This paper studies the endogenous evolution of investment behaviour under the various macroeconomic circumstances, which might be relatively constructed by free-float, fixed and target zone regimes as the economic stability policy. It applies the issues of stock price target zone policy to a simultaneous stochastic differential equation system. We construct the stochastic macro model which utilized the basic conception of Dornbusch [1976] with the different price adjustment mechanism. In addition, we intend to apply the topological method which used by Miller and Weller [1991] to analyze the general economic property from the non-recursive model. The main purpose of this paper is to discuss how the public’s expectation affects the dynamic loci of commodity and stock price when the public agents have the perfect or imperfect credibility. We utilize this model to investigate whether stock price target zone regime will have honeymoon effect or not, when the government announce to execute the stock price target zone policy in the various situations. Moreover, we discuss whether stock price target zone can simultaneously stabilize other variables in the different situations.

<p><strong>Syfte:</strong> Syftet med studien är att med statistiska mått undersöka om företags aktiekurs reagerar på ett vd-byte samt se hur ledarskap påverkar företagets rörelseresultat ur ett genusperspektiv.<strong> </strong></p><p><strong>Metod: </strong>Undersökningen är en eventstudie som innefattar åtta stycken företag. Eventstudiens estimeringsfönster omfattar 56 dagar innan eventfönstrets 29 dagar, där aktiekursens rörelse undersöks. Varje företags enskilda procentuella förändring i rörelseresultatet kommer att studeras två år innan och två år efter ett vd-byte har inträffat.</p><p><strong>Teori:</strong> Undersökningen utgår från effektiva marknadshypotesen, agentteorin och signalteorin.</p><p><strong>Empiri:</strong> Resultaten för aktiekursens abnormala genomsnittliga avkastning (AAR) och den kumulativa genomsnittliga avkastningen (CAAR) visas i diagram, detsamma gäller för företagens procentuella förändring i rörelseresultatet. En jämförelse dras mellan företag som har genomfört ett kvinnligt vd-byte mot företag som har genomfört ett manligt vd-byte.</p><p><strong>Slutsats:</strong></p><ul><li>Aktiekursen för företag som har genomfört ett kvinnligt vd-byte har cirka 10 procent högre förändring i AAR än för företag som har genomfört ett manligt vd-byte.</li><li>Aktiekursens lutning på CAAR för företag med en kvinnlig vd är starkare än för företag där det har skett ett manligt vd-byte. Vid undersökning av CAAR är även kvinnornas procentuella förändring högre.</li><li>Den totala genomsnittliga procentuella förändringen i rörelseresultatet visar att i tre av fyra fall har de företag där en kvinna tillträtt vd-posten haft bättre procentuella förändringar än företagen där en man har tillträtt som vd.</li></ul> / <p><p><strong>Purpose:</strong> This study is to examine the statistical measures how a company's stock price reacts to a CEO change and how leadership affects the firm's operating results from a gender perspective.<p> </p><p><strong>Methods:</strong> The survey is an event study involving eight companies. The estimated window in the event study includes 56 days before the event window of 29 days, where the stock price movement is examined. Each company's individual percentage change in operating results will be studied two years before and two years after a CEO change has occurred<p> </p><p><strong>Theoretical:</strong> The study is based on efficient market hypothesis, the agency theory, and signal theory.<p> </p><p><strong>Empirical:</strong> The results for AAR, CAAR and the percentage change in operating result are shown in diagrams. A comparison is drawn between companies that have changed to a female CEO versus companies that have changed to a male CEO.<p> </p><p><strong>Conlusion:</strong><p> </p><p> </p><ul><li>The stock price of companies that have change to a female CEO is 10 percent higher in AAR than companies that have change to a male CEO.</li><li>The gradient of the stock price of CAAR for firms with a female CEO is stronger than for companies with a male CEO. The study of CAAR is also higher for women than for men.</li><li>The total average percentage change in operating results shows that in three of four cases, the companies with a woman as CEO had better percentage changes than firms with a male CEO</li></ul></p></p></p></p></p></p>

Background: Low Price-Earnings ratio, low Book-to market ratio and low stock prices can give the impression that a stock is “cheap”. Is it through systematic use of these portfolio strategies possible to beat the market index – in other words does financial illusions exist? Purpose: To examine if the Stockholm Stock Exchange is an efficient market. Limitations: The efficiency is tested solely through the chosen portfolio strategies: low Price-Earnings ratio, low Book-to-market ratio and low stock prices. The research only includes stocks listed on the A-, O-, OTC- and Attract40 lists during the period 1998-01-01 to 2001-12-31. Methodology: With CAPM as an equilibrium model we are examining if the P/e, Book-to-market or the stock price portfolios generate systematic overperformance in comparision to the market index SIXRX. Significance tests on the 5 % level have been performed to determine if the returns are significantly separated from zero. Results: We can establish that none of the chosen portfolio strategies generated any significant systematic overperformance.

Following the development of international trade, exchange rate uncertainty is a majorsource of risk for corporations involved in international activities. It has forcedmanagers and academics to pay more attention to the effect of exchange rate volatilityon firm value, particularly in developed countries. In the 1990s Asian financial crises,the stock return volatility of US multinational firms increases significantly with therapid expansion of Asian currency crises to world stock market. It led academics andinvestors to pay increasing attention to examine exchange rate exposure in Asia stockmarkets. Nowadays the value of U.S. dollar increased volatility against Asian countries’currency since U.S. financial crisis beginning in August 2007. From what we know, fewof researches report the impact of US financial crisis for Asia firms. This paper aims toexplore the relation between exchange rate movement and firm values in Asian markets. The main purpose of this paper is to examine whether a significant contemporaneousand lagged variability of Asian firms’ stock returns are affected by exchange ratemovement in Asian markets, such as Hong Kong, Singapore, China, Taiwan, andMalaysia during the period from August 2005 to March 2010. Differences of capitalmaturity were compared with among these five Asian economies, covering bothdeveloped markets and emerging markets in Asia. This comparison makes sense tounderstand the efficient market hypothesis theory. In order to ensure our research’svalidity and reliability, sample firms are randomly chosen by the method of stratifiedsampling. The second step in this study is to examine the impact of firm-specific factorson sensitivity to exchange rate movement for those firms with a significant exchangerate exposure. The five firm specific factors are firm size, leverage situation, hedgingactivities, foreign involvement level, and industry classification. The main methods inthis quantitative research are simple and multiple linear regressions. The ordinary leastsquares method in SPSS program was used to estimate the parameters for eachindependent variable. Using a sample of 182 listed firms in these five sample markets, except China,exchange rate exposure of firms in other four Asian markets increases significantly insome sub-period during three sub-periods. After examining the sensitivity to weeklyexchange rate movement of local currency to US Dollar, it is noticeable for academicsthat there is no obvious difference between developed markets and emerging markets inAsia during the period of August 2005 to March 2010. Moreover, the relationshipbetween exchange rate and stock returns varied from markets with respect to exchangerate regimes and level of capital control. As to firm-specific factors, firm size wasnegatively related to exchange rate exposure and this effect was stronger in developedmarkets than other. Similar to previous studies, Asian markets also showed thatexchange rate exposure differed among industries. However, the effect on exchange rateexposure is not significant caused by leverage, foreign sales and hedging activityinvolvement. Suggestions and recommendations for further studies are provided in thelast part of this paper.

This study is based on an ongoing debate regarding the Stockholm Stock Exchange, which centers around the possible abolition of quarterly reports. The purpose of this paper is to contribute to this debate by examining how the relationship between financial reports and stock price correlates. The study's methodological approach is based on the Capital Market Research frame-work in which an ERC model and an extended model are used to measure the relationship. Three hypotheses were formed to categorize the direction of the study, these categorizations treats the differences in impact between quarterly and annual reports on stock price, as well as differences in impact as a casual effect of company size and seasonal sensitivity. The results of the study show that quarterly reports have a stronger impact on the share price than annual reports. Financial reports from smaller companies have greater impact on share price than financial reports from larger companies. The study also shows that there is a seasonality trend in the consumer industry's fourth quarter.

<p>Background: Low Price-Earnings ratio, low Book-to market ratio and low stock prices can give the impression that a stock is “cheap”. Is it through systematic use of these portfolio strategies possible to beat the market index – in other words does financial illusions exist? </p><p>Purpose: To examine if the Stockholm Stock Exchange is an efficient market. Limitations: The efficiency is tested solely through the chosen portfolio strategies: low Price-Earnings ratio, low Book-to-market ratio and low stock prices. The research only includes stocks listed on the A-, O-, OTC- and Attract40 lists during the period 1998-01-01 to 2001-12-31. Methodology: With CAPM as an equilibrium model we are examining if the P/e, Book-to-market or the stock price portfolios generate systematic overperformance in comparision to the market index SIXRX. Significance tests on the 5 % level have been performed to determine if the returns are significantly separated from zero. </p><p>Results: We can establish that none of the chosen portfolio strategies generated any significant systematic overperformance.</p>

This paper investigates the impact of accruals and cash flow components of earnings on the stock prices and whether the stock prices fully reflect information about future earnings contained in the accrual and cash flow components of current earnings. This is an interesting issue of narrow framing, an application of behavioral finance. We mainly follow Sloan (1996)’s methodology but adjust hypothesis settings to fit the real situation of stock market in Taiwan. We find that high earnings performance that is attributable to cash flow components is more likely to be sustained than high earnings performance that is attributable to accrual components. / This paper investigates the impact of accruals and cash flow components of earnings on the stock prices and whether the stock prices fully reflect information about future earnings contained in the accrual and cash flow components of current earnings. This is an interesting issue of narrow framing, an application of behavioral finance. We mainly follow Sloan (1996)’s methodology but adjust hypothesis settings to fit the real situation of stock market in Taiwan. We find that high earnings performance that is attributable to cash flow components is more likely to be sustained than high earnings performance that is attributable to accrual components.

Herdecke, Privatuniv., Diss--Witten, 2006.

Revision används som ett medel för att utomstående intressenter, exempelvis aktieägare, ska få en kvalitetsstämpel på den information som förmedlas av ett företags ledning. Om revisorerna vill påpeka någonting angående företagets redovisning eller förvaltning utfärdar de en så kallad oren revisionsberättelse. I denna studie undersöker vi om denna orena revisionsberättelse får någon effekt på företagets aktiekurs. Den problemformulering som besvaras är: Har en oren revisionsberättelse någon effekt på svenska publika företags aktiekurser? Tidigare forskning på området har nästan enbart genomförts i utlandet. Denna forskning har dock inte kommit fram till något entydigt resultat. Viss forskning hävdar att en oren revisionsberättelse har en negativ effekt på aktiekursen medan annan gör gällande att den inte påverkar. Ytterligare forskning menar att effekten en oren revisionsberättelse har på aktiekursen beror på faktorer som exempelvis informationsmiljö eller vilken typ av revisorsanmärkning det rör sig om. De teorier vi använder oss av berör främst förhållandet mellan aktieägarna och företagsledningen. Bland dessa teorier kan nämnas agentteorin och teorin om informationsasymmetri. Vi använder oss av en kvantitativ metod och gör en händelsestudie. En händelsestudie går förenklat ut på jämföra en akties verkliga avkastning med dess förväntade avkastning under en tidsperiod runt en specifik händelse. Händelsen i vår studie är offentliggörandet av den orena revisionsberättelsen. Vårt slutliga urval består av 101 observationer av orena revisionsberättelser från 64 svenska börsnoterade aktiebolag som fått minst en oren revisionsberättelse mellan 2004-2013. Vi testar först om det finns någon signifikant effekt på aktiekursen för samtliga observationer. Därtill testar vi även om det finns effekt på aktiekursen för olika branscher, börslistor, typer av orena revisionsberättelser och om den orena revisionsberättelsen inträffar för första gången. Resultaten visar att den orena revisionsberättelsen generellt inte har någon signifikant effekt på svenska publika företags aktiekurser. Vi finner en viss nedåtgående trend under dagarna efter händelsen. Trenden är dock inte statistiskt signifikant. Det väcks därmed ett visst tvivel kring om revisionsberättelsen uppfyller sitt syfte för aktieägarna. Resultaten visar också att effekten på aktiekursen inte nämnvärt skiljer sig åt mellan upprepade orena revisionsberättelser och de som kommer första gången. Inga andra test av hela händelseperioden rörande exempelvis bransch visar på statistisk signifikanta negativa effekter på aktiekursen. Dock finns det enskilda dagar under händelseperioden som visar på signifikans. Några direkta slutsatser av detta är emellertid svåra att dra utan vidare undersökning.

published_or_final_version / Statistics / Master / Master of Philosophy