No / We examine how information risk and transaction costs influence the initial and subsequent market reaction to earnings news. We find that the initial market reaction is higher per unit of earnings surprise for higher information risk firms (information content effect). Furthermore, it is information risk that induces transaction costs that limit the initial market reaction and lead to higher subsequent drift (transaction costs effect). Information risk does not have an effect on drift beyond that achieved through transaction costs. Our findings highlight the importance of understanding the linkage between information risk and transaction costs in price discovery around public disclosure.

Managerial and regulatory focus in the financial industryhas been intensified due to a number of extremely costly and highly publicized events. Whenfraudulent activities or any improper business practices are revealed it may damage the bank’sreputation. In the end this can have a big impact on anyone who is any kind of stakeholder.Reputational risk and by what mechanism reputational risk is adversely affecting stock pricesis therefore of great importance for stakeholders. This study aims at providing insights and abetter understanding of reputational risk. We examine the reputational damage in banksresulting from operational losses and analyze the stock market reaction across the bankingindustry. Research question: What is the effect of operational loss announcements from internalfraudulent activities on competitors in the banking industry? The results show a positive cross-bank reaction during the observed period oftime. Furthermore, the cross-bank reaction is stronger when a reputational damage isrecognized in the bank where the loss occurred. The results show a positive cross-bankreaction during the observed period of time. Furthermore, the cross-bank reaction is strongerwhen a reputational damage is recognized in the bank where the loss occurred.

A quality corporate disclosure environment is vital for an efficient market. The ultimate purpose of this thesis is to study the information environment of the Chinese capital market. There are different types of participants playing equally important roles in the smooth functioning of the Chinese capital market. I attempt to study the information issue from three different perspectives using three separate essays. / Apart from raising the awareness on the importance of quality corporate disclosure in the smooth functioning of a capital market, this study provides evidence supporting the importance of a transparent information environment for analysts' earnings forecast accuracy and how opinion dispersion among financial analysts and investors at large affects subsequent stock returns. Allowing investors a thorough understanding of the Chinese capital market mitigates misconception and can help foreign funds and local investors to make investment decisions in the China capital market. / In my second essay, my focus is on financial analysts; examining the role of information disclosure and the accuracy of analysts' earnings forecasts. Using all the Chinese firms included in the I/B/E/S files, I evaluate the predictive accuracy of analysts' earnings forecasts. Apart from examining the relative forecast errors of the analyst vis-a-vis a naive forecast model as well as studying the determinants and explanatory variables of the differential analysts' forecast errors between groups of firms, regression analysis is also conducted to evaluate such determinants. / In my third essay, I recognize that investors at large react differently to information disclosed and my focus is on the dispersion of opinion among financial analysts. I examine the role of such differences in opinion in relation to the cross section of future stock returns in the Chinese capital market. Results show that stocks with higher dispersion in analysts' earnings earn lower return than otherwise similar stocks. Results also suggest that a more correct interpretation of dispersion in analysts' forecast is as a proxy for investors' opinion differences about a stock rather than as a proxy for risk. / In the first essay, my focus is on a general information user level, looking at what information is available in the capital market as disclosed by firms. My first essay analyzes the firm-specific news announcements for Chinese firms listed on the Shanghai and Shenzhen stock exchanges with foreign ownership (firms issuing B shares) to gain an understand of the current information disclosure environment in the China stock market. I establish a news database which permits an examination of the distributional characteristics of the news items by categories, firm nature and timing. This essay also reports a positive relation between frequency of news disclosure and the total market capitalization, the total asset and the percentage of tradable share of a firm. / Lui Man Ching Gladie. / "August 2003." / Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3409. / Supervisor: In-Mu Haw. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

This paper investigates the European CDS markets response to earnings announcements between the years 2011-2013. Through the use of event study methodology, we investigate if the CDS market reacts to earnings news in terms of abnormal spread changes. Furthermore, by exploring the pre- and post announcement window the study examines the efficiency of the CDS market. The results imply that earnings announcements provide valuable information to the CDS market, with statistically significant results on the 5 % and 10 % significant level for negative and positive news respectively. Additionally, the paper shows that the market has a rather symmetric reaction to negative and positive earnings news since there is no significant difference in effects. The paper further reveals that there is no significant difference in the response between different credit rating groups. In terms of market efficiency, the study cannot confirm that there is anticipation for earnings announcements. The study further shows that there is no post-earnings announcement drift in the CDS market and that the market, overall, is efficient in incorporating the information into the spreads. Finally, a cross-sectional regression analysis confirms that negative earnings surprises are linked to large announcement day reactions, while positive earnings surprises are not.

In this study, it is determined that excess returns on the OMX 30 are confirmed to rise in anticipation of monetary policy decisions made by the central banks of Sweden and The United States of America. Those findings were manifested at a greater magnitude on the first day prior to the announcements and on a statistically significant level one day prior to monetary policy decisions from the Federal Open Market Committee. Moreover, excess returns beyond the average rate were found to be substantially higher on the first and third day prior monetary policy decisions from the Swedish Central bank (Riksbanken) albeit not on a statistically significant level. The results drawn from the data in the study were reinforced by findings in similar tests conducted during times of global recession.

This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between information asymmetry cost component and Post Earnings Announcement Drift in different equity markets. The scope of this research includes 1821 firms from three leading countries in capital trading, the United States, United Kingdom, and France. The first part of empirical work, the univariate panel analysis, shows that price reaction, volume response and liquidity effect are profound during short term event window length and reduce over time when the news ceases, The second part, a multivariate regression analysis which uses Generalised Method of Movement to capture both the problems of a likely presence of endogeneity between the explanatory variables and cross-stock heterogeneity,shows that the impact of earnings announcement on stock liquidity can split in two directions. The immediate effect is the shock after the news, causing stock liquidity to decrease immediately by lifting the illiquidity function upward. After the event, from the new increased position of illiquidity function, stock liquidity improves over time due to the trading volume increases and shifts the slope of illiquidity function downward. The overall effects at a point of time will be the total impact of the two side effects. And as shown in the results, the overall impact on the US and UK markets are that stock liquidity decreases and that on Euronext Paris the stock liquidity increases. Given that in accounting there are two types of systems of which common law system includes the US, UK and others, and code law system includes France and the rest, the above results could suggest the difference between the two systems is that the information asymmetry component dominates the bid-ask spread in common law countries as in the US and UK markets while the cost of trading dominates the bid-ask spreads in code law countries such as France. Finally, it is shown that there are several determinants of the PEAD, of which stock liquidity is one. Earnings news changes the stock liquidity, and therefore stock liquidity plays a role in the market response. When earnings news is released, it initially creates a gap between the informed traders and the uninformed traders, increasing the bid ask spread. Over time, this information gap decreases, however in the meantime more information on the market increases trading volume and reduces trading cost, leading to another part of the bid ask spread decreasing or stock liquidity improving. After decomposing bid ask spread into information asymmetry cost and cost of trading components, the final part of empirical analysis shows that information asymmetry cost component provides a partial explanation for PEAD in the London Stock Exchange and Euronext Paris.

The purpose of this study was to examine whether or not Public Service Announcements (PSAs) were an effective tool at modifying young adults’ perception of the r-word (the word “retard” or “retarded”). The PSAs included in this study were part of the Special Olympics’ “Spread the Word to End the Word” campaign. This study examined the efficacy of these PSAs by comparing three groups’ perception of the r-word: experimental group 1 who watched a PSA titled “It’s Not Acceptable” (PSA 1 group), experimental group 2 who watched a PSA titled “We Need a New R-word” (PSA 2 group), and a third control group who watched no PSA. The purpose of the control group was to gain a baseline of how today’s young adults perceived the r-word with no influence from PSAs. Six hundred and seventy-five participants were randomly assigned to one of the three groups. The two experimental groups watched their respective PSAs and completed the survey materials comprised of a consent form, their affective and cognitive responses to the PSA, their ratings of the r-word and their demographic information. The control group watched no PSA but completed the survey materials comprised of a consent form, their ratings of the r-word and their demographic information. This study then examined what the differences were between the three groups’ perception of the r-word. It was hypothesized that PSA 1 group would have a more negative perception of the r-word than PSA 2 group and the control group, due to PSA 1’s framing the r-word as similar to other minority slurs, and using affect to facilitate message acceptance. The PSA 1 group participants thought more about the argument within their PSA, and rated higher affective responses to their PSA, when compared to the PSA 2 group; however, PSA 1 group did not have a more negative perception of the r-word than the other two groups. Results found that the PSA 2 group perceived the r-word as significantly less respectful than the participants in the control group. These findings are discussed in terms of message design for future PSAs regarding the r-word

The first part of this dissertation examines the presence of the financial contagion across European stock markets with respect to the Greece sovereign debt crisis by estimating the time-varying conditional correlations of stock returns between Greece and other European countries over 2001 to 2012. We find that the correlations vary over time and reach the peaks in the late 2008 during theU.S.subprime crisis, and in the beginning of 2010 of the height of European debt crisis. Further, the correlations between stock index returns of Greece and Spain, France, Ireland, Netherlands are significantly increased by Greek sovereign credit rating downgrade announcements. The second part of this dissertation examines the correlations of gold, dollar and U.S. stock returns over 2001 to 2012 using ADCC-GARCH model. The conditional correlations of gold-dollar returns are negative during all sub-sample periods and significantly increase in magnitude during both subprime crisis and sovereign debt crisis. The conditional correlations of gold-stock returns are positive on average over time. However, gold-stock correlation falls below zero during subprime crisis and sovereign debt crisis. Gold-stock correlation is significantly negatively affected by positive CPI announcements. And gold-dollar correlation is significantly negatively affected by negative GDP announcements and positive unemployment announcements. The effects of macroeconomic announcements are stronger during economic recessions.

Cette thèse comprend trois chapitres. Le Chapitre 1 présente des généralités sur les stock-options et synthétise la littérature existante sur les attributions et les exercices de stock-options. Le Chapitre 2 examine le comportement d’exercice des dirigeants dans les plus grandes entreprises françaises. Les résultats fournissent des preuves de l’utilisation d’informations privées pour exercer les options loin de l’expiration. Le Chapitre 3 examine l'annonce des résultats annuels et sa relation avec la décision d’exercice des stock-options des dirigeants. Les résultats de ce chapitre indiquent que les résultats annuels sont plus susceptibles de dépasser les prévisions des analystes quand les dirigeants exercent leurs options proches de l'expiration peu de temps après les annonces. La probabilité d'annonces de résultats positifs est également plus élevée lorsque les dirigeants exercent leurs options et revendent les actions obtenues. Les résultats montrent également la capacité de synchronisation des dirigeants. Ils accélèrent les annonces de résultats quand ils doivent exercer leurs options à proximité de l'expiration, en particulier lorsqu’ils vendent les actions obtenues. Le Chapitre 3 montre que les dirigeants utilisent un niveau plus élevé d’Accruals discrétionnaires lorsqu’ils doivent exercer des options à expiration. / This dissertation contains three chapters. Chapter 1 presents a description of stock option compensation and discusses the existing literature on stock option awards and exercises. Chapter 2 investigates CEO exercise behavior in the most important French companies. The results provide evidence of information timing of option exercises. Chapter 3 examines annual earnings announcement and its relation with CEO exercise decisions. The results of this chapter indicate that earnings are more likely to exceed analyst forecasts when CEOs exercise their options close to expiry shortly after the announcements. The likelihood of positive surprise increases when option exercises are followed by stock sales. The results also show CEO timing ability. CEOs accelerate earnings announcements when they have to exercise their stock options close to expiry, especially when they sell the obtained shares. Chapter 3 shows that CEOs use a higher level of discretionary accruals when they have to exercise options that are about to expire.

Thesis advisor: Christopher Baum / Thesis advisor: Fabio Ghironi / Do events in the natural gas market cause repercussions in the crude oil market? In light of the enormous impact that price movements in the two largest U.S. energy markets have on the economy, it is important to understand not just the individual markets but also how they relate to one another. On this front, the literature presents a puzzle: while economic theory suggests that the oil and gas markets are interlinked through a bi-directional causal relationship, empirical research has concluded that the oil market affects the gas market but not vice versa. The first chapter of this dissertation improves on the previous studies in two ways: by using high-frequency, intraday oil and gas futures prices and by analyzing the effect of specific news announcements from the weekly oil and gas inventory reports. The results dispel the notion of one-way causality and provide support for the theory. The reaction of the futures volatility and returns is asymmetric, although this asymmetry does not follow the "good news" vs. "bad news" pattern from stock and bond markets; the response depends on whether the shock is driven by oil or gas inventory gluts or shortages. The two-way causality holds not only for the nearby futures contract but also for contracts of longer maturities. These findings underscore the importance of analyzing financial markets in a multi-market context. The second chapter of this dissertation asks whether volatility and trading volume evolve in a unidirectional or bidirectional, contemporaneous or lagged relationship in the crude oil and natural gas futures markets. This question is important because it affects trading and government regulation but previous studies have come to conflicting conclusions. Their main shortcoming is the low frequency of data used in the analysis. This chapter improves on the previous studies in three ways: by using high-frequency, intraday oil and gas futures prices and volume, by including trading not only during the day but also during the night, and by analyzing not only the nearby futures contract but also contracts with longer maturities. For the nearby contract, Granger-causality tests show that past values of volume help explain volatility which agrees with the Sequential Information Arrival Hypothesis. Past values of volatility have explanatory power for volume only when absolute return is used as the volatility measure; when the conditional variance from GARCH models is used as the volatility measure, the causality in this direction disappears. These results change when low-frequency daily data is applied. It is also shown that the volatility-volume relationship differs for contracts with longer maturities. These findings are relevant for regulations, such as trader position limits recently adopted by the U.S. Commodity Futures Trade Commission. The third chapter of this dissertation investigates whether the production structure of firms affects international optimal portfolios, risk-sharing, and response of terms of trade (TOT) to shocks. The answer to this question would enhance our understanding of the home equity bias, yet it has not been addressed in the theoretical literature. This chapter studies the question in a two-country dynamic stochastic general equilibrium model with endogenous portfolio allocation. It shows that the optimal portfolio includes more home equity as the production structure changes from exporter-only, i.e., firms operating in their home countries and serving foreign markets by exports, to multi-national-company-extreme (MNC), i.e., firms hiring labor in both countries and producing locally in both countries. This shift occurs because changing the firms' production structure eliminates exposure to technology differences and allows the home household to accomplish the same diversification with less foreign equity. The production structure also has implications for the effect of technology shocks on the TOT. Under the exporter-only setup, a shock to technology causes a standard TOT deterioration, whereas under the MNC-extreme setup, a shock to technology leads to a TOT improvement. By producing testable predictions, this chapter underscores the need to take firms' production structure into account when analyzing international optimal portfolios, risk sharing, and response of the TOT to technology shocks. This is especially important since empirical research has generated conflicting results. / Thesis (PhD) — Boston College, 2012. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.