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A majority of previous studies reveal evidences of negative or no abnormal returns for the bidder/acquirer firm upon the announcement of a merger or acquisition (M&A). Additionally, these studies stress on the importance of ‘bid premium’ announced as a key factor influencing acquirer returns post M&A announcement. This paper aims to find validity for the above-mentioned statements in case of a ‘Pharmaceutical sector setting’ because not many previous studies have analyzed the role of bid premium influencing abnormal stock returns for the acquirer/bidder firm in M&A’s taking place in the pharmaceutical sector. We applied ‘event study methodology’ to study the abnormal returns’ and our results suggest positive returns to M&A announcements around the world for the period from 1997-2015. Furthermore, we carried out an OLS regression to observe the influence of ‘bid premium’ (announced at the time of M&A announcement), on the abnormal stock returns. We control for acquirer firm characteristics by adding them as control variables in the analysis. Our findings suggest that bid premium negatively affects the acquirer abnormal returns around the time of the M&A announcement.

In recent decades, many investors have abandoned hopes of achieving above market returns through active management, and consigned themselves to passive investing in the form of market capitalization based portfolios. Using Swedish stock exchange data from 2002-2016, this thesis investigates if there is a way to harmonize the strengths of active management, yielding potential above market returns, and passive index investing, implying lower fees and transparency. Based on observations from 275 companies, analysed through market model regressions, the results suggest that fundamentally invested value and quality portfolios create an alpha of 1-2 percent quarterly relative the market capitalization benchmark portfolio. Moreover, the results constitute basis for performing real investments, as they take into consideration the transaction costs implied by portfolio turnover. Furthermore, the findings of greater risk-adjusted returns through fundamentally weighted portfolios stand in opposition to the efficient market hypothesis.

The objective of this research is to test human capital theory via the earnings announcements through the returns within the for-profit education and training services industry. This theory posits that enrollment levels would rise during recessionary periods and this should be reflected in better earnings announcements of the education firms. Data was retrieved from the Compustat, CRSP, Thompson IBES, Google Finance, and Yahoo! Finance databases spanning the recessionary years of 2008 through 2010. The first hypothesis utilized a price index weighted by the education firms' market capitalization and the Russell 3000 Index as a proxy for the market to assess the daily returns of the education industry relative to the market. The second and third hypotheses involved assessing the quality of the earnings announcements within the education industry on a Friday vs. non-Friday report basis. The fourth hypothesis explored the actual EPS vs. forecasted EPS in consecutive quarters to test for differences in the earnings of that are better-than and those that are the same-or-worse than expected. The final hypothesis utilized the cumulative abnormal returns and cumulative excessive returns methodologies to compare the performance of the periods before and after the announcements. No support for the first four hypotheses was found. Consistent with expectations established by other research using CAR and CER methodologies, the fifth hypothesis was supported. Support for human capital theory was not found because four hypotheses were unsupported. This study was limited to U.S. education firms that were publicly traded on major U.S. exchanges. No private for-profit or non-profit firms were included in this study. Knowledge was gained by exploring the earnings announcements of the education industry for evidence of human capital theory. The absence of support for the theory within the industry during a recession could be an indicator of other issues affecting the industry that need to be researched further before any conclusions can be reached. This study extends the research in earnings announcements by examining the relationship the education industry has with the market. It also contributes to the work in human capital theory by testing the education industry's performance during recessionary years.

Mergers and acquisitions continue to enjoy importance as strategies for achieving growth, although their success in creating shareholder value remains contested. The aim of this research was to evaluate whether, in the long-run, acquiring companies created or destroyed value by evaluating the differences between pre- and post-acquisition firm performance, using, abnormal share price performance, operating financial performance and intrinsic value performance metrics. This research used a non-representative, judgemental sample of 29 JSE listed firms to conclude that, on average, mergers and acquisitions destroy value within two years post-acquisition, although some evidence was found in support of acquiring firm value creation in the third year after the acquisition. Results indicated a significant -6.62% decline in acquiring firm average cumulative average abnormal return (ACAAR) between 504 trading days before and after acquisition announcement dates. This finding reversed in year three, resulting in a positive ACAAR of 8.76%. Similarly, average intrinsic value (AIV) performance indicated that between one year before and one year after the acquisition, AIV deteriorated with a significant -0.131. However, between year one and two after the acquisition, AIV recovered by 0.112. Overall evidence indicated positive and significant AIV growth of 0.370 between one year before and three years after the acquisition. The research found insignificant results for the pre and post-acquisition evaluation of industry-adjusted cash-flow return on all assets (IACRAA). / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Value shares are notorious for remaining stagnant for extended periods of time, forcing value investors to remain locked in their investments often for excessive periods. This research study applied the price acceleration momentum indicator of Bird and Casavecchia (2007) on a value portfolio with the objective of improving the timing of value share acquisitions.A time series study was conducted, taking into account the top 160 JSE shares over the period 1 January 1985 to 31 August 2012. A price acceleration momentum indicator was applied to enhance a value portfolio formed on the basis of book-tomarket ratio, dividend yield and EBITDA/EV. Cumulative average abnormal returns (CAAR) were used to compare portfolio results statistically.A substantial contribution is made to the literature by proving that a value-only portfolio can be significantly enhanced by the combination of price acceleration momentum. Results indicated an increase in CAAR from 199.83% to 321.29%. Risk-adjusted returns (Sharpe ratio) were also improved without the detriment of increased share price volatility (standard deviation). This research study further contributes to the literature by proving that a price acceleration momentum indicator adds no additional value over a value portfolio combined with ordinary price momentum. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Capital markets have changed profoundly since green bonds were first introduced in 2013 as a way of financing programs benefiting social and environmental sustainability. The purpose of this study is to investigate whether green bond issues are related to value creation as compared with conventional bond issues, and how the relative size of a bond issue may impact this relationship. Using bonds issued on Nasdaq Stockholm from 2014 to 2020, our study finds no significant abnormal returns for green bonds, the benchmark of conventional bonds nor the comparison of the means. Further, we could not find an interaction effect between the relative issue size and the green bond. Hence, this study finds no indication that green bonds create value. However, we show that relative size has a positive and significant regression coefficient in all models, meaning that the ​larger the relative size of a bond issue, the more the stock price is expected to increase.

This study examines the post-earnings announcement drift (PEAD) anomaly on the Swedish stock market. By constructing a corporate governance index based on share structure, board independence and board gender diversity, we test how the quality of firms’ corporate governance affects the drift – a link which is previously unexplored. We find no evidence of PEAD for firms with good corporate governance, while firms with bad corporate governance do experience a drift. Furthermore, a PEAD trading strategy based on bad governance firms yields significantly larger abnormal returns compared to the corresponding trading strategy for good governance firms. Our results are robust to controlling for the risk factors of the Fama-French 3-factor model. The findings support that investors tend to underreact to extreme earnings surprises reported by bad governance firms due to a higher degree of information uncertainty, while the stock price reactions are more complete for good governance firms.

Artificial intelligence (AI) is becoming smarter and faster and firms all over the world have entered a race to reap the benefits, investing in AI projects at an increasing rate. The benefits of AI are seemingly plenty and the value of AI in various business processes is often emphasized. However, seldom is the actual value of AI discussed in quantitative terms. Among the first to do so, this study finds a positive value of AI investments. Based on 76 announcements from 43 sample firms in the Nordic markets, findings show a significant positive impact of AI announcements on abnormal returns, with a mean of 0.91% for the event day and 1.62% for the event window of +/- one day. Further, this is to the best of our knowledge the first study ever to investigate abnormalities in stock price volatility after the announcements of AI investments. The study shows a cumulative abnormal volatility of 6.47 for the event window +/- ten days. The findings in this study indicate that AI holds significant value and that AI investments cause increased stock market risk as measured by abnormal volatility for the announcing firms.

The main purpose of this study is to contribute to the previous literature by evaluating positive changes in analysts' consensus recommendations of the stocks listed in OMXS30. We analyze if new positive changes in consensus recommendations correspond with lower abnormal returns. By conducting an event study and performing a series of different statistical tests, we find that positive changes in analyst consensus provide a short lived negative mean abnormal return in certain cases. We argue that this implies that investors might interpret positive changes as a sell signal. Furthermore, we find some pieces of evidence to suggest that it may actually be changes in the mean target price rather than changes in recommendations that causes the movements in abnormal returns.