We examine how investor sentiment affects the changes in implied volatility, and discover investor sentiment has impact on the size of the changes in implied volatility through returns, especially when returns are negative. We examine the short-tern relation between the S&P 500 index returns and the changes of VIX from January 1990 to January 2011, and between the NASDAQ-100 index returns and the changes of VXN from February 2001 to January 2011 with proxy for beginning-of-period investor sentiment at both the daily and weekly level. We find that during high sentiment periods, the negative and asymmetric relation of return to changes in implied volatility can be mitigated significantly. When returns are segregated into positive and negative returns, investor sentiment has different impact on the size of changes in implied volatility. In negative returns, investors are more panic than in positive returns, but the panic can be mitigated significantly when investors are in high sentiment. Thus, sentiment can alter the risk attitude of investors and reduce their panic in the future, especially when market has negative performance.

Three Essays on Stock Market Seasonality Hyung-Suk Choi 136 pages Directed by Dr. Cheol S. Eun In chapter 1, we examine seasonality in returns to style portfolios, which serve as important benchmarks for asset allocation, and investigate its implications for investment. In doing so, we consider monthly returns on the style portfolios classified by six size/book-to-market sorting and six size/prior-return sorting over the sample period 1927 - 2006. The key findings are: first, as is well documented in the literature, small-cap oriented portfolios are subject to the January effect, but also to the 'negative' September and October effects. Second, cross-style return dispersion exhibits a seasonal pattern of its own (it is largest in January and smallest in August), suggesting possibly profitable trading strategies. Third, our seasonal strategies indeed yield significant profits, as high as about 18.7 % per annum. This profit is mostly attributable to the seasonal autocorrelation in style returns. Lastly, we find substantial seasonal patterns in style returns not only in the U.S. but also in other major stock markets Germany, Japan, and the U.K. Our seasonal style rotation strategy yields economically and statistically significant profits in all of these stock markets. In chapter 2, we examine the abnormal, negative stock returns in September which have received little attention from academic researchers. We find that in most of the 18 developed stock markets the mean return in September is negative and in 15 countries it is significantly lower than the unconditional monthly mean return. This September effect has not weakened in the recent period. Further, the examinations of the various style portfolios in the US market show that the September effect is the most pervasive anomalous phenomenon that is not affected by size, book-to-market ratio, past performance, or industry. Our finding suggests that the forward looking nature of stock prices combined with the negative economic growth in the last quarter causes the September effect. Especially in the fall season when most investors become more risk averse, the stock prices reflect the future economic growth more than the rest of the year. Our investment strategy based on the September effect yields a higher mean return and a lower standard deviation than the buy-and-hold strategy. In chapter 3, we establish the presence of seasonality in the cash flows to the U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to the increased purchases, and the small net flows in December are due to the increased redemptions. Thus, the turn-of-the-year period is the time when most mutual fund investors make their investment decisions. We offer the possible sources for the seasonality in mutual funds flows.

This thesis presents three related essays on the dynamic relationship between different types of investment flow and prices in the equity market. These studies attempt to provide greater insight into the evolution of prices by investigating not ???what moves prices??? but ???who moves prices??? by utilising a unique database from the Korean Stock Exchange. The first essay investigates the trading behaviour and performance of online equity investors in comparison to other investors on the Korean stock market. Whilst the usage of online resources for trading is becoming more and more prevalent in financial markets, the literature on the role of online investors and their impact on prices is limited. The main finding arising from this essay supports the claim that online investors are noise traders at an aggregate level. Whereas foreigners show distinct trading patterns as a group in terms of consensus on the direction of market movements, online investors do not show such distinct trading patterns. The essay concludes that online investors do not trade on clear information signals and introduce noise into the market. Direct performance and market timing ability measures further show that online investors are the worst performers and market timers whereas foreign investors consistently show outstanding performance and market timing ability. Domestic mutual funds in Korea have not been extensively researched. The second essay analyses mutual fund activity and relations between stock market returns and mutual fund flows in Korea. Although regulatory authorities have been cautious about introducing competing funds, contractual-type mutual funds have not been cannibalized by the US-style corporate mutual funds that started trading in 1998. Negative feedback trading activity is observed between stock market returns and mutual fund flows, measured as net trading volumes using stock purchases and sales volume. It is predominantly returns that drive flows, although stock purchases contain information about returns, partially supporting the price pressure hypothesis. After controlling for declining markets, the results suggest Korean equity fund managers tend to swing indiscriminately between increasing purchases and increasing sales in times of rising market volatility, possibly viewing volatility as an opportunity to profit and defying the mean-variance framework that predicts investors should retract from the market as volatility increases. Mutual funds respond indifferently to wide dispersions in investor beliefs. The third essay focuses on the conflicting issue of home bias by looking at the impact on domestic prices of foreign trades relative to locals using high frequency data from the Korean Stock Exchange (KSE). This essay extends the work of Choe, Kho and Stulz (2004) (CKS) in three ways. First, it analyses the post-Asian financial crisis period, whereas CKS (2004) analyse the crisis (1996-98) period. Second, this essay adopts a modified version of the CKS method to better capture the aggregate behaviour of each investor-type by utilising the participation ratio in comparison to the CKS method. Third, this essay does not limit investigation to intra-day analysis but extends to daily analysis up to 50 days to observe the effect of intensive trading activity in a longer horizon than the CKS study. In contrast to the CKS findings, this paper finds that foreigners have a short-lived private information advantage over locals and trades by foreigners have a larger impact on prices using intra-day data. However, assuming investors buy-hold for up to 50 days, the local individuals provide a greater impact and more profitable returns than foreigners. Superior performance is documented for buys rather than sells.

This thesis provides evidence enabling an analysis of systemic director-auditor links, their nature, their determinants, their association with audit quality as an important component of corporate governance, and investor confidence in companies displaying these links. / The motivation for examining interpersonal associations between directors and auditors comes from several sources. First is the observation that auditing is a knowledge-based service the quality of which is difficult to evaluate even after the product has been experienced, adding to the complexity of the purchasing decision (Murray 1991). The use of personal contacts to scan the business environment, disseminate information and reduce uncertainty is likely to assist that evaluation and so aid in auditor selection. One manifestation of these personal contacts is directors who hold directorships on more than one board, creating networks of ties between companies known as interlocking directorates. It tends to be non-executive or external directors who create these ties because they have more time to devote to multiple directorships. Interlocking directorates are a long-standing phenomenon that has been examined in the economics, organisational behaviour and sociology literatures and are argued to engender trust, and mediate transactions. Some countries restrict such directorate ties between industry competitors because of their potential to encourage collusion and competitive disadvantage but Australia has no such restrictions. / In order to promote practice growth and firm survival, public accounting firms are known to tap into these networks, which often include former employees, encouraging personal contacts with, amongst others, directors of clients and potential clients. In this way, it is argued, companies interlocked through common directors tend to be audited by a common audit firm with the links extending to even audit partners. Extensive analysis of these interlocking directorates supports these arguments and finds that the association between interlocking directorates and director-auditor links becomes stronger as intra-industry and within confined geographical region data partitioning occurs and varies across audit firms. This variation across firms is subsequently used to model with some success auditor choice - even within the Big 6. / Systematic ties between directors and audit firms and/or audit partners potentially threaten at least the appearance of auditor independence, if not the fact. On the other hand, following the DeAngelo (1981)auditor size argument, the potential loss of a ‘family’ of clients associated with a single director if audit quality is degraded may actually enhance audit quality. This thesis argues that directors value personal contact in auditor-client relationships but are aware of the potentially damaging connotations arising from such interpersonal associations and the potential for investor disquiet about them. Implicit in this argument is an assumption that investors are both interested and active in matters of corporate governance, including the audit as a component of corporate governance. As such, the formation of director-auditor links is argued to be contingent on the balance of power between directors and shareholders and the strength of other aspects of corporate governance beside the audit function. Empirical results support this hypothesis only for interlocking created between two or more directors of companies in the same industry. / Evidence of director-auditor link association with audit quality is then sought by analysing qualifications and discretionary accruals in the presence of these links. Although alternative explanations are possible, some evidence is found of reduced audit quality. However, using the frequency with which an investor chooses to invest across companies audited by the same auditor as a measure of investor confidence in that auditor, results show that audit quality attributes are valued by investors and that director-auditor links are not associated negatively with investor confidence. Additional tests that examine the association between director-auditor links and various measures of organisational performance find little evidence of negative connotations. Public policy implications flow from the findings and these are discussed together with limitations and ideas for future research.

Universiẗat, Diss.--St. Gallen, 2004.

Europ. Business School, Diss.--Oestrich-Winkel, 2002.

Thesis (doctoral)--Universität St. Gallen, 2002.

Zugl.: Leipzig, Univ., Diss., 2009

This thesis deals with venture capital as an alternative source of financing in the Czech Republic. The aim of the thesis is to identify and comprehensively evaluate the impact of venture capital investment on the economic performance of the selected small and medium enterprises, based on the analysis of the venture capital market. The literature research represents an input of the issue of venture capital. Custom work brings closer an existing development venture capital in the Czech Republic. After that it deals with the influence of venture capital on the performance of selected businesses from the sector information and communication technologies, through selected absolute and relative indicators of financial analysis, bankruptcy models and indicators of value creation for shareholders. The results are compared with studies in discussion and then they are subsequently formulated into proposals and recommendations.

The main object of this Diploma Thesis is according to collective investment through mutual funds formulate appropriate portfolio model for different types investors of retail banking. Theoretical part of the thesis is focuses on information and rules of investements, advantages and disadvanteges of collective investmentm fund types and their strategies. The practical part parses the selected mutual funds and then compares according to historical performance and riskiness. In the last part of it is handled by the main target. In this section are created model portfolia for individual investors, which are diversified and selected investment companies. Each of the suggestions and recommendations of the model portfolios correspond to the principles of conservative, balanced and dynamic investor.