Problem: An efficient market fully reflects all available information about a company in its share price. Furthermore any new information presented about a company will lead to an instant adaptation in the share price. Henceforth an investor can not reach abnormal returns on an efficient market. The Stockholm stock exchange is afairly large stock exchange with a turnover of SEK 14000 millions per day. Prior studies conducted regarding the efficiency of the Stockholm stock exchange have stated that the stock exchange was efficient on a semistrong level. However these studies were conducted with a time frame of several weeks and therefore the authors distinguished a need for a study aiming at short term efficiency. Furthermore this thesis aims to investigate the effects of the presentation of positive annual and interim reports. A positive report is defined as a report that leads to an increase in share price the day it is presented and consequently includes all events on the day of the presentation, e.g. the press conference. The thesis was written from an investors’ perspective, who is about to buy shares. Purpose: The purpose of this thesis was to describe and analyze the Stockholm stock exchange market’s efficiency. This was done during the days surrounding the presentation of annual and interim reports rendering an increase in share price. Furthermore the possibilities of making abnormal returns by buying shares during this period were investigated. Method: To investigate the efficiency of the Stockholm stock exchange an event study was carried out. Data regarding the performance of the shares of the fifteen most traded com-panies on the Stockholm stock exchange were collected from the OMX groups’ homepage. The chosen companies together represented more than fifty percent of the turnover of the OMXS 30 index. The index was used as a benchmark for measuring the efficiency. The share price movement was analyzed with a quantitative approach through a statistical T-test with the assistance of the SPSS 13.0. Result: The authors claim that the Stockholm stock exchange is not efficient on a semistrong level the day after the presentation of a positive report, as the shares displayed a negative abnormal deviation from the OMXS 30 index. The deviation was statistically verified. However the authors state that no abnormal returns can be reached by buying shares during this period since the deviation was negative. The period as a whole and the other tested days came out as efficient on a semi-strong level.

The focus of this study is to evaluate the impact of corporate ownership structure on the overall performance of stock exchanges. This study distinguishes in particular mutual versus demutualized ownership. London Stock Exchange and Hong Kong Stock Exchange are chosen as study cases, because London Stock Exchange is one of the world leading stock exchanges and Hong Kong Stock Exchange is definitely one of the most important emerging market stock exchanges. That is why the results obtained by comparing these two stock exchanges could serve as good indicator in understanding the effects of demutualization process on the whole stock exchange sector and retain the subtle differences in micro-behavior of the stock exchanges undergone the same transformation. In this paper the simple descriptive statistics is used as the method of analysis, in association to a profound review of the literature in this area. The data illuminate the fact that demutualized stock exchanges hold a stronger operating performance and a better performance in term of shareholder’s return than mutual exchanges. The result is generally in line with the basic theories in the area of corporate governance and empirical studies in this specific area like Aggarwal (2006), Mendiola and O’Hara (2003) and Hart and Moore (1996).

The main purpose of this thesis is to investigate the differences between family and non-family businesses that are listed on the stock exchange, more specifically which factors that is being used in the valuation process and why family businesses as a rule seem to be undervalued. We also look at if family ownership is a factor in this process. By conducting interviews with analysts and journalists working with valuation we hope to be able to not only find out what factors differ but also why family busi-nesses are undervalued. Our conclusion is that while the two forms of ownership has several negative factors that differ between them that are more common among family businesses, such as conservative dividend policy, this is not connected to the family business as a form but is rather an individual factor differing from company to company. Family ownership as such was however not in any way a factor in the valuation since the valuations instead looks at the individual company and does not generalize.

Since 1994 when the Warsaw Stock Exchange has been acknowledged as a full member of World Federation of Exchanges and became one of the fastest developing security markets in the region, it has been hard to find any studies relating to the assets price performance on this exchange. That is why I decided to write this paper in which the Nobel price winning theory namely the Capital Asset Pricing Model has been tested. The Capital Asset Pricing Model (or CAPM) is an equilibrium model which relates asset’s risk measured by beta to its returns. It states that in a competitive market the expected rate of return on an asset varies in direct proportion to its beta. In this paper the performance of 100 stocks traded continuously on the main market in the years 2002-2006 has been tested. I have performed three independent tests of the CAPM based on different methods and techniques to better check the validity of the theory and then compared the results. As in the case of many other studies of the Capital Asset Pricing Model, this one didn’t find a complete support for the model but couldn’t reject some of its features either.

This paper examines the stock performance around initiation announcements of open market share repurchase programs, the price impact of repurchase trading and the long-run abnormal stock performance following the initiation announcements in a European regulatory framework. The study uses a unique dataset on initiation announcements and actual repurchases conducted by firms listed on the Stockholm Stock Exchange during the period 2000-2009. The results show that initiation announcements of open market repurchase programs exhibit a two-day abnormal return of approximately 2%. The price impact on the actual repurchase days is positively correlated with the daily repurchase volume, and is both statistically and economically significant during the first 3 repurchase days in a repurchase program. The long-run abnormal stock performance is positively associated with the fraction of shares bought in the program and is approximately 7% the first year following the initiation announcement. The results indicate that repurchase trading provides price support and that the market participants detect and perceive the initiation announcement and the first repurchase days in a repurchase program as a signal of undervaluation. / <p>QC 20130515</p>

We examine differences in market performance of Swedish firms that initiate repurchase programs infrequently (1-2 programs), occasionally (3-4 programs) and frequently (5 or more programs) over the period 2000-2009, and examine the relationship between abnormal return and repurchase size in repurchase months. We find that infrequent repurchase programs are greeted with a stronger positive reaction than occasional and frequent programs. However, over long term, infrequent repurchase programs show no abnormal return while occasional and frequent repurchase programs show a significant positive abnormal return. A positive relationship between abnormal return and repurchase size in repurchase months is documented on average for all types of repurchase programs. / <p>QC 20130515</p>

We examine the market liquidity impact of open market share repurchases in a computerized order driven market. Using a detailed dataset of daily repurchase transactions on the Stockholm Stock Exchange together with intraday data on bid-ask spreads and order depths enable us to examine liquidity effects on the actual repurchase days. Overall, we find that repurchase trades inside the order driven trading system contributes to market liquidity through narrower bid-ask spreads and deeper market depths. After controlling for total trading volume, price, and volatility we still find a significant decrease of the bid-ask spread on repurchase days relative to surrounding non-repurchase days. However, repurchases executed as block trades outside the order driven trading system have a detrimental effect on the bid-ask spread, consistent with a negative response to the presence of informed managerial trading. / <p>QC 20130515</p>

Security Transaction taxes have been in place in many countries for many years now. Yet we do not fully know how these taxes effect prices, volumes, bid-ask spreads and volatility and in turn if they are good for the economy or not. This paper is an attempt to understand how security transaction taxes decrease volume of trading, decrease prices of stocks and increase bid-ask spreads. It analyses the effect the STTs implemented by the state and federal government in New York on June 1st 1905 and December 1st 1914 respectively, had on the stocks of the New York Stock Exchange. These results will help us analyze whether future implementations of STTs will harm or benefit the market.

The aim of this study is to examine the dividend policy behavior of firms listed at Stockholm Stock Exchange from 2005-2011. We examine the behavior from a Market Cap (firm size) and industry classification (group characteristics) perspective due to the structure of Stockholm Stock Exchange, by using non-parametric methods and Lintner`s model. The conclusions are as follows: (i) Market Cap listing and industry classification matters for the propensity to pay dividends and we observe that firms in Mid Cap and Small Cap were more likely to pay dividends in 2011 than in 2005. (ii) Neither Market Cap listing nor industry classification affects the firms’ payout ratio. (iii) Market Cap listing affects the firms´ level of paid DPS (dividend per share) but not significantly when we compared firms in Large Cap to firms in Mid Cap. Industry classification affects the firms´ level of paid DPS. (iv) Current EPS (earnings per share) and past DPS are important factors for deciding current DPS when firms were classified into Market Caps, but not for all firms when they were classified into industries. (v) Firms follow regular but unstable dividend policies despite Market Cap listing. Firms in the Health Care industry follow irregular and unstable dividend policies while the firms in the other industries follow regular but unstable dividend policies.

This study examines the relationship between SAHA’s corporate governance rating score and firm performance in Turkey for the period between 2008, 2009 and 2010. The purpose of study is to analyze whether there is a relationship between Saha’s corporate governance score which is based on the principles of Capital Market Board of Turkey and firm performance for 16 companies listed in corporate governance index Istanbul Stock Exchange (ISE) by using Saha’s Corporate Governance. It also aims to determine this relationship by attempting to answer the question of whether better governed firms as measured by high corporate governance score have higher firm performance in Turkey. With this purpose three analyses were conducted and random effect model, one type of panel data, is used to analyze whether there is a relationship between corporate governance and firm performance. The conceptual framework for this study is a combinationan of approaches to agency, stakeholder and stewardship theory. Panel data is created as unbalanced data and random effect model is used.Accounting based performance measures of firms: return on asset, return on equity and returnon sales were used to compare with Saha’s Corporate Governance Rating Score based on four sub-indices: 1) shareholder rights, 2) public disclosure and transparency, 3) stakeholders and 4) board of directors. The results based on Saha’s Corporate Governance Score show that corporate governance does matter in Turkey. The study shows that better governed firms measured by high corporate governance score have better performance in Turkey. The result of regressing return on asset, return on equity against Saha’s corporate governance rating score indicates that there is a significantly relationship between corporate governance and firm performace. However, the result of regressing return on sales indicates that there is no statistically significant relation between Saha’s corporate governance score and return on sales.