One of the most controversial issues for long-term stock performance is whether the presence of anomalies is against the efficient market hypothesis. The methodologies to measure abnormal returns applied in the long-run event studies are questioned for their reliability and specification. This thesis compares three major methodologies via a simulation process based on the UK stock market over a period of 1982 to 2008 with investment horizons of one, three and five years. Specifically, the methodologies that are compared are the event-time methods based on models (Chapter 3), the event-time methods based on reference portfolios (Chapter 4), and the calendar-time methods (Chapter 5). Chapter 3 covers the event-time approach based on the following models which are used to estimate normal stock returns: the market-adjusted model, the market model, the capital asset pricing model, the Fama-French three-factor model and the Carhart four-factor model. The measurement of CARs yields misspecification with higher rejection rates of the null hypothesis of zero abnormal returns. Although the application of standard errors estimated from the test period improves the misspecification, CARs still yield misspecified test statistics. When using BHARs, well-specified results are achieved when applying the market-adjusted model, capital asset pricing model and Fama-French three-factor model over all investment horizons. It is important to note that the market model is severely misspecified with the highest rejection rates under both measurements. The empirical results from simulations of event-time methods based on reference portfolios in Chapter 4 indicate that the application of BHARs in conjunction with p-value from pseudoportfolios is appropriate for application in the context of long-run event studies. Furthermore, the control firm approach together with student t-test statistics is proved to yield well-specified test statistics in both random and non-random samples. Firms in reference portfolios and control firms are selected on the basis of size, BTM or both. However, in terms of power of test, these two approaches have the least power whereas the skewness-adjusted test and bootstrapped skewness-adjusted test have the highest power. It is worth noting that when the non-random samples are examined, the benchmark portfolio or control firm needs to share at least one characteristic with the event firm. The calendar-time approach is suggested in the literature to overcome potential issues with event-time approaches like overlapping returns and calendar month clustering. Chapter 5 suggests that both three-factor and four-factor models present significant overrejections of the null hypothesis of zero abnormal returns under an equally-weighted scheme. Even for stocks under a value-weighted scheme, the rejection rate for small firms shows overrejection. This indicates the small size effect is more prevalent in the UK stock market than in the US and the calendar-time approach cannot resolve this issue. Compared with the three-factor model, the four-factor model, despite its higher explanatory power, improves the results under a value-weighted scheme. The ordinary least squares technique in the regression produces the smallest rejection rates compared with weighted least squares, sandwich variance estimators and generalized weighted least squares. The mean monthly calendar time returns, combining the reference portfolios and calendar time, show similar results to the event-time approach based on reference portfolios. The weighting scheme plays an insignificant role in this approach. The empirical results suggest the following methods are appropriately applied to detect the long-term abnormal stock performance. When the event-time approach is applied based on models, although the measurement of BHARs together with the market-adjusted model, capital asset pricing model and Fama-French three-factor model generate well-specified results, the test statistics are not reliable because BHARs show severe positively skewed and leptokurtic distribution. Moreover, the reference portfolios in conjunction with p-value from pseudoportfolios and the control firm approach with student t test in the event-time approach are advocated although with lower power of test. When it comes to the calendar-time approach, the three-factor model under OLS together with sandwich variance estimators using the value-weighted scheme and the mean monthly calendar-time abnormal returns under equal weights are proved to be the most appropriate methods.

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.

本文以三篇論文討論三個與財務報表向下重編盈餘公司有關的議題：（1）宣告財務報表重編後的長期股票績效；（2）重編公司內部人交易行為；（3）重編公司如何操弄盈餘以及操弄動機為何？ 本文樣本是從1984年1月至2000年12月，557家因為財務報表違法、舞弊或錯誤而宣告需要重編以前財務報表的公司。 第一篇論文討論公司宣告重編後三年長期股票績效。在不同配對組合下，實證結果顯示，三年長期持有異常報酬（buy-and-hold abnormal return）達-34％。文中也討論公司宣告重編時以及後續分析師預測行為。結果發現，分析師對於重編資訊有反應不足的現象，而且三年的盈餘預測修正與長期異常報酬有顯著正相關。 第二篇論文探討盈餘品質與內部人交易行為。本文假設內部人擁有重編公司盈餘品質不良的私有資訊，內部人會利用此私有資訊從事異常交易。實證結果顯示，內部人早在重編前兩年就已經開始異常出售持股，但是為了避免被發現，愈接近重編期間則交易量愈少，而且內部人異常交易與重編金額成正相關。 第三篇論文採取應計項目分項的方法（disaggregate approach）探討重編項目與特定應計項目的關連性以及重編公司違反一般公認會計原則的動機。實證結果顯示，特定重編項目公司的總應計項目比特定應計項目更顯著。很可能是管理當局為了避免操弄特定項目以致於被發現，所以操弄各種應計項目以達到總金額的目標。尤其在不同盈餘管理動機的成本效益的考量下，如果操弄主要應計項目的效益大於成本，管理當局還是會操弄特定應計項目以達到操弄的目的。因此，應計項目分項的方法可以作為進一步探討盈餘管理的方法。 / This dissertation examines three different aspects of downward earnings restatements in three essays: (1) the long-run stock performance of restatement firms following the announcements of restatements; (2) insider trading activities of earnings restatement firms; and (3) how earnings manipulations of restatement firms are effected and what are the incentives for earnings manipulations? Using extensive keyword (i.e., “restatements,” “restate,” “restated,” “restates,” and “restating”) searches over the period from January 1, 1984 through December 31, 2000, 557 firms are identified as having restated their previously published or filed financial statements due to accounting irregularities, fraud, or errors. The first essay examines the post earnings restatement announcement of long-term stock performance. Using various benchmark portfolio formulation strategies, I document an average buy-and-hold abnormal return of -34% over the 36-month horizon. I then investigate analysts’ forecast behavior around and after the restatement announcements. I find that market underreactions are associated with a sluggish forecast revisions by financial analysts. This study sheds light on how restatement information is transmitted to the capital markets and provides evidence that the market under reacts to externally initiated corporate events. The second essay examines the relationship between earnings quality and insider trading. Using downward earnings restatement firms to identify low-quality earnings, I find that insiders outsell non-earnings restatement firms of their holdings over the period from two years before to one year before the beginning of the restatement period. In addition, the amounts of restatement are positively associated with the excess insider selling. I also provide evidence that excess insider selling predicts excessive earnings manipulations that eventually lead to GAAP violation. In the third essay, I take advantage of the disclosed manipulation of items and approach the earnings manipulation issue by a disaggregate approach. Given that management considers cost/benefits of specific accruals to be manipulated, I examine whether management chooses different items to manipulate under different goals. Overall, the empirical results support the equity offering hypothesis and weakly support the meeting earnings threshold hypothesis. However, the results fail to support the avoidance of debt covenant violation hypothesis, indicating that manipulation under certain monitoring conditions can be conducted in a very subtle manner.