Private equity-modellen (PE) har haft en kraftig framfart sedan 80-talets början, där överlägsen bolagsstyrning skapat konkurrenskraftiga portföljbolag som erbjudit stark avkastning till institutionella investerare. I takt med det ökade högtrycket av offentliga transaktioner har dessa portföljbolag i allt större utsträckning nått den publika scenen. Denna kvantitativa studie undersöker hur initialavkastning och avkastning på medellång sikt skiljer sig mellan PE-ägda och icke-PE-ägda IPOs på Stockholmsbörsen under perioden 2011 - 2021. Dessutom utreds hur förhållandet mellan PE-ägare och rådgivande investmentbanker givet deras geografiska ursprung och relativa förhandlingskraft kan komma att påverka initialavkastningen för de PE-ägda enheterna. Studien finner inga signifikanta belägg för att diskrepanser i avkastning skulle föreligga grupperna emellan, inte heller att det geografiska ursprunget för den rådgivande investmentbanken har en betydande påverkan på initialavkastningen. Även om studien påvisar samband som styrker frågeställningen är resultaten inte robusta nog för att fastslå att det föreligger en påtaglig skillnad till förmån för PE-ägda IPOs.

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.

This paper investigates whether greater investor distraction on the Swedish stock market during the summer months of June, July and August leads to a more pronounced post earnings announcement drift (PEAD) effect, during the ten year period between 2000 and 2009. PEAD is an anomaly whereby the information contained in earnings announcements is not immediately or completely incorporated into stock prices, in the cases where the announcement contains an ‘earnings surprise’. The methodology involves using the standardised unexpected earnings (SUE) metric to measure the level of ‘earnings surprise’ and a buy and hold abnormal returns (BHAR) trading strategy to measure return. The study tests and confirms the existence of greater investor distraction during summer months on the Swedish market. For a holding period of 12 months, a BHAR trading strategy generates a greater abnormal return for summer months (11.3%) compared with the abnormal return for non-summer months (10.5%). These results are also interesting in a broader context, as they confirm the existence of the PEAD effect, one of the strongest counter-arguments to the efficient markets hypothesis (EMH); the foundation of many financial models used for stock market valuation. This is because, according to the EMH, in an efficient market it should not be possible to generate abnormal returns based on available information. However, it may be noted that these results do not take into account transaction costs. This means that while it can be demonstrated that there is greater investor distraction during the Swedish summer, in order to implement a successful trading strategy based on this finding, further testing would be required. Therefore, based on the findings of this paper, a number of areas for future research have been identified.

This thesis examines whether mergers and acquisitions (M&A), ranging from 2009 to 2020, are value-generating for acquiring shareholders in the short-term and long-term of companies listed on the Stockholm Stock Exchange. A cohesive and integrated theoretical framework is formed in which six firm-specific and deal-specific variables are hypothesized to have varying impacts on both short- and long-term stock performance for acquiring shareholders. An event study was conducted to measure the short-term stock performance, i.e. cumulative abnormal returns (CAR), and long-term stock performance, i.e. buy-and-hold abnormal returns (BHAR). We find that M&A transactions are, on average, value-generating for acquiring shareholders in both the short term and the long term. Among the significant findings of the variables examined, firm size was negatively related to short-term stock performance but positively related to BHAR. The relative size of the transaction was found to be positively related to CAR. Furthermore, transactions mediated with cash were found to be positively related to BHAR. Lastly, related transactions were found to be positively related to CAR, although not when accounting for robust standard errors.