Extant literature finds that long-term abnormal stock returns are generated by a strategy based on corporate governance index values (Gompers, Ishii, and Metrick 2003). The result is inconsistent with efficient markets and suggests that information about governance is not accurately reflected in market data. Control firm portfolios are used to mitigate model misspecification in measuring long-term abnormal returns. Using a number of different matching criteria and governance indices, no long-term abnormal returns are found to trading strategies based on corporate governance. The effect of a change in governance on firm value is mixed, but some support is found for poor governance destroying firm value. These results have a number of implications for practitioners, researchers, and policy makers.

I investigated whether implementing SOP 97-2, the revenue-recognition standard for the software industry, reduces earnings informativeness. This standard is particularly important for two reasons: First, its provisions coincide with provisions of SAB 101, the current general revenue-recognition standard. Second, the software industry provides a laboratory setting for examining multiple-element firms, whose revenue-recognition challenges keep mounting as more and more firms bundle multiple products and services. I found that implementing SOP 97-2 leads to additional revenue deferrals and a decline in earnings informativeness. However, the market prices these deferrals as revenues, as if these amounts had not been deferred. Moreover, the proforma earnings, which I calculated by undoing the revenue deferrals, more strongly correspond with market returns than do the reported earnings. My findings indicate that the accounting numbers calculated using the pre-SOP 97-2 revenue-recognition rules more strongly correspond with market returns than do those calculated using SOP 97-2. My findings should interest FASB in its project on developing a new revenue-recognition standard.

<p>Background and purpose</p><p>In Sweden private savings in stocks has experienced a large increase and in year 2006 there were 6.7 million people, or 77 per cent of the population owning stocks. A recent study shows that more than every other Swede has deficient knowledge in trading with stocks. Since small private investors often do not know how to gather and interpret information they must utilize investment advices. The large increase in private savings in stocks, the lack of investment knowledge together with the large increase in Internet usage has resulted in investment advice seeking on the Internet. One of the largest sources of investment advices on the Internet in Sweden today is Avanza.se. The purpose with our thesis is to describe and analyze if, after a buy recommendation issued at Avanza’s website, the effects with respect to abnormal return and market efficiency differ significantly depending on a company’s capitalization value.</p><p>Method</p><p>We have used a quantitative approach to fulfill our purpose. The secondary data required to do so was gathered from the OMX-Group’s website, where historical prices and Index information was collected, and from the online broker Avanza’s website where the buy recommendations were compiled. In order to conduct statistical tests and calculations we have used the statistical software SPSS.</p><p>Frame of Reference</p><p>The theories we made use of mainly treated market efficiency and abnormal return.</p><p>Conclusions</p><p>We have seen that the recommendations’ effect concerning abnormal return differ signifi-cantly depending on capitalization value, where the effect on companies with smaller capitalization values are larger. We have also found tendencies of market inefficiency at the semi strong level for stocks with smaller capitalization value.</p>

<p>Problem: An efficient market fully reflects all available information about a company in its share price. Furthermore any new information presented about a company will lead to an instant adaptation in the share price. Henceforth an investor can not reach abnormal returns on an efficient market. The Stockholm stock exchange is afairly large stock exchange with a turnover of SEK 14000 millions per day. Prior studies conducted regarding the efficiency of the Stockholm stock exchange have stated that the stock exchange was efficient on a semistrong level. However these studies were conducted with a time frame of several weeks and therefore the authors distinguished a need for a study aiming at short term efficiency. Furthermore this thesis aims to investigate the effects of the presentation of positive annual and interim reports. A positive report is defined as a report that leads to an increase in share price the day it is presented and consequently includes all events on the day of the presentation, e.g. the press conference. The thesis was written from an investors’ perspective, who is about to buy shares.</p><p>Purpose: The purpose of this thesis was to describe and analyze the Stockholm stock exchange market’s efficiency. This was done during the days surrounding the presentation of annual and interim reports rendering an increase in share price. Furthermore the possibilities of making abnormal returns by buying shares during this period were investigated.</p><p>Method: To investigate the efficiency of the Stockholm stock exchange an event study was carried out. Data regarding the performance of the shares of the fifteen most traded com-panies on the Stockholm stock exchange were collected from the OMX groups’ homepage. The chosen companies together represented more than fifty percent of the turnover of the OMXS 30 index. The index was used as a benchmark for measuring the efficiency. The share price movement was analyzed with a quantitative approach through a statistical T-test with the assistance of the SPSS 13.0.</p><p>Result: The authors claim that the Stockholm stock exchange is not efficient on a semistrong level the day after the presentation of a positive report, as the shares displayed a negative abnormal deviation from the OMXS 30 index. The deviation was statistically verified. However the authors state that no abnormal returns can be reached by buying shares during this period since the deviation was negative. The period as a whole and the other tested days came out as efficient on a semi-strong level.</p>

<p>Föreliggande uppsats undersöker om det har funnits någon indikation av insiderhandel för tio utvalda företag på Stockholmsbörsen under andra halvan av 2004 när dessa företag presenterar vinstvarningar. Uppsatsen beskriver huvuddragen av den Svenska insider-lagstiftning, och framlägger argument för en effektiv lagstiftning både från ett ekonomiskt och också från ett juridiskt perspektiv.</p><p>De tio företagen har analyserats under en trettio dagars period. Slutsatsen är att det har förekommit indikationer på insiderhandel i två företag under perioden fram till vinstvarningen.</p><p>Denna uppsats presenterades och försvarades våren 2005 vid Internationella Handelshögskolan i Jönköping.</p> / <p>This thesis analyzes if there has been any indication of insider trading for ten selected-companies on the Stockholm Stock Exchange during the second half of 2004 when these companies have reported loss announcements. It outlines the Swedish insider leg-islation, and put forward arguments for an effective insider legislation from an eco-nomic and legal perspective.</p><p>The ten companies have been analyzed during a thirty days period. The conclusion is that there is signs of insider trading in two companies during the period prior to the loss announcement date.</p><p>This thesis was presented and defended in the spring of 2005 at Jönköping International Business School.</p>

<p>Background: A well-known study, similar to ours, was made in 1985 in America, showing that "loser" portfolios outperformed the market while "winner" portfolios earned less return than the market. This finding is not in accordance with the theory of efficient markets. If a market is efficient, there should be no possibility of making sustainable excess returns and prices should follow a random walk. </p><p>Purpose: The purpose of this thesis is to study a "winner" portfolio and a "loser" portfolio in order to establish whether the Swedish stock market is efficient in the weak form. We will study the efficiency of the A-list at Stockholm Stock Exchange. </p><p>Delimitations: We test efficiency of the Swedish stock market in the weak form. Our investigation comprises stocks registered on the A-list of the Stockholm Stock Exchange. We do not take tax- and transactions costs into consideration in this study. </p><p>Methodology: "Winner" and "loser" portfolios are formed for the period 1997- 2002. We keep the portfolios during a test period of one year, i.e. form new portfolios at the end of each year. The first winner and loser portfolios are selected on the last day of trading in 1996 and the last two portfolios are selected on the last day of trading in 2001. </p><p>Results: Our result indicates that the Swedish stock market is efficient in the weak form during the period 1997-2002.</p>

In theory, all relevant information is incorporated in stock prices timely and completely and therefore prices respond related news quickly in efficient financial markets. In today's information age, technological advances provide investors with fast access to a vast number of information resources. One can argue that these advances can help market efficiency due to easy and quick access to relevant information. On the other hand, these technological advances not only facilitate availability of relevant information but also facilitate availability of all types of information--both relevant and irrelevant information signals. In essence, one can argue that there is (over)exposure to information which may come with a cost in the form of distraction and limited attention to relevant information. After considering these previous points, this study sheds more light on investor distraction and its impact on stock prices in two essays. My first essay introduces a new type of investor distraction, which arises from the discrepancy between investors' mood state and the content of the firm news. My second essay shows the importance of culture to explain investors' information processing .Moreover; the findings of my second essay are consistent with an investor distraction effect caused by cultural factors which are assumed as irrelevant factors in investors' information environment. In my first essay titled "Overexposure to Unrelated News and Investor Distraction: Earnings News and Big Sports Games", I use mood-generating events - proxied by big sports games -that contain no information on firm fundamentals but occur concurrently with earnings vi announcements to test the hypothesis that investors' attention shifts away from financial news that is incongruent with investors' mood states, thereby leading to underreaction. I empirically confirm the existence of mood-conflicting distraction. I find stronger post-earnings announcement drift and delayed response ratio, and weaker immediate volume reaction, when the earnings announcing firm's local investors' sports mood is inconsistent with the earnings news' content (good vs. bad). This effect strengthens with firm's proximity to the location of the mood source. In my secon essay titled "Post-Earnings Announcement and Religious Holidays", I show the role of culture, proxied by religion, in financial information processing and the impact of culture on financial outcomes through investor inattention. I examine whether and how the religious holiday calendar affects investors' information processing by investigating price reactions to U.S. firms' earnings announcements that occur during Easter week. I find different patterns for short-term and delayed responses to Easter week earnings surprises. Moreover, there is a stronger immediate (delayed) reaction to good (bad) news, primarily found in less religious, predominantly Protestant areas. The results are consistent with a religion-induced investor distraction effect. The findings also show the role of religious characteristics in firms' information environment and the locality of stock prices.

We reexamine the stock price drifts following open-market stock repurchase announcements by differentiating actual repurchases from repurchase announcements and by controlling for the repurchasing firms' earnings improvement in the announcement year relative to the prior year. Our results show that only firms that actually repurchase their shares exhibit a positive post-announcement drift. More importantly, we find that these repurchasing firms have the same post-announcement drift as their matching firms that have similar size and earnings performance but do not repurchase. Further analysis indicates that the post-repurchase announcement drift is not a distinct anomaly but the well-documented post-earnings announcement drift in disguise. In addition, previous studies suggest that the market perceives IPOs as bad news (i.e., competitive threats) to existing firms in the same industry. At the same time, the market has a tendency to be overly optimistic about IPO prospects, especially during hot IPO markets. Thus, the negative industry rival reaction could be the result of investors' over-optimism toward the IPOs' growth prospects and underestimation of the competitive positions of industry rivals. Our findings show that rival firms use repurchases as a means to signal their firm quality, as well as to correct the market's overreaction to the bad news. These IPO-induced repurchases are stronger when the rival firms are in a concentrated industry and experienced poor stock performance in the previous year.

This dissertation is divided into an introductory chapter and four essays. Chapter one discusses the importance of the study and describes the development and growth of the market as well. The first part (Chapters 2 & 3) examines stock returns behaviour and trading activity around earnings announcements. The second part (Chapters 4 & 5) examines price impact asymmetry and the price effects of block trades in the market microstructure context. Each essay addresses some aspects of market microstructure and stock returns behaviour in order to aid researchers, investors and regulators to understand a market which lacks research coverage. The research provides empirical evidence on issues such as the efficiency of the market, information asymmetry, liquidity and price impact of block trades. In first part of the thesis, event study and regression analysis were used to measure the price reaction around earnings announcements and to examine trading activity, information asymmetry and liquidity. In second part the determinants of the price impact of block trades were examined with regard to trade size, market condition and time of the day effects using transaction data. Liquidity and information asymmetry issues of block trades were also studied in this part.

I examine the informational efficiency of stock markets by testing the relation between idiosyncratic volatility and equity mispricing. I find that the level of mispricing declines with idiosyncratic volatility consistent with the notion that greater levels of firm-specific risk reflect greater participation of informed traders in the market for the stock. However, I also find that mispricing increases with idiosyncratic volatility for highly volatile stocks, and this is attributed to both noise trading and arbitrage risk. In addition, I investigate the link between agency costs and equity mispricing, and whether it exists due to information asymmetry or the degree of conflict of interests between managers and shareholders. I provide evidence that the level of agency costs is positively related with mispricing. In contrast to previous studies' claim that the information asymmetry level is a key determinant in the equity mispricing, I find that the conflict of interests is more important than information asymmetry in explaining equity mispricing. Furthermore, the evidence suggests that stock option grants, originally intended to resolve conflicts of interests, actually exaggerate this problem.