In the first essay titled “Monthly Cyclicality in Retail Investors’ Liquidity and Lottery-type Stocks at the Turn of the Month”, we find that the well-documented underperformance of lottery stocks masks a within-month cyclical pattern. Demand for lottery stocks increases at the turn of the month especially in areas whose demographic profile resembles that of the typical lottery-ticket buyers (i.e., gamblers) driving their prices higher at the turn of the month. This effect is particularly pronounced among firms located in areas whose demographic profile resembles that of the typical lottery-ticket buyer and propelled by the within-month cyclicality of local investors’ personal liquidity positions. A long-short investment strategy based on this cyclical pattern of lottery stocks performance yields gross abnormal returns of about 15% per year. In the second essay titled “Lottery-type Stocks and Corporate Strategies at the Turn of the Month”, we test whether cyclical demand for lottery stocks by retail investors, that tends to peak at the turn-of-the-month (ToM), affects firms’ financial activities. Consistent with the notion that the peak in demand is driven by a propensity to gamble and is associated with inattention, we find underreaction to earnings news issued at the ToM by lottery-type firms located in areas with many gambling investors. We also find that the ToM also provides a window of opportunity for SEO issuing lottery-type firms. Such issuing firms may strategically choose to issue lottery-type stocks at the ToM to save the direct marketing costs because it flattens the elasticity of pre-offer demand curve.

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.

Thesis advisor: Rui Albuquerque / Thesis advisor: Thomas J. Chemmanur / In my first essay, I develop a model of investor behavior around prescheduled macroeconomic announcements to analyze the optimal allocation of investor attention between systematic and idiosyncratic risk factors when a macroeconomic announcement is anticipated. Skilled investors, when producing information under a limited attention capacity, optimally allocate more of their attention to analyzing the idiosyncratic risk factor when they anticipate more precise public information about the systematic risk factor from the macroeconomic announcement. Consequently, my model predicts that, the more informative (precise) the macroeconomic announcement is expected to be about the underlying risk factors, ceteris paribus, the more uncertainty pre-announcement, the more resolution of uncertainty post-announcement, and the higher the trading volume around the announcement on the market index. My empirical analysis of trading by investors around both FOMC and CPI announcements support my model's predictions. In particular, my empirical findings are consistent with model predictions about the effect of the anticipated macroeconomic announcement precision on investor attention allocation, the effect of investor attention on the levels of pre-announcement and post-announcement trading volumes, and the effect of investor attention on the ratio of post-announcement trading volume over the pre-announcement trading volume. In my second essay, we analyze, theoretically and empirically, how investor attention affects the stock market reaction to innovation announcements. In a dynamic model with limited investor attention, we show that the immediate reaction to innovation announcements increases, while the post-announcement stock return drift decreases, in investor attention. We empirically confirm our model predictions using a matched sample of pharmaceutical industry patent grant and subsequent FDA drug approval announcements and also a general USPTO patent sample. We show that post-announcement drift has predictive power for firm growth, profitability, and productivity, drawing implications for enhancing measures of patents' economic value and for trading strategy. In my third essay, we analyze, theoretically and empirically, the implications of a fraction of investors in the equity market paying only delayed attention to SEO announcements. We first show theoretically that, in the above setting, the announcement effect of an SEO will be positively related to the fraction of investors paying attention to the announcement and that there will be a post-announcement stock-return drift that is negatively related to investor attention. In the second part of the paper, we test the above predictions using the media coverage of firms announcing SEOs as a proxy for investor attention, and find evidence consistent with the above predictions. In the third part of the paper, we develop and test various hypotheses relating investor attention paid to the issuing firm (between the announcement and the equity issue) to various SEO characteristics. We empirically show that SEO underpricing, institutional investor participation in SEOs, and the post-SEO equity market valuation of firms are all positively related to investor attention. The results of our identification tests show that the above results are causal. / Thesis (PhD) — Boston College, 2020. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

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This study establishes a link between research on organizational source credibility and the effects of public information campaigns. Research has established that source credibility is one factor audiences evaluate when responding to messages and that credible information sources enhance message acceptance, while untrustworthy sources can interfere with desired message effects. Although source credibility studies have typically focused on the person delivering a message, recent studies indicate that audience perceptions of the organization sponsoring a message has a direct effect on message acceptance as well. Additionally, a few studies indicate that non-profit sources of health information are viewed as more credible, while such messages presented by for-profit organizations are less effective. This study uses an experimental procedure to investigate the relationship between organizational status, source credibility, and two possible effects of public service messages, information seeking and behavioral intent. Based on previous findings, the study hypothesized that the non-profit source would berated as more credible and that as the audiences' perception of source credibility increases so would their willingness to seek additional information or perform the advocated behaviors. Findings indicate, however, that organizational status does not have a significant effect on perceptions of source credibility. Nor does it significantly influence message evaluation, information seeking, or behavioral intent. As predicted, there was a positive correlation between source credibility, message credibility, problem recognition, personal relevance, information seeking, and behavioral intent. The results also indicate that information seeking positively predicts behavioral intent.

由於亞洲金融風暴源於資產價格崩盤，引發系統性風險，影響經濟穩定發展，各國央行開始正視資產價格變動所傳達之訊息，各個金融市場之資產價格也可能反映出投資人對物價之預期及經濟成長或衰退的訊息，似乎可作為央行執行貨幣政策指標或預測未來經濟發展之參考依據。 本研究利用Ederington and Lee(1993)模型，以台灣公債日資料(01/04/2001~12/29/2006)及日內資料(08/31/2005~12/20/2006)檢視經濟數據發佈對台灣十年期公債影響。以日資料實證結果發現僅經濟成長率及海關進出口貿易發佈對公債報酬率波動有較顯著衝擊；日內資料實證結果僅CPI-WPI及景氣對策訊號有顯著影響。台灣經濟數據發佈效果不如國外債券市場來的明顯，使得國內債券市場投資人反而尋求其他私人訊息納入交易策略考慮。

This thesis investigates abnormal trading volume around scheduled and unscheduled announcements. The research is an extension of Chae (2005), Journal of Finance, Vol 60, which tests corporate announcements in the US stock market. In this thesis, Australian stocks are used to establish whether market characteristics affect trading behaviour around announcements. In addition, I extend the traditional methodology to overcome possible shortcomings in the previous studies. This thesis also discusses how information asymmetry affects the abnormal trading volume on the announcement day. In contrast to earlier studies, I nd abnormal trading volume does not change before either scheduled or unscheduled announcements, but, as expected, increases on and after the scheduled and unscheduled announcements. Information asymmetry increases trading volumes when unscheduled announcements are made, but has no effect for scheduled announcements. I show that the failure to adjust for the correlation between corporate events, results in abnormal trading volumes being detected prior to announcements. Differences between the Australian and US results can not all be explained by methodological differences. It appears that the underlying dynamics of the Australian market are different; casting doubts on the ability to generalize market characteristics from US based studies on abnormal trading volumes.

Les investisseurs n’exploitent pas toujours toute l’information disponible lorsqu’ils prennent des décisions, en raison à la fois d’une surabondance de l’information et de capacités cognitives limitées. Le premier essai de cette thèse montre que les sociétés tirent parti de l’inattention des investisseurs en communiquant plus ou moins longtemps à l’avance la date à laquelle aura lieu les annonces de résultats. Des résultats positifs sont notifiés très en amont tandis que des résultats décevants font l’objet d’un délai de notification plus court. Le second essai traite de la visibilité internationale des sociétés et étudie l’impact d’une communication en anglais via des canaux de diffusion à grande échelle. Cette diffusion plus large augmente l’attention des investisseurs et les informations contenues dans les annonces de résultat sont plus rapidement intégrées dans le prix des titres. Le troisième essai traite des conséquences d’une visibilité accrue des sociétés sur leur politique d’investissement. Une diffusion élargie des informations financières améliore à la fois l’environnement informationnel des sociétés et l’efficacité de leur politique d’investissement. / Investors often fail to incorporate all relevant information when they make decisions. This is a consequence of both information overload and investors’ limited cognitive abilities. The first essay shows that firms take advantage of investors’ inattention by managing the advance notice period of earnings announcements. Firms notify the date of positive earnings announcement several weeks in advance while disappointing earnings are notified at late notice. The second essay deals with firms’ international visibility and studies how communicating on English-speaking wire services impacts investors’ attention. Higher dissemination of news increases investors’ attention and improves the incorporation of information into stock prices. The third essay deals with the effects of firms’ visibility on investment policy. It shows that higher dissemination of disclosures improves firms’ informational environment and investment efficiency.

Submitted by Hubertus Schlögl (tassilo.schloegl@web.de) on 2018-02-01T16:37:02Z No. of bitstreams: 1 Macroeconomic Indicators and Systematic Risk - Is there a difference between Emerging and Developed Markets? Hubertus Tassilo Schlögl 338933 - EESP.pdf: 877788 bytes, checksum: 2e7cfedabad96e3c0375688472e9cb5e (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2018-02-01T17:55:54Z (GMT) No. of bitstreams: 1 Macroeconomic Indicators and Systematic Risk - Is there a difference between Emerging and Developed Markets? Hubertus Tassilo Schlögl 338933 - EESP.pdf: 877788 bytes, checksum: 2e7cfedabad96e3c0375688472e9cb5e (MD5) / Made available in DSpace on 2018-02-02T11:15:26Z (GMT). No. of bitstreams: 1 Macroeconomic Indicators and Systematic Risk - Is there a difference between Emerging and Developed Markets? Hubertus Tassilo Schlögl 338933 - EESP.pdf: 877788 bytes, checksum: 2e7cfedabad96e3c0375688472e9cb5e (MD5) Previous issue date: 2018-01-16 / This explorative study is about the influencing effects of US macroeconomic announcements on changes in systematic risk with the focus on the difference between emerging and developed markets. Seven different US macroeconomic indicators have been examined and used to estimate betas as a proxy for the systematic risk around the announcement dates. In the period from 1996 until 2017, betas have been estimated over a three-month pre- and post window, resulting in 27 announcements per US macroeconomic indicator. The study also tries to provide insights of the consequences for portfolio managers, based on patterns of changes in betas and their relationship with changes in Sharpe ratios. The study results reveal that betas change consistently over the sample period, however, to a small magnitude. Also, the changes in mean Sharpe ratios around these announcement dates have not been found as statistical significant. However, the study results indicate that there is a positive relationship between changes in Sharpe ratios and changes in betas for developed countries as the Pearson correlation coefficient illustrates. / O seguinte estudo analisa a influência das publicações de dados macroeconómicos nas variações do risco sistemático, salientando os diferentes efeitos sobre os mercados emergentes e os países desenvolvidos. Foram examinados sete diferentes indicadores macroeconómicos dos EUA, sendo estes utilizados para determinar uma estimativa dos valores do risco sistémico perto das datas das publicações macroeconómicos dos EUA. No período entre 1996 e 2017, os betas foram estimados sobre um intervalo de tempo de três meses antes e depois de cada publicação, resultando em 27 publicações por cada indicador do EUA. Nesta análise também se tenta explicar as consequências destes efeitos para os gestores de carteiras, baseando-se em padrões de variações dos betas e a sua relação com as variações dos Sharpe Ratios. Os resultados desta análise evidenciam que os betas variam consistentemente ao longo do período da amostra, ainda que numa baixa magnitude. Além disso, as variações no valor médio dos Sharpe Ratios nas datas próximas aos relativos anúncios económicos não são estatisticamente significativas. Contudo, os resultados desta análise indicam que existe uma relação positiva entre variações dos Sharpe Ratios e variações nos betas dos países desenvolvidos, como o coeficiente de correlação de Pearson demonstra.