This research is based on native companies and underwriters¡¦ perspectives to discuss the advantages and decision making process of listing a company¡¦s stocks in Taiwan capital market or in oversea markets. It further analyzes the strengths and weaknesses of Taiwan and Hong Kong capital markets in legal and trading aspects, when also taking the costs into consideration. By analyzing the advantages/disadvantages of each capital market and the encourage policies of both governments, it illustrates the factors that influence a company to choose a favorable market in order to maximize its value. This research compares the following issues¡G A. The IPO regulations of Taiwan and Hong Kong capital markets B. The scales of Taiwan and Hong Kong capital markets C. The costs for IPO in Taiwan and Hong Kong capital markets By referring related articles, it induces the following results¡G A. Common benefits from IPO¡GMore convenient channels for fund raise, increasing international reputation, enhancing internal control system and management, brain gain, more Merger & Acquisition opportunities, and providing shareholders flexible financial planning. B. Planning IPO in local or foreign markets, a company¡¦s consideration would be different. The differentiation is mainly from¡G 1. different goals and strategies 2. different costs and benefits 3. different requirements and qualification for going public. C. The reasons for low management fee are¡G 1. Since underwriters mainly focus on capital gain, not management fee, there is not enough motivation for them to adjust the rate of management fee. 2. numerous underwriters result fierce price competition 3. management fee is related to industry/economy growth and recession 4. Investors might doubt whether the probability of their participating in security allocations is not equal to others. Last, this research provides the conclusion and recommendations. Via comparing these two capital markets, we look for the best solution to change the inferior position of Taiwan capital market and underwriters, and at least provide useful information for our government authorities, underwriters, and companies who are interested in going public in Hong Kong.

Bachelor thesis within Business Administration Title: Behavioral Finance – The Student Perspective Authors: Kamran Sairafi, Karl Selleby, Thom Ståhl Tutor: Urban Österlund Date: 2008-05-30 Background: History is full of examples on how humans can create investment bubbles through speculation; from the Dutch tulip mania to the Dot Com bubble humans have proven to be capable of creating economical chaos. Classical economical theories hold the assumption that individuals act rationally regarding decisions of an economical nature. Since the information on the stock market is available to everyone who seeks it, the appearance of investment bubbles should not be possible. Behavioral finance is an academic branch which seeks to explore these phenomenons through the psychological factors affecting humans in investment decisions. Purpose: The purpose of the report is twofold. Firstly it is to examine the characteristics of investment interested business students enrolled at Jönköping International Business School. Secondly it looks into the decision-making process and choices of the population from the perspective of behavioral finance. Method: This research holds an abductive approach and is based on qualitative data. Data collection was done through an Internet-based questionnaire containing several different questions on the areas related to the inquiries. In some cases statistical analysis was conducted to test for significant correlation between key characteristics. Results: A statistically proven correlation could be discerned between trading experience and frequency; for each additional year an individual engaged in trading the frequency increased. Herd behavior was detected in a majority of the sample. When faced with a scenario in which their immediate surrounding opposed their own analysis of a stock, the greater part of the sample would reconsider their position. Two main sub-groups were detected. The first was characterized by its high tolerance of risk; the second subgroup was characterized by its inconsistency in behavior. Conclusions: This paper found that the behavior of respondents in the chosen population was best described as “student behavior”; a somehow irrational behavior explained by the learning process in which business students exist.

Forecasting the stock market is a complex task, partly because of the random walk behavior of the stock price series. The task is further complicated by the noise, outliers and missing values that are common in financial time series. Despite of this, the subject receives a fair amount of attention, which probably can be attributed to the potential rewards that follows from being able to forecast the stock market. Since artificial neural networks are capable of exploiting non-linear relations in the data, they are suitable to use when forecasting the stock market. In addition to this, they are able to outperform the classic autoregressive linear models. The objective of this thesis is to investigate if the stock market can be forecasted, using the so called error correction neural network. This is accomplished through the development of a method aimed at finding the optimum forecast model. The results of this thesis indicates that the developed method can be applied successfully when forecasting the stock market. Of the five stocks that were forecasted in this thesis using forecast models based on the developed method, all generated positive returns. This suggests that the stock market can be forecasted using neural networks.

I denna uppsats undersöker jag huruvida CAPM eller APT modellerna ger resultat på den svenska aktiemarknaden mellan 1998 och 2007. Jag undersöker om någon av dessa modeller passar in i den svenska aktiemarknaden och hurdan är resultatet. Det som gör uppsatsen intressant är att jag använder båda modellerna i en och samma studie och jämför resultatet av uppskattningar av modellerna. Som markandsindex har jag använt OMXS30 index och som makroekonomiska variabler i APT-modellen har jag använt inflation, oljepris, industriproduktionsindex och ränta. Resultatet av studien är att med de makroekonomiska variablerna, som jag har använt, ger både CAPM och APT likvärdiga resultat. Slutsatsen av min studie är att APT med de rätta variablerna är en bättre modell att skatta priset på aktier än CAPM. / In this essay, I examine whether CAPM or APT models give results on the Swedish stock market between 1998 and 2007. I examine if either CAMP or APT or both of these models fits in on the Swedish stock market and what the result is. What makes this essay interesting is that I use both models in one and the same study and compare the result of my estimates with these two models. As market index, I have used the OMXS30 index and as macroeconomic variables in APT model, I have used inflation, oil price, industry production index and interest. The result of the study is that with the macroeconomic variables, that I have used with APT and CAPM, gives CAPM and APT equivalent results. The conclusion of the study is that APT, with the correct variables, is better model for estimating the stock prices than CAPM.

Post earnings announcement drift (PEAD) is defined as the drift that occurs in a company’s share priceafter their earnings announcement. A company that reports earnings above (below) the analysts’expectations should, according to previous studies of PEAD, continue to drift upwards (downwards)after the announcement. (Ball & Brown, 1968) The thesis purpose is to investigate if PEAD existed onthe Swedish market between 2006-2010. We test PEAD’s existences through; (i) creating portfolios inwhich companies’ abnormal return (AR) we expect to decline or increase, (ii) doing a multiple regressionanalysis to test if the drift is statistically significant. From the results of our study, we can neither acceptnor reject the hypothesis that PEAD existed on the Swedish market, although the multiple regressionanalysis prove a statistically significant result for companies’ AR that we expect to decline have drifted3,11% in a negative direction compared to our total sample.

Bakgrund: Det har i tidigare forskningar bevisats att privatpersoner har en tendens att vilja få hög avkastning på kort tid och därför väljer de ofta att investera i aktier. Detta leder till att aktierekommendationer har en stor påverkan på de privatpersoner som vill investera i aktier utan att ha en god kunskap inom ämnet. Det har även visats i olika undersökningar att privatpersoner i majoritet har lägre tillit för affärstidningar än för banker. Syfte: Syftet med denna undersökning är att undersöka banker och affärstidningarnas utfall av aktierekommendationer på den svenska aktiemarknaden. Genomförande: En kvantitativ undersökning genomfördes, där vi valde fyra olika banker och fyra olika affärstidningar. Tidsperioden var tre år, mellan 2010-01-01 och 2012-12-31. Totalt undersöktes 617 köp- och säljrekommendationer under fyra olika perioder; en dag, fem dagar, tio dagar och 30 dagar efter publiceringsdatumet. Resultat: Resultatet av undersökningen antyder på att det finns en skillnad mellan banker och affärstidningar gällande träffsäkerheten på dess publicerade aktierekommendationer. Affärstidningarna har högre antal träffar än bankerna, både när det gäller säljrekommendationer och köprekommendationer. / Background: It has been shown in previous researches that individuals have a tendency to want to get high returns in a short time and therefore often choose to invest in stocks. Stock recommendations have therefore a large impact on the individuals who want to invest in stocks without having good knowledge of the subject. It has also been shown in various studies that the majority of individuals have lower trust in business magazines than for banks. Purpose: The purpose of this study is to investigate the banks and the business magazines outcome of the stock recommendations of the Swedish stock market. Method: A quantitative study was conducted, in which we chose four different banks and four different business magazines. The time period was three years, between 2010-01-01 and 2012-12-31. A total of 617 stock recommendations were investigated during four different periods; one day, five days, ten days and 30 days after the date of publication. Conclusion: The study results indicate that there is a difference between banks and business magazines regarding the accuracy of the published stock recommendations. Business magazines have a higher number of hits than the banks, both in terms of sales recommendations and purchase recommendations.

As the stock market plays an important role in the global economy and Chinese economy become progressively significant part of the world economy, we are interested in the Chinese stock market. After we compared the methods on the stock market, we choose to use the CAPM and the APT model on Chinese stock market. As a lot papers study on the Main Board of Chinese stock market, we pay our attention on the SME Board and the ChiNext Board of Chinese stock market. We put the samples from the SME Board and the ChiNext Board into the regression models which are based on the CAPM and the APT model, and then we can use the regression models to forecast the long returns. Comparing the forecast ln returns with the true ln returns, we may find that the CAMP or the APT model can forecast better on the SME Board and the ChiNext Board. The systematic risk is the only factor we put the regression model based on the CAPM. For the regression model based on the APT model, we use three factors which are the systematic risk, daily exchange volume and the volatility. Our results show that the APT model can explain factors better than the CAPM for the samples from the SME Board and the ChiNext Board. On the other hand, we could not find evidence that the APT Model can forecast better than the CAPM for the SME Board and the ChiNext Board.

I dagens globaliserade samhälle är det enkelt att placera sitt kapital på olika marknader. Dock kan det innebära både risker och möjligheter för investeraren. Vilket betyder att det satsade kapitalet antingen kan bli en lönsam investering eller gå förlorat. Bör hänsyn tas till landsrisker på aktiemarknaden för att kunna bedöma investeringens lönsamhet? Syftet med studien är att ta reda på vilken betydelse landsrisker har för avkastningen i industri- respektive tillväxtländer. Men även undersöka om det finns något samband mellan avkastningen och penningmarknadsräntan samt korruption. Studiens utfall visar att det är viktigt att ta hänsyn till landsrisker på aktiemarknaden. Att högre risk genererar högre avkastning och vice versa. Detta gäller för både industri- och tillväxtländer. Det oförväntade utfallet i denna studie är att industriländerna har en högre risk och därmed en högre avkastning i jämförelse med tillväxtländerna. Den finansiella faktorn penningmarknadsräntan är av mindre betydelse för avkastningen i ett land. Samtidigt är den politiska faktorn korruption en väsentlig risk att ta hänsyn till vid investeringar i främmande länder. / In today's globalized society, it is easy to invest in different markets. That involves both risks and opportunities for the investor. This means that the capital may either be a profitable investment or not. Should one take into account country risks in the stock market to assess the profitability of the investment? The purpose of this study is to determine what importance the country risk has to the return in the stock market at both developed and emerging countries. But also to investigate whether there is any correlation between income and the money market rate and corruption. The results of this study show that it is important to take into account country risks in the stock market. Higher risk generates higher returns in the stock market and vice versa. This can be applied to both developed and emerging countries. The unexpected outcome of this study is that developed countries have a higher risk than the emerging countries and therefore a higher return in the stock market. The financial factor – money market rate – is of minor importance for the return. Meanwhile, the political factor – corruption – is a significant risk to consider when investing in foreign countries.

Relationen mellan publik media och kapitalmarknader är ett område som studerats under en lång period. Åsikter har väckts om att massmedia är en viktig faktor vid förståelsen av finansiella marknader då media har förmågan att ge upphov till irrationella reaktioner. Utifrån detta har en kritik mot massmedia växt fram som menar att media inte förmedlar viktig information. En del studier visar emellertid att en lättare åtkomst till ny information leder till att priser på finansiella marknader kan justeras mer effektivt.Syftet med denna studie är att förklara hur den historiska mediabevakningen som föregår en aktierekommendation påverkar hela aktiemarknadens aktörer genom att studera den överavkastning som föregår och efterföljer rekommendationen ifråga. Undersökningen har baserats på rekommendationer gällande svenska aktier som är börsnoterade på Large-, Mid- och Small-Cap listorna på Nasdaq OMX Nordic Stockholm under en period som sträcker sig över två år. Underlaget för mediabevakning utgår ifrån artiklar ur stora svenska tidsskrifter och rekommendationerna är hämtade ifrån större analytikerhus.Tidigare forskning har gjorts på aktiemarknadens reaktion vid publicerandet av nya rekommendationer men denna studie tar hänsyn till ytterligare en variabel, antalet historiska publikationer i media, för att försöka skapa ytterligare förståelse på området.Resultatet antyder att den grad av mediabevakning som föregår publicerandet av en aktierekommendation inte har en påverkan på marknadens mottagning av den nya informationen. Den tydligaste skillnaden som kunde ses mellan rekommendationer som föregicks av en hög respektive låg mediabevakning var att rekommendationen som föregicks av en låg mediabevakning visade ett marginellt större utslag vid publikationsdagen. Då denna observation emellertid inte kunde säkerställas statistiskt går det inte att dra några slutsatser utifrån detta resultat och studien kan således inte påvisa att mer lättillgänglig information leder till en mer informerad marknad. / The relationship between public media and capital markets is a subject that has been studied for a long time. Some argue that mass media is an important factor in understanding the financial markets because the media has the ability to generate irrational reactions. On this basis a critique against the media has emerged which believe that the mass media does not publish valuable information. Some studies, however, have concluded that an easier access to new information leads to more efficient price adjustments within the financial markets.The purpose of this study is to explain how the historical media coverage preceding stock recommendations affects the entire stock market by studying the abnormal return that precede and follow the studied recommendations. The study is based on recommendations on Swedish shares listed on the Large-, Mid- and Small-Cap lists on the Nasdaq OMX Stockholm during a period of two years. Media coverage is based on articles from major Swedish magazines while stock recommendations are obtained from major analysts.Previous research has been done on the stock market's reaction to the publication of new recommendations, but this study takes an additional variable into account, the number of historical publications in the media, in an attempt to create further understanding in the field of subject.The results suggest that the degree of media coverage preceding the publication of a stock recommendation do not have an impact on the market's reception of the new information. The most noticeable difference between the recommendations that were preceded by high and low media coverage respectively was that the recommendation which was preceded by low media coverage showed a marginally larger abnormal return at the publication date. Since this observation, however, could not be confirmed statistically the study cannot draw any conclusions from this result and thus the study cannot prove that a larger amount of easily accessible information leads to a more informed market.

As the two main components of household portfolios, stocks and real estate are likely to catch people¡¦s attention. Although the number of extant studies on the interaction between the stock and real estate markets is large, the views and empirical evidence in those studies show inconsistent results. This dissertation provides an explanation for the inconsistent results: market imperfection. Employing the threshold vector error correction model to examine the interaction between Taiwan¡¦s stock and real estate markets during the period from 1973Q2 to 2009Q4, the empirical results support this explanation. When the transaction benefit from the disequilibrium between the stock and real estate markets can cover the potential cost resulting from market imperfection, the relationship between the stock and real estate markets is integrated; but when there is slight disequilibrium, the price of real estate will not converge since the arbitrage benefit cannot cover the cost of transaction. As a result, the relationship is segmented. The empirical results of the study are very robust as similar conclusions result when different proxies for housing prices are used. The interactions between the stock and the sub-region housing markets also show similar results. Finally, when macroeconomic factors are considered, the asymmetric dynamic relationship is still significant.