Submitted by Fernando Luiz da Silva Filho (fernandoluiz.filho@gmail.com) on 2018-02-26T19:40:21Z No. of bitstreams: 1 Dissertação - Fernando Luiz da Silva Filho.pdf: 804671 bytes, checksum: 6c8b8f37f253d1fac5bb5b910bc53abc (MD5) / Rejected by Thais Oliveira (thais.oliveira@fgv.br), reason: Prezado Fernando, boa tarde. Para que possamos aprovar seu trabalho, será necessário que faça somente uma alteração, que seria retirar o acento do nome "Getulio". Por gentileza, altere e submeta novamente. Obrigada. Qualquer dúvida, entre em contato. on 2018-02-27T19:13:33Z (GMT) / Submitted by Fernando Luiz da Silva Filho (fernandoluiz.filho@gmail.com) on 2018-02-27T19:29:16Z No. of bitstreams: 1 Dissertação - Fernando Luiz da Silva Filho.pdf: 803387 bytes, checksum: 25e96115bcb32a527894d4c10f7b5913 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2018-02-27T19:50:20Z (GMT) No. of bitstreams: 1 Dissertação - Fernando Luiz da Silva Filho.pdf: 803387 bytes, checksum: 25e96115bcb32a527894d4c10f7b5913 (MD5) / Made available in DSpace on 2018-02-27T21:07:28Z (GMT). No. of bitstreams: 1 Dissertação - Fernando Luiz da Silva Filho.pdf: 803387 bytes, checksum: 25e96115bcb32a527894d4c10f7b5913 (MD5) Previous issue date: 2018-02-06 / Este trabalho tem como objetivo verificar a existência de retornos anormais acumulados (ou CARs) em momentos de anúncio de dividendos e relaciona-los com a volatilidade idiossincrática das empresas. Foram utilizados anúncios de 40 ações ordinárias de empresas não financeiras entre fevereiro de 1998 e junho de 2017, agrupadas entre variações positivas e negativas dos dividendos, excluindo pagamentos iniciais e omissões. Percebeu-se significância estatística nas médias dos retornos anormais calculados tanto para variações positivas quanto negativas de dividendos, indicando que o mercado recebe a informação de distribuição conforme a teoria da sinalização de dividendos. A volatilidade idiossincrática, utilizada como proxy de assimetria de informação, indicou que altas volatilidades remetem a retornos anormais maiores. O valor de mercado das empresas, também relacionado à assimetria informacional, é negativamente relacionado aos CARs, como indicado pela teoria econômica. Variáveis de controle adicionadas ao modelo referentes ao desempenho operacional das empresas não trouxeram, no geral, significância estatística. Foi notado ainda o indicio de diminuição da volatilidade idiossincrática um ano após os anúncios, suportando a ideia da sinalização como fonte de diminuição da assimetria de informação. / This research aims to verify the occurrence of cumulative abnormal returns (or CARs) at periods of dividend announcement and relates it to the idiosyncratic volatility of companies. Announcements for 40 common stocks of non-financial corporations between February 1998 and June 2017 were considered, excluding initial announcements and omissions. Then, the announcements were gathered by positive or negative dividend variations. The results show that the means of the abnormal returns calculated for both positive and negative dividend changes are statistically significant, indicating that the market receives the distribution information according to the theory of dividend signaling. The idiosyncratic volatility, used as a proxy for information asymmetry, indicated that high volatilities are associated with larger abnormal returns. The market value of companies, also related to informational asymmetry, is negatively related to the CARs, which is in accord with economic theorys. Overall, control variables related to company’s operational performance that were added in the model were not statistically significant. There was also evidence of decrease in idiosyncratic volatility one year after announcements, supporting the idea of signaling as a source of diminished information asymmetry.

Studien avsåg studera Private Equity-ägda och icke Private Equity-ägda nynoteringars långsiktiga avkastning. Med hjälp av bakomliggande faktorer så som ägarstruktur, underprissättning, marknadsvärde, storlek på nynotering, ålder, bransch samt heta och kalla marknader, identifierades om det fanns skillnader och vad de i så fall kunde bero på. Vidare undersöktes om nynoteringarna var underprissatta och om underprissättningen i så fall skiljde sig mellan de två ägarstrukturerna. I denna studie tillämpades ett kvantitativt tillvägagångssätt med en deduktiv ansats för att analysera sekundärdatan som samlades in. Urvalet bestod av 43 bolag varav 25 var PE-ägda och 18 var icke PE-ägda. Sekundärdata samlades in från ett flertal olika källor däribland Nasdaq, Skatteverket, Zephyr och Finansinspektionen. PE-ägda nynoteringar presterade bättre än icke PE-ägda på lång sikt, både för Buy-and-hold abnormal return (BHAR) 1 och 3 år. Samtliga nynoteringar var i genomsnitt underprissatta där PE-ägda uppvisade en högre underprissättning. Utöver resultatet att samtliga nynoteringar i genomsnitt var underprissatta, vilket var signifikant på en 0,1 procentsnivå, var ingen av skillnaderna signifikant. Slutligen uppvisade underprissättning som enda variabel en signifikant positiv påverkan på både BHAR 1 och 3 år. För BHAR 1 år visade dessutom storleken på nynoteringen och en av de fyra åldersgrupperna tio-nitton, i jämförelse med referensgruppen, en positiv signifikant påverkan. / The aim of this study was to determine whether there were any differences in the long-run performance between Private-Equity-backed and non-Private-Equity-backed IPOs. Further, the authors chose a number of variables from previous studies in order to examine whether these could explain the long-run performance of IPOs on the Swedish stock market Stockholmsbörsen. Finally, the study examined whether the IPOs was underpriced and if it differed between the two ownership structures. In this study a quantitative method with a deductive approach was used in order to analyze the collected secondary data. The study's sample consisted of 43 companies, of which 25 were Private-Equity-backed and 18 were non-Private-Equity-backed. The secondary data were collected from a variety of sources such as Nasdaq, Skatteverket, Zephyr and Finansinspektionen. Private-Equity-backed IPOs performed better than non-Private-Equity-backed IPOs in the long-run, both for BHAR 1 and 3 years. Further, all the IPOs were on average underpriced, where Private-Equity-backed showed a higher underpricing. Aside from the fact that all the IPOs were underpriced, which was significant at a 0.1 percent level, none of the differences were significant. Finally, the only variable that showed a significant positive impact on both BHAR 1 and 3 years was underpricing. For BHAR 1 year the size of the IPO and one of the four age groups 10-19, in comparison with the reference group, also showed a positive significant impact.

This thesis analyzes the effects of analysts’ recommendations on stock prices and trade volumes of firms listed on OMXS30 during the three-year period 2018-2020. An event study of 313 recommendations issued during the three- year period was conducted in order to calculate the abnormal returns and abnormal volumes during the event window. Our results show only one occasion respectively where buy and sell recommendations induces abnormal returns significantly different from zero. We thereby conclude that analysts’ recommendations, on average, do not impose significant abnormal returns for OMXS30-firms during the event window. A potential investment value can be found in short selling sell recommended stocks, provided that one obtains information prior to public release. However, the nature of short selling may reduce or erase this value. Our results indicates that recommendations in general, do not contain new information and that the market to an extent, acts efficient. Positive abnormal volumes significant on the 5% level are found on three occasions, hence the majority are found to be insignificant. Significant abnormal volumes of 0,071% were found on the first post-event day of a recommendation, implying a small initial volume reaction. In general, however, the results do not show clear indications of a recommendation generating positive abnormal volumes.

This study examines how the stock market reacts when a publicly-listed company announces a corporate green bond issuance in the European market. We examine 155 corporate green bond issuance announcements from 2017 to 2021 made by companies listed on the European stock exchange. Our findings can not confirm a stock market reaction to the announcement of a corporate green bond. The result shows no significant positive stock market reaction when a company announces a corporate green bond issuance for the first time. This finding suggests that the signaling argument is not necessarily applicable, as it suggests that companies signal their environmental commitment to the investors by announcing a corporate green bond issuance. Our findings do neither show a stronger stock market reaction due to a company having a low environmental performance at the time of announcement. This means that companies that actively try to transition into climate-friendly financing are not rewarded by the stock market.

We examine 102 share lockup agreements following IPOs on the Swedish stock market and whether any abnormal returns exist in the days surrounding the expiration of lockup agreements. We also test three potential explanatory variables based on previous research, the length of the lockup agreement, the type of pre-IPO ownership for the firm (if it is backed by private equity or not), and if the lockup has multiple expiration dates (staggered lockup) or only one. Our results are unable to prove that there are abnormal returns surrounding the expiration lockups, and our variables fail to provide any explanation for the cumulative abnormal return (CAR). One variable that could prove interesting in future research is the change of free float, which we add in a robustness test and find a significant increase in explanatory power.

Denna studie undersöker sambandet mellan penningpolitiska uttalanden från Sveriges centralbank och börsutvecklingen, med särskilt fokus på annonsering av styrränta och avkastningen för bolag underliggande Stockholmsbörsens storbolagsindex, OMXS30. Syftet med studien är att undersöka om det föreligger abnormala avkastningar i samband med Riksbankens räntebesked, där två forskningsfrågor har formulerats som adresserar den övergripande marknadsreaktionen samt branschspecifika effekter. För att analysera dessa samband har ett antal hypoteser utformats och testats med hjälp av en eventstudie-metod. Denna metod innebar genomförande av statistiska tester baserade på insamlade sekundärdata i form av historiska aktiekurser under två perioder, 2015-2016 respektive 2022-2023. Vidare har studien granskat den effektiva marknadshypotesen, där resultaten indikerade en generell avsaknad av statistiskt signifikanta samband mellan räntebesked och abnormala avkastningar vilket stödjer teorin om en effektiv marknad. Samtidigt identifierades ett antal sektorsspecifika mönster, där industrisektorn visade viss känslighet för räntesänkningar medan finanssektorn uppvisade ett antal observationer med abnormala avkastningar i samband med räntehöjningar. Sammanfattningsvis finner studien begränsad evidens för ett direkt samband mellan Riksbankens räntebesked och aktieavkastningar inom OMXS30, vilket antyder att marknaden effektivt inkorporerar denna information i aktiekurserna. Slutligen föreslås några rekommendationer för framtida forskning för att vidare undersöka dessa dynamiker och deras konsekvenser för investerare. Dessa innefattar bland annat användningen av ett bredare urval av branscher och företag, samt inkludera en multivariatanalys samt en sentimentanalys. / This study examines the relationship between monetary policy statements from the Swedish central bank and stock market performance, with a particular focus on the policy rate announcements and the returns of companies comprising the OMXS30 index. The purpose of the study is to investigate if abnormal returns occur around Riksbank's interest rate decisions, where two research questions were formulated addressing the overall market reaction and industry-specific effects. To analyze these relationships, a number of hypotheses have been developed and tested using an event study method. This method involved conducting statistical tests based on collected secondary data in the form of historical stock prices over two periods, 2015-2016 and 2022-2023. Furthermore, the study examined the Efficient Market Hypothesis, where the results indicated a general lack of statistically significant relationships between interest rate announcements and abnormal returns, supporting the theory of an efficient market. However, sector-specific patterns were identified, with the industrial sector showing some sensitivity to interest rate cuts while the financial sector showed a number of observations with abnormal returns associated with interest rate hikes. In summary, the study finds limited evidence for a direct relationship between the Riksbank's interest rate announcements and stock returns within OMXS30, suggesting that the market effectively incorporates this information into stock prices. To conclude, some recommendations for future research are proposed to further explore these dynamics and their implications for investors. These include using a broader selection of industries and companies, as well as incorporating multivariate analysis and sentiment analysis.

本研究旨在以投資大眾的角度出發，研究正、負面企業社會責任事件宣告如何影響投資者的投資決策，進而影響股價產生異常報酬。實證結果發現，正面企業社會責任事件宣告將產生顯著為正的股價異常報酬；負面企業社會責任事件宣告則將產生顯著為負的股價異常報酬。另外，本研究針對負面企業社會責任事件所產生的累積異常報酬建立了複迴歸模型，探討企業規模、企業所屬產業及負面企業社會責任事件宣告之消息種類與該累積異常報酬是否存有關聯性，實證結果發現，大型企業、宣告之消息種類屬於資訊公告問題者，與該累積異常報酬呈現顯著負相關；企業屬於高汙染產業者與該累積異常報酬呈現顯著正相關。本研究除了瞭解企業社會責任資訊如何影響投資者的投資決策外，更希望能提供企業經營者作為經營策略之參考。 / Abstract The purpose of this study is to investigate the market reaction of positive and negative CSR announcements. The empirical results show that there is a significant positive (negative) relationship between positive (negative) CSR announcements and abnormal stock returns. Furthermore, this study establish a regression, trying to find whether company size, business industry, type of negative CSR announcements will have a relationship with negative CSR announcement’s abnormal returns. The author of this research hopes that the findings in this study can not only understand how CSR announcements effect the investors but also help managers develop a CSR strategy.

本篇研究專注於首次公開發行公司上市櫃初始交易日之異常報酬與新聞情緒兩 者間之關係。本研究建立情緒字典以判別新聞之正負情緒,並過濾出與首次公開發 行有關之新聞,利用本研究建立之情緒字典以過濾出正負情緒之詞組。利用正負情 緒詞組數量計算出三種新聞情緒變數,並採實證研究方法檢測三種新聞情緒變數與 首次公開發行公司之初始交易日之異常報酬兩者間之關係。根據本研究之實證結果, 發現初始交易日之前的新聞能影響首次公開發行之異常報酬,而相關新聞之情緒語 調亦和異常報酬有關。此外,本研究亦檢測三種情緒變數和三種傳統變數之交乘項 對異常報酬之影響,發現公司規模大小與首日交易量與情緒變數之交乘項會對初始 交易日之異常報酬有影響。總言論之,本研究對新聞會影響首次公開發行初始交易 日之異常報酬提供了實證證據。 / This study focuses on the relation between IPOs’ abnormal returns on initial trading days and news sentiment. To identify the tone of news, sentiment dictionary was established for this study, and news regarding IPO firms was picked out to count positive and negative words and phrases based on the sentiment dictionary. Using quantities of positive and negative words and phrases, three news variables were adopted and calculated. And linear regression was utilized to investigate the relation between IPOs’ abnormal returns on initial trading days and news sentiment. According to empirical results, I find that news prior to the IPO’s initial trading day can affect IPOs’ abnormal returns. The number of negative words and phrases is negatively related to the abnormal returns; the tone of news is positively related to the abnormal returns. Furthermore, I also investigated whether interaction terms of news variables and three control variables are related to abnormal returns on IPOs’ initial trading days. I find that interaction terms of the natural logarithm of firm size and two news variables and interaction terms of the natural logarithm of first-day trading volume and two news variables are related to abnormal returns. Overall, there is evidence that news can influence IPOs’ abnormal returns on initial trading days.

This dissertation consists of two essays. First essay investigates Fortune 500 companies that implemented Six Sigma. Since the 1980s, industrial organizations have adopted practices such as Six Sigma to maintain and enhance competitiveness. The purpose of this study is to look at the long run stock price and the operating performance of Fortune 500 companies that were identified to have implemented Six Sigma compared to the overall market performance as well as the performance of industry and size matched firms. Even though our sample firms improved several variables after implementing Six Sigma, their operating performances were not quite close to the performances of the matching firms. After implementing Six Sigma, compared to the industry and size matched firms, the only variable that improved out of 14 variables we looked at, is the growth in staff levels. The findings may contribute to understanding the reasons that underlie the so-called jobless recovery. Second essay investigates the real estate price indices in 19 emerging markets. The main objectives of the central banks are not necessarily in line with the goals for asset prices, particularly house prices; however house price changes can have important implications for economic activity and inflation. The consequences of excess changes in house prices also should be watched carefully by central banks and other government agencies that regulate financial institutions for the purpose of financial stability. This essay searches for a link between house prices, broad money, private credit and the macro-economy among 19 emerging markets. We are also trying to explain which variables predict the emerging markets real estate index returns. Our results show that money market rate, growth in GDP and CPI as well as log of private credit and money supply have significant predictive power on growth in real estate price indices a quarter ahead. We also show that there is multidirectional causality among all of the variables. A unique data is being used for the emerging markets real estate price indexes in this study. The data is provided by aDubaibased private company which offers emerging markets real estate information to its customers.

[pt] O presente estudo tem como objetivo testar a possibilidade de obtenção de retornos anormais de capital entre jan/2003 e dez/2012 para o mercado acionário brasileiro no curtíssimo prazo. Investigou-se, para tanto, a hipótese de reversão à média de curto prazo associada a uma seleção de ativos (ações) com base no critério de ordenamento decrescente do múltiplo P/VPA. Os ativos integrantes das carteiras vigentes do IBrX-100 foram ordenados de forma decrescente e em seguida estratégias contrárias com carteiras compradas em ações perdedoras e vendidas em ganhadoras foram montadas e testadas nos períodos subseqüentes. Evidências empíricas foram encontradas a favor da combinação de estratégias de valor e momento e, consequentemente, a favor da possibilidade de retornos anormais. Entretanto, o teste estatístico realizado felha em rejeitar a hipótese da significância dos resultados. Por fim, o trabalho investigou a existência de retornos residuais, expressos pelos Coeficientes de Jensen. Contudo, novamente o teste estatístico realizado não foi capaz de confirmar a significância dos resultados. / [en] The goal of this study is to test the possibility of obtaining abnormal capital returns between Jan/2003 and Dec/2012 for the Brazilian stock market in the very short run. We investigated, therefore, the hypothesis of mean reversion of returns associated with a selection of assets (shares) based on the criteria of descending order of P/BV ratio. Assets present in IBrX – 100 existing portfolios were ranked in decreasing order of P/BV ratio and then contrarian strategies were used with portfolios built by winner and loser stocks to test the abnormal returns in subsequent periods. Empirical evidences were found for the combination of Value and Momentum strategies and therefore for the possibility of abnormal returns. However, the statistical test performed fail to reject the hypothesis of significance of the results. Finally, the study investigated the existence of residua returns, expressed by Jensen Coeficients. However, once again the statistical test performed was not able to confirm the significance of the results.