No description available.

The growing empirical literature testing informational efficiency of real estate markets uses data from various contexts and at different levels of aggregation. The results of these studies are mixed. We use a distinctive meta-analysis to examine whether some of these study characteristics and contexts lead to a significantly higher chance for identification of an efficient real estate market. The results generated through meta-regression suggest that use of stock market data and individual level data, rather than aggregate data, significantly improves the probability of a study concluding efficiency. Additionally, the findings neither provide support for the suspicion that the view of market efficiency has significantly changed over the years nor do they indicate a publication bias resulting from such a view. The statistical insignificance of other study characteristics suggests that the outcome concerning efficiency is a context-specific random manifestation for the most part. (authors' abstract)

The annual 10-K report has historically been the most important aspect in assessing the position of a publicly held company. However, as the flow of information has increased with the dawn of new technologies, less and less attention has been paid to these audited financial statements. In order to assess if investors are still reacting to the information contained in the annual report, this paper examines the relationship between accounting ratios and stock price in banks traded on United States stock exchanges. By examining accounting ratios instead of simply looking at Earnings Per Share, new information was revealed regarding what aspects of the annual report investors react to. Ratios that incorporate information that is difficult to predict, such as leverage or allowance accounts were more likely to affect a stock’s performance, while those that contained information that is more readily available from other sources had less of an effect.

Doctor of Philosophy / This dissertation presents the results of three empirical studies on price formation and liquidity in financial futures markets. The research entails three related areas: the effect of taxes on the prices of Australian stock index futures; the efficiency of the information transmission mechanism between the cash and futures markets; and the price and liquidity impact of large trades in interest rate and equity index futures markets. An overview of previous research identifies some important gaps in the existing literature that this dissertation aims to resolve for the benefit of arbitrageurs, investment managers, brokers and regulators.

<p>This study examines the economic impacts of three large-scale terrorist attacks on the Nordic capital markets. Past research has shown evidence of the increasing resilience of the US capital markets towards terrorist attacks. Hereby the Nordic regions capital markets were studied and compared with the US's capital markets, in an intention to find evidence whether or not the same development can be observed in the Nordic countries. The results implied that the Nordic markets did not absorb the shocks as well as the US markets. The analysis was taken into an industry level on the Swedish stock market to get a deeper insight of the impacts of such events. The results indicated the Energy sectors good ability to absorb terrorist attacks in terms of negative abnormal returns and time of recovery. The Financing sector seemed to be the most sensitive sector, since its performance was the weakest in terms of market recovery.</p>

This study examines the economic impacts of three large-scale terrorist attacks on the Nordic capital markets. Past research has shown evidence of the increasing resilience of the US capital markets towards terrorist attacks. Hereby the Nordic regions capital markets were studied and compared with the US's capital markets, in an intention to find evidence whether or not the same development can be observed in the Nordic countries. The results implied that the Nordic markets did not absorb the shocks as well as the US markets. The analysis was taken into an industry level on the Swedish stock market to get a deeper insight of the impacts of such events. The results indicated the Energy sectors good ability to absorb terrorist attacks in terms of negative abnormal returns and time of recovery. The Financing sector seemed to be the most sensitive sector, since its performance was the weakest in terms of market recovery.

This study investigates whether market learning explains the absence of the accrual anomaly in recent years by examining three conditions associated with the presence of the anomaly in prior research: (i) a differential relation between future earnings and cash flows versus accruals, (ii) incorrect weighting of cash flows and accruals by investors when predicting earnings, and (iii) association of earnings forecast errors with returns. All of these conditions are widely documented in the anomaly period. In the no-anomaly period, I continue to find a differential relation of cash flows and accruals with future earnings. However, investors appear to correctly weight accruals and cash flows in their earnings predictions implicit in beginning-of-year security prices, consistent with learning. This study also investigates whether improvements in analyst forecasts contribute to investor learning and the absence of the anomaly. The association between analyst optimism and accruals is weaker in the no-anomaly period, but is still statistically significant. Furthermore, the anomaly ended simultaneously for firms followed by analysts and for non-followed firms, suggesting that improvements in analyst forecasts alone cannot account for improved market efficiency with respect to accruals. The results suggest that the anomaly was similar for firms held by institutional investors and for firms with no institutional holdings before the discovery of the anomaly while the anomaly ended sooner for held firms than for non-held firms after the discovery of the anomaly, consistent with the conjecture that arbitrage by institutional investors reduce the anomaly. Overall, the findings are consistent with market learning and suggest that improvement in investors' interpretation of accruals after the discovery of the anomaly explains the end of the anomaly. This improvement in investor learning is not due to changes in analysts' forecasting behavior, however.

The recent SEC ban on short selling has presented an unrivaled opportunity to explore the effects of short selling constraints on crashes, market efficiency, and volatility. In this paper I carry out two groups of empirical tests on the individual banned stocks and a series of portfolios created from them: the first tests the hypothesis that short sale constraints increase the frequency and magnitude of crashes, by testing Hong &amp; Stein’s (2003) model of market crashes. The second tests the hypothesis that short sale constraints reduce market efficiency, by testing Miller’s (1977) model in which stocks that are hard (or impossible) to short tend to exhibit overpricing. In regards to the first group of tests, the results are ambiguous: the frequency and magnitude of crashes increased during the ban period, while the skewness of the returns distribution of the portfolios became more negative, as expected, but these changes hold for the market as a whole, as well. On the other hand, the skewness of the returns distribution of the individual banned stocks became more positive. The second group of tests provides ample support for Miller’s model, as the results coincide with the models predictions: banning short selling leads to positive abnormal returns (overpricing) in the affected stocks. The ban is also related with a decrease in volatility relative to the market, an important result from a policy perspective.

The financial crisis has made the stock markets a very turbulent place. Investors have therefore begun searching for stable and profitable investments. Nordic real estate has for decades steadily increased in value and the stocks of real estate companies are said to be less risky than the market. This has led to a view of them being a safe haven for risk adverse investors. Very few empirical studies have been done on how these supposedly safe stocks actually behave in the Nordic countries. The purpose of this study is hence to investigate how these real estate companies stocks perform. The method employed is deductive and quantitative.One part of the research is to test whether or not the stocks are more profitable than the overall market. Additionally, motivated by previous research on market efficiency, this paper looks into if any predictable patterns for the real estate stocks returns can be found. In other words, if historical returns can be used to predict future returns. Thirdly this research paper looks into how risky the real estate stocks are compared to the market. For the last part of research, an examination on whether the usage of CAPM as a return calculator is appropriate for real estate stocks in the Nordic countries. The statistical tool SPSS and Microsoft Excel has been used to examine the relationships between the variables. The paper has used time series regression to find beta values and alpha values for risk assessments and tests of CAPM, and autocorrelation tests to determine market efficiency, or more precisely random walk.The research is are done on all real estate stocks on the Swedish, Finnish, Danish and Norwegian markets, a total of 31, over a time period of 10 years, between 2003 and 2013 on daily, weekly and monthly data. The result of the first part was that the real estate stock returns in general were not more profitable than the overall market. This research also found significant predictability of future returns through historical data on a daily basis, and some signs on a weekly basis while no predictability on a monthly basis. The result of the third part of the research is that the risk levels for the real estate stocks are different and in general much lower than the market risk. Lastly the test of CAPM shows no significant difference between the expected returns and the actual observed returns.

In the aftermath of the verdict of acquittal in “Sweden’s largest insider trading case” once again a debate concerning illegal insider trading has arisen and a lot of criticism is directed towards the laws. The purpose of this master´s thesis is to investigate the occurrence of insider trading and whether or not Swedish legislation has decreased the presence of insider trading on the Stockholm Stock Exchange. For this purpose the legal aspects and relevant arguments are presented and discussed. An event study is performed in order to see if profit warnings show evidence of insider trading on the Swedish stock exchange. The event study show statistically significant evidence of illegal insider trading in 21 out of 44 cases on the Stockholm stock exchange. There is no significant difference in insider trading between profit warnings and reversed profit warnings. The regression show evidence of that the law has had a small negative impact on insider trading in the sample which is surprising and that insider trading is industry correlated. The high frequency of insider trading shows evidence of that the laws are inefficient in stopping insider trading. Since it is clear that the law is seriously flawed in stopping insider trading and that insider trading actually may positively affect the market and its participants, it is argued that it is very questionable if the legislation is necessary and if insider trading should be prohibited at all.