis questions which legal good is legally protected by crimes against the Capital Market, in relation to the necessary State criminal intervention, and which are the adequate criteria for the verification of the legitimacy of such intervention. The thesis is divided into four chapters. The first chapter refers to the assessment of the dilemmas in classic criminal law in relation to the new risks arising out of post-modern society, especially regarding the expansion of the Capital Markets in a globalized society, in addition to the effects of the phenomenon referred to as Globalization in criminal law, and in economic criminal law. The second chapter focuses on the verification of the legal and judicial grounds for Capital Market regulation essential for the better understanding of its criminal protection specifically in relation to its control within the administrative scope. Furthermore, this chapter discusses the scientific criteria, external to the legal good, capable of providing for a legitimacy judgment of criminal protection of Capital Markets. The third chapter refers to the criminalization process of protection in Capital Markets, including a critical assessment of the symbolic use of criminal law and its internationalization without any dogmatic criteria. The chapter ends with the panorama on the criminal treatment given to Capital Markets in the United States of America and Continental Europe. Finally, the fourth chapter assesses criminal protection of the Capital Market in Brazil. In this context, beginning with the theory of the legal good developed by Hassemer, the asset interests of the investing public were identified as limiting material reference for the States criminal intervention. Once the protected legal good has been identified, an assessment on the criminal types in relation to the Capital Market is carried out, especially in reference to market manipulation and insider trading, as well as in regard to the use of excessively open criminal types and abstract danger crimes. This chapter also shows a proposal for the adequate typifying of market manipulation crimes and insider trading. Conclusions on the subject are drawn at the end.

by Hui Lok Yee Connie. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 92-95). / ABSTRACT --- p.iv / ACKNOWLEDGEMENT --- p.v / TABLE OF CONTENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Objectives of Securities Regulations --- p.3 / Regulatory Framework of the Hong Kong Securities Market --- p.5 / Objectives of This Study --- p.6 / Methodology --- p.7 / Chapter II. --- DISCLOSURE OF INTERESTS --- p.8 / Development of Securities (Disclosure of Interests) Ordinance in HK --- p.8 / Disclosure of Interests in Shares --- p.9 / Commentary --- p.17 / Recommendations --- p.23 / Chapter III. --- INSIDER DEALING --- p.29 / Development of Securities (Insider Dealing) Ordinance in HK --- p.29 / Overview of the Supervision of Insider Dealing Activitiesin Hong Kong and Singapore --- p.30 / Circumstances of Insider Dealing --- p.32 / Consequences of Insider Dealing --- p.36 / Case Studies --- p.39 / Commentary --- p.51 / Recommendations --- p.55 / Chapter IV. --- CONCLUSION --- p.60 / APPENDICE --- p.63 / Appendix 1 --- p.64 / Appendix 2 --- p.68 / Appendix 3 --- p.72 / Appendix 4 --- p.76 / Appendix 5 --- p.77 / Appendix 6 --- p.85 / Appendix 7 --- p.90 / Appendix 8 --- p.91 / Appendix 9 --- p.92 / BIBLIOGRAPHY --- p.93

Submitted by Nara Lays Domingues Viana Oliveira (naradv) on 2015-08-29T14:35:41Z No. of bitstreams: 1 tonidandel.pdf: 937131 bytes, checksum: 8e7451c0e897bad1c49e3351c8eb5f4e (MD5) / Made available in DSpace on 2015-08-29T14:35:41Z (GMT). No. of bitstreams: 1 tonidandel.pdf: 937131 bytes, checksum: 8e7451c0e897bad1c49e3351c8eb5f4e (MD5) Previous issue date: 2013 / Nenhuma / O presente trabalho verifica se as operações realizadas por insider trader com ações da própria empresa auferem rentabilidade superior à média do mercado. Nesse sentido é importante identificar possíveis movimentos de insiders traders, bem como evidências de retornos anormais. Isso poderia ajudar os órgãos reguladores a serem mais efetivos na coibição desse tipo de operação. Para tanto, foram coletadas 38.141 operações, obtidas em 9.945 formulários de 167 empresas com liquidez em bolsa superior a 1% que foram enviados mensalmente à CVM no período de janeiro de 2006 a dezembro de 2011. O método utilizado para determinar o retorno anormal médio acumulado foi o estudo de eventos, definido a partir do modelo de Campbell, Lo e Mackinlay (1997). Para a concepção da amostra final restaram 109 empresas das quais foram encontradas 665 operações que se destacaram por apresentarem volumes muito superiores à média de negociações realizadas pelos insiders das respectivas empresas. Destas 665 operações, 474 (71,28%) apresentaram retornos anormais. Sendo assim, foram encontradas 281 operações de venda e 193 operações de compra realizadas por insiders que diagnosticaram retornos anormais. As ações vendidas por insiders apresentaram retorno anormal médio de -3,73%, -7,03% e -10,12% após 30, 90 e 180 dias da data da venda, o que sugere que os insiders detinham alguma informação desconhecida do mercado e se anteciparam à futura queda vendendo suas ações. Já as operações de compras realizadas pelos insiders traders foram seguidas de alta das ações, o que sugere que a utilização de informações antecipadas em relação ao mercado para a realização de compras com retornos anormais positivos que foram respectivamente de +5,49%, +8,03% e +10,12%, após 30, 90 e 180 dias. Em seguida, foram efetuados vários procedimentos para avaliar a rentabilidade obtida pelos insiders de acordo com o tipo de controle, origem do capital, setor de atividade, segmento de governança corporativa, tipo de operações, insiders por operações e tamanho da empresa. Estas análises e procedimentos apenas confirmaram os retornos encontrados no computo geral quanto a presença de insider trading no mercado acionário brasileiro. / This study verifies that the operations performed by insider trading with shares of the company earn higher returns than the market average. In this sense it is important to identify possible movements Insider traders, as well as evidence of abnormal returns. This could help regulators to be more effective in the deterrence of such operations. To this end, we collected 38 141 operations, obtained in 9945 Forms 167 companies with liquidity in the stock exceeds 1% who were sent to CVM monthly from January 2006 to December 2011. The method used to determine the average abnormal return was the study of events, defined from the model of Campbell, Lo and Mackinlay (1997). For the design of the final sample remaining 109 companies of which 665 were found to operations stood out for having much higher than average volumes of transactions made by insiders of their respective companies. Of these 665 operations, 474 (71.28%) had abnormal returns. Thus, we found 281 transactions of sale and purchase of 193 operations performed by insiders who diagnosed abnormal returns. The shares sold by insiders showed average abnormal return of -3.73%, -7.03% and -10.12% after 30, 90 and 180 days from the date of sale, which suggests that insiders held some information unknown to the market and the anticipated future selling their shares fall. Since the operations of purchases by insiders traders were followed by high shares, which suggests that the use of advance information about the market to make purchases with positive abnormal returns that were respectively +5.49%, +8 , and 03% +10.12% after 30, 90 and 180 days. Then, several procedures were performed to assess the profitability achieved by insiders according to the control type, source of capital, industry, corporate governance segment, type of transactions, transactions by insiders and company size. These tests and procedures only confirmed the returns found in the general computation as the presence of insider trading in the Brazilian stock market.

This thesis analyses the relationship between insider trading regulation (broadly interpreted) and equity costs of firms on data from the Chinese, South African and Russian capital markets covering the years from 1995 to 2011. Time series analysis showed -- as expected -- that stock markets in each of the countries react in specific ways: E.g. none of the regulatory measures proved effective in decreasing the equity costs in the case of South Africa. Analysis of the Chinses and Russian data showed, however, a possible common feature of the participants on the two markets. It seems that these markets react to mere signals of upcoming regulatory measures rather than on these measures themselves. This interpretation of the results is thus in line with the rational expectations hypothesis.