The first essay examines the impact of investor protection, market monitoring, and liquidity on the firm-level and country-level earnings management using a sample of 432 firms from 34 countries cross-listed in the U.S. The major findings are as follows: First, cross-listed firms from countries with strong legal system, strong outside investor rights, more institutional investors, and higher financial transparency are less likely to engage in earnings management. In addition, in countries with strong investor protection or market monitoring, the level of earnings management is more pronounced for illiquid firms as compared to liquid firms. Second, cross-listed firms following IFRS have lower propensity in earnings management than those following the U.S. GAAP. Third, the degree of earnings management for cross-listed firms is greater in the home country than in the U.S. market. Fourth, cross-listed firms have higher earnings management in the pre-listing period than in the post-listing period. Fifth, foreign firms listed in U.S. major markets have lower propensity to engage in earnings management than those listed in the OTC market. The findings remain robust with the inclusion of industry fixed effects and GMM estimation. All findings are largely consistent with my hypotheses that better investor protection, greater market monitoring, and higher liquidity reduce the extent of earnings management. The second essay examines the relative contribution to price discovery process of EURO/USD currency futures traded on two major exchanges: Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using the intraday data in 2010. The relative contribution to price discovery is estimated using the information share approach of Hasbrouck (1995). Empirical findings indicate that CME accounts for approximately 87% of price discovery in the EURO/USD market and its contribution is substantially larger in the morning than that in the afternoon. This study also examines the effect of trading characteristics, including volume, quoted bid-ask spread, and price volatility, on information share. CME’s price discovery leadership is attributed to its high trading activity, low transaction costs, and lower volatility. The results support the liquidity hypothesis that a market with greater liquidity contributes more to price discovery.

This thesis conceptualizes a generic monitoring framework for online markets, which has also been implemented in a prototypic fashion. Thereby identifying a set of arising challenges for which solutions have been developed. An introductory section gives a short overview of the field of research, states identified scientfic challenges and derives research questions thereof. The following articles describe (i) the general approach of an online market monitor, (ii) how to encapsulate domain-dependent configurations & functionalities from monitoring core modules to facilitate a generic approach, (iii) change frequency estimation for observational units in a dynamic and fuzzy population setting, (iv) the development of an adaptive harvest heuristic scheduling new observations by utilizing the change frequency estimator, (v) how to make use of collected market information in form of business intelligence reports and finally (vi) an exemplary meta-analysis showing how to draw further conclusions about market mechanisms.

This thesis examines the stock market price variations associated with physical asset expenditure announcements in Australia. With the exception of the study of Chen and Ho (1997) in Singapore, most capital expenditure studies in other markets investigate the announcement effects associated with changes in budgeted capital expenditures. The fact that there is almost never any firm level capital budget announcement in Australia presents a unique opportunity to examine individual physical asset expenditure announcements. ¶ Three primary hypotheses pertaining to growth opportunities, free cash flow theory, and the capital market monitoring argument are developed and tested. These arguments are formulated to explain the abnormal return variations associated with physical asset expenditure announcements. The growth opportunities hypothesis posits that the abnormal returns at physical asset expenditure announcements are positively related to a firm's growth opportunities. Both free cash flow theory and capital market monitoring hypothesis postulate that the abnormal returns at physical asset expenditure announcements are negatively related to a firm's free cash flow, and cash flow respectively. Other control explanators are incorporated from the merger and takeovers literature. ¶ Event study methodology is used to examine the abnormal returns associated with physical asset expenditure announcements. Two sets of data, intraday and daily, are used to investigate the market reaction. Intraday returns are calculated on a time-weighted approach and two methods are used to calculate intraday abnormal returns. The first method defines abnormal returns as the difference between actual returns and market returns. The second method defines abnormal returns as the difference between market-adjusted returns and market-adjusted returns on a control portfolio. Daily abnormal returns are calculated using the market model. ¶ Both univariate and multivariate analyses provide strong support for the growth opportunities hypothesis. The results suggest the quality of firms' growth opportunities is the key variable determining the direction and magnitude of the abnormal returns at announcement. Support for the capital monitoring argument and the free cash flow theory is mixed, generally with a lack of support. The free cash flow variable is found to be significantly negatively related to abnormal returns, only when a finer dummy is used in the multivariate regression. All other control variables are found to be insignificant in explaining the stock market variations once the growth opportunities variable is included in the regression. ¶ This thesis makes the following contributions. First, this thesis presents the initial empirical evidence concerning physical asset expenditure announcements in Australia. Second, the thesis shows that the quality of a firm's growth opportunities is the key factor in determining the direction and magnitude of abnormal returns around physical asset expenditure announcements. These results also suggest that the equity market in Australia reacts to physical asset expenditure announcements which contain information pertaining to growth opportunities rather than the relative size of the physical asset expenditure transactions to firm value. Third, support for the capital monitoring argument and the free cash flow theory is not strong. Fourth, all other control variables are found to be insignificant in explaining the stock market variations once market to book ratio is included in the regression. Fifth, the results suggest that prior research which fails to segregate market to book ratio and free cash flow proxy into finer partitions may have possibly underestimated the market to book and the free cash flow effects.

Ontologies are a key factor of Information management as they provide a common representation to any domain. Historically, finance domain has suffered from a lack of efficiency in managing vast amounts of financial data, a lack of communication and knowledge sharing between analysts. Particularly, with the growth of fraud in financial markets, cases are challenging, complex, and involve a huge volume of information. Gathering facts and evidence is often complex. Thus, the impetus for building a financial fraud ontology arises from the continuous improvement and development of financial market surveillance systems with high analytical capabilities to capture frauds which is essential to guarantee and preserve an efficient market.This thesis proposes an ontology-based approach for financial market surveillance systems. The proposed ontology acts as a semantic representation of mining concepts from unstructured resources and other internet sources (corpus). The ontology contains a comprehensive concept system that can act as a semantically rich knowledge base for a market monitoring system. This could help fraud analysts to understand financial fraud practices, assist open investigation by managing relevant facts gathered for case investigations, providing early detection techniques of fraudulent activities, developing prevention practices, and sharing manipulation patterns from prosecuted cases with investigators and relevant users. The usefulness of the ontology will be evaluated through three case studies, which not only help to explain how manipulation in markets works, but will also demonstrate how the ontology can be used as a framework for the extraction process and capturing information related to financial fraud, to improve the performance of surveillance systems in fraud monitoring. Given that most manipulation cases occur in the unregulated markets, this thesis uses a sample of fraud cases from the unregulated markets. On the empirical side, the thesis presents examples of novel applications of text-mining tools and data-processing components, developing off-line surveillance systems that are fully working prototypes which could train the ontology in the most recent manipulation techniques.

Работа посвящена анализу развития рынка бытовых услуг в Ленинском районе города Екатеринбурга, его маркетинговому подходу и управленческим технологиям. Теоретически было рассмотрена сущность и значение рынка бытовых услуг, а также нормативно-правовая база. Рынок бытовых услуг в муниципальном образовании был раскрыт с разных сторон: со стороны населения, потребителей этих услуг, со стороны предпринимателей, предоставляющие данные услуги и со стороны органов местного самоуправления, которые контролируют этот рынок. В работе раскрыты технологии развития рынка бытовых услуг, предоставляемых населению в Ленинском районе города Екатеринбурга. Определены способы и рекомендации по совершенствованию процесса развития рынка бытовых услуг в Ленинском районе города Екатеринбурга. / The paper is devoted to the analysis of the development of the consumer services market in the Leninsky district of the city of Yekaterinburg, its marketing approach and management technologies. The essence and significance of the consumer services market, as well as the regulatory framework, were theoretically considered. The market of consumer services in the municipality was revealed from different sides: from the side of the population, consumers of these services, from the side of entrepreneurs who provide these services and from the side of local authorities that control this market. The paper reveals the technologies for the development of the market of consumer services provided to the population in the Leninsky district of the city of Yekaterinburg. The methods and recommendations for improving the process of development of the market of consumer services in the Leninsky district of the city of Yekaterinburg are determined.

Cette thèse est composée de trois chapitres distincts.Dans le premier chapitre, je montre que les mesures de liquidités traditionnelles, telles que la profondeur du marché, ne sont pas toujours pertinentes pour mesurer le bien-être des investisseurs. Je construis un modèle de marché conduit par les ordres et montre qu'une offre de liquidité élevée peut correspondre à de mauvaises conditions d'éxécution pour les fournisseurs de liquidité et à un bien-être relativement faible.Dans le deuxième chapitre, je modélise la vitesse des ajustements de prix à l'arrivée de nouvelles dans les marchés conduits pas les ordres, lorsque les investisseurs ont une capacité d'attention limitée.En raison de leur attention limitée, les investisseurs suivent imparfaitement l'arrivée de nouvelles. Ainsi, les prix s'ajustent aux nouvelles après un certain délai. Ce délai diminue lorsque le niveau d'attention des investisseurs augmente.Le délai d'ajustement des prix diminue également lorsque la fréquence à laquelle les nouvelles arrivent, augmente. Le troisième chapitre présente un travail écrit en collaboration avec Thierry Foucault. Nous construisons un modèle pour expliquer en quoi le trading à haute fréquence peut générer des "mini flash crashes" (un brusque changement de prix suivi d'un retour très rapide au niveau antérieur). Notre théorie est basée sur l'idée qu'il existe une tension entre la vitesse à laquelle l'information peut être acquise et la précision de cette information. Lorsque les traders à haute fréquence mettent en oeuvre des stratégies impliquant des réactions rapides à des événements de marché, ils augmentent leur risque à réagir à du bruit et génèrent ainsi des "mini flash crashes". Néanmoins, ils augmentent l'efficience informationnelle du marché. / This dissertation is made of three distinct chapters. In the first chapter, I show that traditional liquidity measures, such as market depth, are not always relevant to measure investors' welfare. I build a limit order market model and show that a high level of liquidity supply can correspond to poor execution conditions for liquidity providers and to a relatively low welfare.In the second chapter, I model the speed of price adjustments to news arrival in limit order markets when investors have limited attention.Because of limited attention, investors imperfectly monitor news arrival. Consequently prices reflect news with delay. This delay shrinks when investors' attention capacity increases. The price adjustment delay also decreases when the frequency of new arrival increases. The third chapter presents a joint work with Thierry Foucault. We build a model to explain why high frequency trading can generate mini-flash crashes (a sudden sharp change in the price of a stock followed by a very quick rversal). Our theory is based on the idea that there is a trade-off between speed and precision in the acquisition of information. When high frequency traders implement strategies involving fast reaction to market events, they increase their risk to trade on noise and thus generate mini flash crashes. Nonetheless they increase market efficiency.

The thesis introduces a framework for analysing market monitoring and surveillance systems in order to provide a common foundation for researchers and practitioners to specify, design, implement, compare and evaluate such systems. The proposed framework serves as a reference map for researchers and practitioners to position their work in the context of market monitoring and surveillance, resulting in a useful instrument for the analysis, testing and management of such systems. More specifically, the thesis examines the new requirements for the operation of financial markets, the role of technologies, the recent consultations on the structure and governance of EU and US markets, as well as, future usage scenarios and emerging technologies. It examines the context in which market monitoring and market surveillance systems are currently been used. It reports on their processes, performance, and on the organisational and regulatory environments in which they exist. Furthermore, it develops a set of taxonomies which cover the majority of the concepts of market manipulation, market monitoring, market surveillance, entities, technologies and actors that are relevant for the work in this thesis. Building on the gaps and limitations of the current systems, it proposes a new framework following the Design Science methodology. The usefulness of the framework is evaluated through four critical case studies, which not only help to understand with practical exercises the way how markets monitoring and surveillance systems work, but also to investigate their weaknesses, potential evolution and ways to improve them. For each case study, the thesis develops a fully working prototype tested using a sample prosecution case and evaluated in terms of the appropriateness and suitability of the proposed framework. Finally, implications relating to policies, procedures and future market structures are discussed followed by suggestions for future research.