Using a sample of 51 banking organizations, I examine the effect of the Statement of Financial Accounting Standard 133 on the belief heterogeneity of market participants and how this heterogeneity affects abnormal trading volume surrounding earnings announcements. SFAS 133 is the first standard to require that all derivatives be recognized at fair-value and that the fluctuations in derivative fair-values be reported in either net income or other comprehensive income. The behavior of derivative instruments and the fair-valuation and treatment prescribed by SFAS 133 are complex. Due to the underlying complexity of both derivatives and the accounting treatment prescribed by the SFAS 133 standard, I expect that investors may have differing interpretations of the newly provided information. My hypothesis is that the income effects arising from the fair-value accounting for derivatives (SFAS 133) are associated with an increase in differing beliefs among individuals. I find that the income effects of SFAS 133 are significantly and positively related to belief heterogeneity among investors. The net income and other comprehensive income effects of SFAS 133 are significantly and positively related to increasing levels of abnormal trading volume surrounding earnings announcements. Additionally, levels of SFAS 133 net income is positively and significantly associated with three measures of belief heterogeneity derived from analysts’ forecasts. In an extended analysis I model the SFAS 133 income effects on abnormal volume using the three belief heterogeneity measures as the conduit. I find support for two of the three heterogeneity measures acting as a conduit for the effect of the SFAS 133 related income measures on abnormal volume. The results of this study indicate that, while the recognized fair-value of derivatives is value relevant to equity prices (Ahmed, Kilic, & Lobo, 2006), the income effects of the same financial standard causes heterogeneity in beliefs about the firm. This suggests that, at least in the case of derivative fair-values, there exists a trade-off between value relevance and the strength of consensus surrounding beliefs in the market.

abstract: I examine the degree to which stockholders' aggregate gain/loss frame of reference in the equity of a given firm affects their response to the firm's quarterly earnings announcements. Contrary to predictions from rational expectations models of trade (Shackelford and Verrecchia 2002), I find that abnormal trading volume around earnings announcements is larger (smaller) when stockholders are in an aggregate unrealized capital gain (loss) position. This relation is stronger among seller-initiated trades and weaker in December, consistent with the cognitive bias referred to as the disposition effect (Shefrin and Statman 1985). Sensitivity analysis reveals that the relation is stronger among less sophisticated investors and for firms with weaker information environments, consistent with the behavioral explanation. I also present evidence on the consequences of this disposition effect. First, stockholders' aggregate unrealized capital gain position moderates the degree to which information-related determinants of trade (e.g. unexpected earnings, firm size, and forecast dispersion) affect abnormal announcement-window trading volume. Second, stockholders' aggregate unrealized capital gains position is associated with announcement-window abnormal returns, consistent with the disposition effect reducing the market's ability to efficiently incorporate earnings news into price. / Dissertation/Thesis / Ph.D. Accountancy 2012

Företagande har nästan alltid cirkulerat kring att vara så kostnadseffektivt som möjligt såvälsom att vinstmaximera. Men under senare år har intresset för företags ansvarstagandegällande miljö, sociala faktorer och bolagsstyrning ökat från både intressenter och aktieägare.Även fast insatserna rörande dessa frågor medför ökade kostnader för företagen, kan det ivissa fall vara lönsamt, eftersom bland annat kostnaden av eget kapital tenderar att minska. Vivar således intresserade att undersöka huruvida företags årsredovisningar och denmedföljande hållbarhetsrapporten har något informationsinnehåll för investerare, samt omdetta innehåll skiljer sig åt beroende på om företagen påvisar höga eller låga ESG-poäng. Föratt fastställa uppsatsens frågeställning undersöker vi handelsvolymen för företag listade påOMX Nasdaq Stockholm mellan åren 2017-2021. Vidare applicerar vi eventstudiemetodensom vårt val av metod för att upptäcka en eventuell förekomst av avvikelsevolym.Eventperioden sträcker sig mellan 1 dag före till 1 dag efter eventet, emedanestimeringsperioden tar plats 10 till 60 dagar före och efter eventet. Resultatet indikerar attföretags ESG-poäng inte verkar ha någon inverkan på avvikelsvolymen vid annonsering avårsredovisningen. / The fundamentals of business have almost always focused on the priority to be as costefficient as possible and to maximize profits. But during recent years there's been anincreasing interest from both stakeholders and shareholders, regarding companies’ actions onenvironmental, social and governance responsibility. Although it inflicts extra expenses forbusiness to address these issues, it can sometimes be beneficial, since for instance it canlower the cost of equity capital. Therefore we were interested in researching whether therelease of companies' full-year reports and the accompanying mandatory CSR-report, had anyinformation content for investors, and also whether the content differs between companieswith high and low ESG scores. To determine the issue of the thesis we decided to investigatethe trading volume of companies listed on OMX Nasdaq Stockholm between years2017-2021, and performed an event study as our choice of method to detect any abnormaltrading volume. The event period was set to 1 day before and after the event, whereas theestimation period took place 10 to 60 days before and after the event. The result indicates thatcompanies’ ESG score does not seem to have any effect on abnormal trading volume on dayof release.

This paper aims to analyze the phenomenon of adverse selection of its presence and potential short-term impact on the Swedish stock market. Adverse selection refers to a situation where information asymmetry among market participants might lead to potential imbalances in information and unfairness among all market participants. The primary objective of this paper is to determine and analyze the potential existence of adverse selection and to explore its effects on the short-term trading volume before announcements.  This study's research design and approach are through data collection, to analyze the relationship between traded volume and disclosures. Five highly traded stocks, Atlas Copco AB, Evolution AB, Swedbank AB, Hexagon AB and AB Volvo are selected for the analysis, representing different sectors. A historical data analysis method and event studies are being used to identify abnormal fluctuations in trading volume before announcements. Data on volume and stock prices are collected over one year, between 11 May 2022 - 11 May 2023. By utilizing various statistical methods and econometric techniques, abnormal volume fluctuations before announcements could be measured and analyzed.  This paper concludes the existence of short-term adverse selection on the Swedish stock market cannot confidently be determined considering this analysis only, as indicated by nonsignificant abnormal fluctuations in the short-term trading volume before announcements. However, the results of the data collection in the period between 11 May 2022 - 11 May 2023, on five high-market capitalization companies, still emphasize and illuminate the importance of ensuring and maintaining efficient and fair markets.