This thesis consists of an introductory chapter and four self-contained essays on the value relevance of financial statement information. Essay 1: The purpose of this essay is to examine relevance of environmental information from an investor’s perspective. The study proposes that the market value of companies will reflect both financial and environmental performance. The theoretical foundation of the study is the accounting based valuation theory outlined by Ohlson (1995). This study provides new insights into how environmental performance is reflected in the market value of Swedish companies listed on the Swedish Stock market. Essay 2: In financial accounting research, much effort has been devoted to study the relation between accounting earnings and stock prices. The primary purpose of the second essay is to investigate the effect of alternative return-earnings model specifications to the estimated returns-earnings relation, that is, the earnings response coefficients. The returns-earnings models investigated include the traditional earnings levels and changes, and models including analysts’ earnings forecasts based on Ohlson’s (1995) extended residual income model. Essay 3: Fundamental analysis research that focuses on the use of accounting information to estimate equity value, has surfaced as a central theme in market based accounting research of the 1990s (Lee, 1999). The purpose of third essay is to compare two different approaches to valuation based on the theory presented in Ohlson (1995) in terms of explanatory and predictive power of the value estimates. Both approaches are implemented with and without the use of analysts forecasts. Essay 4: In this essay data from the Swedish stock market is used to investigate the profitability of two different types of investment strategies based on fundamental-to-value ratios and past insider trading activity. The purpose of the research is to explore four related research questions: (i) Do accounting based trading strategies generate abnormal returns on the Swedish stock market?; (ii) Do trading strategies based on insider trading behaviour generate abnormal returns on the Swedish stock market?; (iii) Do insiders who buy stocks tend to favour value stocks and do insiders who sell stocks tend to dispose growth stocks?; and (iv) Are insiders able to discriminate between temporary high/low fundamentals and temporary low/high prices when buying/selling value stocks and growth stocks?

In the first chapter, I analyze the question that whether the elasticity of intertemporal substitution or risk aversion is more important determinant of precautionary savings. This is an important question since a significant fraction of the capital accumulation is due to precautionary savings according to studies. Thus, knowing the important determinant of precautionary savings will be helpful to understand the capital accumulation mechanism. I look into the effects of the elasticity of intertemporal substitution and risk aversion on precautionary savings separately by performing simulations in order to obtain numerical results. I find that the elasticity of intertemporal substitution is more important determinant than risk aversion. In the second chapter, I study the impact of the introduction of futures trading on the volatility of the underlying spot market for Turkish Istanbul Stock Exchange (ISE).The economic literature intensified the debate on the negative or positive impact of futures trading on the stock market volatility. Although there are empirical studies for different countries with mixed results, most of them focus on developed countries. There are a few empirical researches on emerging markets. Analyzing the data, following results are obtained for ISE. First, the results suggest that the introduction of futures trading has decreased the volatility of ISE. Second, the results show that futures trading increases the speed at which information is impounded into spot market prices. Third, the asymmetric responses of volatility to the arrival of news for ISE have increased after the introduction of futures trading. In the third chapter, I investigate the presence of calendar anomalies in ISE by using GARCH models. The presence of calendar anomalies and their persistence presence since their first discovery still remains a puzzle to be solved. On the other hand, there are some claims that general anomalies are much less pronounced after they became known to the public. Most of the studies have examined the developed financial markets. However, it is important to test the calendar effects in data sets that are different from those in which they are originally discovered and so ISE is a good case to test the calendar effects for a developing country. / text

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<p>This thesis examines the influence of investor protection and legal origin on equity market size. Previous studies have shown a relationship between legal origin and equity markets as well as quality of law. We examine whether there are any relationship between stock market capitalization as a percentage of GDP, private property rights, anti director rights and legal origin.</p><p>We use data from 49 countries in our sample that is collected from the World Bank, Heri-tage foundation and La Porta et al. (1998). Our study is based upon a cross-sectional re-gressions and a variance analyzes.</p><p>Our results show that property rights as well as anti director rights have a positive relation-ship to stock market capitalization as a percentage of GDP. We could not find any signifi-cant results in our regressions that stock market capitalization as a percentage of GDP can be explained by legal origin.</p><p>We consider previous conducted studies regarding legal origin to have exaggerated legal origins’ impact on equity markets. Equity markets are more related to the level of develop-ment in countries, no matter legal origin.</p>

Nations have always competed vigorously during the bidding process to host mega sporting events. The selection of the host nation is a much anticipated decision that results in the promotion of a country on a global platform. In this paper, I use a market adjusted return (index) model to conduct an event study in order to examine abnormal returns in the stock market surrounding the selection of a nation for the Summer Olympics and the FIFA World Cup. I also focus specifically on the construction and industrial sectors, as well as analyze the impact of selection on the nation emerging as the runner up in the bidding process. The research finds that the outcome of the selection process is partially anticipated by investors, resulting in a market reaction that does not accurately measure the financial impact of hosting the event. As developing nations have demonstrated an increased interest in the hosting of events over the years, this paper also addresses the resulting policy implications, as well as the opportunity cost and the economic effects of crowding out and substitution.

Magistrantūros studijų baigiamasis darbas, 57 puslapiai, 5 paveikslai, 5 lentelės, 38 literatūros šaltiniai, 3 priedai, lietuvių kalba. RAKTINIAI ŽODŽIAI – dividendai, finansinis signalizavimas, signalinis efektas, akcijų rinka. Tyrimo objektas – dividendų politikos formavimas finansinio signalizavimo aspektu. Darbo tikslas – suformavus dividendų signaliniam efektui akcijų rinkoje nustatyti metodiką, įvertinti šio efekto stiprumą Lietuvos akcijų rinkoje. Uždaviniai: • Paaiškinti ir pagrįsti dividendų svarbą rinkos dalyviams. • Pateikti ir palyginti pagrindines dividendų teorijas finansinio signalizavimo aspektu. • Sukurti dividendų signalinio efekto akcijų rinkoje tyrimo metodiką. • Ištirti ryšį tarp dividendų išmokų ir Lietuvos akcinių bendrovių finansinės būklės bei nustatyti akcijų kainos ir dividendų išmokų priklausomybę. Tyrimo metodai – literatūros analizė ir sintezė bei palyginimo metodas, matematinės statistikos funkcijos, dispersinė, regresinė analizė, koreliacija ir grafinė analizė. Tyrimų laikotarpis – 2000-2008 m. Tyrimo rezultatai: • pirmoje darbo dalyje atlikta dividendų teorijų analizė finansinio signalizavimo aspektu; • antroje dalyje atlikus dividendų signalinio efekto empirinių tyrimų ir taikytų metodikų analizę sukurta metodika, pagal kurią tiriamas dividendų signalinis efektas Lietuvos akcijų rinkoje; • trečioje darbo dalyje ištirtas dividendų signalinis efektas Lietuvos akcijų rinkoje; • atliktas empirinis tyrimas parodė, jog kaikurios Lietuvos įmonės... [toliau žr. visą tekstą] / Master final work, consist of 57 pages, 5 figures, 5 tables, 38 references, 3 appendix, writen in Lithuanian language. KEY WORDS – dividend, financial signaling, signaling effect, stock market.. The object of research – formation of dividend poicy by the financial signaling aspect. The research aim – to develop the methodology for determination of signaling effect in stock market, estimate of this effect strengthness in the Lithuanian stock market. The objectives: • Explane and base the importance of dividends to market participants. • To represent and compare the main theorys by the dividends signaling aspect. • to create the methodology for determination of signaling effect in stock market. • To research the relation between dividend payments and financial situation of Lithuanian joint stock companies also dependence on stock price and dividend payments.. Research methods – literary analysis and synthesis and comparison method, mathematical statistics function of variance, regression analysis, correlation and graphical analysis. Research period – 2000-2008. Resaerch results: • in the first part of the research was done the dividend theory anglysis by the financial signaling aspect; • in the second part was developed the methodology based on which was researched the dividend signaling effect of Lithuanian stock market after the anglysis of empirical research and applied anglysis of methodologies; • in the third part of the research was investigated the signaling effect... [to full text]

This master thesis is aimed towards answering the question What is the contribution from a company’s sector with regards to its survival of a financial crisis? with the sub question Can we use survival analysis on financial data to answer this?. Thus survival analysis is used to answer our main question which is seldom used on financial data. This is interesting since it will study how well survival analysis can be used on financial data at the same time as it will evaluate if all companies experiences a financial crisis in the same way. The dataset consists of all companies traded on the Swedish stock market during 2008. The results show that the survival method is very suitable the data that is used. The sector a company operated in has a significant effect. However the power is to low too give any indication of specific differences between the different sectors. Further on it is found that the group of smallest companies had much better survival than larger companies.

Akcijų rinkos yra viena svarbiausių ekonomikos sudedamųjų dalių, be jos nebūtų įmanoma įsivaizduoti nei vienos išsivysčiusios pasaulio šalies. Bendrą akcijų rinkos vertę galima laikyti, pasaulio ar konkrečios šalies, regiono ekonominiu įvertinimu. Ji pastoviai yra veikiama įvairiausių veiksnių, tokių kaip infliacija, nedarbo lygis, vartojimo lygis, palūkanų normos, fiskalinės ir monetarinės politikos, bei naftos kainų. Šis veiksnys, kaip sudedamasis akcijų rinkos vienetas yra nagrinėjamas šiame darbe. Pasak Basher ir Sadorsky (2006) naftos kainos yra modernios ekonomikos kraujas. Nors nėra lengva prognozuoti kokia bus naftos paklausa ateityje, tačiau yra aišku kad naftos paklausa yra labai stipriai koreliuota su industriniu šalies išsivystymu. Ekonomikai stiprėjant energijos paklausa (ypatingai naftos) taip pat kyla. Labai svarbu išsiaiškinti, kas šiuos kainos pokyčius lemia, ar tai ilgalaikis reiškinys bei kokius pokyčius tai gali iššaukti ateityje. Tuo pačiu labai svarbu suprasti kokią įtaką ekonomikai turi naftos kaina. Tam kad tinkamai suprasti šį poveikį reikia ištirti ar yra ryšys tarp žaliavinės naftos ir vertybinių popierių. Šiam ryšiui egzistuojant, būtina nustatyti koks jis yra. Šiame darbe nagrinėjama kaip naftos kainos įtakoja akcijų rinkas. Taip pat tiriama kokius investicinius sprendimus galima priimti atsižvelgiant į naftos kainą, ir jos pokyčius. Tyrimo objektas – Naftos kainos įtaka akcijų rinkai. Šio darbo tikslas – Nustatyti kaip naftos kainos įtakoja... [toliau žr. visą tekstą] / Stock market is one of the main parts of economy, without it it is impossible to imagine any modern country. The total value of the stock market can be taken as the whole world’s or a certain country’s, region’s economical evaluation. It is always impacted with various economical factors like inflation, unemployment rate, consumption rate, interest rates, fiscal and monetary policies and oil prices. This factor, as one of the factors to stock market, is studied in this work. According to Basher and Sadorsky (2006) oil prices is a modern economies blood. Thought it is not easy to forecast what the demand of oil will be in the coming years, but it is totally clear that demand is very strongly correlated with industrial evolution. While the economy is getting stronger the demand for energy (especially oil) is rising too. It is very important to know what is causing these variations, is it a long-term phenomenon and what changes it can make in the future. It is also very important to know what impact oil price has on economy. To properly understand this we need to analyze is there a relation between oil price and stock market. If this relation exists we need to measure it. In this work we analyze how oil prices impacts the stock market. Also we analyze what investment decisions you can make, according to oil prices and it changes. Research object – oil price impact to stock market. This works goal – to measure, how oil prices affect the stock market, and to give recommendations... [to full text]

The thesis studies aspects of the cost of equity trading in the emerging stock market of Ukraine. The market is quite new (opened in 1997 but started to operate actively only in 2004) and little research on this market has been done so far. The market appears to offer lucrative investment opportunities that attract attention of both Ukrainian and foreign investors but the cost of trading Ukrainian stocks is quite high and can considerably decrease the returns to investors. The empirical part of the thesis is based on the transactions data from the main trade floor in Ukraine, PFTS, for 59 Ukrainian stocks during 2004-2006. The cost of equity trading in Ukraine is found to be quite high compared to many other stock markets, both developed and emerging. An in-depth study has shown that the medium-sized trades are the cheapest to execute, followed by large and then small trades. The reason for the pattern is seen in the price improvement suggested by brokers to the larger, more valued customers in order to keep the business with them and is in line with the findings in other literature for dealership markets (Reiss and Werner (1996), Hansch et. al (1999), and Huang and Stoll (1996)). The average cost of institutional sale trades exceeds the average cost of institutional buy trades at any market condition (falling, neutral, or rising), which is a puzzling result given that sales are often found in the literature to be more expensive in falling market, while purchases are more expensive in rising market. The efficacy of a number of measures of liquidity is studied. In line with findings for other emerging markets, it is shown that the proportion of zero daily returns (Lesmond (1999)) and the proportion of no-trading days are the most reliable liquidity measures for the Ukrainian stock market. Turnover, a measure widely applied in literature for developed stock markets, has a very small power for measuring liquidity in Ukraine. The spread components are estimated by applying three spread decomposition models most frequently referred to in literature: Stoll (1989), Glosten and Harris (1988), and Huang and Stoll (1997). The estimation results show a low importance of the asymmetric information component, which is surprising given that insider trading is considered a serious risk in Ukraine. To present the importance of incorporating the transactions costs into portfolio return analysis, a momentum trading strategy is examined. It is shown that momentum portfolio returns decrease considerably when the cost of trading is taken into account.