This dissertation examines the reaction of common stock prices to changes in bond ratings by Moody's Bond Service. The question is whether an announcement of a re-rating by Moody's is new information. There are only two studies of stock price reaction to bond changes and the results are conflicting. Pinches and Singleton (1978) [PS] concluded that any reaction comes well before the re-rating. Griffin and Sanvicente (1982) [GS] found that their portfolio test indicated that rating changes do convey new information. This was particularly true for downgradings. Both studies used monthly data and neither performed a statistical testing of residual reversals. PS provided a graph of the residuals which indicated the presence of a reversal trend. GS provided no information on this topic. This study, using daily data and the cumulative prediction error technique, finds that bond re-ratings offer new information. The results indicate that the market only partially anticipates the bond change. For the downgrades, the excess return on the announcement day is .6% which is statistically significant. The residuals reverse after the announcement day, but are not statistically significant. The upgrades do not have a significant reaction on the announcement day, but have a statistically significant negative reaction from day 1 to 10. The cumulative residual for days 1 to 10 is -2.8% with a test statistic of -3.85. This study finds as PS that there is some anticipation for both upgrades and downgrades. It extends their work by statistically testings the reversals after the announcement date and by testing the announcement day effect. There is significant abnormal return for the downgrades on the announcement day and the upgrades have a significant reversal in their residuals from day 1 to 10. This provides both support and extension of Griffin and Sanvicente's results and suggests that Moody's is offering the market new information.

Many studies have been performed on the short- and long-run abnormal returns to acquirers in acquisition attempts, but the topic of bidding wars is relatively unexplored. This piece performs an in-depth analysis of daily returns to both the public winners and losers in bidding war situations. It provides a counterargument to earlier findings that found that winners in bidding wars performed poorly compared to losers. I also fill in the gap in the analysis of short-term returns to paired winners and losers during and surrounding the bidding war. I find that winners perform significantly better than losers during certain critical periods in the bidding war, and this appears to signal the increased likelihood of the winner’s success. However, in the short-term, the market consistently misjudges the direction of the long-run benefits of the acquisition to the winner.

本研究的主旨在探討台灣證卷交易市場之上市公司辦理現金增資時採用不同承銷配售方式下各種資訊內涵差異，研究樣本包括民國八十四年至民國八十六年間，曾在台灣證卷交易市場宣告辦理現金增資之 278 家公司，其中又區分為 201 家採公開申購配售方式及 77 家採詢價圈購配售方式之現金增資公司樣本。本研究鑑於民國 84 年新版承銷配售制度施行以來，現金增資採行詢價圈購配售方式之公司股價出現特定人套利現象，甚至引發立法院於民國 86 年底，提出修正法案欲將詢價圈購提撥比率之但書規定廢除事件，故本研究目標將著重於探討公開申購配售與詢價圈購兩種不同承銷配售方式來現金增資之公司間其財務屬性及其對股價之影響是否有差異，以檢驗現行的詢價圈購制度是否有缺失。 實證結果顯示：採兩種不同承銷配售方式現金增資之公司，其財務變數並無顯著差異，顯示公司的財務特質並不影響其承銷配售方式的選擇。經由股價反應的驗證則發現採公開申購配售及詢價圈購承銷配售方式之現金增資之公司，其發行宣告首次見報時對股價異常報酬均有顯著正面的影響。但兩者對股價異常報酬之影響於統計上卻發現有顯著差異。至於在首日申購（圈購）日時之股價異常報酬反應，採公開申購配售者為顯著正股價異常報酬反應，採詢價圈購者股價異常報酬則為顯著負反應，因此兩者在首日申購日時對股價之反應有顯著差異，採公開申購配售公司之股價異常報酬反應明顯優於採詢價圈購配售公司。而於發行日時之價格異常報酬反應，採公開申購配售公司並不顯著，採詢價圈購配售方式公司卻有正向股價異常報酬反應，兩種承銷配售方式於發行日時顯示顯著的股價異常報酬反應差異。 兩種承銷配售方式為公司以現金增資向股東或投資大眾取得資金的途徑，其最終目的均相同，因此不同配售方式對股價異常報酬之影響應不會有太大差異，但本研究卻發現在首次宣告日、首日申購日及發行日時三種不同事件日下，兩種配售方式之股價異常報酬反應卻出現顯著差異的情形。由於此一差異與公司的財務特質無關，所以顯示詢價圈購配售方式可能存有缺失，造成特定人可藉由現行制度的漏洞來進行套利或取得比以往更多的新股，因此對於無法進行套利或取得新股的股東而言，現行的詢價圈購制度並不公平，確實有改善之必要。 / The study is based on a sample, consisting of 278firms, of the announcements of SEO(seasoned equity offerings) in Taiwan stock market during the period from Jan. 1996 to Dec. 1997, to detect whether the current circling system in TW is not proper. There are two major SEO underwriting procedures in TW: by offer=for-sales and by circling. The paper focuses on two types of firms which adapt different SEO underwriting. By comparing the both firms' financial characteristics and stock price responses, we know if the existing system is fair. The evidence shows that 89% financial ratios (in the research) of firms, adapting different underwriting procedures, don't have statistically significant positive abcdrmal returns for both underwriting procedures and the reaction levels for both are different. During the circling procedure, circling firms' stock price response is significantly negative but is significantly positive for offer-for- sales firms'. It's very clear that the latter firms have the better stock price performance than the former. During the days of offerings, circling firms' stock price response is significant positive but is not significant negative for offer-for sales firms'. In the research, we can be sure that these two SEO underwriting procedures are significantly different in all of three event days. Since the different market responses are not associated with firms' financial characteristics, we now can be sure that current circling system exist some problems. The system may provide some big stockholders having chances to arbitrage and to get more newissuing shares then they should have. To the other stockholders who can't engage in arbitraging and get new issuing shares, the existing circling system is unfair.

<p>Marknadens reaktion när ett företag informerar och annonserar om en eventuell nyemission sägs vara oförutsägbar. Enligt tidigare forskning pressas aktiekursen i de flesta fallen nedåt vid en nyemission. Under det senaste året har en del nyemissioner utförts i synnerhet på grund av den globala lågkonjunkturen då många företag haft för lite kapitalbas. Vad gäller företag på Stockholmsbörsen som valt att nyemittera aktier har även här de flesta fått se sin aktiekurs rasa.<strong><em></em></strong></p><p>Författarna till denna uppsats avser att studera hur marknaden reagerar på ett offentligt tillkännagivande av en kommande nyemission. Det undersöks även om det förefaller någon skillnad mellan tillkännagivanden av nyemissioner genomförda innan eller under lågkonjunkturen och skillnader branscher emellan.<strong><em></em></strong></p><p>Då vi ville se hur denna händelse påverkar ett företags aktiekurser valde vi att göra en eventstudie. En eventstudie ger oss möjligheten att mäta effekten av en specifik händelse. Datainsamlingen har endast bestått av sekundärdata som vetenskapliga artiklar, litteratur, tidigare forskning samt elektroniska databaser så som Avanza och OMX. Vi valde att ta med alla de företag som under tidsperioden 2005-01-01 till 2009-04-01 annonserat om en nyemission och som i dagsläget fortfarande är noterade på OMX, Stockholmsbörsen.<strong><em></em></strong></p><p>I studien ingick 21 tillkännagivanden varav hela 13 stycken, ca 62 % av dem, resulterade i en negativ kursreaktion och avkastning. Fyra av åtta tillkännagivanden om nyemission som offentliggjordes innan lågkonjunkturen uppvisade en nedåtgående kursreaktion på annonseringsdagen och därmed en negativ abnormal avkastning. Denna trend fortsätter att hålla i sig då även nio av 13 tillkännagivanden under lågkonjunkturen, visade på en negativ abnormal avkastning.</p><p> </p><p> </p><p> </p> / <p>The market reaction when a company provides information about a possible equity issue is said to be unpredictable. According to previous research the stock price, in most cases, is pushed downward in case of an equity issue. Over the past year some equity issues has been implemented particular because of the global recession. This because many companies experience too small funds. As for companies on the Stockholm Stock Exchange that have chosen to do an equity issue most of them had also experienced a decline in the stock price.<strong><em></em></strong></p><p>The authors of this essay intend to study how the market reacts to a public announcement of an upcoming equity issue. They would also like to know if there is any differences between the announcements of an equity issue that's been done before or during the recession and if there is any differences between industries.<strong><em></em></strong></p><p>Thus we wanted to see how equity issues affect a company's stock price, we have chosen to do an event study. An event study enables us to measure the effect of a specific event. The data that we been using has only consisted of secondary data as scientific articles, literature, previous research and electronic databases such as Avanza and OMX. For our study we have chosen to include all of the companies that during the period 2005-01-01 to 2009-04-01 announced about an upcoming equity issue and are still listed at the OMX, on the Stockholm Stock Exchange.<strong><em></em></strong></p><p>The study included 21 public notices of which entirely 13 of them, about 62 %, resulted in a negative rate reaction and return. Four of the eight notices about an equity issue, which was announced before the recession, resulted in a declining rate reaction on the day of the announcement and also had a negative abnormal return. This trend continues thus nine of 13 notices, which announced an equity issue during the recession, also showed a negative abnormal return.</p><p> </p><p> </p><p> </p>

Marknadens reaktion när ett företag informerar och annonserar om en eventuell nyemission sägs vara oförutsägbar. Enligt tidigare forskning pressas aktiekursen i de flesta fallen nedåt vid en nyemission. Under det senaste året har en del nyemissioner utförts i synnerhet på grund av den globala lågkonjunkturen då många företag haft för lite kapitalbas. Vad gäller företag på Stockholmsbörsen som valt att nyemittera aktier har även här de flesta fått se sin aktiekurs rasa. Författarna till denna uppsats avser att studera hur marknaden reagerar på ett offentligt tillkännagivande av en kommande nyemission. Det undersöks även om det förefaller någon skillnad mellan tillkännagivanden av nyemissioner genomförda innan eller under lågkonjunkturen och skillnader branscher emellan. Då vi ville se hur denna händelse påverkar ett företags aktiekurser valde vi att göra en eventstudie. En eventstudie ger oss möjligheten att mäta effekten av en specifik händelse. Datainsamlingen har endast bestått av sekundärdata som vetenskapliga artiklar, litteratur, tidigare forskning samt elektroniska databaser så som Avanza och OMX. Vi valde att ta med alla de företag som under tidsperioden 2005-01-01 till 2009-04-01 annonserat om en nyemission och som i dagsläget fortfarande är noterade på OMX, Stockholmsbörsen. I studien ingick 21 tillkännagivanden varav hela 13 stycken, ca 62 % av dem, resulterade i en negativ kursreaktion och avkastning. Fyra av åtta tillkännagivanden om nyemission som offentliggjordes innan lågkonjunkturen uppvisade en nedåtgående kursreaktion på annonseringsdagen och därmed en negativ abnormal avkastning. Denna trend fortsätter att hålla i sig då även nio av 13 tillkännagivanden under lågkonjunkturen, visade på en negativ abnormal avkastning. / The market reaction when a company provides information about a possible equity issue is said to be unpredictable. According to previous research the stock price, in most cases, is pushed downward in case of an equity issue. Over the past year some equity issues has been implemented particular because of the global recession. This because many companies experience too small funds. As for companies on the Stockholm Stock Exchange that have chosen to do an equity issue most of them had also experienced a decline in the stock price. The authors of this essay intend to study how the market reacts to a public announcement of an upcoming equity issue. They would also like to know if there is any differences between the announcements of an equity issue that's been done before or during the recession and if there is any differences between industries. Thus we wanted to see how equity issues affect a company's stock price, we have chosen to do an event study. An event study enables us to measure the effect of a specific event. The data that we been using has only consisted of secondary data as scientific articles, literature, previous research and electronic databases such as Avanza and OMX. For our study we have chosen to include all of the companies that during the period 2005-01-01 to 2009-04-01 announced about an upcoming equity issue and are still listed at the OMX, on the Stockholm Stock Exchange. The study included 21 public notices of which entirely 13 of them, about 62 %, resulted in a negative rate reaction and return. Four of the eight notices about an equity issue, which was announced before the recession, resulted in a declining rate reaction on the day of the announcement and also had a negative abnormal return. This trend continues thus nine of 13 notices, which announced an equity issue during the recession, also showed a negative abnormal return.

Avec la globalisation financière, une concurrence internationale accrue, l'importance de plus en plus grandissante des marchés financiers, chaque année des centaines de dirigeants introduisent leur société en bourse ou transfèrent le marché de cotation des titres de leur société. Les dirigeants changent la place ou le marché de cotation des titres de leur entreprise pour diverses raisons. Entre autres, nous pouvons citer la recherche d'une plus grande visibilité, du prestige, de la liquidité ou d'une source de financement alternative… Cette opération de changement de marché/compartiment de cotation à l'instar d'autres opérations sur titres (OPA, OPE, OPR, augmentation de capital, division d'action…) est susceptible d'influencer le cours des titres et certaines caractéristiques financières des sociétés qui la font. Le changement de compartiment de cotation au sein d'une bourse est un sujet qui a été relativement peu traité dans la littérature financière. Ses motivations et ses conséquences n'ont pas été assez explorées. L'objectif de ce travail de recherche est de combler ce vide en cherchant, dans un premier temps, à identifier les facteurs déterminants du transfert de compartiment de cotation et dans un second temps, à analyser les effets du transfert compartiment de cotation sur la valeur de l'entreprise migrante. En outre, nous tentons également de trouver des explications aux réactions du marché observées. Ce travail de recherche est très intéressant, car il porte sur une problématique qui n'a, jusque là, pas été suffisamment abordée par la littérature financière. De plus, la thématique est à la croisée de plusieurs domaines de recherche en Finance (microstructure, finance de marché, finance d'entreprise et comptabilité). Il ambitionne d'apporter un éclairage sur le transfert de marché de cotation à plusieurs niveaux. Tout d'abord, au delà des aspects méthodologiques, ce travail de recherche pourrait aider les dirigeants à mieux comprendre les conséquences économiques de leur décision de transférer les titres de leur société sur un compartiment plus exigeant, plus visible et mieux réglementé. Il pourrait apporter aux places boursières de nouveaux arguments pour justifier la création ou l'existence de plusieurs compartiments adaptés aux besoins des différentes sociétés émettrices. Enfin, ce travail pourrait servir aux investisseurs à mettre en place des stratégies pour profiter des opérations de transfert de marché. / With financial globalization and the increasingly significant role of financial markets, hundreds of managers are motivated each year to list their company or to move their firm's common stocks to a different listing location. This can be explained for a number of reasons. Among these are included the search for greater visibility, prestige, liquidity and/or for an alternative source of financing. Listing location transfer, like other securities transactions (takeover bids, seasoned equity offering, splits...) is likely to influence stock prices and certain financial characteristics (e.g. profitability, liquidity, risk) of the firms involved. Indeed, through such an operation, the CEO's send a signal to the financial markets in terms of their confidence in their firm's future prospects. Consequently, if the market perceives this transfer to be a signal for quality improvements among others, it might react favorably to its announcement. Listing market switching can take several forms. The transfer can be made between two independent stock markets from the same country (stock exchange transfer) or between two marketplaces located in two different countries (cross-listing). It can also be realized between two sections of the same stock exchange (stock exchange compartment transfer). This last category of market transfer is relatively unaddressed by financial literature. Its motivations and consequences were not investigated enough. In this research work, we attempt, in one hand, to identify the determinants of compartment transfer and on the other hand, to investigate its possible consequences. Our analysis has implications for managers who are faced with or are considering a decision to change the trading compartment of their stocks. We found evidence indicating that although the market appears to value a move to a more regulated market segment, the market's reaction is not uniform. Firms with relatively low liquidity before the transfer announcement have the most to gain in terms of a positive price movement and improvement in liquidity. Moreover, price increases observed after the transfer announcement are not permanent for all stocks. Thus managers need to give careful consideration to the possible effects on the pricing and liquidity behavior of firms being switched from a less regulated exchange section to a more regulated one. This research could also bring to stock marketplaces' managers new arguments to justify the creation or the existence of several compartments adapted to the needs of various issuing companies. Finally, this work could be used by investors to set up strategies to take advantage from an operation of stock exchange compartment transfer.

Die studie ondersoek die inligtingswaarde van dividende as 'n moontlike verldaring van die waargenome aandeleprysreaksie op dividendaankondigings. Twee algemene hipoteses is getoets, naamlik dat 'n betekenisvolle verandering in 'n maatskappy se dividendbeleid inligting oor daardie maatskappy se toekomstige verdienste per aandeel bevat, en tweedens dat hierdie inligting in die reaksie van aandelepryse na die aankondiging van die verandering gereflekteer word. Die belangrikste bevindinge is soos volg: • Die inligting vervat in huidige dividendaankondigings kan nie deur beleggers gebruik word om die volgende jaar se verdienste per aandeel van 'n maatskappy te voorspel nie. Die aandeleprysreaksie op positiewe, negatiewe en neutrale nuus is statisties beduidend, maar vind hoofsaaklik in dieselfde rigting plaas. Beleggers sou dus nie die inligting vervat in dividendaankondigings kan gebruik om bogemiddelde opbrengskoerse te genereer nie. • Die inligtingswaarde van dividende is dus 'n onwaarskynlike verldaring van die invloed van 'n maatskappy se dividendbeleid op die waarde van sy gewone aandele. / This research investigates the information content of dividends as a possible explanation for the observed share price reaction to dividend announcements. Two hypotheses were tested, namely that a significant change in a company's dividend policy contains information on that company's future earnings per share, and secondly, that this information is reflected in the share price reaction after the announcement of the change. The most important findings are as follows: • Investors cannot use the information contained in current dividend announcements to predict a company's earnings per share for the next year. • Share price reactions to positive, negative and neutral news are statistically significant, but will be in the same direction. Hence investors cannot use this information to generate above-normal returns. The information content of dividends is therefore an unlikely explanation of the influence a company's dividend policy has on the value of its ordinary shares. / Business Management / MCom (Sakebestuur)

Die studie ondersoek die inligtingswaarde van dividende as 'n moontlike verldaring van die waargenome aandeleprysreaksie op dividendaankondigings. Twee algemene hipoteses is getoets, naamlik dat 'n betekenisvolle verandering in 'n maatskappy se dividendbeleid inligting oor daardie maatskappy se toekomstige verdienste per aandeel bevat, en tweedens dat hierdie inligting in die reaksie van aandelepryse na die aankondiging van die verandering gereflekteer word. Die belangrikste bevindinge is soos volg: • Die inligting vervat in huidige dividendaankondigings kan nie deur beleggers gebruik word om die volgende jaar se verdienste per aandeel van 'n maatskappy te voorspel nie. Die aandeleprysreaksie op positiewe, negatiewe en neutrale nuus is statisties beduidend, maar vind hoofsaaklik in dieselfde rigting plaas. Beleggers sou dus nie die inligting vervat in dividendaankondigings kan gebruik om bogemiddelde opbrengskoerse te genereer nie. • Die inligtingswaarde van dividende is dus 'n onwaarskynlike verldaring van die invloed van 'n maatskappy se dividendbeleid op die waarde van sy gewone aandele. / This research investigates the information content of dividends as a possible explanation for the observed share price reaction to dividend announcements. Two hypotheses were tested, namely that a significant change in a company's dividend policy contains information on that company's future earnings per share, and secondly, that this information is reflected in the share price reaction after the announcement of the change. The most important findings are as follows: • Investors cannot use the information contained in current dividend announcements to predict a company's earnings per share for the next year. • Share price reactions to positive, negative and neutral news are statistically significant, but will be in the same direction. Hence investors cannot use this information to generate above-normal returns. The information content of dividends is therefore an unlikely explanation of the influence a company's dividend policy has on the value of its ordinary shares. / Business Management / MCom (Sakebestuur)

This dissertation collects four essays on banks, firms and real effects of bank lending. Owing to the appliance of different econometric methods on several datasets, insights in the behav-ior of and the impacts from financial markets and market participants are generated. In the first chapter, our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due to a failure of the interbank market per se but rather to bank-specific shocks affecting banks’ capital, liquidity and credit quality as well as revised bank-level risk perceptions. Relationship banking is not capable of containing these frictions, as hard information seems to dominate soft information. In detail, we explore determinants of the formation and resilience of interbank lending relationships by analyzing an extensive da-taset comprising over 1.9 million interbank relationships of more than 3,500 German banks between 2000 and 2012. The second chapter examines the relationship between central bank funding and credit risk-taking. Employing bank-firm-level data from the German credit registry during 2009:Q1-2014:Q4, we find that banks borrowing from the central bank rebalance their portfolios to-wards ex-ante riskier firms. We further establish that this effect is driven by the ECB’s maturi-ty extensions and that the risk-taking sensitivity of banks borrowing from the ECB is inde-pendent of idiosyncratic bank characteristics. Finally, we show that these shifts in bank lend-ing are associated with an increase in firm-level investment and employment, but also with a deterioration of bank balance sheet quality in the following year. Once we analyze the relationship of banks as lenders vis-à-vis banks as borrowers and banks as lenders vis-à-vis non-financial companies as borrowers, we enlarge the understand-ing of non-financial companies not only in terms of being simply borrowers, respectively sub-jects exhibiting of credit risks. Instead, we try to understand the inner working of those com-panies more generally and analyze their quality not only in terms of a bank’s risk assessment but also in terms of the overall market assessment. However, this in turn can generate infor-mation useable to assess the quality of a bank’s credit portfolio in dimensions that so far are not taken into account by the current regulatory framework. Moreover, a better understanding of banks and non-banks beyond the standard lens of the banking and corporate finance litera-ture might promote new scopes for future research connecting those discrete subjects. In this regard, the third chapter analyzes the dependence of price reactions to corporate insider trad-ing on several measures of corporate governance quality. Our results strongly support the view that first, higher corporate governance levels seem to prevent or discourage insiders from engaging in insider trading as means of opportunistic rent extraction. Second, results confirm the notion of buy and sell trades not being just two sides of the same coin. That is, a higher level of corporate governance leads to a better pre-event information environment which results in less positive abnormal returns after insider buy trades as the incremental posi-tive information revealed by the trade is smaller. In contrast, sell trades in firms with better corporate governance are perceived to convey more valuable and most importantly negative information to the capital market so that prices adjust more for companies with better govern-ance schemes. Third, we show that institutional ownership even on an aggregate level is a sufficient measure to proxy a company’s corporate governance level. Hence, as information on companies’ bylaws and on investors’ investment dedication and type for example are scarce, respectively associated with higher costs because one has to gather that information one can refrain from that and instead proxy the governance level with the aggregate measure of institutional ownership. The latter result is important for carrying out future analyses merg-ing and extending the findings of the first two chapters. Last, the fourth chapter abstracts from borrowers as subjects of credit risk, as well, and most importantly extends the analysis of banks, firms and their interactions effecting each other by a macroeconomic perspective of the real effects of bank lending. That is, as capital flows and real estate are pro-cyclical, and real estate has a substantial weight in economies’ income and wealth Chapter 4 studies the role of real estate markets in the transmission of bank flow shocks to output growth across German cities. In this regard, real sector firms play a central role in the transmission mechanism we uncover. More specifically, the empirical analysis relies on a new and unique matched data set at the city level and the bank-firm level. To measure bank flow shocks, we show that changes in sovereign spreads of Southern Eu-ropean countries (the so-called PIGS spread) can predict German cross-border bank flows. To achieve identification by geographic variation, in addition to a traditional supply-side varia-ble, we use a novel instrument that exploits a policy assigning refugee immigrants to munici-palities on an exogenous basis. We find that output growth responds more to bank flow shocks in cities that are more exposed to tightness in local real estate markets. We estimate that, during the 2009-2014 period, for every 100-basis point increase in the PIGS spread, the most exposed cities grow 15-2 basis points more than the least exposed ones. Moreover, the differential response of commercial property prices can explain most of this growth differen-tial. When we unpack the transmission mechanism by using matched bank-firm-level data on credit, employment, capital expenditure and TFP, we find that firm real estate collateral as measured by tangible fixed assets plays a critical role. In particular, bank flow shocks in-crease the credit supply to firms and sectors with more real estate collateral. Higher credit supply then leads firms to hire and invest more, without evidence of capital misallocation.