Investment company in managing funds of the qualified investors The aim of this proposed thesis is a qualitative analysis of the internal mechanisms of operations of an investment company in managing a fund of qualified investors. The stated goal is to relatively analyse the organism, which is providing the managing portfolio in the ownership of the fund by abstracting the most important processes that are taking place in such matter. The thesis is divided in a logical order from the historical genesis of collective investment through a brief analysis of the basic subjects of collective investment up to a qualitative analysis of the issues relating to the management of the assets of an externally managed fund with regard to the division of functions of individual bodies inside the investment structure. In conclusion, following the qualitative analysis of the activities of the individual bodies of the investment company - I then, on an example of the acquisition process, attempt to analyse and break down the roles of the individual bodies performing as a part of the acquisition of an asset to the portfolio of an externally managed investment fund.

Investerare har under en lång tid försökt reda ut huruvida det går att slå marknaden. Vilket perspektiv som investeraren har med avseende på möjligheten att slå marknaden blir aktuellt vid val av investeringsalternativ. Ett vanligt förekommande alternativ är fonder där flöden av kapital är beroende av faktorer på makronivå. Hur en investerare väljer att placera sitt kapital är även påverkat av den upplevda risknivån som innefattar diverse faktorer. Syftet med uppsatsen var att studera hur nettoflödet av investeringsfonder korrelerade med konjunkturläget, som en faktor på makronivå, under perioden 1999 till 2017. Därtill observerades vilka faktorer och risker som påverkade investerare vid val av investeringsfond. En kvantitativ forskningsstrategi användes och två undersökningar genomfördes, en analys av historisk data samt en enkätundersökning. Resultatet visade att det inte återfanns några starka korrelationer mellan investeringsfondernas nettoflöden och konjunkturläget. Därtill påvisades att de observerade faktorerna påverkade i högre- eller lägre grad, dock var spridningen mellan faktorerna jämna. Den risk som tolererades mest var risken som enskilda företag stod inför. Sammanfattningsvis noteras att nettoflöden till fonder är en komplicerad process som sannolikt är beroende flertalet variabler. Undersökningen resulterade därutöver i en förståelse att varken risk eller diverse faktorer sticker nämnvärt ut i en investerares val av fond. / Investors have for a long time tried to find out whether the market can be beaten. What perspective the investor has with regard to the possibility of beating the market becomes relevant when choosing an investment alternative. One commo alternative is funds where capital flows are dependent on factors at amacro level. How an investor chooses to place his or her capitalis also influenced by the perceived level of risk that includes various factors. The purpose of the paper was to study how the netflow of investment funds correlated with the businesscycle,as a factor at the macrolevel,during the period 1999 to 2017. In addition, it was observed which factors and risks influenced investors in the choice of investment fund. A quantitative research strategy was used and two surveys were conducted, an analysis of historical data and a questionnaire survey. The results howed that there were no strong correlations between the investment funds' netflows and the businesscycle. In addition, it was demonstrated that the observed factors affected to a higher-or lower degree, however, the spread between the factors was even.The most tolerable risk was the risk faced by individual companies. In summary, it is noted that netflows to funds are a complicated process that is probably dependent on several variables. In addition, the paper resulted in an understanding that neither risk nor various factors stands out in an investor's choice of fund.

Thesis advisor: Thomas J. Chemmanur / My Ph.D. dissertation consists of three essays. The first essay examines the effect of hedge funds on target shareholder gains in leveraged buyouts (LBOs). I find that the initial buyout premium is increasing in the preannouncement presence of hedge funds, measured as the fraction of target equity held by hedge funds before the announcement. Using a geographic instrument for the presence of hedge fund, I find that this relationship persists even after controlling for endogeneity. I further show that this effect holds only for active hedge funds and long-term hedge funds, and is stronger for management-led LBOs than for third-party LBOs. Overall, the findings suggest that hedge funds protect target shareholder interests in LBOs by using their hold-out power. The second essay examines the relation between expected market volatility and the demand for liquidity in open-end mutual funds. The empirical results are consistent with precautionary motives for holding liquid assets, i.e., fund managers tilt their holdings more heavily toward liquid stocks when the market is expected to be more volatile. This dynamic preference for liquid stocks is more pronounced among small fund families, low-load funds, funds whose past performance has been unfavorable, funds with high return volatility, growth-oriented funds, and high-turnover funds. I further show that this type of behavior is valuable for fund investors during high volatility periods because it has led to significantly (both statistically and economically) higher subsequent abnormal returns. The third essay, co-authored with Thomas Chemmanur and Gang Hu, directly tests Brennan and Hughes' (1991) information production theory of stock splits by making use of a large sample of transaction-level institutional trading data. We compare brokerage commissions paid by institutional investors before and after a split, and relate the informativeness of institutional trading to brokerage commissions paid. We also compute realized institutional trading profitability net of brokerage commissions and other trading costs. Our results can be summarized as follows. First, both commissions paid and trading volume by institutional investors increase after a stock split. Second, institutional trading immediately after a split has predictive power for the firm's subsequent long-term stock return performance; this predictive power is concentrated in stocks which generate higher commission revenues for brokerage firms and is greater for institutions that pay higher brokerage commissions. Third, institutions make positive abnormal profits during the post-split period even after taking brokerage commissions and other trading costs into account; institutions paying higher commissions significantly outperform those paying lower commissions. Fourth, the information asymmetry faced by firms decreases after a split; the greater the increase in brokerage commissions after a split, the greater the reduction in information asymmetry. Overall, our results are broadly consistent with the implications of the information production theory. / Thesis (PhD) — Boston College, 2009. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Submitted by Adriana Alves Rodrigues (aalves@espm.br) on 2018-10-09T11:30:30Z No. of bitstreams: 1 Dissertacao_MPCC - Cristine_ Marian_Naum_2018 V. FINAL 27-4.pdf: 1570692 bytes, checksum: 8a2fe858218f4673caefa924fc17abfa (MD5) / Approved for entry into archive by Adriana Alves Rodrigues (aalves@espm.br) on 2018-10-09T11:31:07Z (GMT) No. of bitstreams: 1 Dissertacao_MPCC - Cristine_ Marian_Naum_2018 V. FINAL 27-4.pdf: 1570692 bytes, checksum: 8a2fe858218f4673caefa924fc17abfa (MD5) / Approved for entry into archive by Debora Cristina Bonfim Aquarone (deborabonfim@espm.br) on 2018-10-09T11:32:44Z (GMT) No. of bitstreams: 1 Dissertacao_MPCC - Cristine_ Marian_Naum_2018 V. FINAL 27-4.pdf: 1570692 bytes, checksum: 8a2fe858218f4673caefa924fc17abfa (MD5) / Made available in DSpace on 2018-10-09T11:32:55Z (GMT). No. of bitstreams: 1 Dissertacao_MPCC - Cristine_ Marian_Naum_2018 V. FINAL 27-4.pdf: 1570692 bytes, checksum: 8a2fe858218f4673caefa924fc17abfa (MD5) Previous issue date: 2018-03-19 / Since the mid-twentieth century, climate change has had a significant impact in several economy sectors whilst scandals related to corporate governance as well as political and social instability have directly influenced the value of companies and also altered the way investments are considered. Due to this scenario, environmental, social and corporate governance factors have been taken into account in business analysis, demanding engagement, transparency and new forms for data evaluation. In search for identifying the motivations for the integration of environmental, social and governance factors (ESG) into investment analysis, as well as evaluating the use of this data, the present research discusses the challenges imposed by this model of asset analysis through the dialogue with nine actors and institutions related to the financial market. As to create a qualitative and exploratory methodological approach, interviews were held in depth using a semi structured script with five new Brazilian Asset Management professionals and with institutions related to this topic. For the development of this study, a theoretical revision of the evolution of sustainability of the financial market was necessary, which imposes new challenges to the investment management. According to the results of this research, the main motivators for the adoption of ESG factors to investment analyses are the adoption of the Principles for Responsible Investment (PRI) by the greatest financial institutions in Brazil, followed by the awareness of the rise of financial and reputational risks originated from company operations. The data sources used in this research are diverse, with special emphasis on sustainability reports released by companies. However, a lack of comparability, reliability, history, format and integration in the companies’ results still damages the use of this information by other entities. The present study contributes with the adoption of ESG factors by several segments of the financial sector, as well as with the improvement of management of those which already integrate them. Besides, companies will be able to better comprehend the importance of adequate communication and of the quality of data for investors through sustainability reports. / Desde meados do século XX, as mudanças climáticas impactam significativamente diversos setores da economia, ao mesmo tempo que escândalos sobre governança corporativa e instabilidades políticas e sociais têm influenciado diretamente o valor das empresas e alterado a forma de se pensar os investimentos. Fatores ambientais, sociais e de governança passam, pois, a ser considerados nas análises de negócios, exigindo engajamento, transparência e novas formas de avaliação de dados. Com o objetivo de identificar as motivações para integração dos fatores Ambientais, Sociais e de Governança (ASG) à análise de investimento, bem como analisar o uso dos dados, a presente pesquisa, através do diálogo com nove atores relacionados ao mercado financeiro e entidades, traz os desafios impostos por esse modelo de avaliação de ativos. Para uma abordagem metodológica exploratória qualitativa, foram realizadas entrevistas em profundidade com roteiro semiestruturado com novos profissionais de Assets Management que atuam no Brasil e de entidades que se relacionam ao tema. Para o desenvolvimento desse estudo foi necessária a revisão teórica da evolução da sustentabilidade no mercado financeiro, que impõe novos desafios à gestão dos investimentos. De acordo com os resultados desta pesquisa, os principais motivadores para adoção de fatores ASG às análises de investimento são a adoção aos Princípios do Investimento Responsável (PRI) pelas grandes instituições financeiras e Asset Management do país; seguido da percepção de aumento dos riscos financeiros e reputacionais oriundos das operações das empresas. As fontes de dados utilizadas são diversas, com destaque para os relatórios de sustentabilidade empresariais. No entanto, falta de comparabilidade, confiabilidade, histórico, formato e integração aos resultados das empresas ainda prejudicam o uso das informações por mais entidades. O presente estudo colabora com a adoção de fatores ASG por diversos segmentos do setor financeiro, bem como com a melhoria de gestão das financeiras que já os integraram. Além disso, as empresas poderão compreender melhor a importância da comunicação adequada e qualidade dos dados para os investidores, por meio dos relatórios de sustentabilidade

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.

Submitted by JOSIANE SANTOS DE OLIVEIRA (josianeso) on 2017-05-22T13:14:56Z No. of bitstreams: 1 Paulo César Barbosa Alves_.pdf: 823388 bytes, checksum: 8fcfc8a82fa59dc54bd793bf836e05e0 (MD5) / Made available in DSpace on 2017-05-22T13:14:56Z (GMT). No. of bitstreams: 1 Paulo César Barbosa Alves_.pdf: 823388 bytes, checksum: 8fcfc8a82fa59dc54bd793bf836e05e0 (MD5) Previous issue date: 2017-03-16 / Nenhuma / Em face ao crescente interesse do conceito de Modelo de Negócios (MN) na literatura contábil, em resposta aos textos emitidos por entidades reguladoras como IASB1,FRC2,EFRAG3, que, hoje, consideram esses conceitos, este estudo busca avaliar como as empresas brasileiras comunicam sobre o(s) seu(s) modelo(s) de negócios na informação publicada; identificando quais os canais de divulgação utilizados para apresentar os conceitos de MN, medindo como estes são divulgados pelas empresas, usando uma definição e um padrão teórico específico e identificando quais os determinantes de divulgação das informações financeiras e não financeiras no Brasil em relação ao modelo de negócios. Ele mostra que, das 15.896 unidades de registro referentes ao MN, a grande maioria (41,4%) diz respeito à componente "Equação Econômica" e em elementos particulares relativos à dinâmica dos custos (19,9%) e à dinâmica das receitas (9,7%), apresentados de uma forma quantitativa, incluindo uma dimensão prospectiva. Encontrou-se que 107 empresas evocam todos os elementos relativos a um dos quatro parâmetros correspondentes (apenas 3 sem citação, sobre 3 parâmetros dos componentes). Verificou-se a existência de inter-relações entre os componentes e seus respectivos parâmetros, sendo o maior número no componente equação econômica, 50%, e proposta de valor, 47,8%. A análise dos determinantes de divulgação mostra que as empresas familiares investem menos na divulgação de MN em relação às empresas com participação de capital não detido por grandes acionistas e as de capital de investidores institucionais (fundos de pensão, empresas seguradoras, fundações, bancos de investimentos, etc.). Este estudo tem como contribuição medir a presença do conceito de MN e seus componentes na comunicação financeira nas empresas brasileiras. Chama a atenção a necessidade de avançar na informação da cadeia de valor como um todo, que seja utilizável para os investidores. / Considering the increasing interest of the Business Model (MN - Modelo de Negócios, in Portuguese) concept in the accounting literature, in response to texts issued by regulators such as IASB1,FRC2,EFRAG3 , which nowadays consider this concept, this study aims to evaluate how Brazilian companies communicate about their business model(s) in the published information; Identifying the disclosure channels used to exhibit the MN concepts, measuring how they are disclosed by the companies, using a definition and a specific theoretical pattern and identifying which are the determinants of financial and non-financial information disclosure in Brazil compared to the model of business. It shows that from the 15,896 MN registration units, the great majority (41.4%) refers to the "Economic Equation" component and in particular elements related to the costs (19.9%) and the incomes ( 9.7%) dynamics, presented in a quantitative way, including a prospective dimension. It was found that 107 companies evoke all the elements related to one of the four corresponding parameters (only 3 without citation, concerning 3 parameters of the components). It was verified the existence of interrelationships between the components and their respective parameters, being the largest number of the economic equation component, 50%, and proposition of value, 47.8%. The analysis of disclosure determinants shows that family companies invest less in the disclosure of MN compared to companies with participation of capital not owned by large shareholders and by institutional investors (pension funds, insurance companies, foundations, banks of investments, etc.). This study has as contribution to the field to measure the presence of MN concept and its components in financial communication of Brazilian companies. It is remarkable the need of go forward in information of the value chain as a whole, in such way it could be usable by investors.

Earnings conference calls are salient sources of firm-specific information that provide both hard and soft information to investors. In this paper, I find that institutional investors participate more actively in earnings conference calls held by firms that receive less attention than their peers prior to conference calls. I construct a measure of relative inattention using the Bloomberg Heat Score, which captures the aggregate search activities of institutional investors at the firm level. Using a broad set of earnings conference call transcripts, I identify participants affiliated with institutional investors and their dialogue to examine the association between institutional investors' inattention and their activities during earnings conference calls. I show that institutional investors appear more often, ask more questions, and request more guidance in conference calls held by firms that receive less attention before the calls. Collectively, the results indicate that institutional investors compensate for the lack of firm-specific information with conference call participation, despite potential costs of publicly revealing their information acquisition.

This study investigates two variables, number of investors and an intangible assets/revenue ratio, that are potential industry-specific predictors of deal failure in technology M&A. I document that number of investors has a significant ability to predict deal failure in all M&A transactions: an increase in number of investors decreases deal failure rates. However, I find that neither variable is able to significantly predict deal failure differently for transactions involving technology targets and those involving non-technology targets. Broadly, my findings suggest that technology M&A and non-technology M&A may share more similarities than previously expected in the ultimate goal of properly evaluating them.

The dissertation consists of two chapters on measuring firms technological profile. Patent data can be grouped into two primary generations. The first generation lead by the work of Schmookler (1966), Scherer (1982), and Griliches (1984), and the second generation led by Trajtenberg, Jaffe, and Henderson (1997) and Kogan et al. (2016). When combined, both generations data spans from nearly 1926-2010 and has made a meaningful impact on innovation research. In the first chapter, I propose a third generation of patent data. The third generation of patent data has two distinct contributions. First, it extends patent-firm ownership information beyond 2010 to 2016. The new dataset uses the established connections of previous datasets and builds on that information with additional data on firm names gathered from EDGAR. Second, it takes advantage of the information contained in the text of patents using text analysis. Using text analysis allows for greater flexibility over traditional measures. The second chapter investigates how ownership structure affects firm value. The previous literature has assumed more innovation is better, meaning the more innovation a business creates; the better off it is in the long-run. However, not all innovations are created equal. We contribute to the literature by investigating how institutional investors change future innovation, not in quantity, but diversity. Using several unique measures of technological diversification created from firm-level patent data, we show that institutional investors increase the focus on a firm’s future innovation. Our results are robust to the classification scheme. Ultimately, our results indicate institutional investors create value by encouraging firms to build on prior knowledge.

This study is an empirical examination of a new theory that links dividends to institutional ownership in a framework of both information signaling and agency costs. Under this theory put forth by Allen, Bernardo and Welch in 2000, dividends are paid out to attract tax-favored institutional investors, thereby signaling good firm quality and/or more efficient monitoring. This is based on the premise that institutions are considered sophisticated investors with superior ability and stronger incentive to be informed about the firm quality compared to retail investors. On the agency level, institutional investors display monitoring capabilities, and can detect and correct managerial pitfalls, thus their presence serves as an assurance that the firm will remain well run. The study provides a comprehensive analysis of the implications of the theory by testing various aspects of the relationship between dividends and institutional holdings. Unlike the prevalent literature on this topic, I give specific attention to the different types of institutional investors and their incentives to invest in dividend paying stocks. Moreover, I analyze the signaling and the agency effects on the market reaction to dividend initiations within the framework proposed by the theory. Finally, I test the smoothing effect institutions have on dividends by examining the firm's propensity to increase dividends given the level of institutional ownership. I find institutional holders to respond positively to dividend initiation announcements as they adjust their portfolios by buying or increasing their holdings of the dividend paying stock following the announcement. I also find that this response is displayed more strongly among tax-favored institutions. My test results also reveal that positive abnormal returns to dividend initiation announcements are a decreasing function of institutional holdings in the dividend initiating firm, and that this mitigating effect of institutional ownership on the market reaction to dividend initiations is stronger for firms with higher information asymmetry and more potential for agency problems. This evidence lends some degree of support to the tested theory. Additional support to lies in the test results of its smoothing hypothesis which reveal that as institutional ownership increases, the propensity of firms to increase dividends decreases.