This dissertation studies the reaction of trading behavior of investors, especially institutional investors, to the public information in Taiwan. Two kinds of public information are chosen in this dissertation. One is open-ending closed-end funds under the regulation set up by Taiwan authority. The other is the change of stocks in MSCI Taiwan Index that is decided by Morgan Stanley Capital International (MSCI), a well-known foreign institution in constructing various indices. Consistent with earlier studies using U.S. data, our results show that open-ending is a wealth-enhancing event for shareholders. We also provide evidence of the existence of noise traders in the closed-end fund market. The evidence is derived from the trading behavior of domestic institutional investors and small individual investors, who ignore price discounts when open-ending is imminent. The trading by noise traders impedes price adjustments to the discounts, and provides profit opportunities to arbitragers. Furthermore, we show that foreign investors gain considerable wealth, largely at the expense of domestic institutional investors and small individual investors, in the open-ending process. On average, their gains account for 30% of the total gains associated with open-ending, or NT$562 millions per case. On the issue of the change of stocks in MSCI Taiwan Index, we find that MSCI prefers to select the securities with good performance, high liquidity, and large firm size into MSCI Taiwan Index while tends to drop the securities with poor performance, lower liquidity, and small firm size from MSCI Taiwan Index. Besides, consistent with the previous studies, prices increase (decrease) significantly for stocks added to (deleted from) the MSCI Taiwan Index after the announcement date. As well as the deletions, the price decreases for unchanging stocks after the announcement date. However, there is no evidence to find that foreign investors have information advantage in MSCI news over domestic investors. Foreign investors increase (decrease) their holdings on stocks included in (excluded from) the MSCI Taiwan Index after the announcement date. Moreover, price pressure hypothesis is not supported. Visibility hypothesis, information content hypothesis, downward sloping demand curves hypothesis are supported. Finally, for additions and deletions, the market-adjusted returns are driven by the contemporaneous excess buy of foreign investors and the contemporaneous excess sells of domestic corporations and individuals.

Este trabalho estuda o impacto do efeito manada do investidor institucional no preço futuro das ações no Brasil. Segundo a literatura internacional, ações compradas (vendidas) pela indústria de fundos de investimentos têm seus preços aumentados (diminuídos) no curto prazo, de 1 a 6 meses. Já no longo prazo, esse efeito se inverte, corroborando a hipótese desestabilizadora de preços do efeito manada dos fundos. Foram realizadas análises em painel com efeitos fixos dos dados mensais da carteira de todos os fundos de investimento brasileiros de 2009 a 2015 e os resultados corroboram parcialmente as expectativas, ações compradas pelos fundos, com persistência positiva, apresentam queda nos retornos futuros, e as ações vendidas pelos fundos, com persistência negativa, sofrem aumento de retornos futuros. Quando separada a variável persistência em persistência de compra e persistência de venda, os resultados são ainda mais surpreendentes, ocorre que as ações compradas pelos fundos apresentam um resultado futuro muito positivo, entretanto as ações vendidas pelos fundos apresentam um retorno futuro, tanto no curto quanto no longo prazo, superior ao das ações compradas. Fundos ativos e pequenos comprando e vendendo ações small caps apresentam um efeito ainda mais forte. / This paper studies the impact of institutional herding on stock prices in Brazil. According to international papers, stocks bought (sold) by the fund industry have their prices increased (decreased) in the short term, from 1 to 6 months. In the long term, this effect is reversed, corroborating the destabilizing hypothesis of the institutional herding on prices. Fixed effects panel analyses were performed with the monthly portfolio data of all stocks held by Brazilian investment funds from 2009 to 2015 and the results partially corroborate expectations, stocks purchased by the funds, with positive persistence, decline in future returns, and stocks sold by the funds, with negative persistence, suffer an increase of future returns. When we separate the persistence variable into persistence of purchase and persistence of sale, the results are even more surprising, it happens that the shares bought by the funds present a very positive result in the following months, however the shares sold by the funds present a future return, both in the short and in the long run, higher than the shares purchased. Small and active funds buying and selling small caps have an even stronger effect.

Uppsatsen undersöker om institutionella investerare nettosäljer innan meddelande om inställd utdelning och om detta beror på asymmetrisk information. Urvalet för studien är företag på Nasdaq OMX Stockholms huvudlistor som har ställt in kontantutdelning under perioden 2004–2018. Studien finner att institutionella investerare nettosäljer under två kvartal innan informationen om inställd utdelning offentliggjorts och att detta troligen beror på asymmetrisk information. Studien visar även att företagsvärdet för de observerade företagen minskar innan meddelande om inställd utdelning. / The paper examines if institutional investors are net sellers prior to dividend omission announcements and if this is due to asymmetric information. By studying companies listed on Nasdaq OMX Stockholm’s main list during the period 2004-2018, we find that institutional investors are net sellers during two quarters prior to dividend omission announcements and that this is likely due to asymmetric information. The study also shows that the market value of the observed companies decreases prior to dividend omission announcements.

The Principles for Responsible Investment (PRI) is a voluntary investor-led initiative, backed by the United Nations. Together, the six principles are meant to provide a ‘best practice’ code of conduct for institutional investors seeking to adopt responsible investment practices with a secondary goal of contributing to improved corporate performance on environmental, social and governance (ESG) issues. Launched in 2006, the PRI has grown to be the single largest global investor initiative with over 700 signatory financial institutions representing assets under management in excess of $US20 trillion. Contributing to the broader literature on plausible explanations for why firms participate in voluntary initiatives, the thesis is primarily concerned with the question of what has motivated institutional investors to create and publicly commit to the PRI. A review of the broader trends behind the growth of responsible investment and the emergence of the PRI indicates the dominant utilitarian, cost-benefit logic is not wholly persuasive in understanding investor motivations. The research findings indicate that decisions to integrate ESG issues and publicly commit to adopting the PRI should be primarily viewed as a response to formal pressures by external stakeholders and actors in an investor’s institutional environment. Regulatory and stakeholder influences in the form of NGO advocacy campaigns have established normative standards directed towards the conduct of investors. As public opinion has shifted to put greater emphasis on sustainable development, the image and reputation of a pension scheme in relation to these trends have come under increasing scrutiny such that being perceived as a ‘responsible’ investor – sometimes even in the absence of a direct market rationale – has become a central driver behind the growth of responsible investment. The decision to adopt the PRI and establish beyond-compliance commitments to integrate ESG issues into investment decision-making should principally be seen as embedded in broader reputational risk management strategies. These findings support complex market rationalism explanations for firm participation in voluntary initiatives which suggest that firms commit to such principles or codes of conduct as a means of assuring stakeholders that their concerns are being internalized into corporate practices. A secondary focus of the thesis is to examine signatory implementation to-date, assessing the adequacy and effectiveness of the voluntary measure for the promotion of more socially-responsible and environmentally-sustainable investments. While substantial progress has been shown by a small group of PRI signatories, it remains unclear whether the PRI has generated significant improvement across the broader signatory base. The PRI suffers from several weaknesses commonly identified in the literature on voluntary initiatives. First, a lack of accountability measures limits incentives for investors to go beyond business-as-usual. Second, less stringent voluntary standards like the PRI are likely to suffer from adverse selection and free riding, therefore threatening the credibility of the initiative’s reputation over the longer-term. Ironically, weaknesses in the institutional design of the PRI may undermine the very reputational benefit sought after by signatories.

This study investigates the long-term and short-term dynamic relationships among the variables of stock returns and institutional investors' buy-sell difference in Taiwan's stock market for the sample periods from Jan., 2000 through May, 2009. Some econometrical methodologies are used in this study, such as unit test, vector autoregressive model, cointegration test, vector error correction model, impulse response function. The major empirical results are shown as follows: 1. Cointegration test For the sample periods, one long-term equilibrium relationship is found from the Johansen's cointegration test, significantly with 5% confidence level between stock year returns and the buy-sell difference for the foreign investment institutions, the domestic investment institutions, and the dealers. The long-term equilibrium relationship is Ry=1.65*QFII+4.28*FUND+35.22*DLR-1142.6. 2. VECM estimation (1)With the vector error correction model (VECM) being applied to the sample periods, the findings indicate that the changes of stock returns are not influenced among the short-term dynamic relationships by the changes of institutional investors' buy-sell difference, but only affected by one-period-lag of itself. (2) Among the short-term dynamic relationships, the changes of foreign investment institutions' buy-sell difference are affected by one-period-lag of institutional investors that positively affected by one-period-lag of the dealers, and inversely affected by one-period-lag of itself and one-period-lag of the domestic investment institutions. However, it is positively affected by one-period-lag of long-term equilibrium, which indicates foreign investment institutions follow positive feedback trading strategies. (3)The changes of the domestic investment institutions' buy-sell difference are only affected by one-period-lag of itself among the short-term dynamic relationships. (4)The changes of the dealers' buy-sell difference are positively affected among the short-term dynamic relationships by one-period-lag of the foreign investment institutions. As for the long-term relationships, it is affected by one-period-lag of long-term equilibrium, which also indicates the dealers follow positive feedback trading strategies. (5)The foreign investment institutions and the dealers have the mutual feedback relationship.

The Principles for Responsible Investment (PRI) is a voluntary investor-led initiative, backed by the United Nations. Together, the six principles are meant to provide a ‘best practice’ code of conduct for institutional investors seeking to adopt responsible investment practices with a secondary goal of contributing to improved corporate performance on environmental, social and governance (ESG) issues. Launched in 2006, the PRI has grown to be the single largest global investor initiative with over 700 signatory financial institutions representing assets under management in excess of $US20 trillion. Contributing to the broader literature on plausible explanations for why firms participate in voluntary initiatives, the thesis is primarily concerned with the question of what has motivated institutional investors to create and publicly commit to the PRI. A review of the broader trends behind the growth of responsible investment and the emergence of the PRI indicates the dominant utilitarian, cost-benefit logic is not wholly persuasive in understanding investor motivations. The research findings indicate that decisions to integrate ESG issues and publicly commit to adopting the PRI should be primarily viewed as a response to formal pressures by external stakeholders and actors in an investor’s institutional environment. Regulatory and stakeholder influences in the form of NGO advocacy campaigns have established normative standards directed towards the conduct of investors. As public opinion has shifted to put greater emphasis on sustainable development, the image and reputation of a pension scheme in relation to these trends have come under increasing scrutiny such that being perceived as a ‘responsible’ investor – sometimes even in the absence of a direct market rationale – has become a central driver behind the growth of responsible investment. The decision to adopt the PRI and establish beyond-compliance commitments to integrate ESG issues into investment decision-making should principally be seen as embedded in broader reputational risk management strategies. These findings support complex market rationalism explanations for firm participation in voluntary initiatives which suggest that firms commit to such principles or codes of conduct as a means of assuring stakeholders that their concerns are being internalized into corporate practices. A secondary focus of the thesis is to examine signatory implementation to-date, assessing the adequacy and effectiveness of the voluntary measure for the promotion of more socially-responsible and environmentally-sustainable investments. While substantial progress has been shown by a small group of PRI signatories, it remains unclear whether the PRI has generated significant improvement across the broader signatory base. The PRI suffers from several weaknesses commonly identified in the literature on voluntary initiatives. First, a lack of accountability measures limits incentives for investors to go beyond business-as-usual. Second, less stringent voluntary standards like the PRI are likely to suffer from adverse selection and free riding, therefore threatening the credibility of the initiative’s reputation over the longer-term. Ironically, weaknesses in the institutional design of the PRI may undermine the very reputational benefit sought after by signatories.

In the first essay, I examine the association between auditor industry specialization and earnings management choices. Prior research suggests that industry specialist auditors constrain accounting-based earnings management. But such actions may cause client companies to seek alternative means to manage earnings. Specifically, companies that hire industry specialist auditors may alter operating decisions to meet earnings targets, referred to as real activities manipulation. This essay investigates whether clients of industry specialist auditors that have an incentive to manage earnings are constrained from managing earnings through accruals manipulation and, therefore, are more likely to engage in real activities manipulation. Further, I examine whether operating performance declines for firms suspected of real activities manipulation. My findings indicate that clients of industry specialist auditors with incentives to manage earnings have lower absolute value of accruals relative to firms with incentives to manage earnings that do not hire industry specialist auditors. These clients of industry specialist auditors are also more likely to engage in real activities manipulation, suggesting this is a possible unintended consequence of hiring an industry specialist auditor. I also document evidence that firms suspected of real activities manipulation have lower future operating performance relative to firms not suspected of real activities manipulation. In the second essay, I examine the association between the tightness of accounting standards and earnings management choices. Prior studies suggest that managers switch from accounting-based earnings management to real activities manipulation in response to tightening accounting standards. My study investigates this line of reasoning. I develop an analytical model and conduct an experimental examination of the effect of flexibility of accounting standards under different institutional environments. I find that managers switch from accounting-based earnings management to real activities manipulation with tightening accounting standards only when the institutional investors have a short-term investment horizon. In contrast, when managers are monitored by institutional investors with a long-term investment horizon, they do not engage in such behavior.

This thesis is an effort to advance our knowledge and understanding of the role that labor plays in shaping corporate financial policies and how it is in turn affected by considerations related to firms' financing. I present three essays on the interaction between finance and labor. First, I provide two examples of how labor affects financial decisions, in which I investigate the impacts that commitment to employee welfare and reliance on skilled labor have on cash management policies. Next, I examine the effect of ownership structure on labor investment decisions as an example of how finance affects human capital. In the first essay, I examine the relation between employee welfare practices and corporate cash holdings. Consistent with the predictions of the stakeholder theory, I find firms that are strongly committed to employee welfare, measured by ratings on employee relations, to hold more cash. The effect of employee welfare standards on cash holdings is stronger for firms in human-capital-intensive, competitive, and low turnover industries in which employees are more important to their businesses. The findings highlight the importance of human capital and employee-friendly practices as an overlooked determinant of cash holdings and suggest that managers can use cash to signal their financial health to current and potential employees, thereby increasing their competitiveness in labor markets. The second essay examines whether a firm's dependence on skilled labor affects its cash holdings. Consistent with a precautionary motive to accumulate cash when higher labor adjustment costs slow a firm's labor demand reaction to cash flow shocks, I find robust evidence that companies with higher shares of skilled labor hold more cash. The effect of skilled labor on cash holdings is more pronounced for firms that are financially constrained, attach higher values to their human capital, operate in competitive product markets, and belong to industries characterized by high labor mobility. The findings suggest that labor heterogeneity, and in particular the skill level of workers is an important determinant of corporate cash policies. The results provide managers of firms, particularly those that are financially constrained, with insights on how to minimize their labor adjustment costs and reduce the risk of losing their valuable human capital. In my third essay, I examine whether the presence of long-term institutional investors, who typically have strong monitoring incentives, can help mitigate agency conflicts associated with firms' employment choices. I find that abnormal net hiring, measured as the absolute deviation from net hiring predicted by economic fundamentals, decreases in the presence of institutional investors with longer investment horizons. Firms dominated by long-term shareholders reduce both over-investment (over-hiring and under-firing) and under-investment in labor (under-hiring).The monitoring role of long-term investors is more pronounced for firms facing higher labor adjustment costs. These findings suggest that institutional investors play an important role in firm-level employment decisions.

O aumento do valor de mercado e da liquidez em bolsa das ações e a expansão da cobertura de analistas e da participação de investidores institucionais são apontados na literatura como metas centrais dos programas de Relações com Investidores - RI. Os resultados de estudos internacionais apontaram relação significativa entre características dos programas de RI das companhias e a consecução destas metas. Entretanto, para o cenário brasileiro, as pesquisas sobre relações com investidores em sua maioria tomam o formato de questionários e visam avaliar a estrutura e o valor das RI na percepção dos profissionais da área e do mercado. Pouco realmente se sabe sobre os efeitos das RI no comportamento das ações das empresas brasileiras. Portanto, o objetivo deste estudo é verificar se a estrutura e as atividades de relações com investidores são realmente fatores determinantes da valorização das ações, liquidez em bolsa, cobertura de analistas e participação de investidores institucionais para as companhias abertas brasileiras. Os resultados encontrados apontam que as características dos departamentos de RI tem impacto indireto na liquidez das ações, através da expansão da cobertura de analistas e do número de investidores institucionais. O número de funcionários do departamento de RI apareceu como determinante importante tanto da cobertura de analistas quanto da participação de investidores institucionais. Já a qualidade das relações com investidores e o fato da empresa possuir um diretor exclusivo de RI apareceram como fatores explicativos importantes da cobertura de analistas. A principal contribuição deste trabalho é a de analisar uma questão até então negligenciada pela literatura acadêmica brasileira, mas que pode ter implicações importantes para uma das atividades vitais das companhias: seu relacionamento com os investidores. / The increase in the stocks’ market value, liquidity, analyst following and participation of institutional investors are mentioned in the literature as central goals of Investor Relations programs. International studies have shown the relationship between characteristics of IR programs and the achievement of these goals. However, to the Brazilian context, research on investor relations mostly take the form of questionnaires and aim to evaluate the structure and value of IR in the perception of IR professionals and the market. Little is actually known about the effects of IR on the behavior of the stocks of Brazilian companies. Therefore, the aim of this study is to verify if the organization and activities of investor relations are actually determinants of stock appreciation, stock liquidity, analyst following and institutional ownership for Brazilian companies. The results show that the characteristics of the IR department have indirect effect on the liquidity of the stocks through the expansion of analyst coverage and institutional ownership. The number of employees working in the IR department emerged as important determinant of both analyst following and institutional ownership. The quality of investor relations program and the fact that the company has an exclusive director of IR emerged as important explanatory factors of analyst following. The main contribution of this paper is to analyze an issue so far neglected by the Brazilian academic literature, but which may have important implications for one of the vital activities of the companies: their relationship with investors.

O aumento do valor de mercado e da liquidez em bolsa das ações e a expansão da cobertura de analistas e da participação de investidores institucionais são apontados na literatura como metas centrais dos programas de Relações com Investidores - RI. Os resultados de estudos internacionais apontaram relação significativa entre características dos programas de RI das companhias e a consecução destas metas. Entretanto, para o cenário brasileiro, as pesquisas sobre relações com investidores em sua maioria tomam o formato de questionários e visam avaliar a estrutura e o valor das RI na percepção dos profissionais da área e do mercado. Pouco realmente se sabe sobre os efeitos das RI no comportamento das ações das empresas brasileiras. Portanto, o objetivo deste estudo é verificar se a estrutura e as atividades de relações com investidores são realmente fatores determinantes da valorização das ações, liquidez em bolsa, cobertura de analistas e participação de investidores institucionais para as companhias abertas brasileiras. Os resultados encontrados apontam que as características dos departamentos de RI tem impacto indireto na liquidez das ações, através da expansão da cobertura de analistas e do número de investidores institucionais. O número de funcionários do departamento de RI apareceu como determinante importante tanto da cobertura de analistas quanto da participação de investidores institucionais. Já a qualidade das relações com investidores e o fato da empresa possuir um diretor exclusivo de RI apareceram como fatores explicativos importantes da cobertura de analistas. A principal contribuição deste trabalho é a de analisar uma questão até então negligenciada pela literatura acadêmica brasileira, mas que pode ter implicações importantes para uma das atividades vitais das companhias: seu relacionamento com os investidores. / The increase in the stocks’ market value, liquidity, analyst following and participation of institutional investors are mentioned in the literature as central goals of Investor Relations programs. International studies have shown the relationship between characteristics of IR programs and the achievement of these goals. However, to the Brazilian context, research on investor relations mostly take the form of questionnaires and aim to evaluate the structure and value of IR in the perception of IR professionals and the market. Little is actually known about the effects of IR on the behavior of the stocks of Brazilian companies. Therefore, the aim of this study is to verify if the organization and activities of investor relations are actually determinants of stock appreciation, stock liquidity, analyst following and institutional ownership for Brazilian companies. The results show that the characteristics of the IR department have indirect effect on the liquidity of the stocks through the expansion of analyst coverage and institutional ownership. The number of employees working in the IR department emerged as important determinant of both analyst following and institutional ownership. The quality of investor relations program and the fact that the company has an exclusive director of IR emerged as important explanatory factors of analyst following. The main contribution of this paper is to analyze an issue so far neglected by the Brazilian academic literature, but which may have important implications for one of the vital activities of the companies: their relationship with investors.