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Företags finansiella offentliggöranden når ofta endast ett begränsat antal investerare, vilket resulterar i ökad informationsasymmetri och som ett resultat lägre aktielikviditet. Detta är särskilt framträdande för företag som är mindre till storleken, eftersom dessa företag tenderar att få mindre täckning av traditionella kanaler såsom pressnyheter och analytiker. Samtidigt har företag i allt större utsträckning börjat använda Twitter som en del av sin strategi för investerarrelationer, där Twitter skiljer sig från traditionella investerarrelationer genom att information kan distribueras snabbare och blir mer lättillgängligt. Syftet med denna studie är således att testa om offentliggöranden och ökad spridning av finansiell information på Twitter kan minska informationsasymmetrier och därmed göra marknader mer effektiva för att allokera kapital från investerare till företag. Tidigare studier har studerat sambandet mellan ökad spridning av företagsinformation och dess påverkan på företags finansiella prestation och har funnit att spridning av finansiell information via Twitter påverkar informationsasymmetrin i företagsaktier. Genom att studera svenska små och medelstora företag (SME:s) fyller denna studie ett tidigare forskningsgap där vikten ligger i att studera vilken påverkan Twitter har på mindre företag som är mindre synliga i traditionell media och hos analytiker. Undersökningen har baserats på historiska aktiekurser från Nasdaq som sträcker sig över tidsperioden 2020 till 2022. Företagen som ingick i studien var listade på Nasdaqs First North Growth Market, för vilka datamaterial i form av börsdata och frekvens av Twitter-inlägg har samlats in. För att kvantifiera informationsasymmetri och aktielikviditet används avvikande bid-ask spread (eng. Abnormal bid-ask spread) och Amivest likviditetsratio. Studien har använt en kvantitativ forskningsansats för att visa hur sambandet ser ut mot Twitter och utifrån regressionsanalyser, där ett antal Twittervariabler inkluderats, har frågeställning kunnat studeras. Med hjälp av statistiska hypotesetester och en analys av den teoretiska referensramen med intressentmodellen, effektiva marknadshypoteser och investor recognition hypotheses försöker studien förklara hur informationsasymmetrier påverkar effektiviteten hos den finansiella marknaden och hur det kan motverkas genom ökad synlighet. Studien kunde inte hitta något signifikant samband mellan spridning av finansiell information på Twitter och en minskad informationsasymmetri eller ökad aktielikviditet. Resultatet indikerar att större företag som är mer synliga i medier och därmed har en högre grad av investor recognition har en lägre informationsasymmetri. I resultatet är det tydligt att det är få företag i populationen som använder Twitter aktivt för att sprida finansiell information, och de företag som gör det är inte konsekventa, vilket kan innebära att intressenter söker sig till andra mer pålitliga kanaler under rapportperioder. Slutsatsen lyder att företag inte kan ompaketera information och distribuera den via Twitter för att minska informationsasymmetri, då marknaden redan effektivt har tagit informationen i beaktelse på annat håll. Denna studie är ändå relevant för flertalet intressenter som studerar eller arbetar med investerarrelationer, då den bidrar med intressant information inom området.

The dissertation consists of two essays. In the first essay we compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects. We sample the daily stock returns of all Saudi firms from September 2002 to 2015 and calculate important measures, including idiosyncratic volatility (Ang et al, 2006), market integration (Pukthuanthong and Roll, 2009), systematic turnover (Loughran and Schultz, 2005), and stock turnover and liquidity (Amihud, 2002). Integration tests report that Islamic stocks are more sensitive to changes in global and local macroeconomic variables than conventional stocks, supporting the hypothesis that the Islamic and conventional stock markets are segmented in Saudi Arabia. In addition, our results show that Islamic stocks have larger number of investors, lower idiosyncratic risk, higher systematic turnover, and more liquid than conventional stocks, which supports the investor recognition hypothesis. Our results provide new evidence on asset pricing in emerging markets, the evolving Islamic financial markets, and the potential impact of other implicit market barriers on global financial markets. In the second essay we examine the effects of shared beliefs and personal preferences of individual investors on their trading and investment decisions. We anticipate that the process of classifying stocks into Shariah compliant (Islamic) and non-shariah compliant (conventional) has an effect on investibility and acceptance of the stock especially by unsophisticated or individual investors. The wide acceptance of Islamic stocks between individual investors promote and facilitate the circulation of firm-specific information between certain groups of investors. Our results indicate that stock classification has an effect on the stock price comovement through increased stock trading correlation between the groups of Islamic investors. The commonality in preferences between Islamic stocks’ holders generate commonality in trading activity and in stock liquidity. We find that classifying a stock as an Islamic stock increases its price comovement with other Islamic stocks and also increases its commonality in liquidity.

隨著資本市場的多元發展，近年來台灣企業發行可轉換公司債之件數倍增，可轉換公司債之所以受到企業青睞，成為愈來愈受歡迎的籌資工具，必有它的獨特之處，而海外可轉換公司債也是公司擴張海外市場的一大助力。本論文的研究目的即在了解台灣上市上櫃公司以國內可轉換公司債(Convertible Bond；簡稱CB)或海外可轉換公司債(Euro Convertible Bond；簡稱ECB)進行融資對其財務績效之影響，並驗證台灣企業發行ECB是否支持Merton(1987)之投資者認可假說。 本論文以1999至2003年間，96家僅發行國內可轉換公司債、70家僅發行海外可轉換公司債、11家同時發行國內與海外可轉換公司債的公司為樣本，實證研究之主要結論如下： 1.公司發行CB或ECB後財務槓桿顯著上升，尤以CB為甚，顯示其財務 風險增加，降低公司財務彈性。若以市值衡量負債比率，則ECB發 行公司在發行前的負債比率較CB發行公司略高，但發行後二年顯著 下降較快。 2.僅發行CB或ECB之樣本公司發行後系統風險皆顯著上升，但同時發 行CB與ECB之樣本，在發行CB後系統風險顯著上升，發行ECB後系統 風險則無顯著變化。 3.在發行公司的績效表現方面，本論文以可轉換公司債發行後的α係 數變化情形為超額報酬之衡量指標，發現三組樣本結果皆顯示CB與 ECB發行後其股價績效表現不佳，前兩組樣本較為顯著。 4.以僅發行ECB組別的70家公司為樣本進行實證，結果顯示發行ECB確 實能增進公司之能見度；但在投資者認可假說方面，台灣市場ECB 的發行並不支持投資者認可假說。故雖然ECB的發行增加公司的能 見度，但財務彈性降低與系統風險增加可能使投資者對公司之未來 前景產生更高之不確定性。 / With diverse development and further integration among international capital markets, more and more companies in Taiwan tend to issue convertible bond for financing in the past few years. In addition, Euro Convertible Bond (ECB) also facilitates firms to expand overseas markets and becomes popular. This study not only focuses on risk and stock price performance changes around convertible bond offerings, but also compares the differences between CB and ECB on research topics. It takes issuing companies that listed in Taiwan Stock Exchange or OTC as objects of study. Moreover, the study tests firm visibility as well as Merton’s investor recognition hypothesis of ECB. Picking 177 samples from Taiwan companies during 1999 and 2003, and I divide them into three groups. 96 firms in the first group only issue CB, 70 firms in the second group only issue ECB, and 11 firms in the final group issue both CB and ECB. According to the empirical results, this study points out several conclusions as follows. First, financial leverage increases after issuing CB or ECB, especially CB firms show more significant increase, and it reduces financial flexibility. Second, systematic risk of companies which only issuing CB or ECB reveal significant increase. However, the 11 firms in the third group show systematic risk that measured with beta increases significantly following CB issuances, but doesn’t change evidently following ECB issuances. Third, I would like to view stock price performance of CB and ECB issuers. The finding shows that relative long-term excess return of three groups all decrease, and the former two groups appear significant drop. Finally, Merton’s investor recognition hypothesis isn’t supported by 70 ECB samples even though issuing ECB could promote firm visibility. This outcome is probably attributed to decrease of financial flexibility and increase of systematic risk.

One of the main tenets of finance is diversification. Investors choose their portfolios so as to diversify away their idiosyncratic risk. In four essays included into this dissertation the implications of less than perfect diversification on investors’ performance and asset pricing are investigated. In Essay I we examine one particular instance in which diversification may play a role in a non-portfolio type of investment: the IPO. In an IPO, a set of potentially non-diversified investors – the existing shareholders – reduce their holdings of a company, listing the company and selling part of its shares. Our contribution is to show how portfolio diversification of controlling investors in private companies affects the IPO process. We demonstrate that companies sold by more diversified shareholders are less likely to be taken public, but when doing so they are priced more favourably. In Essays II and III we investigate the impact of incomplete diversification and imperfect risk-sharing on asset returns. Our argument is that the smaller shareholder base a firm has, the larger the fraction of company idiosyncratic risk on average its investors have to carry, and the higher return they would demand for that. We demonstrate that there is a negative and significant relationship between companies’ shareholder base and stock returns as well as between changes in shareholder base and stock returns. This effect is more pronounced for younger companies, but remains significant for seasoned companies as well. Applying our analysis to corporate events we demonstrate that abnormal performance following the repurchase can be partially explained by the reduction in the shareholders base resulting from repurchase. In Essay IV I investigate the motives behind one of the most puzzling examples of investors’ underdiversification – the local bias. Contrary to the predictions of classical financial theories, investors on aggregate overweight stock of proximate companies in their portfolios. I demonstrate that being placed in new community, individual investors not only soon become biased towards companies with establishments in this new locality, but they also obtain superior returns from these investments. Investing into the local stocks, therefore, is to a large degree rational. / Diss. Stockholm : Handelshögskolan, 2005 S. ii-vi: sammanfattning, s. 1-134: 4 uppsatser