The purpose of this paper is to investigate how sub-sectors within the Swedish real estate market has responded to the recent period of increasing policy rates. The categories included in the research are residential and non-residential real estate. We further elaborate the study into internal firm financials, to explore if deviant firm characteristics lead to differences in pricing due to interest rate hikes. The methodology follows an event study structure, where CAPM and cumulative abnormal returns “CAR” are fundamental models. By using CAPM, we estimate predicted returns over a period of contractionary monetary policy.  The difference between predicted and actual returns is then cumulated into CAR. Interest rate sensitivity within residential and non-residential real estate can then be determined through CAR as an outcome variable in a panel data regression. CAR is also regressed towards firm financials to examine if deviant firm financials contribute to different interest rate sensitivities. Findings conclude that among the two sub-sectors, residential real estate is more interest rate sensitive than non-residential. This might be explained by Swedish rent regulations, high indebted households, and higher construction costs in the residential sector. Findings further conclude that “Debt-to-equity ratio”, “Interest-to-cash ratio” and the logarithm of market capitalization have deviant effect on interest rate sensitivity among residential and non-residential real estate.

Mergers and acquisitions (M&A) play an important role in shaping the landscape of modern business, helping companies reach new customers, drive growth, and capitalise on synergies. Simultaneously, the recognition of Environmental, Social, and Governance (ESG) has experienced a rapid escalation, prompting companies to incorporate ESG into their operational frameworks. As a result, investors become keen to understand how these factors affect the financial valuation, particularly within the context of M&A. This study examines the influence of ESG factors on stock market reactions around M&A announcements. Through a quantitative analysis of M&A events spanning from 2010 and 2024, it investigates the impact ESG scores have on cumulative abnormal returns (CAR). The findings reveal that the short-term average return of an M&A announcement is negative and that ESG scores themselves do not exhibit a significant impact on the CAR. However, interacting ESG scores with different industries show significant effects. In sectors such as energy and power, high technology, and material, ESG has a significant positive effect, while the financial sector yields a negative result on CAR. It can be concluded that the effect of ESG on CAR is dependent on the industry, suggesting that sectors who are sensitive to sustainability have more pressure to perform, thereby yielding a higher positive return upon announcement.

Background: Corporate governance as a concept has become increasingly popular since its introduction in the 1990s, as the division and exercise of power is an important aspect of today’s corporate world. One of the most essential parts of corporate governance is how the company’s board is constructed. Insider traders have been proven to gain a return higher than what should be expected, called abnormal returns. Literature has recently discovered a connection between a company’s board structure and how big insider traders’ abnormal returns are.  Purpose: The purpose of this study is to investigate how different board structure measures affect the profitability of insider trading on the Swedish stock market post-Covid-19.  Method: The study follows an event study methodology, focusing on the insider traders’ abnormal profit during two event windows of 35 and 183 days. The abnormal returns of 92 selected firms were calculated by using the market model to gather the expected return based on previous stock prices, and then comparing that expected return with the actual return of the insider. Furthermore, the board structure measures were collected from Refinitiv Eikon database, where data for all companies were found. To find the relationship between the abnormal return and board structure measures, an FGLS regression was applied, which could then be used to conclusions.  Conclusion: The findings of the FGLS regression confirm the hypothesis that board structure measures do affect insiders’ abnormal returns. In the 35-day event window, a negative effect was found for board size and the percentage of independent board members in the company, while a positive effect was found for the amount of board member compensation. For the longer 183-day event window, the percentage of independent board members, CEO-Chairman duality and CEO compensation being linked to stock performance were all having a positive effect on the abnormal returns of insiders.

Whether insiders can use informational advantage when purchasing or selling their company stocks to generate cumulative abnormal returns (CAR) has shown different results in several markets. The Swedish market is yet to be extensively examined, and this thesis aims to understand how insiders in the OMXS30 companies perform when testing CAR and if there exists an information asymmetry. A predicted return is generated through the market model to calculate CAR, and the same index OMXS30 is combined with stock return data. We conducted an event study through Stata to match the transactions with a particular trading day to see how the insiders' transaction yielded CAR. We find that significant CAR exists for all insider groups for various event windows and find a difference in significant CAR for both genders and insider positions. The results were robust when we changed to a new market index as the independent variable in our regression analysis. The results align with previous literature, stating that insiders generated significant CAR from insider trading and differences between insider position and gender (Jeng et al. 2003; Jiang & Zaman, 2010; Lasfer & Ye, 2023). The findings can be used for regulatory purposes when investigating information asymmetry.

Background: In financial markets, decisions to buy or sell securities are highly influenced by the aim of making a profit and avoiding losses. The signals that insider transactions send to external investors can significantly impact those decisions. The signals can differ depending on the type of transaction, within which sector, and the company's size. Purpose: The purpose of this thesis is to investigate whether insider transactions employ a more potent influence when buying or selling stocks. A partial purpose is distinguishing between small- and mid-cap stocks and between the technology and industrial sectors on the Nasdaq Stockholm Stock Exchange. Methodology: A quantitative approach was utilised with the event Study model. Hypotheses were constructed, and statistical tests in STATA were conducted to determine if the results were significant. The insider trading that was analysed took place between 2018-2023. Thirty-one companies are in the industrial sector, and twenty-eight are in the technology sector, with 3601 insider transactions employed. Conclusion: The results showed the existence of signalling effects and the possibility of achieving abnormal returns, especially if shorting when insiders are selling, particularly technology stocks, with the most prominent returns from mid-cap firms. However, the results contradict most previous research proposing that purchase transactions yield higher abnormal returns and have a more substantial signalling effect.

This study examines the relationship between abnormal stock returns around acquisition announcements and the ownership structure of the buyers on the Stockholm Stock Exchange. Previous research has been focused on the impact of family ownership to market reactions around acquisition announcements. This study, however, performs a comprehensive analysis of the three most common owner types in Sweden: family, institutional and foreign owners. To measure the relationships between market reaction and ownership, an event study is carried out which measures the cumulative abnormal returns (CAR) for Swedish firms six days [-1,+5] around the acquisition announcements. Through a sample of 296 listed Swedish firms and 1145 acquisition announcements during 2015-2023, the results show a positive relationship between family ownership and acquisition announcement returns. For foreign ownership, we found implications for a negative relationship with announcement returns and for institutional ownership no relationship was found. In all, the findings imply that the ownership structure of the acquirer impacts the market reactions to acquisition announcements in Sweden.

Submitted by Alexandre Metello (alexandremetello@gmail.com) on 2015-03-06T20:48:35Z No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-05-08T16:13:06Z (GMT) No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-05-20T15:46:27Z (GMT) No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Made available in DSpace on 2015-05-21T19:31:14Z (GMT). No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) Previous issue date: 2014-12-23 / This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent literature about the subject, information contained in a firm’s earnings announcements is relevant for pricing of its stocks. Moreover, cumulative abnormal returns for stocks of firms that announce earnings with 'positive surprises' have positive tendency for some period after the earnings announcement. On the other hand, cumulative abnormal returns for stocks of firms that announce earnings with 'negative surprises' have negative tendency for some period after the earnings announcement. The identification of post-earnings announcement drift in the Brazilian stock market may be very useful for structuring of arbitrage strategies and portfolio management. After a theoretical review, the result is presented and shows itself partially consistent with the existent literature. / Este trabalho busca testar a eficiência do mercado de ações brasileiro através da identificação da existência de post-earnings announcement drift, fenômeno já bastante estudado e reproduzido no mercado norte-americano. Segundo a literatura existente a respeito do assunto, a informação contida na divulgação de resultados de uma firma é relevante para a formação de preço de suas ações. Além disso, os retornos anormais acumulados de ações de firmas que divulgam resultados com 'surpresas positivas' possuem tendência positiva por algum tempo após a divulgação do resultado. Por outro lado, os retornos anormais acumulados de ações de empresas que divulgam resultados com 'surpresas negativas' possuem tendência negativa por algum tempo após a divulgação do resultado. A identificação de post-earnings announcement drift no mercado acionário brasileiro pode ser de grande utilidade para a estruturação de estratégias de arbitragem e gestão de portfólios. Após uma revisão teórica, o resultado é apresentado e se mostra parcialmente consistente com a literatura existente.

[pt] Esta dissertação tem como objetivo testar a possibilidade de obtenção de retornos anormais de capital entre jan/1997 e jul/2007 para o mercado acionário brasileiro no curtíssimo prazo. Investigou-se, para tanto, a hipótese de reversão à média. Estratégias contrárias com carteiras compradas em ações perdedoras e vendidas em ganhadoras foram montadas e testadas nos períodos subseqüentes. Evidências foram encontradas a favor da reversão e, consequentemente, a favor da possibilidade de retornos anormais. Depois de verificada a existência de tais retornos, o trabalho ainda corrigiu o risco sistemático da carteira, por meio do alfa de Jensen. Os retornos anormais, de uma forma geral, continuam a existir após incorporar-se o risco ao modelo. / [en] The goal of this study is to test the existence of abnormal stock returns in the Brazilian stock market in the very short run for the period of jan/1997 to jul/2007. The main hypothesis in focus is the mean reversion of returns. Contrarian strategies were used with portfolios built by winner and looser stocks to test the abnormal returns in subsequent periods. There is evidence in favor of the reversion and, consequently, in favor of the possibility of abnormal returns. After verified the existence of these returns, this study examines if they still remain after systematic risk correction (Alfa of Jensen). The abnormal returns still remain after taking into account the systematic risk.

Esta pesquisa buscou investigar a anomalia dos accruals nos retornos de cinco países da América Latina (Argentina, Brasil, Chile, México e Peru), bem como observar se os aspectos institucionais impactaram nos retornos anormais de accruals dos países. Para tanto, foram analisadas séries temporais para cada país, agrupadas em carteiras de accruals e carteiras de setor, para os modelos CAPM, 3-fatores e 4-fatores, incluindo o fator accruals e observados os retornos anormais das séries, avaliando-os por meio da estatística GRS e pelas estatísticas de teste do procedimento de Fama e MacBeth. Em seguida, foram construídos modelos de dados em painel para o período de 2004 a 2017, em que as variáveis dependentes foram os retornos anormais de accruals, resultantes das séries temporais mensais de cada uma das empresas, e as variáveis independentes foram os fatores institucionais característicos dos países e as variáveis a nível de empresa. O estudo esperava que, se confirmados os retornos anormais de accruals nas séries temporais da América Latina, os fatores específicos de cada país contribuiriam para explicar as diferenças de retornos anormais existentes entre eles. Os resultados confirmaram a presença de retornos anormais em todos os países da amostra, em todos os modelos e o comportamento dos accruals explicou parte dos retornos. Além disso, as variáveis institucionais dos países estudados impactaram os retornos anormais de accruals. Por fim, esta pesquisa fornece evidências quanto a generalização da anomalia dos accruals, enriquecendo a literatura sobre países ainda pouco explorados e de importância econômica crescente, além de prover indícios sobre os efeitos dos aspectos institucionais na anomalia dos accruals na América Latina. / This research aimed to investigate accrual anomaly of returns from five countries in Latin America (Argentina, Brazil, Chile, Mexico and Peru), and to observe whether institucional factors impacted the accruals abnormal returns in these countries. For that purpose, time series for each country were built, and grouped in accruals and industry portfolios for Capital Asset Pricing Model (CAPM), 3-factor and 4-factor models, including the accrual factor (ACC). Abnormal returns were detected through the GRS statistics and the Fama and MacBeth procedure. Then, panel data models were used considering the period from 2004 to 2017, in which the dependent variables was the accrual abnormal returns resulted from the individual monthly series for each analyzed company; and the independent variables were the country-specific institutional factors and the company-level variables. Considering previous literature, in this study, it was expected that, if the accrual abnormal returns were confirmed in the time series from Latin America, the specific factors from each country would contribute to explain the differences between the returns. The results confirmed the presence of abnormal returns in every country from the sample and in all models, plus, the behavior from accruals partially explains returns. Furthermore, the institutional variables of countries influence the accruals abnormal returns. Finally, this research provides evidence over the generalization of accruals anomaly, contributing to literature on poorly studied, but economically relevant countries, besides providing signs regarding effects of institutional factors effects on the anomaly in Latin America

I investigate a simple merger arbitrage strategy with a focus on middle-market companies. I estimate [-1, 1] buy-and-hold abnormal returns (BHARs) and long-run BHARs of prospective middle-market acquirers after they announce an acquisition and test whether [-1, 1] BHARs are predictive of subsequent long-run holding period returns (HPRs) and long-run BHARs. The [-1, 1] BHARs are calculated for 57 acquiring companies, and then separated into two equal-weight portfolios: one of positive [-1, 1] BHARs (referred to as the long portfolio) and one of negative [-1, 1] BHARs (referred to as the short portfolio). I then calculate the HPR and long-run BHARs over the following time horizons: [2, 22], [2, 43], [2, 64], [2, 127], and [2, 253]. I perform a Student’s t-test comparing the means of the HPRs of the two portfolios and find that the long and short [2, 22] and [2, 64] HPRs have statistically different mean returns. Similarly, I perform a Student’s t-test comparing the means of the BHARs of the two portfolios and find that the difference in the means are not statistically significant. I also regress the different long-run BHARs on [-1, 1] BHARs, adjusted [-1, 1] BHARs, and normalized [-1, 1] BHARs. Adjusted [-1, 1] BHARs are adjusted for the effects of known predictive factors found in prior literature such as the type of payment. For example, if the type of payment is cash, 2.40 percentage points of the [-1, 1] BHAR is attributed to the cash payment. Normalized [-1, 1] BHARs divide each [-1, 1] BHAR by each security return’s standard deviation over the following trading days: [-22, -2]. I find [-1, 1] BHARs and adjusted [-1, 1] BHARs of middle-market lack statistically significant effects on long-run BHARs over the [2, 22], [2, 43], [2, 127], and [2, 253] horizons. [-1, 1] BHARs and adjusted [-1, 1] BHARs of middle-market firms have statistically significant effects on [2, 64] BHARs. Therefore, a possible merger arbitrage strategy may exist for predicting BHARs for the [2, 64] horizon. The strategy consists of an investor going long on all acquirers that have a positive [-1, 1] BHAR and short on all acquirers that have a negative [-1, 1] BHAR over the following trading days: [2, 64]. After the [-1, 1] BHARs are normalized, however, the normalized [-1, 1] BHARs are no longer statistically significant when predicting any long-run BHAR. On the whole, I find the Efficient Market Hypothesis – which states that the market efficiently prices the information released into the market after an acquisition announcement – is correct, at least with respect to the information contained in [-1, 1] BHARs.