The literature on short selling documents substantial evidence that short sellers are generally informed investors (e.g., Diamond and Verrecchia, 1987; Asquith and Muelbrook, 1996). This dissertation investigates three specific implications of informed short selling for a firm and its investors. The first essay investigates if short selling discourages managers from pursuing over-optimistic projects by reducing equity market timing. By conditioning short selling on firm overvaluation, this essay shows that short selling reduces managerial equity market timing and increases leverage. This moderating impact of short selling is more pronounced in smaller firms and those with low institutional ownership or higher intangible assets. Furthermore, the results show that board independence facilitates the above effect of short selling which helps protect shareholder interests. The second essay investigates if board independence reduces informed short selling prior to earnings announcements. This essay estimates short sellers’ correct prediction of the direction of unexpected quarterly earnings through Logistic regression and finds that short sellers’ correct prediction decreases in firms with independent boards relative to firms with non-independent boards. Furthermore, this effect is more pronounced in firms with CEO duality and large board size. The quasi-natural experiment using the exogenous shock to board independence from the Sarbanes-Oxley Act of 2002, provides further support to our hypotheses. The third essay provides Sell recommendations by examining pre-announcement short selling of firms ahead of their earnings announcements. The methodology makes Sell recommendations for firms with the highest short position prior to their quarterly earnings announcement. The post-announcement raw, excess, and abnormal returns of firms having the Sell recommendations are statistically and economically significant for multiple-holding periods showing the methodology’s significant trading strategy implication. This dissertation significantly contributes to short selling, governance, capital structure, and investment literature.

Den här uppsatsen undersöker och analyserar AP-fondernas förvaltning av det svenska pensionskapitalet i relation till dess uppdrag utifrån finansiell teori och tidigare forskning. Halvårsdata och information om fondernas allokering har samlats in från AP-fondernas respektive webbplatser mellan åren 2001 och 2009. Studien har använt ett flertal modeller för att analysera AP-fondernas historiska utveckling. Treynorkvot, Sharpekvot, Informationskvot, Morningstar rating och Jensens alfa har använts för att undersöka fondernas riskjusterade avkastning. Treynor och Mazuys market timing modell har använts för att undersöka huruvida fonderna har förmågan att förutse större marknadsrörelser. Fonderna har utvärderats utifrån tre olika jämförelseindex: ett externt och två interna index. Individer i pensionssystemet får inte välja hur större delen av deras pensionsavsättningar ska förvaltas. Däremot påverkas pensionstagarna i allra högsta grad av hur fonderna utvecklas. AP-fondernas informationsgivning är inte förenlig med dess policy och det påverkar därför vad utomstående kan utvärdera. AP-fonderna har under den valda tidsperioden inte nått målen som är uppsatta för verksamheten. Vidare förefaller det sig som att AP-fonderna är överviktade mot aktier i allmänhet och mot svenska aktier i synnerhet. Det visar sig också att tillgångsallokeringen är den absolut viktigaste faktorn för fondernas utveckling och därmed viktigare än aktiv förvaltning. AP-fonderna uppvisar en positiv riskjusterad avkastning under perioden oberoende vilket mått som används, dock uppvisar inte alla statistisk signifikans. Beroende på vilket jämförelseindex som används skiljer sig resultaten åt. Tredje AP-fonden har dock högst riskjusterad avkastning oavsett vilket jämförelseindex som används. I Morningstar rating får fonderna i genomsnitt två stjärnor av fem möjliga vilket innebär att de presterat under genomsnittet bland internationella pensionsfonder. Argumentet att använda fyra buffertfonder till förvaltning av kapitalet från inkomstpensionen har inte uppfyllts. Studien menar vidare att det finns tecken på stordriftsfördelar och att en eventuell sammanslagning skulle kunna ge en effektivare förvaltning.

In the last few years, it has been proved that the movements of financial asset have the property of non-linearity and show some tendency within a given period. Increasing evidence that technical trading rules can detect non-linearity in financial time series has renewed interest in technical analysis. This study evaluates the market timing ability of the moving average trading rules in twelve equity markets in the developed markets and the emerging markets from January 1990 through Match 2002. We use traditional test, bootstrap p-value test, Cumby-Modest¡¦s market timing ability test and simulation stock trade to evaluate market timing ability. The overall results indicate that the moving average trading rules have predictive ability with respect to market indices in the Asia emerging stock markets. These findings may provide investors with important asset allocation information.

This study examines the association between changes in accounting performance resulting from mandated adoption of International Financial Reporting Standards (IFRS) and managerial incentives to engage in opportunistic equity issuance. Based on 2,719 Australian and the European Union firms that are required to adopt IFRS starting in 2005, I find that firms disclosing a material decline in reported net income under IFRS relative to reported net income under local standards are revalued downwards, while firms disclosing a material improvement in reported net income under IFRS relative to reported net income under local standards are revalued upwards. This indicates that relative to financial statements prepared according to local accounting standards, financial statements under IFRS convey new information that impacts market value. Building on the market timing hypothesis, I find that managers exploit their private information about the effects of changes in accounting standards on accounting performance and that managers strategically time equity issuance before their firms disclose those effects. In particular, during the three-year window prior to a firm disclosing the financial statement effects of IFRS adoption, the firm’s likelihood and size of equity issuance are negatively associated with the change in reported net income resulting from IFRS adoption. This is consistent with the prediction that firms whose reported performance is negatively affected by mandated changes in accounting standards are more likely to issue equity and issue a larger volume of equity in advance of the disclosure of those negative effects. The association between equity issuance and the relative decline in accounting performance resulting from IFRS adoption is robust to alternative definitions of equity issuers, specifications and measures of accounting performance, and changes in sample composition. I find some evidence that equity issuance is positively associated with earnings forecast optimism, where earnings forecast optimism is another proxy for information asymmetry arising from mandatory adoption of IFRS. / Thesis (Ph.D, Management) -- Queen's University, 2008-07-10 17:39:27.512

No description available.

This thesis presents three essays on credit ratings of regulated utilities, dividend signaling, and asymmetric information and security issuances and repurchases. Chapter 2 investigates the practices of credit rating agencies by using the regulated utility industry as a natural testing ground. Following deregulation and the Enron scandal, the general opinion among industry professionals is that utilities are being punished by rating agencies. Contrary to this popular belief, we find that the utility credit ratings are significantly higher compared to those of other firms, and this significance is more pronounced in the post-deregulation period. Although rating agencies often cite regulatory reasons for placing utilities on negative credit watches, these firms ratings are rarely downgraded after being placed on negative watches. Chapter 3 provides a rational explanation for the disappearing dividend trend. Dividends serve as signaling device and, under models of dividend signaling under information asymmetry, cost of signaling increases with volatility of firms cash flows. Declining propensities to pay dividends imply that (1) information asymmetries have become lower and/or (2) cost of signaling has increased. We find evidence consistent with both. In particular, firms with higher information asymmetries and lower stock price informativeness are more likely to pay dividends: the increasing stock price informativeness has made dividend signaling less valuable, and a significant portion of disappearing dividend trend could be explained by rising risk and increasing stock price informativeness. Chapter 4 investigates the motivations for debt and equity issuances and repurchases in hot and cold markets. I find that firms issue equity in hot markets to reduce adverse selection costs associated with asymmetric information. In particular, firms issuing equity in hot markets possess high asymmetric information while firms issuing equity in cold markets possess less severe asymmetric information. I also find that credit ratings and market-to-book ratios could explain why firms might repurchase equity or issue debt in hot markets rather than issue equity: firms with high credit ratings and low market-to-book ratios are more likely to issue debt even in hot equity markets, and firms with low market-to-book ratios are more likely to repurchase equity in any market. / Finance

This thesis examines the capital structure choice of Australian firms with an emphasis on the impact of market timing and liquidity considering 1438 available firms for the period, 1997 to 2005. The relationship between capital structure and its determinants is the main focus of this thesis, with four empirical analyses. These analyses are all conducted within the Baker and Wurgler (2002) and Hovakimian (2006) models with both pooled ordinary least squares (OLS) and fixed effect panel analysis. The theory of market timing introduced by Baker and Wurgler (2002) has received considerable attention in recent years. Baker and Wurgler (2002) contend that past market timing has a long lasting impact on capital structure and thus, capital structure is the cumulative outcome of the past attempts at equity market timing. This thesis examines the Baker and Wurgler (2002) argument in an Australian context. It is found that the variation in leverage was explained by the market-to-book ratio and the effect of market-to-book ratio was explained by equity issues as market timing theory implies. However, the results are sensitive to data sample choice with variation in the strength of the negative relationship observed between external finance weighted average market-to-book and leverage. This suggests that while market timing appears to affect capital structure choice, it does not support the hypothesis that past market timing decisions have a long lasting impact on Australian firm capital structure. Hovakimian ( 2006) questions the Baker and Wurgler (2002) conclusion about firm behaviour and finds evidence that past market-to-book ratio has a significant impact on current financing decisions because it contains information about growth opportunities, not captured by the current market-to-book ratio. This thesis also examines the Hovakimian (2006) argument and finds evidence to support the argument of Hovakimian (2006) that, growth opportunities provide a reasonable explanation for the past market-to-book ratio effect for Australian firms. Analysis also focuses on broad industry differences. And it is found that there are significant differences between mining and non-mining firm in the determinants of capital structure. Finally, the impact of liquidity on Australian capital structure choice is analysed within the context of the Baker and Wurgler (2002) and Hovakimian (2006) models. It is found that liquidity is important to a firm's leverage choice. There is evidence that liquid firms tend to have lower leverage. Further, while liquidity has little effect on the sensitivity of leverage to market-to-book for Baker and Wurgler (2002) filtered data, a liquidity effect is evident in a broader set of four standard deviation filtered data. It is also found that greater liquidity is associated with less sensitivity of leverage to cash flows and that the asset tangibility relation with leverage is also sensitive to liquidity. Finally, there is evidence that more liquid firms are more sensitive in their tendency to revert to some long run leverage value.

Denna studie undersöker hur kapitalstrukturen bland företag noterade på Stockholmsbörsenförändrades till följd av den globala finanskrisen 2008-2009. Studien utgår från femfinansiella mått som bidrar till att förklara företagens skuldsättning, hur måttens sambandmed skuldsättningen ser ut och hur dessa samband förändrats till följd av finanskrisen.Genom en multipel regressionsanalys finner studien signifikant förändrade samband medskuldsättning för måtten lönsamhet, företagsstorlek och market-to-book-kvot. Genomytterligare en multipel regression kan studien även dra slutsatsen att skuldsättningen minskatunder finanskrisen utan spår av återhämtning fram till 2012. Resultatet ger stöd för trade-offteorinoch enbart svagt stöd för pecking order-teorin och market timing-teorin. Studiensresultat skiljer sig på flera punkter från resultat i liknande studier gjorda på företag i andraländer.

>Magister Scientiae - MSc / This research undertakes to investigate both long-term and short-term investor overreaction on the JSE Limited (JSE) over the period from 1 January 2002 to 31 December 2009. The period covers the restructuring and reform of the JSE in the early 2000s to the end of global financial market crisis in late 2008/2009, which can be regarded as a complete economic cycle. The performances of the winner and loser portfolios are evaluated by assessing their cumulative abnormal returns (CAR) over a 24-month holding period. The test results show no evidence of mean reversion for winner and loser portfolios formed based on prior returns of 12 months or less. However, test results show evidence of significant mean reversion for the winner and loser portfolios constructed based on their prior 24 months and 36 months returns. In addition, the study reveals that the mean reversion is more significant for longer-formation-period portfolios as well as for longer holding periods. The examination of the cumulative loser-winner spreads obtained from the contrarian portfolios based on the constituents’ prior 24 month and 36 month returns indicates that the contrarian returns increase for portfolios formed between 2004 and 2006, and declines thereafter towards the end of the examination period. The deterioration of contrarian returns coincides with the subprime mortgage crisis in 2007 and the subsequent global financial crisis in 2008. This evidence suggests that the degree of mean reversion on the JSE is positively correlated to the South African business cycle.

Cette thèse aborde trois aspects liés aux introductions en Bourse et aux retraits obligatoires. Le premier est le processus de fixation des prix des deux offres publiques. En effet, au regard des différences entre les deux offres publiques, les experts emploient les mêmes méthodes d'évaluation sans justifier leurs différents choix. À travers un audit sur les prospectus d'IPO et d'OPR-RO, les processus d'évaluation sont d'avantages fondés sur les caractéristiques des entreprises et des conditions du marché. En outre, il existe une relation significative entre les prix d'offre et les différentes valeurs estimées. Par ailleurs, étant donné que IPOs peuvent coïncider 'avec une augmentation exceptionnelle de l'indice du marché et sont accompagnées d'une sous-évaluation initiale. Le choix d'un timing optimal de cette offre dépend de l'évolution des cours des entreprises cotées du même secteur et des valeurs des options d'IPO de de renonciation à l'offre. Enfin, lors d'un retrait obligatoire, le principe d'équité doit être respecté. Or, la procédure de fixation du prix de retrait obligatoire varie selon les cadres réglementaires et le manque de mesures de protection des intérêts des actionnaires minoritaires peut inciter à la dissimulation d'informations privées afin de minimiser le prix d'offre. Le modèle proposé a permis de dresser deux classifications montrant que le seul moyen permettant de les concilier les actionnaires est l'entière divulgation des informations privées. / This thesis reports three aspects related to IPOs and delisting. The first is related to the process of pricing the two bid priees. Indeed, given the differences between the two public offerings, underwriters use the same valuation methods without justifying their choices. Through an audit of the IPO and delisting prospectus, the valuation process is based on the characteristics of firms and market conditions. ln addition, there is a significant relationship between the offer priee and the different estimates. Moreover, given that IPOs may coincide with an exceptional increase in the market index and are accompanied by an initial underpricing. The choice of optimal timing of this offer is modeled as regards the priees of listed companies and values of IPO and withdrawing options. Finally, at a delisting, the principle of fairness must be respected. However, the procedure for setting the bid priee varies with regulation and the lack of measures to protect the interests of minority shareholders may encourage the disclosure of private information in order to minimize the offer priee. The proposed model was used to develop two classifications showing that the only way to reconcile shareholders is the full disclosure of private information.