台灣在2008年二次政黨輪替後，提出若干優惠措施以及取消某些法規限制，積極推動台商回台上市，然而深圳證券交易所在2009年發展出創業板，其發展目的是為了讓新興企業有一個高效的籌資平台，深圳創業板的開板給了台商在中國大陸上市的契機與吸引力，因此台商回台上市的意願便可能會因深圳創業板的開板而降低。本研究將以台商的觀點來看，當台商面臨回台上市或在深圳創業板上市兩者之間做選擇時，對於兩者制度面、市場面及環境面來進行比較分析，並藉此來判斷深圳創業板的發展是否會影響台商回台上市的意願。 研究中發現，目前深圳創業板吸引台商之處在於其上市門檻較低，本益比及活絡性表現較好，再加上中國大陸的經濟環境較佳，因此可募集到較多的資金。雖然台灣證券市場現階段在各方面的成長幅度不如深圳創業板突飛猛進，但台灣證券市場是一個較為成熟的證券市場，其多年累積下來的國際性、穩定度及成熟度皆比深圳創業板優越許多。因此，台灣證券市場目前的整體表現仍優於深圳創業板，深圳創業板的開板尚不至於影響台商回台上市的意願。 最後建議未來台灣證券市場應積極爭取與兩岸三地證券市場更密切的接觸，以「區域整合」作為當前的發展方向，若能合作組成「大中華區域證券市場」─雙邊掛牌機制甚或多邊掛牌，以兩岸三地之間的優勢互補，更能達到競合、更甚是綜效的效果。 / After the second return of the governing party in Taiwan, the new government released some beneficial programs and deregulated some laws to attract Taiwanese enterprises to IPO in Taiwan. In the meanwhile, ChiNext opened in 2009 for the purpose of offering an efficient capital-raising platform for those newly-formed enterprises. ChiNext gives Taiwanese enterprises an attractive opportunity to IPO in China, and therefore Taiwanese enterprises may decrease their willing to IPO in Taiwan. This paper starts from the opinion of Taiwanese enterprises who make a decision to IPO in Taiwan or ChiNext, analyzing by the side of regulation, market and environment to determine whether ChiNext will affect the willing of Taiwanese enterprises to IPO in Taiwan or not. What attracts Taiwanese enterprises to IPO in ChiNext is its excellent PE ratio, high turnover rate and being easy to be qualified. In addition, owing to the rapid growth in Chinese economy, enterprises will raise much more capital in ChiNext. Contrary to ChiNext, Taiwan stock market is such a mature stock market that it could not expand rapidly as ChiNex. Also because of its maturity, Taiwan stock market is much steadier and much more international than ChiNext. To sum up, Taiwan stock market is still more outstanding than ChiNext, the appearance of ChiNext does not affect the willing of Taiwanese enterprises to IPO in Taiwan at present. Finally, this paper makes a suggestion of "region conformity" as a direction for Taiwan government. Taiwan government should connect with Chinese-area stock market more intensely. If the stock market of Taiwan, Hong Kong and China could form a "Chinese-area Stock Exchange" like NYSE Euronext or other else, it will create an effect of synergy in Chinese-area stock market.

本研究最主要的貢獻為建構一具台灣股市投資人情緒指數並檢測投資人情緒指標與台灣股市的關係。本研究以台灣股票市場為背景，研究期間為2001年1月至2010年12月。利用Baker, Wurgler and Yuan在2009年提出的方法以Volatility Premium, Number of IPOs, First Day Return of IPOs, Turnover Rate四個變數編製台灣股市投資人情緒指數，並探討台灣股市投資人情緒指數變動量與台股大盤報酬之間的領先落後關係。 實證結果發現，在較短的時間，如月資料，台股大盤報酬會影響下一期的台灣股市投資人情緒指數變動量，而在較長的時間，如季資料，台灣股市投資人情緒指數變動量會影響四期後的台股大盤報酬，即短期台灣股市投資人情緒指數變動量為大盤報酬之落後指標，長期則為大盤報酬之領先指標，短期原因為投資人情緒指數受大盤報酬影響，而易有追高殺低現象，長期雖投資人情緒領先大盤報酬的結果在統計上顯著，但經濟上並無顯著意義，另一方面，台股大盤報酬與台灣股市投資人情緒指數變動量間存在正相關，即不能以台灣股市投資人情緒指數變動量預測股市泡沫。 / The main contribution would be the construction of the sentiment index in Taiwan stock markets and examining the relationship between the variation of the sentiment index and Taiwan stock market returns. The background is Taiwan stock markets. The sample period is from January 2001 to December 2010. We use the method in Baker, Wurgler and Yuan (2009) to measure investors’ sentiment and explore the relationship between the variation of the sentiment index and Taiwan stock market returns. The empirical result reveals that in monthly data, Taiwan stock market returns is the leading indicator of the variation of investment sentiment. In a longer term, we mean the quarterly data in this paper, the situation changes. In quarterly data, the variation of the investment sentiment is the leading indicator of the Taiwan stock market returns. In addition, instead of a negative correlation between the stock market returns and our sentiment index, we prove that our sentiment index have a positive impact on stock market returns. Therefore, we could not use this sentiment index to forecast future economic bubbles.

<p>Problem:   What are the most useful techniques to indicate the stocks that will outperform the market 12 month post the recession period?  Purpose:  The purpose is to find out which method(s): P/B, EV/EBIT, level of debt and so on, will offer investors the highest returns on the investments post the recession period based on the example of the IT crisis of 2000/2001.  Method:  Quantitative study, covering the Swedish OMX Index from 2001 until December 2002.  Conclusions:  Three variables should be reconsidered when making an investment decision post the recession period. These variables were earlier 12 months returns, dividend yield and P/E ratios. However, it is crucial to understand that these three tools should not be viewed all together.</p><p> </p>

<p>Every tenth year a financial crisis tend to interfere with an economy. Price bubbles with an accompanying market plunge are therefore not a new phenomenon. Such market disruptions have been causing problems for centuries, as history has a tendency to repeat itself. The intention with this study is to learn more about the bubble phenomenon and increase the knowledge in this area in order to, if possible, prevent such a thing from happening again. The purpose of the essay is to identify factors that significantly affected the development of the so called IT-bubble in Sweden and Finland during the years of 1995-2000. The previous purpose can be divided into two sub-purposes, namely; to point out which financial theory/theories that succeeds the best to explain the development of the IT-bubble, and additionally; to detect factors that can help us foreseeing similar scenarios in the future.</p><p>The study concentrates on Sweden and Finland. Furthermore, only stock market bubbles are studied. As a consequence, other types of financial crises, for example bank crises, are excluded from this study. The method used to answer the first sub-purpose is an analysis of financial theories which enables us to find factors that according to theory could have caused the rise of the price bubble. In order to answer the second sub-purpose we take use of a statistical method. We have designed a statistical model based on the results of previous mentioned analysis. In this model we try the relevance of the detected factors from the theoretical analysis in order to investigate if theory manages to explain the birth of a stock market bubble.</p><p>The result of our study has generated four different factors; macro economic; institutional; psychological and asymmetric information. These four categories showed importance for the development of the IT-bubble in Sweden and Finland. Out of the four factors, the psychological factor is said to be the most important, but in the mean time the hardest one to predict. The statistical model indicates that the number of bankruptcies, the total amount of household’s borrowing and results from attitude surveys in the case of Sweden, and the number of bankruptcies, new registrations of cars and finally consumers attitude towards making a big purchase at present, in the case of Finland are variables to be aware of when looking out for a stock market bubble. The statistical model, as pointed out in the study, is not perfect. Additional studies are necessary to confirm the results presented in this report.</p> / <p>Finansiella kriser tenderar att drabba ekonomin med ungefär tio års intervaller. Prisbubblor med tillhörande djupdykning på marknaden är således inget nytt fenomen. Denna störning i marknadsharmonin har funnits under flertalet sekler och historien har en benägenhet att upprepa sig. Bakgrunden till studien är således att öka förståelsen för bubbelfenomenet och att, om det är möjligt, förhindra att det händer igen. Syftet med studien är att påvisa faktorer som har haft signifikant betydelse för den så kallade IT-bubblans utveckling i Sverige och Finland under åren 1995-2000. Det övergripande syftet kan vidare indelas i två delsyften, vars mål dels är att påvisa vilken eller vilka finansiella teorier som bäst förklarar IT-bubblans utveckling, dels hitta faktorer som kan hjälpa oss att förutse likartade scenarier i framtiden.</p><p>Studien fokuserar på länderna Sverige och Finland, och avgränsar sig därmed från övriga länder. Vidare studeras enbart börsbubblor och fall, varför övriga typer av finansiella kriser, så som exempelvis bankkriser utesluts. Metoden för att besvara det första delsyftet är att göra en analys av finansiella teorier för att lyfta fram faktorer som enligt dem kan ha haft avgörande betydelse för bubblans uppbyggnad. Metoden för det andra delsyftet är att bygga en statistisk modell med hjälp av de faktorer som resulterat av ovan nämnda analys, för att pröva deras relevans.</p><p>Resultatet av vår studie har genererat en grupp bestående av fyra olika faktorer; makroekonomiska, institutionella, psykologiska faktorer och asymmetrisk information som bäst förklarar IT-bubblans uppkomst. Av dessa är den psykologiska faktorn den viktigaste, och samtidigt också den svåraste att förutsäga. Det är framförallt teorierna inom ”behavioural finance” som fokuserar på psykologiska effekter, varför de bäst förklarar händelseförloppet under IT-bubblan. Den statistiska modellen indikerar att antalet konkurser, hushållens totala utlåning och resultatet av samhällsekonomiska attitydundersökningar i fallet Sverige, samt antalet konkurser, nyregistrering av bilar, och slutligen konsumenternas attityd till stora köp och till att ta lån för tillfället, i fallet Finland, är variabler som vi kan vara uppmärksamma på för att försöka förutse börsbubblor. Den statistiska modellen är, som poängteras i arbetet, inte fulländad utan ytterligare studier fordras för att belägga detta ytterligare.</p>

<p>Finansiella kriser tenderar att drabba ekonomin med ungefär tio års intervaller. Prisbubblor med tillhörande djupdykning på marknaden är således inget nytt fenomen. Denna störning i marknadsharmonin har funnits under flertalet sekler och historien har en benägenhet att upprepa sig. Bakgrunden till studien är således att öka förståelsen för bubbelfenomenet och att, om det är möjligt, förhindra att det händer igen. Syftet med studien är att påvisa faktorer som har haft signifikant betydelse för den så kallade IT-bubblans utveckling i Sverige och Finland under åren 1995-2000. Det övergripande syftet kan vidare indelas i två delsyften, vars mål dels är att påvisa vilken eller vilka finansiella teorier som bäst förklarar IT-bubblans utveckling, dels hitta faktorer som kan hjälpa oss att förutse likartade scenarier i framtiden.</p><p>Studien fokuserar på länderna Sverige och Finland, och avgränsar sig därmed från övriga länder. Vidare studeras enbart börsbubblor och fall, varför övriga typer av finansiella kriser, så som exempelvis bankkriser utesluts. Metoden för att besvara det första delsyftet är att göra en analys av finansiella teorier för att lyfta fram faktorer som enligt dem kan ha haft avgörande betydelse för bubblans uppbyggnad. Metoden för det andra delsyftet är att bygga en statistisk modell med hjälp av de faktorer som resulterat av ovan nämnda analys, för att pröva deras relevans.</p><p>Resultatet av vår studie har genererat en grupp bestående av fyra olika faktorer; makroekonomiska, institutionella, psykologiska faktorer och asymmetrisk information som bäst förklarar IT-bubblans uppkomst. Av dessa är den psykologiska faktorn den viktigaste, och samtidigt också den svåraste att förutsäga. Det är framförallt teorierna inom ”behavioural finance” som fokuserar på psykologiska effekter, varför de bäst förklarar händelseförloppet under IT-bubblan. Den statistiska modellen indikerar att antalet konkurser, hushållens totala utlåning och resultatet av samhällsekonomiska attitydundersökningar i fallet Sverige, samt antalet konkurser, nyregistrering av bilar, och slutligen konsumenternas attityd till stora köp och till att ta lån för tillfället, i fallet Finland, är variabler som vi kan vara uppmärksamma på för att försöka förutse börsbubblor. Den statistiska modellen är, som poängteras i arbetet, inte fulländad utan ytterligare studier fordras för att belägga detta ytterligare.</p> / <p>Every tenth year a financial crisis tend to interfere with an economy. Price bubbles with an accompanying market plunge are therefore not a new phenomenon. Such market disruptions have been causing problems for centuries, as history has a tendency to repeat itself. The intention with this study is to learn more about the bubble phenomenon and increase the knowledge in this area in order to, if possible, prevent such a thing from happening again. The purpose of the essay is to identify factors that significantly affected the development of the so called IT-bubble in Sweden and Finland during the years of 1995-2000. The previous purpose can be divided into two sub-purposes, namely; to point out which financial theory/theories that succeeds the best to explain the development of the IT-bubble, and additionally; to detect factors that can help us foreseeing similar scenarios in the future.</p><p>The study concentrates on Sweden and Finland. Furthermore, only stock market bubbles are studied. As a consequence, other types of financial crises, for example bank crises, are excluded from this study. The method used to answer the first sub-purpose is an analysis of financial theories which enables us to find factors that according to theory could have caused the rise of the price bubble. In order to answer the second sub-purpose we take use of a statistical method. We have designed a statistical model based on the results of previous mentioned analysis. In this model we try the relevance of the detected factors from the theoretical analysis in order to investigate if theory manages to explain the birth of a stock market bubble.</p><p>The result of our study has generated four different factors; macro economic; institutional; psychological and asymmetric information. These four categories showed importance for the development of the IT-bubble in Sweden and Finland. Out of the four factors, the psychological factor is said to be the most important, but in the mean time the hardest one to predict. The statistical model indicates that the number of bankruptcies, the total amount of household’s borrowing and results from attitude surveys in the case of Sweden, and the number of bankruptcies, new registrations of cars and finally consumers attitude towards making a big purchase at present, in the case of Finland are variables to be aware of when looking out for a stock market bubble. The statistical model, as pointed out in the study, is not perfect. Additional studies are necessary to confirm the results presented in this report.</p>

<p>Bakgrund: Dagligen diskuteras utländsk makroekonomiska data i svensk media, där förväntningarna på utvecklingen av dessa sätts i sammanhang med utvecklingen på den svenska börsen.</p><p>Syfte: Målet med den här studien var att utröna i hur stor utsträckning denna information kan anses vara betydande för en aktieinvesterare med kapital på den svenska börsen. Hänsyn togs även till börscykler samt varierande tidsperioder.</p><p>Genomförande: Med grund i the Arbitrage Pricing Theory genomfördes multipla regressionsanalyser, med det svenska indexet OMXS30 som beroendevariabel. Undersökningarna baserades på månadsdata för perioden april 1991 till och med augusti 2006. Den makroekonomiska datan försköts därtill en period för att ta hänsyn till variablernas eventuella fördröja effekter på Stockholmsbörsen.</p><p>Resultat: Integrationen mellan börserna visade sig ha ökat över tiden, med undantag för extraordinära perioder som IT-boomen, där makroekonomiska fundamentaldata istället slås ut. En positiv utvecklingen av långräntan samt konsumentförtroendet i USA tyder på en samtida börsuppgång i Sverige. Vidare är båda växelkurserna starkt signifikanta, där en stärkt dollar och en försvagad euro har positiva effekter på den svenska marknadsutvecklingen.</p> / <p>Background: Foreign macroeconomic fundamentals are daily discussed in the Swedish media, where expectations on the development of these are put into context with the ecnonomic development in Sweden.</p><p>Aim: The purpose of this thesis is to analyse to what extent this information is important for a investor on the Swedish Stock Market. Consideration was also taken to trends in the Stock Market as well as varying time periods.</p><p>Research Method: Against the background of the Abritrage Pricing Theory a multiple regression analysis was conducted,with the Swedish Stock Market Index OMXS30 as the dependent variable. The macroeconomic variables where based on monthly data between April 1991 and August 2006 and were thereto lagged one period in order to identify any delayed effects.</p><p>Result: The integration between the Stock Markets was found to increse over time, with the exception of extraordinary periods, as the IT-boom, where macroeconomic fundamentals lost significance. A positive long-term interest rate as well as a positive consumer confidence in the U.S. was found to indicate a contemporary rising market in Sweden. Further were both of the exchange rates found significant, where a stronger dollar and a weaker euro have positive effects on the Swedish current Stock Market.</p>

<p>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.</p><p>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.</p><p>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.</p><p>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.</p><p>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.</p>

This dissertation is concerned with the relationship between accounting earnings and stock prices. It consists of three empirical papers, all using a sample of firms listed on the Stockholm Stock Exchange (1990-2008). The first paper documents the existence of a drift in stock prices subsequent to quarterly earnings announcements. Two interesting empirical observations are that the drift is only significant for longer holding periods and that the drift on the short position, i.e. after bad earnings news, is negligible. The lack of downward drift on the short position is interpreted as an indication of the post-earnings announcement drift, at least partly, being explained by investors demanding a compensation for a risk factor that is omitted in the test design. The second paper illustrates under what conditions information risk in the earnings signal might explain a low announcement reaction and a price drift in the post-announcement period. It is hypothesized that two earnings signals – based either on GAAP earnings or core earnings – have different levels of information uncertainty with respect to how they depict the value creation of the firm. In the empirical sections, it is concluded that the low immediate announcement reaction and high post-announcement drift for the GAAP earnings signal is due to this signal being perceived by investors as containing more uncertainty than the core earnings signal. It is argued that this uncertainty might be due to GAAP earnings encompassing items that prior research has shown more likely to be manipulated and/or to contain estimation error. The positive association between information risk and expected return is further investigated in the third paper, where information risk is measured by earnings quality metrics. Using a new approach to estimate the implied cost of capital, it is found that Swedish investors demand a higher expected return for firms with poor earnings quality, i.e. firms associated with higher information risk. / Diss. Stockholm : Handelshögskolan i Stockholm, 2011

Bakgrund: Dagligen diskuteras utländsk makroekonomiska data i svensk media, där förväntningarna på utvecklingen av dessa sätts i sammanhang med utvecklingen på den svenska börsen. Syfte: Målet med den här studien var att utröna i hur stor utsträckning denna information kan anses vara betydande för en aktieinvesterare med kapital på den svenska börsen. Hänsyn togs även till börscykler samt varierande tidsperioder. Genomförande: Med grund i the Arbitrage Pricing Theory genomfördes multipla regressionsanalyser, med det svenska indexet OMXS30 som beroendevariabel. Undersökningarna baserades på månadsdata för perioden april 1991 till och med augusti 2006. Den makroekonomiska datan försköts därtill en period för att ta hänsyn till variablernas eventuella fördröja effekter på Stockholmsbörsen. Resultat: Integrationen mellan börserna visade sig ha ökat över tiden, med undantag för extraordinära perioder som IT-boomen, där makroekonomiska fundamentaldata istället slås ut. En positiv utvecklingen av långräntan samt konsumentförtroendet i USA tyder på en samtida börsuppgång i Sverige. Vidare är båda växelkurserna starkt signifikanta, där en stärkt dollar och en försvagad euro har positiva effekter på den svenska marknadsutvecklingen. / Background: Foreign macroeconomic fundamentals are daily discussed in the Swedish media, where expectations on the development of these are put into context with the ecnonomic development in Sweden. Aim: The purpose of this thesis is to analyse to what extent this information is important for a investor on the Swedish Stock Market. Consideration was also taken to trends in the Stock Market as well as varying time periods. Research Method: Against the background of the Abritrage Pricing Theory a multiple regression analysis was conducted,with the Swedish Stock Market Index OMXS30 as the dependent variable. The macroeconomic variables where based on monthly data between April 1991 and August 2006 and were thereto lagged one period in order to identify any delayed effects. Result: The integration between the Stock Markets was found to increse over time, with the exception of extraordinary periods, as the IT-boom, where macroeconomic fundamentals lost significance. A positive long-term interest rate as well as a positive consumer confidence in the U.S. was found to indicate a contemporary rising market in Sweden. Further were both of the exchange rates found significant, where a stronger dollar and a weaker euro have positive effects on the Swedish current Stock Market.

Problem:   What are the most useful techniques to indicate the stocks that will outperform the market 12 month post the recession period?  Purpose:  The purpose is to find out which method(s): P/B, EV/EBIT, level of debt and so on, will offer investors the highest returns on the investments post the recession period based on the example of the IT crisis of 2000/2001.  Method:  Quantitative study, covering the Swedish OMX Index from 2001 until December 2002.  Conclusions:  Three variables should be reconsidered when making an investment decision post the recession period. These variables were earlier 12 months returns, dividend yield and P/E ratios. However, it is crucial to understand that these three tools should not be viewed all together.