This study examined the relationship between a set of macroeconomic variables and stock market development in Hong Kong and the Philippines for the periods of 1992Q4-2016Q3 and 2001Q4-2016Q4 respectively. In recent decades, the stock markets in Hong Kong and the Philippines have experienced remarkable growth. While the literature has produced diverse views on the relationship between each determinant and the stock market, there are no relevant studies on the determinants of stock market development on these two countries. Against this background, this study enriched the literature by investigating the macroeconomic determinants of stock market development in these two countries using the autoregressive distributed lag bounds testing approach. The empirical results of this study revealed a number of interesting findings. In the case of Hong Kong, the results showed that banking sector development and economic growth exerted positive impacts, whereas the inflation rate and exchange rate exerted negative impacts on stock market development both in the long and short run. In addition, the results showed that trade openness had a positive long-run impact, but a negative short-run impact on stock market development. Therefore, policymakers should pursue policies that foster banking sector development, enhance economic growth and maintain trade openness in order to foster the development of the stock market. In addition, monetary authority should strive to maintain a low level of inflation rate and the value of the domestic currency so as to further promote stock market development. In the case of the Philippines, the study found that trade openness had a negative impact on the development of the stock market in the long run, whereas banking sector development, and the exchange rate had positive impacts in the short run. Based on these findings, policymakers should consider policies that promote the use of equity financing in the production of main exports, enhance banking sector development, and maintain the stability of the domestic currency in order to promote the development of the stock market. / Economics / D. Phil. (Economics)

O fortalecimento de um mercado acionário está relacionado diretamente com a transparência e confiabilidade da informação disponível para os usuários desses mercados. Com este fim, o auditor e o seu trabalho, divulgado através do relatório de auditoria, configuram-se como garantias da realidade econômica e contábil das empresas de capital aberto. No entanto, na realidade latino-americana (nos casos do Brasil, Colômbia e Argentina), ainda não se tem quantificado o impacto que o auditor, e o relatório de auditoria, exercem na dinâmica dos seus mercados acionários. Em resposta à falta de estudos que quantifiquem a relação auditoria mercado acionário se formula o presente trabalho. Assim, analisa-se, através de um estudo de eventos, o efeito que os relatórios de auditoria exercem no preço das ações das companhias de capital aberto listadas nas principais bolsas de valores do Brasil (Bolsa de Valores, Mercadorias e Futuros BM&F Bovespa), Colômbia (Bolsa de valores de Colombia BVC) e Argentina (Bolsa de Comercio de Buenos Aires BCBA). Realizou-se um estudo univariável e multivariável para testar as hipóteses. No caso brasileiro e argentino, o período de estudo abrangeu desde o ano 2000 até 2007. No primeiro caso, confirma-se que a divulgação dos relatórios de auditoria modificados, das companhias de capital aberto participantes da BM&FBOVESPA, não afeta o preço das suas ações. Já para o caso da Argentina, obtém-se um resultado oposto, verificando através do teste de hipóteses que o relatório do auditor impacta no mercado acionário representado pela Bolsa de Comércio de Buenos Aires; em particular, a divulgação dos relatórios de auditoria modificados tem um efeito negativo nos preços das ações negociadas no mercado acionário Argentino. Por último, no mercado acionário da Colômbia analisa-se um período de estudo desde o ano 2001 até 2007. Na Colômbia são obtidos resultados similares aos verificados no mercado acionário brasileiro. Assim, a contribuição do presente trabalho é avaliar e quantificar a importância do auditor externo nesses países em estudo e, indiretamente, avaliar o uso do relatório de auditoria como médio de divulgação de informação relevante aos seus mercados acionários. / The strength of a stock market is related to transparency and reliability of all information available for its users. In this sense, both the auditor and his work, which is disseminated through the auditing reports, become the guarantee of the economical reality from all publicly traded companies. However, in Latin America reality (especially in Brazil, Colombia and Argentina), the impact of the Auditor and his reports still has not been verified upon the stock markets. Hence, this present job aims to respond to the lack of studies stating the relationship between Auditing and Stock markets in Latin America. The analysis is done through a event study, evaluating what is the auditing report effect upon the prices of stocks from the main publicly traded companies in Brazilian stock market (Bolsa de valores, Mercadorias e Futuros BM&FBovespa), Colombian stock market (Bolsa de valores de Colombia BVC) and Argentine stock market (Bolsa de Comercio de Buenos Aires BCBA). In particular, two studies are carried out, one univariable and the other multivariable, in order to test the hypothesis. In Brazilian and Argentine cases, the study covers the period from 2000 until 2007. In the first case, the disclosure of the modified auditing reports, considering public companies of the BM&FBovespa Stock Exchange, does not affect their stock price. On the contrary, in Argentine case, an opposite result is obtained: the auditing reports impact on BCBA Stock Exchange; specifically, the disclosure of modified auditing reports has a negative effect on stock prices. Finally, for the Colombian stock market, a study period from 2001 until 2007 is utilized. In Colombian case, similar results to those reported from Brazilian analysis are obtained. The contribution of this thesis is to evaluate and quantify the role of the auditor in the countries mentioned above and, indirectly, the use of the auditor\'s report as way to disseminate Auditing information.

The diploma thesis is focused on testing of effectiveness of selected methods of fundamental analysis on a sample of Russian stocks. The introductory part lists briefly different ways of describing changes of stock prices. The second chapter explains key principles of fundamental analysis with focus on models which are used for determination of intrinsic value of stocks, and the necessary inputs. The following chapter describes development of Russian stock market in last two decades. The last chapter includes stock evaluation of nine Russian companies at the end of 2007 via DCF equity model and dividend discount models. Effectiveness of this analysis is then evaluated by comparison of particular stock return with return of the market portfolio represented by the MICEX index during the three-year time.

Submitted by Sandra Pereira (srpereira@ufrrj.br) on 2016-08-31T17:06:57Z No. of bitstreams: 1 2011 - Jordana Luiza Barbosa da Costa Veiga.pdf: 2017275 bytes, checksum: 953447545685588991df3f141c32d267 (MD5) / Made available in DSpace on 2016-08-31T17:06:57Z (GMT). No. of bitstreams: 1 2011 - Jordana Luiza Barbosa da Costa Veiga.pdf: 2017275 bytes, checksum: 953447545685588991df3f141c32d267 (MD5) Previous issue date: 2011-02-02 / The main objective for firms to perform a Merger&Acquisition (M&A) process is the search for a competitive advantage considered important in their strategic planning. The process of M&A can be characterized by the concentration of capital, patrimonial, organizational and societal restructuring, and cyclical movements. This dissertation, has the aim to describe and analyze the financial accounting performance of a traded corporation, registered in the stock exchange pre and post M&A performed in the year of 2005 in order to assess the value creation due to the M&A process for the shareholder of firms involved as buyer. This aim was carried out through the analysis of the data evolution, use of descriptive statistics and hypothesis test; was also analyzed the stock behavior, on stock market, by technical analysis, descriptive statistics, beta assessment, hypothesis testes and abnormal results. The analysis were carried out using the variables: earning after taxes, net sales, Ebitda, net debt, sales, earning per stock ratio, stock price, dividends payed, total assets divided by total liabilities e current ratio, presence in trading market, number of daily deals of the stock, daily turnover, closing price variation, all traded on BM&FBovespa. In order to assess the value creation for shareholders, were performed analysis in Brazilian firms on the pulp and paper industry, the chosen firms shall be traded to have all the necessary information for the assess, and shall have passed through the M&A process in 2005. Acquiring and acquired companies should also have similar size, so the process of M&As could be clearly observed in the studied variables. Only 1 target company acquired by 2 acquiring companies was chosen, which composes the universe of analysis. The study included analysis of short term, days before and after the announcement, divided into two groups 10 days before and 10 days after and 30 days before and 30 days after the announcement, and long term, periods of three years before and three years after the event. With the analysis results it was possible to observe increase on value creation for shareholders of companies involved as buyers in the process of M&A during the studied period. The variables number of daily deals of the stock, number of daily deals of the stock and daily turnover had important role on the stock-holder assess earning. It is possible to observe that the firms Suzano papel e celulose and Votoratim Celulose e Papel had substantial changes on the studied variables after the M&A process. Were observed increase on stock price, number of daily deals of the stock, number of traded stocks and daily turnover. The beta, risk indicator, after M&A, on both companies, get close to 1, improving the non-diversifiable risk of the firms. The accounting and financial parameters have showed inconclusive results probably / O objetivo principal das empresas ao recorrerem ao processo de F&A ? a busca por alguma vantagem competitiva considerada importante em seu planejamento estrat?gico. O processo de F&A pode ser caracterizado pela concentra??o de capitais, reestrutura??o patrimonial, organizacional e societ?ria, e por movimentos c?clicos. Esta disserta??o, tem por objetivo descrever e analisar o desempenho cont?bil-financeiro de sociedade an?nima de capital aberto, registrado em bolsa de valores, pr? e p?s F&A ocorrido no ano de 2005 com o intuito de avaliar a gera??o de valor decorrente do processo de F&A para os acionistas das empresas envolvidas como adquirentes, atrav?s da an?lise da evolu??o dos dados, aplica??o de estat?stica descritiva e formula??o de teste estat?stico de hip?tese; tamb?m foi realizada an?lise do comportamento das a??es, em mercado secund?rio, por meio de an?lise t?cnica, estat?stica descritiva, avalia??o do beta, teste de hip?teses e verifica??o de ganhos anormais. As an?lises foram feitas utilizando as seguintes vari?veis: lucro l?quido, receita l?quida de vendas, Ebitda, d?vida l?quida, produ??o comercializada, lucro por a??o, pre?o por a??o, dividendo pago por a??o, liquidez geral e liquidez corrente, presen?a nos preg?es, n? de neg?cios di?rio da a??o negociada, volume de neg?cios di?rio da a??o negociada, pre?o de fechamento da a??o negociada todas na BM&FBovespa. Com o intuito de avaliar a gera??o de valor para os acionistas, foram realizadas as an?lises em empresas brasileiras escolhidas do setor de papel e celulose, de capital aberto para haver disponibilidades nas informa??es necess?rias para an?lise, e que passaram pelo processo de fus?o ou aquisi??o no ano de 2005. As empresas adquirentes e adquiridas deveriam ter porte similar para que o processo de F&A pudesse ser observado com clareza nas vari?veis em estudo. Foi selecionada uma ?nica empresa alvo adquirida por 2 empresas adquirentes, que formaram o universo da an?lise. O estudo contemplou an?lises de curto prazo, dias antes e depois do an?ncio, divididos em 2 grupos 10 dias antes e 10 dias depois e 30 dias antes e 30 dias depois do an?ncio; e de longo prazo, per?odos de 3 anos antes e 3 anos ap?s o evento. Com os resultados das an?lises ? poss?vel constatar aumento na gera??o de valor para os acionistas das empresas envolvidas como adquirentes no processo de F&A, no per?odo estudado. As vari?veis n? de neg?cios, volume negociado e quantidade de a??es tiveram papel importante na avalia??o do ganho do acionista. ? poss?vel constatar que as empresas Suzano Papel e Celulose e Votorantim Celulose e Papel, tiveram altera??es substanciais nas vari?veis estudadas depois do processo de F&A. Constatou-se a valoriza??o no pre?o da a??o negociada, aumento no n? de neg?cios, na quantidade de a??es negociadas por preg?o e no volume movimentado diariamente. O beta, indicador de risco, p?s F&A, em ambas as empresas, aproximou-se de 1, aumentando o risco n?o diversific?vel das empresas. Os par?metros cont?beis-financeiros apresentaram resultados inconclusivos, provavelmente pela pequena quantidade de dados analisada e pela infu?ncia de fatores externos.

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-08-16T13:55:58Z No. of bitstreams: 2 MARCELO SANTANA DA SILVA.pdf: 579761 bytes, checksum: 31198b1e756da9a787c417c0e54d6c5a (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-08-16T13:55:58Z (GMT). No. of bitstreams: 2 MARCELO SANTANA DA SILVA.pdf: 579761 bytes, checksum: 31198b1e756da9a787c417c0e54d6c5a (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2017-02-22 / The objective of this study is to analyze the factors that determine the spread of the public issues of debentures indexed to the Broad Consumer Price Index (IPCA) in Brazil. Emissions indexed to the IPCA were choose because they are instruments usually used to capture resources of longer maturity by the issuing companies. The database had 245 series of issues occurred between January 2010 and December 2015. Regressions were estimated by ordinary least squares and weighted least squares methods, and the results presented by the last method were more robust. The rating-spread ratio was confirmed in all regressions and the results indicate that this variable explains, by itself, 58% of the spread variation. Other the rating, the results indicate that the main factors that determine the spread of the issues are: collateral, issuer experience, maturity, amount, prestige of the coordinating bank, tax benefits and economic scenario. Due to the results achieved, other issues related to market efficiency were approached, such as agency conflicts, information asymmetry and adverse selection. The results show that the collaterized issues remunerated the investors with a higher spread than the unsecured ones, and this premium ranged from 35 to 38 basis points. The results were interpreted in the context of agency theory and resemble those found by John, Lynch and Puri (2003) for the US corporate bonds market. Finally, the favorable economic scenario, as measured by the Emerging Market Bond Index - Brazil (EMBI + BR), showed negativelycorrelated with the spread, and these results were interpreted as effects of the information asymmetry and adverse selection present in the local market for debt issuance. / O objetivo deste estudo ?? analisar os fatores que determinam o spread das emiss??es p??blicas de deb??ntures indexadas ao ??ndice de Pre??os ao Consumidor Amplo (IPCA) no Brasil. Utilizou-se as emiss??es indexadas ao IPCA por serem instrumentos usualmente empregados na capta????o de recursos de maturidade mais longa pelas empresas emissoras. A base de dados contou com 245 s??ries de emiss??es realizadas entre janeiro de 2010 e dezembro de 2015. As regress??es foram estimadas pelos m??todos de m??nimos quadrados ordin??rios e m??nimos quadrados ponderados, e os resultados apresentados por este ??ltimo foram mais robustos. A rela????o rating-spread foi confirmada em todas as regress??es e os resultados indicam que essa vari??vel explica, isoladamente, 58% da varia????o do spread. Al??m do rating, os resultados indicam que os principais fatores que determinam o spread das emiss??es s??o: garantias, experi??ncia do emissor, maturidade, volume, prest??gio do banco coordenador, benef??cios fiscais e cen??rio econ??mico. Em raz??o dos resultados alcan??ados, foram abordados temas relacionados ?? efici??ncia de mercado, tais como conflitos de ag??ncia, assimetria de informa????o e sele????o adversa. Os resultados demonstram que, as emiss??es com garantia remuneraram seus investidores com spread maior que as sem garantia, e esse pr??mio variou de 35 a 38 basis points. Os resultados foram interpretados no contexto da teoria da ag??ncia e se assemelham aos encontrados por John, Lynch e Puri (2003) para o mercado norte-americano de corporatebonds. Finalmente, o cen??rio econ??mico favor??vel, medido pelo ??ndice Emerging Market Bond Index - Brazil (EMBI+ BR), demonstrou-senegativamentecorrelacionado com o spread, e esses resultados foram interpretados como efeitos de assimetria de informa????o e sele????o adversa presentes no mercado local de emiss??o de d??vida.

Most of the prior research in the area of monthly regularities has been based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This thesis examines monthly calendar anomalies in the Pakistani stock market for both the Gregorian calendar and its Islamic counterpart. This is one of the first studies to investigate both calendars for monthly seasonality in one investigation on the same dataset. Empirical studies of the Pakistani stock market that have examined monthly calendar anomalies are relatively sparse when compared with investigations from other emerging markets throughout the world. Even the findings from the small number of Pakistani investigations that have examined for the presence of monthly calendar anomalies have arrived at different conclusions about the predictability of equity returns at different times within a year. Since the conclusions of these findings have been mixed, the current study undertakes further work on this topic to offer some clarity in this area; this thesis arrives at a firm conclusion about the monthly calendar anomaly. For the purpose of this thesis, both qualitative and quantitative research methods were employed. Firstly, 19 face-to-face interviews were conducted with brokers, regulators and individual investors to ascertain their views about share price regularities with regards to monthly calendar anomalies and to gain some insights about the role of investor sentiment in the Pakistani stock markets. Secondly, share returns for a sample of 106 companies listed on the KSE over the 17 year period from 1995 to 2011 were analysed to determine whether Pakistani stock markets are weak-form efficient or whether security price changes can be predicted from knowledge of the month when the return is earned; it also investigates whether there is a change in the risk (volatility) of shares in different months which might explain any pattern in returns. To answer these questions various research methods were employed. The results of the interviews suggest that most respondents believed that share prices exhibit patterns in certain months of the year. The most common pattern highlighted by the interviewees related to the month of January for the Gregorian calendar and Ramadan for the Islamic calendar. Interviewees also argued that volatility declined during the religious month of Ramadan; they attributed these changes to investor sentiment and religious duties. Overall, the results suggested that monthly calendar anomalies may be present in the market and that these are studied by investors in an attempt to earn profit. The results from the quantitative analyses supported the findings from the interviews. Initial analyses suggested that returns varied significantly during certain months which indicate that the market might not be efficient. Further, investigations for seasonality in both the mean and volatility of returns offered conflicting evidence; very little statistical evidence of monthly seasonal anomalies was identified in average returns. However, monthly patterns were present in the variance of equity price changes in Pakistan. Overall, the results confirm that whatever monthly seasonality may be present in the equity prices of Pakistani companies, it is more pronounced in the volatility data than in the mean return numbers. These findings may have useful implications for trading strategies and investment decisions; investors may look to gain from managing the risk of their portfolios due to time varying volatility documented in the findings of this thesis. Further, the results of this thesis have interesting implications for our understanding of the dynamics of equity volatility in the Pakistani stock market.

A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor. The results of this study may contribute to positive social change by changing the way the individual investors and mutual funds managers select their investing portfolios which can lead to better resource distribution in the economy.

The Stock Exchange of Thailand (SET) is an important source of funds for firms and provides opportunities for investors. However, the economic boom of 1990-1996, the Asian Economic Crisis and the recession of 1997-2002 have affected the performance of firms listed at SET. The dividend policies of listed firms have also been influenced by these fluctuations in the business cycle.This study investigates the phenomenon of disappearing dividends in the developing capital market of Thailand. It adopts a similar methodology to Fama and French (2001) by classifying listed firms in line with changes in their dividend polices over the period 1990 to 2002. More specifically, the study explores the characteristics of firms which pay dividends, non-payers, former payers and firms which have never paid dividends. These characteristics include profitability, investment opportunities and firm size. The analysis uses firm characteristics for predicting the dividend policies of listed firms. Changes in firm characteristics and the propensity to pay dividends are identified in this process.The analysis suggests that firms which pay dividends tend to be large and highly profitable, although they possess low investment opportunities. The study also suggests that the characteristics of firms which paid dividends changed slightly before the crisis of 1997 and changed markedly during the crisis. However, after the crisis (1998-2002) the characteristics of firms are similar to those observed before the crisis. This result is attributed to the fact that some firms have resumed paying dividends after briefly ceasing this payment during the crisis. More importantly, when firm characteristics are held constant, the propensity to pay dividends of listed firms declined slightly before the crisis and declined strongly after the crisis. Consequently, the majority of new firms and many mature firms do not pay dividends.The findings of this study are consistent with the results of Fama and French (2001), particularly with regard to the characteristics of firms and changes in the propensity to pay dividends. However, this study extends the knowledge on the phenomenon of disappearing dividends by focussing on a developing economy, Thailand. Finally, this study suggests that investors should consider the characteristics of firms, changes in these characteristics and the propensity to pay dividends when identifying opportunities for investment.

This thesis examines the stock market price variations associated with physical asset expenditure announcements in Australia. With the exception of the study of Chen and Ho (1997) in Singapore, most capital expenditure studies in other markets investigate the announcement effects associated with changes in budgeted capital expenditures. The fact that there is almost never any firm level capital budget announcement in Australia presents a unique opportunity to examine individual physical asset expenditure announcements. ¶ Three primary hypotheses pertaining to growth opportunities, free cash flow theory, and the capital market monitoring argument are developed and tested. These arguments are formulated to explain the abnormal return variations associated with physical asset expenditure announcements. The growth opportunities hypothesis posits that the abnormal returns at physical asset expenditure announcements are positively related to a firm's growth opportunities. Both free cash flow theory and capital market monitoring hypothesis postulate that the abnormal returns at physical asset expenditure announcements are negatively related to a firm's free cash flow, and cash flow respectively. Other control explanators are incorporated from the merger and takeovers literature. ¶ Event study methodology is used to examine the abnormal returns associated with physical asset expenditure announcements. Two sets of data, intraday and daily, are used to investigate the market reaction. Intraday returns are calculated on a time-weighted approach and two methods are used to calculate intraday abnormal returns. The first method defines abnormal returns as the difference between actual returns and market returns. The second method defines abnormal returns as the difference between market-adjusted returns and market-adjusted returns on a control portfolio. Daily abnormal returns are calculated using the market model. ¶ Both univariate and multivariate analyses provide strong support for the growth opportunities hypothesis. The results suggest the quality of firms' growth opportunities is the key variable determining the direction and magnitude of the abnormal returns at announcement. Support for the capital monitoring argument and the free cash flow theory is mixed, generally with a lack of support. The free cash flow variable is found to be significantly negatively related to abnormal returns, only when a finer dummy is used in the multivariate regression. All other control variables are found to be insignificant in explaining the stock market variations once the growth opportunities variable is included in the regression. ¶ This thesis makes the following contributions. First, this thesis presents the initial empirical evidence concerning physical asset expenditure announcements in Australia. Second, the thesis shows that the quality of a firm's growth opportunities is the key factor in determining the direction and magnitude of abnormal returns around physical asset expenditure announcements. These results also suggest that the equity market in Australia reacts to physical asset expenditure announcements which contain information pertaining to growth opportunities rather than the relative size of the physical asset expenditure transactions to firm value. Third, support for the capital monitoring argument and the free cash flow theory is not strong. Fourth, all other control variables are found to be insignificant in explaining the stock market variations once market to book ratio is included in the regression. Fifth, the results suggest that prior research which fails to segregate market to book ratio and free cash flow proxy into finer partitions may have possibly underestimated the market to book and the free cash flow effects.

本文沿襲事件研究法的精神，首次將有無資訊的分類帶入漲跌幅限制的實證研究中。過去的文獻對於漲跌幅限制的效果，一直無法在理論或者實證上得到一致的結論，綜觀正反論辯，投資人對於資訊能否理性反應到股價上，是雙方交鋒的重點，因此假若能將造成漲跌幅事件背後的資訊本質釐清，將有助於吾人了解漲跌幅限制真正的影響。 本文利用個股的公開消息定義漲跌停事件的資訊本質，觀察漲跌停事件前後二十四小時股價、波動性與週轉率的變化，結果比較支持漲跌幅限制可以抑制過度反應的說法，不過漲跌幅限制卻在漲跌停板的前後，均造成較大的波動性與週轉率。此外，有資訊的漲跌停事件與沒有資訊的漲跌停事件，兩者的差異不如推論明顯，可能原因是存在本文無法捕捉的私有資訊。