Thesis (Ph. D.)--University of Texas at Austin, 2006. / Vita. Includes bibliographical references.

Os investidores institucionais, tais como os fundos de pensão, são entidades que administram recursos de numerosos grupos de pessoas, e que, por isso, tendem a gerir grandes carteiras de investimento e a ter incentivos para se tornar bem informados. Por isso, espera-se que eles sejam bons representantes da classe de investidores sofisticados, ou bem informados, e que o aumento de sua presença no mercado de capitais melhore a velocidade do ajuste do preço, contribuindo para evitar ineficiências do mercado, como, por exemplo, a anomalia dos accruals (Sloan, 1996), que é um atraso na revisão dos preços diante da informação sobre a magnitude dos accruals do lucro. Assim, o objetivo deste estudo é analisar, em diversos países, o impacto da participação de investidores institucionais sobre a anomalia dos accruals. São formuladas quatro hipóteses: (i) a proporção de informações sobre o desempenho futuro da empresa refletida no preço de sua ação é positivamente relacionada com o percentual de participação societária dos investidores institucionais; (ii) quanto maior for o percentual da participação societária de investidores institucionais, maior será a qualidade do lucro; (iii) quanto maior for a value relevance do lucro, maior será a anomalia dos accruals; e (iv) quanto maior for a participação societária dos investidores institucionais, menor será a anomalia dos accruals. Para se atingir os objetivos, a bibliografia sobre investidores institucionais, investidores sofisticados e anomalia dos accruals é analisada e cotejada com a literatura sobre value relevance e qualidade do lucro, em especial com o de Dechow e Dichev (2002). A pesquisa empírica utiliza dados de empresas não financeiras listadas nas bolsas de valores da Alemanha, do Brasil, da Espanha, dos Estados Unidos, da França, da Holanda, da Itália, do Reino Unido e da Suíça, e cobre o período de 2004 a 2013. A amostra contempla entre 2.314 e 4.076 empresas, totalizando entre 15.902 e 20.174 observações, a depender do modelo estimado. São realizadas regressões com dados em painel, uma abordagem de equações aparentemente não relacionadas (Seemingly Unrelated Regression - SUR) e a aplicação do teste de Mishkin (1983). Constata-se que nos Estados Unidos e na Itália os investidores institucionais são mais bem informados que os demais, e que na Alemanha, nos Estados Unidos, na França e no Reino Unido eles exercem um papel de monitoramento, pressionando por lucros de qualidade superior. Não se constata, porém, relação positiva entre value relevance do lucro e anomalia dos accruals, nem entre participação de investidores institucionais e esta anomalia. O estudo enriquece a discussão sobre o mercado ser eficiente a longo prazo, mas apresentar anomalias no curto prazo; enfatiza a importância de o investidor ser capaz de converter informações em previsão e avaliação; discute o vínculo entre o papel de monitoramento dos investidores institucionais e a qualidade do lucro; e avalia a relação entre a atuação destes investidores e o prices lead earnings. / In view of the massive resources they manage, institutional investors (such as pension funds and insurers) tend to have large investment portfolios and equally large incentives to be well informed. It is therefore reasonable to see institutional investors as representatives of the class of sophisticated investors. The presence of institutional investors on the capital market is positively associated with the speed with which prices adjust to information, helping avoid market inefficiencies, such as accrual anomaly (a delay in price adjustment in relation to the available information on accruals). The objective of this article was to evaluate the impact of institutional investitor participation on accrual anomaly in different countries. To do so, we formulated four hypotheses: (i) the proportion of information on the future performance of a company reflected in its stock price is positively associated with the percentage of equity held by institutional investors; (ii) the greater the percentage of equity held by institutional investors, the greater the earnings quality; (iii) the higher the value relevance, the greater the accrual anomaly; and (iv) the greater the percentage of equity held by institutional investors, the smaller the accrual anomaly. We reviewed the literature on institutional investors, sophisticated investors and accrual anomaly and compared our findings with the literature on value relevance and earnings quality, especially Dechow and Dichev (2002). Our empirical research was based on data on nonfinancial firms listed on the stock exchanges of Brazil, France, Germany, Holland, Italy, the U.K., the U.S. and Switzerland, covering the period 2004-2013. The final sample consisted of 2,314 to 4,076 firms, with a total of 15,902 to 20,174 observations, depending on the model estimated. Panel regressions were performed using the seemingly unrelated regression (SUR) approach and the Mishkin test. In the U.S. and Italy, institutional investors were found to be better informed than other investors. In France, Germany, the U.K. and the U.S., institutional investors played a strong monitoring role, pressuring firms to report earnings with higher quality. However, no positive association was found between the value relevance of earnings and accrual anomaly, nor between institutional investitor participation and accrual anomaly. The study sheds light on the question of long-term market efficiency and short-term anomalies, emphasizes the importance of investors being able to convert information into predictions and estimates, discusses the connection between institutional investor monitoring and earnings quality, and evaluates the relation between the presence of institutional investors and price lead earnings.

Large institutional actors in the financial arena are moving their capital in a sustainable direction. This implies a change of the institutional norms and rules regarding sustainable investing. One of the problematic aspects of sustainable investing is how investors use different strategies to influence their holdings and what implications this choice might have on a sector level. The purpose of this paper is to empirically examine how the strategies from institutional investors are an expression of the current norms and rules in the field of sustainable investing. It also intends to illustrate how institutional pressures influence the strategies of investors and their holdings. By interviewing respondents from eleven institutional investors, we present data regarding norms and rules for sustainable investing and the consequences of the investor’s strategies. Our findings indicate there has been an immense increase in demand for sustainable products in recent years, resulting in institutional pressures that have influenced both the investors and their holdings. This exposes the field to selection processes which may force organizations to the point of adapt or die. Finally, our conclusion provides practical implications on what role institutional investors have in the quest for sustainable development.

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European banks have as a result of the latest financial crisis and regulations such as Basel III started to decrease their liquidity to commercial real estate in an attempt to decrease the commercial real estate related assets in their books. The decreased lending in combination with an estimated need of refinancing of approximately €500 billion among the European commercial real estate actors in the upcoming years have forced the European commercial real estate lending market to undergo some structural changes to cope with the emerged funding gap. As a result of the decreased bank lending European real estate debt funds are starting to emerge as fund managers tries to capitalize on the present state of the lending market. The main focus of this thesis is the present state of the European real estate debt fund market and the Nordic institutional investors’ attitude towards the asset class. The research is primarily based on data collection regarding the European real estate debt funds currently in the market and a survey sent to the Nordic institutional investors regarding their attitude towards the new asset class. The research found that the European real estate debt fund market is a new asset class that has experienced extensive growth since the beginning in 2007 and currently consists of 47 funds employing senior debt, junior/mezzanine debt and whole loan debt strategies. The present attitude among the Nordic institutional investors is rather positive with a majority expecting the asset class to grow further in the future. Some of the institutional investors have as of today undertaken investments in European real estate debt funds and many are expecting their own future allocation to the asset class to increase. Although the general attitude towards the asset class is positive there are some obstacles to overcome in order for the asset class to secure its growth in the future. The most evident issue is the definition problem among the Nordic institutional investors. However as the information and interest for the asset class increases the obstacles are most likely to decrease and path the way for further growth for the European real estate debt funds. / Europeiska banker har i efterdyningarna av den senaste finanskrisen, och på grund av nytillkomna reglementen som Basel III, minskat sin exponering mot den kommersiella fastighetssektorn i ett försök att reducera de fastighetsrelaterade tillgångarna i sina balansräkningar. Den minskade utlåningen till sektorn har i kombination med ett uppskattat omfinansieringsbehov på ca €500 miljarder bland de Europeiska fastighetsinvesterarna tvingat den Europeiska fastighetskreditmarknaden att undergå strukturella förändringar för att hantera den uppkomna finansieringsbryggan. Tillföljd av den minskade bankutlåningen mot sektorn har fondförvaltare i ett försök att kapitalisera på situationen startat fonder som inriktar sig på att investera i fastighetskrediter/utlåning till kommersiella fastighetsinvesterare. Huvudfokuset för detta examensarbete är att upplysa om den rådande situationen på den Europeiska marknaden för fastighetskreditfonder samt de nordiska institutionella investerarnas inställning till den nya tillgångsklassen. Examensarbetet är primärt baserat på datainsamling rörande de nu existerande Europeiska fastighetskreditfonderna samt en enkät besvarad av Nordiska institutionella investerare gällande deras inställning till tillgångsslaget. Undersökningen fann att Europeiska fastighetskreditfonder är ett nytt tillgångsslag som har upplevt kraftig tillväxt sedan början av 2007. Marknaden består idag av 47 fonder som inriktar sig på senior, junior eller hel finansierings utlåning till kommersiella fastighetsinvesterare. Den rådande inställningen till tillgångsklassen bland de nordiska institutionella investerarna är förhållandevis positiv och en majoritet förväntar sig att tillgångsklassen kommer att fortsätta växa i framtiden. En del av de institutionella investerarna har redan idag genomfört investeringar i det nya tillgångsslaget och flertalet förväntar sig att investera i Europeiska fastighetskreditfonder i framtiden. Trots den rådande positiva inställningen till tillgångsklassen fann undersökningen några hinder som behöver överkommas för att en fortsatt tillväxt skall ske i framtiden. Det mest uppenbara hindret är hur tillgångsklassen skall definieras av de institutionella investerarna. Allteftersom informationen och intresset för de Europeiska fastighetskreditfonderna ökar kommer dock hindrena troligen att minska och bana vägen för en fortsatt tillväxt för tillgångsslaget.

Den svenska fastighetsmarknaden har tagit fart de senaste åren. Den gynnsamma marknaden har lockat allt fler nya aktörer till fastighetsbranschen. Detta ger upphov till nya finansieringsalternativ så som crowdfunding. Idag är det främst privatpersoner som investerar i fastighetsprojekt med crowdfunding-modeller. I den här uppsatsen undersöks varför investeringsviljan i crowdfunding är låg hos institutionella investerare. Information har hämtats från sex stycket interjuver med representanter från olika institutioner. Inställningen till det nya finansieringsalternativet crowdfunding har visat sig vara positivt men det är många faktorer som hindrar institutionerna från att investera. Framförallt är det den bristande likviditeten i investeringen, förtroende hos projektutvecklarna & crowdfunding-plattformen samt den projektvolymerna som begränsar viljan att investera i crowdfunding-projekt. Crowdfunding inom fastigheter i Sverige är fortfarande något som är väldigt nytt och behöver därför fortsätta att växa för att skapa ett vidare intresse hos institutionella investerare. / The Swedish real estate market has taken off in recent years. The growing market has attracted an increasing number of new actors to the real estate industry. This promotes new alternatives to traditional financing, such as crowdfunding. Currently crowdfunding models is used to invest mostly by private individuals invest in crowdfunding models. This paper examines the incentives of institutional investors to invest in crowdfunding.  Information have been gathered from six interviews with representatives from different institutions. While the attitude towards the new funding option crowdfunding has proved to be positive, there are many factors that prevent the institutions from investing. Above all, it is the lack of liquidity in the investment, trust of the project developers & crowdfunding platform, as well as the project volumes that limit the incentive/will to invest in crowdfunding projects. Crowdfunding within real estate in Sweden is still very new and therefore needs to continue to grow to create a wider interest in institutional investors.

This dissertation consists of two essays investigating the trading by institutions and its impact on the stock market. In the first essay, I investigate why changes in institutional breadth predict return. I first show that changes in breadth are positively associated with abnormal returns over the following four quarters. I then demonstrate that this return predictability can be attributed to the information about the firms' future operating performance. When I examine different types of institutions independently, I find that the predictive power varies across the population of institutions. More specifically, institutions that follow active management style are better able to predict future returns than the passive institutions, and their predictive power appears to be associated with information about future earnings growth. These findings are consistent with the information hypothesis that changes in breadth of institutional ownership can predict return because they contain information about the fundamental value of firms. In the second essay, I examine institutional herding behavior and its impact on stock prices. I document that herds by institutions usually last for more than one quarter and that herds occur more frequently for small and medium size stocks. I find that after herds end, there are reversals in stocks returns for up to four quarters. The magnitude of reversals is positively related to the duration of herding, and negatively related to the price impact of current herding activity. This pattern in returns prevails for all sub-periods examined and is concentrated in small and medium size stocks. My findings suggest that institutional herding may destabilize stock prices.

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Detta arbete syftar till att empiriskt undersöka om institutionella investerare tar hänsyn till sociala medier vid värdering av finansiella tillgångar samt hur dessa investerare generellt värderar företag. Vi har valt att undersöka det här eftersom värdering är en komplicerad process som kan leda till markant skilda värderingar av samma företag. Processen innehåller en rad parametrar att analysera och värdesätta och vi önskar att se hur branschen ser till en relativt ny parameter som är en stor del av generationen födda på 90-talet och framåts vardag, sociala medier.   För att göra detta har vi valt att genomföra semistrukturerade intervjuer med personer som är erfarna inom området värdering i syftet att se hur de personer som dagligen arbetar med värdering ser på frågan. Vi valde att genomföra arbetet med en kvalitativ metod eftersom vi anser de person som är bäst förberedda att svara på frågan är de som är aktiva inom branschen idag. Genom intervjuerna kom vi fram till sociala medier idag inte har någon påverkan på värdering av finansiella tillgångar men att det har en påverkan på priset. Dock enbart på kortsiktigt perspektiv och på grund av det långsiktiga investeringsperspektivet som de institutionella investerarna vi har intervjuat använder får sociala medier ingen chans att påverka. Vi har med det här arbetet skapat en bild av hur institutionella investerare ser på sociala medier i relation finansmarknaden samt gett en klar av hur de värderar företag generellt. Vi hoppas att med det här arbetet inspirera framtida studenter till att fortsätta forska inom detta spännande ämnet. / This thesis aims to empirically investigate whether institutional investors take social media into account when valuing financial assets and how these investors generally value companies. We have chosen to investigate this because valuation is a complicated process that can lead to noticeably different valuations of the same company. The process contains a number of parameters to analyze and evaluate and we want to see how the industry views a relatively new parameter, social media, that is a large part of everyday life for the generation born in the 90s and onwards. To do this, we have chosen to conduct semi-structured interviews with people who are experienced in the field of valuation in order to see how the people who work with valuation on a daily basis view the issue. We chose to carry out the thesis using a qualitative method because we believe the people who are best prepared to answer the questions that we are asking are the people who are active in the industry today. Through the interview we came to the conclusion that social media today has no effect on the valuation of financial assets but that it has an effect on the price. However, social media only impacts the stock price in the short-term and due to the long-term perspective that the institutional investors that we have interviewed use, social media has no chance to influence the price in a way that would matter to them. With this thesis we have created a picture of how institutional investors view social media in relation to the financial market and provide a clear understanding of how they value companies in general. We hope that this thesis will inspire future students to continue research on this exciting subject.

本研究主要探討的是三大法人是否對公司能夠發揮監督的效果，並加入股東會的因子觀察三大法人是否為了在股東會行使表決權、發揮監督公司效果以達到改善其經營績效的目的而增加其持股比率。研究樣本來自2006年到2014年所有上市上櫃(但不含F股)公司的市場資料及財務資料，並使用普通最小平方法則和固定效果模型對三大法人持股的影響進行分析。 實證結果顯示，三大法人持股比率越高的公司確實會有較好的經營績效，與許多國內外認為機構投資人可以有效監督公司營運的研究結果符合，但在加入股東會因素後，本研究發現只有外資可能藉由其持股在股東會時發揮影響力，以達監督公司之目的；為了更進一步檢驗外資是否真能藉由股東會加強標的公司之公司治理，本研究使用資訊透明度及財報重編次數作為代理變數，模型結果也顯示外資在股東會最後過戶日前有增加持股的公司會有較好的公司治理表現，因此認為外資可能透過股東會以發揮其影響力，但投信及自營商則沒有此行為。