Dividend policy has significant impact on the company's capital market, in particular the dynamics of the price of its shares. Dividends represent cash income of shareholders and to some extent, signal them about success of the firm they have invested. From that point of view dividend policy has crucial impact on investment decisions. Numbers of valuation models based on dividend payouts exist in the financial theory and they imply importance of dividends in making investment decisions. Alternatively some authors argue that role of the dividends is overestimated, as investors do not separate dividends and capital earnings. I believe that dividend policy has broad influence not only on share valuation, but also on capital structure of the company and its stock market liquidity. Study intended to discover if dividend payouts and future earnings can be predicted based on stock market liquidity and capital structure. I have analysed 72 companies associated with Nordic information technologies market and tried to find main characteristics of dividend policy adopted in those companies. I have divided my research question into three parts and studied hypotheses which are associated with the research question. I found relationship of dividend policies with future earnings growth power, firm capital structure and market liquidity. As a result of my study I have observed financial statements data and obtained the following outcome: (1) with stable dividend policy, payout ratio is positively related to the future earnings growth rate (2) companies that have less liquid stock markets are more likely to pay dividends (3) companies with low leverage ratios have more probability of paying dividends. Also I have found that historically low payout ratio is harbinger of low or even negative earnings growth rates. I believe that based on findings mentioned above, effective investment policy could be created. For the investor who favours to invest in company with high earnings growth perspectives and receive high dividends in the future, results of the study could be interesting. According to the results of the research, for “dividend preferring” investor, funds should be invested in the company with constantly high payout ratio, low stock market liquidity and debt-to-equity ratio below 1. In that case the probability of meeting investment expectations would be much higher.

This dissertation contains four essays on various topics in the fields of corporate finance and corporate governance. The first essay, entitled Corporate Governance and Ownership, presents an overview of the causes and consequences of, and possible remedies for, the separation of ownership and control in corporations. In particular, the essay addresses the costs and benefits of ownership concentration. A specific purpose is to put the role of ownership into perspective, while bringing the reader up to date with some recent developments. Essay number two, Shareholder Gains from Equity Private Placements: Evidence from the Stockholm Stock Exchange, contains an empirical investigation of the stockmarket’s reaction to announcements of equity private placements and rights issues. The essay sets out to test a range of hypotheses put forward in the literature. Extensive cross-sectional analyses of private placement discounts and abnormal returns are performed. The third essay is named Optimal Deterrence and Inducement of Take-overs: An analysis of Poison Pills and Dilution. This essay models how the ex ante wealth of shareholders could be increased with customized contractual provisions that affect takeover probabilities and premia. The proposed provisions resemble anti-takeover defense measures in the form of poison pill plans, and conversely, voluntary dilution schemes in the fashion prescribed by Sanford Grossman and Oliver Hart (1980). Finally, the fourth essay models the wealth effects of a particular takeover regulation, The Mandatory Bid Rule. This rule requires a potential bidder for a control position in a target firm to extend the offer to include any or all of the outstanding shares. Although the mandatory bid rule is aimed at the protection of minority shareholders, the essay argues that this regultion is not generally in the best interest of the shareholders. Each essay is self-contained and could, in principle, be read in any order chosen by the reader. However, for readers less familiar with the corporate finance literature, the first essay may also serve as a helpful introduction to the following three essays. / Diss. Stockholm : Handelshögsk.

Cette thèse s'inscrit dans le contexte d'après crises des subprimes et des dettes souveraines européennes. Il s'agit de périodes durant lesquelles les banques, en particulier dans la zone Euro et aux Etats-Unis, ont fait face à un assèchement de liquidité sans précédent ayant paralysé le système bancaire et conduit à la faillite de banques dont certaines solvables. La thèse cherche à répondre à la problématique suivante : Quelles sont les raisons du dysfonctionnement de deux canaux importants d'approvisionnement en liquidité par les banques, à savoir, le marché des actifs et surtout le marché monétaire interbancaire ? L'objectif est d'avoir un cadre d'analyse qui permet d'évaluer les propositions de la réglementation Bâle III en matière de contrôle du risque de liquidité dans les banques et d'éclairer les réflexions autour de la supervision bancaire. La première étude empirique est consacrée aux interactions entre le risque de liquidité de financement et le risque de liquidité de marché en situation de crise. Elle confirme bien la présence d'un renforcement mutuel entre ces deux types de risque dans les cas américain et européen durant la période allant de 2007 à 2011. La deuxième étude empirique se focalise sur le dysfonctionnement du marché monétaire interbancaire dans la zone Euro durant la même période en identifiant les motifs de la thésaurisation de liquidité par les banques, à savoir, le risque de contrepartie, le motif de précaution et le motif de spéculation. Les résultats montrent bien qu'il y a une relation significativement positive entre ces trois facteurs et la thésaurisation. Enfin, la troisième étude met l'accent sur les conséquences de la thésaurisation en termes de contagion interbancaire et de risque systémique. Les résultats confirment en effet l'impact de la thésaurisation sur le risque systémique dans la zone Euro. / During the U.S subprimes and the European sovereign debt crisis, banks faced with an unprecedent liquidity drying-up, leading to a banking system paralysis and failures of banks (including some solvable banks), in particular in United States and Euro zone. This dissertation seeks to answer the following question: what are the reasons of dysfunction of two important channels of liquidity supply of banks, namely, asset market and interbank money market? The aim is to have an analysis framework in order to evaluate banking regulations issued by Basel III and to enlighten reflections about banking supervision. The first empirical study examines the interactions between funding liquidity risk and market liquidity risk. Its results confirm that these two risk types are mutually reinforcing in American and European cases during the period between 2007 and 2011. The second empirical study focuses on the failure of the interbank market in Euro zone during the same period by identifying the motives behind the bank liquidity hoarding, namely, counterparty risk, precautionary motive and speculative motive. The results show that there is a significantly positive relation between these three factors and the liquidity hoarding. Finally, the third empirical study illustrates the repercussions of this phenomenon on systemic risk. The results confirm the impact of liquidity hoarding on systemic risk in Euro zone.

Submitted by Guilherme Hideo Assaoka Hossaka (ghossaka@gmail.com) on 2018-09-07T17:43:58Z No. of bitstreams: 1 Stochastic_Supply_Curves_and_Liquidity_Costs.pdf: 6114705 bytes, checksum: 383773b2814d582892c750a566229869 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2018-09-18T13:52:02Z (GMT) No. of bitstreams: 1 Stochastic_Supply_Curves_and_Liquidity_Costs.pdf: 6114705 bytes, checksum: 383773b2814d582892c750a566229869 (MD5) / Made available in DSpace on 2018-09-26T20:00:18Z (GMT). No. of bitstreams: 1 Stochastic_Supply_Curves_and_Liquidity_Costs.pdf: 6114705 bytes, en checksum: 383773b2814d582892c750a566229869 (MD5) Previous issue date: 2018-06-26 / Market Liquidity is characterized by the easiness and freedom to trade assets at desired volumes and for prices perceived as representative of their values. When there is a scarcity of bid and ask offers at those terms, traders face the so called Market Liquidity Risk and they must offer concessions on their original offers, leading to additional costs. Approaches to model this phenomena exist in broad variety but a common component of most Market Liquidity models is an instantaneous cost component, also known as transaction/execution costs or realized/instantaneous impact. This element, here the Liquidity Cost, gives the actual trading prices faced by a trader, frequently a deviation from the unobservable “true price”, normally represented as a GBM with the mid-price as a proxy for modeling purposes. Although it is clear that Liquidity Costs are a relevant aspect of Market Liquidity Risk and it is present in many models, it is relegated to a more simplistic treatment, being though as well-behaved, deterministic, smooth and static. The main point of this work is to follow a different approach by evaluating Liquidity Costs at a microstructural level by estimating the Stochastic Supply Curve from C¸ etin-Jarrow-Protter Model for Brazilian equities. To do so, high-frequency-data from B3’s ftp is used and to build Limit Order Books for several stocks at intraday periods. The empirical findings support the existence of non-trivial Stochastic Supply Curves as a representation for Liquidity Costs in several equities on Brazilian Markets. Additionally, there is evidence that Liquidity Costs may behave in contrast with some of the literature, being stochastic with time-varying functional representations on the LOB and with liquidity parameters that could be represented as mean-reverting stochastic process.

The dissertation consists of two essays. The first essay investigates how oil market factors impact on liquidity commonality in global equity markets. I identify two transmitting channels of the effect on liquidity commonality, namely oil price return and volatility. Using a sample of firms drawn from 50 countries spanning from Jan 1995 to Dec 2015, I find that both effects in oil explain the liquidity commonality in countries with higher integration to oil market. In addition, I show that oil volatility effect is more pronounced in net oil exporters compared to net oil importers after controlling for oil sensitivity. My findings suggest that oil volatility effect on liquidity commonality is more substantial for high oil sensitive countries than oil price return effect except five OPEC members, where liquidity commonality is highly influenced by oil the return along with volatility. These results are robust to controlling for possible sources of liquidity commonality as found in the literature. In the second essay, I study the impact of stock liquidity on firms’ future investments. Since stock liquidity decreases the cost of equity, I expect firms’ future investments to increase with stock liquidity. Secondly, I argue that this relation is more pronounced in more financially constrained firms because of their limited access to external capital. Using a sample of more than 9800 firms, from 21 emerging markets and spanning from 2000 to 2015, I find supportive and robust evidence of a positive association between stock liquidity and firms’ future investments. Furthermore, my findings strongly suggest that the liquidity impact on corporate investments is highly influenced by the firms’ financial constraint levels, using four different definitions of financial constraints. My findings are robust due to controlling for other determinants of future investment suggested in the previous literature, and due to controlling for the country and time effects. In addition, the results seem to be consistent with the use of alternative measures of corporate investments and stock liquidity and with alternative model specifications and estimation methodologies.

This master’s thesis focuses on evaluation of the financial situation of the internationally operating company Kiwi s.r.o. and suggestions for its improvement. After the introduction into this thesis, I will determine the main goal together with the sub-goals to which I will aim. In the next part, I will focus on the theoretical basis from which all of the chosen methods of financial analysis are based on. Subsequently, using these methods, I can evaluate in the analytical part, what is the financial position of Kiwi s.r.o. And after that in the last part, based on my data, I will present proposals to improve the financial situation.

yes / Drawing on distinct German institutional characteristics related to cultural, legal, financial, and regulatory features, this paper investigates the extent to which environmental incentives influence German non-financial firms in revealing risk information in their annual report narratives. The paper also examines whether risk-related disclosure (aggregate risk reporting and the tone of news about risk) is useful by investigating its impact on market liquidity and investor-perceived risk. We find that the decision to provide or withhold such risk information is less likely to be significantly associated with environmental incentives. Among those incentives, we find that German firms are significantly influenced by their underlying risks rather than other factors including ownership structure, capital structure, external equity finance, and borrowing. The decision to disclose is likely to be influenced by the size of the firm and whether or not it produces lengthy annual reports. The results also suggest that the impact of aggregate risk reporting levels was not observable until a distinction was made between bad and good news about risk. Specifically, we find that the German market tends to positively (negatively) price good (bad) news about risk by either improving (worsening) market liquidity through removing (creating) information asymmetries, or reducing (increasing) investor-perceived risk.

no / Manuscript Type: Empirical Research Question/Issue: This paper examines the influence of corporate governance on risk disclosure practices in the UK and Italy and also studies the impact of those practices on market liquidity. Research Findings/Insights: We find that governance factors principally influence the decisions of UK (Italian) firms over whether to exhibit risk information voluntarily (mandatorily) in their annual report narratives. When we distinguish between firms with strong and weak governance (in terms of board efficiency) in each country, we find that the factors that affect mandatory and voluntary risk disclosure appear to be driven more by strongly governed firms in both countries. Furthermore, strongly governed firms in the UK tend to provide more meaningful risk information to their investors than weakly governed firms. In Italy, however, we find that strongly rather than weakly governed firms exhibiting risk information voluntarily rather than mandatorily improves market liquidity significantly. Theoretical/Academic Implications: This paper emphasizes the importance of distinguishing between mandatory and voluntary risk disclosure when studying the impact of corporate governance. Our findings differ across strongly and weakly governed firms, in terms of both the factors that influence risk disclosure practices and the exact informativeness of those practices. Practitioner/Policy Implications: The results support the current regulatory trend in risk reporting within the UK that emphasizes the importance of directors and encourages rather than mandates risk disclosure. However, the results generally signal a need for further improvements in the Italian context. Our evidence also supports the value of the confidence in the UK governance system, compared to that in Italy, which motivates British firms to provide highly informative risk information more often than Italian firms.

自2000年來，學術界開始廣泛地討論系統流動性風險因子以及非流動性因子是否在資產評價上有重要的影響，尤其在最近的金融危機中，市場的流動性風險應該如何被衡量及量化也是實務上重視的課題。不同於傳統的市場微結構模型，著重在衡量個股的流動性以及非流動性，本文嘗試以系統流動性評價模型建構流動性風險因子及非流動性因子來衡量整體市場的流動性，並探討市場流動性如何應用在資產評價上。 在Lee, Lin, Lee, and Tsao (2006)研究中，嘗試分析台灣市場個別股票流動性的共同因素(common factor)，並已得到確切的結論。然而此一系統性的流動風險因子尚未應用在資產評價模型上。本文在建構市場的流動性以及市場的非流動性兩個因子之後，並用以評價市場的股票報酬，結果發現若以市場流動性因子評估，則持有對市場流動性衝擊(liquidity shock)具有高度敏感性的股票(Beta>0)並同時賣出低敏感性的股票(Beta<0)，將會得到顯著的異常報酬。另一方面，若以市場非流動性因子衡量，則持有非流動性較高的股票並同時賣出非流動性較低的股票，也會得到顯著的異常報酬。 / Market-wide liquidity drain has aroused grave concerns in the recent financial tumult and prompted a number of academics to query how much the liquidity risk is incorporated into the pricing of those assets that are blamed for the recent financial collapse. Though this market-wide liquidity risk factor has started being acknowledged as a key component of asset pricing models, it has not yet been applied to Taiwan’s financial market. Based on the commonality in liquidity is confirmed by Lee, Lin, Lee, and Tsao (2006) in the Taiwan’s stock market, this study is the first one to include systematic liquidity factor in asset pricing model. Two different dimensions are employed due to liquidity is an elusive characteristic to measure. This study intends to measure the degree of liquidity shock and illiquidity characteristic that afflicts Taiwan’s stock market by looking into temporary price changes accompanying the order flow in the lag period and the trading volume in the contemporaneous period. Stock excess return has always been considered a compensation for risk. This study also explores whether excess return reflects compensation of market-wide liquidity, and provides evidences that the premium for systematic liquidity shock factor and illiquidity factor in the Taiwan’s stock market are all significant.

The correct measure and definition of liquidity in finance literature remains an unresolved empirical issue. The main objective of the present study was to develop, validate and test the liquidity mismatch index (LMI) developed by Brunnermeier, Krishnamurthy and Gorton (2012) empirically. Building on the work of these prior studies, the study undertook to develop a measure of liquidity that integrates both market liquidity and funding liquidity within a context of asset liability management. Liquidity mismatch indices were developed and then tested empirically to validate them by regressing them against the known determinants of liquidity. Furthermore, the study investigated the nexus between liquidity and profitability. The unit of analysis was a panel of 12 South African banks over the period 2005–2015. The study developed two liquidity measures – the bank liquidity mismatch index (BLMI) and the aggregate liquidity mismatch index (ALMI) – whose performances were compared to and contrasted with the Basel III liquidity measures and traditional liquidity measures using a generalised method of moments (GMM) model. Overall, the two constructed liquidity indices performed better than other liquidity measures. Significantly, the ALMI provided a better macro-prudential liquidity measure that can be utilised in dynamic stochastic general equilibrium (DSGE) models, thus presenting a major contribution to the body of knowledge. Unlike the LMI, the BLMI and ALMI can be used to evaluate the liquidity of a given bank under liquidity stress events, which are scaled by theoretically motivated and empirically supported liquidity weights. The constructed BLMI contains information regarding the liquidity risk within the context of asset liability mismatches, and the measure used comprehensive data from bank balance sheets and from financial market measures. The newly developed liquidity measures are based on portfolio management theory as they account for the significance of liquidity spirals. Empirical results show that banks increase their liquidity buffers during times of turmoil as both BLMI and ALMI improved during the period 2007–2009. Subsequently, the improvement in economic performance resulted in a rise in ALMI but a decrease in BLMI. We found no evidence to support the theory that banks, which heavily depend on external funding, end up in serious liquidity problems. The findings imply that any policy implemented with the intention of increasing bank capital is good for bank liquidity since the financial fragility–crowding-out hypothesis is outweighed by the risk absorption hypothesis because the relationship between capital and bank liquidity is positive. / Finance, Risk Management and Banking / D. Phil. (Management Studies)