The general focus of my dissertation, which consists of two essays, is on how changes in the financial and economic environment surrounding a firm affect managerial incentives and firm policies regarding investment in physical capital, innovation, equity offerings, and repurchases. The first essay in my dissertation examines how product market competition affects firms' investment decisions. While competition among firms benefits consumers via lower prices, greater product variety, higher product quality, and greater innovation, recent studies provide evidence that competition has been declining in the U.S. economy over the past decade. The evidence shows that American firms' profits are at near-record levels relative to GDP and are persistent. Industries have become more concentrated as a result of mergers and acquisitions, and barriers to entry have risen and the rate of new entry has been declining for decades. Taking these findings at face value, we examine empirically whether companies feel less compelled to invest in physical capital and in research and development because they face fewer threats from rival firms. Using both traditional proxies and recently developed text-based measures of industry concentration, we show that firms operating in competitive industries invest significantly more in both physical capital and research and development relative to their peers in concentrated industries. We also report that the propensity to invest less by managers of monopolistic firms is partially mitigated by superior corporate governance that reduces the agency problem, and by certain product market characteristics such as low pricing power and low product differentiation/entry barriers. However, after accounting for all these mitigating factors, the negative association between industry concentration and investment persists. Our results are robust to including various control variables and exclusion of firms from industries that face significant competition from imports. The results are also robust to controlling for endogeneity caused by missing time-invariant and time-varying industry level factors that could potentially be related to both the level of concentration and investments. Overall, our results are consistent with the notion that firms in competitive industries have a greater incentive to invest and innovate to survive and thrive in a competitive environment relative to the managers of the firms in more concentrated industries whose incentive to invest and innovate is to maintain their monopoly rents. Our findings have obvious policy implications in that investment and hence economic growth is being adversely affected in the current era of increasing industry concentration and declining competition. The second essay in my dissertation investigates whether information contained in equity issues and buybacks is fully incorporated into prices such that the market reaction to subsequent earnings announcements is unrelated to those corporate actions. Korajczyk at al. (1991) argue that firms prefer to issue equity when the market is most informed about the quality of the firm to prevent adverse selection costs associated with new equity issues. This implies that equity issues tend to follow credible information releases contained in earnings announcements. However, analyzing a sample of 19,466 SEO pricing dates between 1970 and 2015 and 15,106 buyback announcements between 1994 and 2015 shows that a considerable number of equity offerings and repurchase announcements take place before the announcement of earnings. About 28% of buybacks and 32% of SEO pricings are made in the three weeks prior to an earnings announcement. Given these statistics, we examine whether these corporate actions provide information about upcoming earnings announcements (earnings predictability) to the extent that new information has not been fully incorporated into prices by market participants. We find evidence of earnings predictability: the market reaction to earnings following buyback announcements is higher by 5.1% than the reaction to earnings following equity issues over the (-1,+30) window when four-factor abnormal returns are used; the difference is 2.2% when unadjusted returns are considered. The results are robust to several alternate sample construction methodologies. There are at least two puzzling effects of earnings predictability that are difficult to reconcile with the market efficiency hypothesis. First, there is an incomplete adjustment to SEO pricings and buyback announcements that results in residual market reaction to earnings announcements. Second, prices continue to drift after earnings announcements: upward for buybacks and downward for SEO pricings. Unlike post-earnings announcement drift, the drift documented here does not depend on the market reaction to earnings announcement. We test several reasons for this anomalous behavior including prior returns, price, size of buyback or SEO, analyst forecast errors, and bid-ask spread. We find that information asymmetry proxies partially explain the persistence of earnings predictability following SEO pricings and buyback announcements. / Ph. D.

With the surge of Internet-based corporate communication, organization, andinformation management, financial markets have undergone radical transformation. Inthe interconnected economy of today, market participants are forced to acceptcyberattacks, data breaches, system failures, or security flaws as any other (varying)cost of doing business. While cyberspace encompasses practically any firm indeveloped economies and a large portion in developing ones, combatting such risks isdeemed a question of firm-specific responsibility: the situation resembles an ‘every manfor himself’ scenario. Consulting standard financial theory, rational utility-maximizinginvestors assume firm-specific (idiosyncratic) risk under expectations of additionalcompensation for shouldering such risk – they are economically incentivized. The omnipresence of cyberattacks challenges fundamental assumptions of the CapitalAsset Pricing Model, Optimal Portfolio Theory, and the concept of diversifiability. Thethesis problematizes underlying rationality notions by investigating the effect of acyberattack on stock volatility. Explicitly, the use of stock volatility as a proxy for riskallows for linking increased volatility to higher risk premiums and increased cost ofcapital. In essence, we investigate the following research question: What is the effect ofa disclosed cyberattack on stock volatility for firms listed in the USA?. Using event study methodology, we compile a cyberattack database for events between2010 and 2015 involving 115 firms listed on US stock exchanges. The specified timeperiod cover prevailing research gaps; due to literature paucity the focus on volatilityfits well. For a finalized sample of 189 events, stock return data is matched to S&P500index return data within a pre-event estimation window and a post-event window tocalculate abnormal returns using the market model. The outputs are used to estimateabnormal return volatility before and after each event; testing pre and post volatilityagainst each other in significance tests then approximates the event-induced volatility.Identical procedures are performed for all subsamples based on time horizon, industrybelonging, attack type, firm size, and perpetrator motivation. The principal hypothesis, that stock volatility is significantly higher after a cyberattack,is found to hold within both event windows. Evidence on firm-specific characteristics ismore inconclusive. In the long run, inaccessibility and attacks on smaller firms seem torender significantly larger increases in volatility compared to intrusion and attacks onlarger firms; supporting preexisting literature. Contrastingly, perpetrator motive appearsirrelevant. Generally, stocks are more volatile immediately after an attack, attributableto information asymmetry. For most subsamples volatility seem to diminish with time,following the Efficient Market Hypothesis. Summing up, disparate results raisequestions of the relative importance of contingency factors, and also about futuredevelopments within and outside academic research.

This thesis examines the impact of shocks in spot prices on long-term forward contracts in power markets. A unique comparison of efficiency of German and Hungarian power markets is provided. The risk premium on week-ahead forward contract is scrutinized by both data inspection and by unbiased forward rate hypothesis (UFRH) testing. Additionally, the ex-post market's prediction error for this product is explained by main drivers of spot electricity price, which are presented in section devoted to introduction to power markets. Expectedly, Hungarian forwards with longer time-to-delivery are found to react heavily on spot market shocks after controlling for changes in short-run marginal costs of conventional power plants. Such outcome applies both to intra-day and weekly time horizons. However, this evidence was not found for German market. These results point out to immaturity and the presence of inefficiencies in Hungarian power market. However, Hungarian risk premia on week-ahead and day-ahead forward products turn out to be considerably lower than for Germany. This was confirmed by UFRH tests on week-ahead forward contracts, where a significant risk premium was found in Germany as opposed to Hungarian risk premium. This finding is surprising since Hungarian spot prices are more prone to upward...

The thesis examines whether the role of credit rating prior to the announcement of credit rating change is the neglected factor explaining in large extent the paradox investigated in prior papers that downgrades influence the stock prices of company but upgrades not. It is motivated by the notion that credit rating changes from low credit rating classes influence the stock price of company more distinctively than changes from higher credit rating classes and there is proportionally more downgrades from low credit rating classes than upgrades. The large sample of credit rating changes including proportionally more upgrades from low credit rating classes than downgrades is collected and the results suggesting the influence of downgrades on stock prices of company and any influence of upgrades persist. Furthermore when controlled for credit rating prior to the announcement of credit rating change, magnitude of credit rating change, crossing the investment-speculative barrier, credit rating changes within and across credit rating categories, consecutive credit rating changes in the same direction and industry sector of issuer all the results are consistent with the original conclusions proposing significant stock price reaction to announcements of credit rating downgrades and no stock price response to...

The aim of this study is to gather insights into market efficiency and mechanisms that work in the financial markets. It provides a framework with an emphasis on liquidity and the failure of arbitrage that deepens our understanding of various financial crises. Described mechanisms are particularly relevant for the last financial crises - including 2007-2009, LTCM, and dot-com bubble. In the first chapter the concept of efficient markets is introduced. In the second chapter it is challenged from the point of view of noise trader theory and limits of arbitrage. The third chapter deals with market microstructure and liquidity. Last chapter shows importance and adverse effects of externalities, particularly of those causing liquidity spirals.

Operações de alta frequência ganharam destaque nos últimos anos, tanto no mercado nacional quanto internacional, e têm atraído a atenção de reguladores, pesquisadores e da mídia. Assim, surgiu a necessidade de estudar o mercado de capitais brasileiro no contexto dos dados em alta frequência. Este estudo preocupa-se em analisar os efeitos dos avanços tecnológicos e novas formas de negociação na qualidade do mercado. Tais pontos são caracterizados pelo HFT. Gomber e Haferkorn (2013) explicam que HFT é um subgrupo das negociações com algoritmos. Os investidores HFTs são caracterizados por negociarem com seu próprio capital, manterem posições por espaços curtos de tempo, pelo alto volume de negociação e por atualizarem as ordens com frequência. A revisão da literatura permitiu delinear o termo e identificar as estratégias adotadas, os impactos positivos e negativos na qualidade de mercado, os riscos advindos da prática e medidas adotadas ou propostas para mitigar esses riscos. A contribuição decorrente das negociações em alta frequência foi analisada empiricamente com ênfase na questão da eficiência informacional do mercado nacional. Para isso, foram utilizados dados intradiários do índice Bovespa, com frequências de observação a partir de 1 minuto. Aplicações do teste de sequência para aleatoriedade e teste de razão de variância de Lo e Mackinlay (1988) evidenciaram um aumento na eficiência do mercado ao longo do período analisado, entre 2007 e 2015, para a frequência de observações de 1 minuto. Foi encontrada relação entre esse ganho em eficiência e o aumento da participação do HFT no mercado. Também foi constatado que o mercado se mostra menos eficiente quando a frequência de observação aumenta e que os ganhos em eficiência são mais acentuados para frequências maiores. Os últimos resultados fortalecem a percepção de que a melhora na eficiência está relacionada diretamente à atuação dos HFTs no mercado, haja vista a característica destes de explorarem ineficiências de preço em frações de segundos. Descreveu-se assim o mercado de capitais nessa era de alta frequência e os impactos do HFT na eficiência de mercado. Tais pontos podem ser colocados como contribuições práticas deste estudo. / High-frequency trading has gained notoriety in recent years and attracted incresing attention among policymakers, researchers and media. This brought about the need for research of high frequency data on brazilian capital market. This study aims to investigate the effects of technological advancements and new forms of trading, specially HFT, on market quality. Gomber and Haferkorn (2013, p. 97) define HFT as a subset of algorithmic trading \"characterized by short holding periods of trading positions, high trading volume, frequent order updates and proprietary trading\". The literature review made it possible to define the term and identify strategies, positive and negative impacts on market quality, risks and ways to mitigate these risks. The contribution arising from HFT was analyzed empirically with an emphasis on price efficiency in the domestic market, using intraday Bovespa index data in different frequencies. Run tests and Lo and Mackinlay (1988) variance ratio tests showed increasing efficiency over the period, between 2007 and 2015, for observations in 1 minute frequency. Relationship between this gain in price efficieny and the growth of HFT market share was found. It was found that the market is less eficiente when higher frequencies are analyzed, and that the efficiency gains are more pronounced for higher frequencies. The last results strengthen the perception that the efficiency gains are directly related to high-frequency trading, given its characteristc of exploring price inefficiencies that last fractions of seconds. The capital market in this high frequency era and the impacts of HFT on market efficiency were described in this study

Made available in DSpace on 2016-04-25T16:44:31Z (GMT). No. of bitstreams: 1 Ana Fatima de Brito.pdf: 1019818 bytes, checksum: df8f5c83f763b3f825e75f17c1d377ab (MD5) Previous issue date: 2012-10-23 / From its beginning in 2007, the U. S. Subprime Crisis can be considered the largest one occurred in the century so far, mainly for its extension, since shortly after the release of the first facts, many countries have shown signs of having been contaminated by its effects. Moreover, other nations such as Brazil sought to say that would not be affected, given the solid basis that its economy has shown. Brazil really showed signs of improvement in the economy a few years before the crisis: Gross Domestic Product - GDP was growing, inflation was under control and the employment level improved. By contrast, the United States had problems in the stock market in 2000 and had suffered the biggest terrorist attack in its history in 2001, which led to an outbreak of wars in other countries. This situation generated a bad effect on the U.S. economy, since the level of employment did not improve and prices rose, mainly on real estate assets. Many signs of problems in the U.S. economy were released, mainly the huge appreciation in real estate prices. In early 2007, companies in the mortgage industry began to have financial problems, however it was in August, when the French bank BNP Paribas announced the suspension of investment funds with roles in applications related to the mortgage that the world turned its look at the U.S. housing market. Throughout the following months, as the situation did not improve, many companies divulged disclosed financial problems and went bankrupt, such as Lehman Brothers, a hundred years old banking institution., which announced its bankruptcy in September 2008. Such a troubled scenario on the U.S. inspired this research to evaluate the effects of the crisis on the stock price of companies in the American an Brazilian Building sector. The industry was chosen due to its importance in generating employment, recent expansion of the real estate sector in Brazil and its link to the U.S. mortgage contracts. Five U.S. construction companies and also 5 Brazilian companies with publicly exchanged stocks were chosen. We selected the event study technique to accomplish the work. We found that the two facts related to Banco BNP Paribas and the bankruptcy of Lehman Brothers generated abnormal returns in stock prices of those 10 companies in the days preceding and following the disclosure of facts,, which contradicts the postulated assumption of the efficient market theory: that given that the market rationality and prices are adjusted to the information disclosed, the expected return is normal, / Iniciada nos Estados Unidos em 2007, a chamada Crise Subprime pode ser considerada a maior ocorrida no século até o momento, principalmente pela sua extensão, já que, pouco tempo depois da divulgação dos primeiros fatos, muitos países deram sinais de terem sido contaminados por seus efeitos. Por outro lado, outras nações como o Brasil procuravam afirmar que não seriam afetados, dados os sólidos fundamentos que sua economia apresentava. O Brasil realmente o apresentava sinais de melhoria na economia alguns anos antes, o Produto Interno Bruto PIB crescia, a inflação estava sob controle e o nível de emprego melhorava. Em contrapartida, os Estados Unidos, vinha de problemas no mercado acionário em 2000 e havia sofrido o maior ataque terrorista de sua história em 2001, o qual motivou o início de guerras em outros países. Tal situação produziu efeito ruim na economia norte-americana, uma vez que o nível de emprego não melhorava e os preços subiam, principalmente os dos imóveis. Muitos sinais dos problemas na economia norte-americana eram divulgados, principalmente quanto à valorização gigantesca nos preços dos imóveis. E, no início de 2007, empresas do setor de hipoteca começaram a ter problemas financeiros; no entanto foi em agosto, quando o Banco francês PNB Paribas divulgou a suspensão de fundos de investimentos com aplicações em papéis vinculados à hipoteca, que o mundo voltou seu olhar para o mercado imobiliário norte-americano. No decorrrer dos meses seguintes, a situação não melhorava, pelo contrário, mais empresas divulgavam problemas financeiros e até faliam, como foi o caso do Lehman Brothers, uma instituição bancária centenária, que anunciou falência em setembro de 2008. O cenário tão conturbado nos EUA motivou a realização da pesquisa para avaliar os efeitos da crise no preço das ações de empresas do setor de construção civil norteamericano e brasileiro. O setor de construção civil foi escolhido em função sua importância na geração de emprego, a recente expansão do setor imobiliário no Brasil e seu vínculo com os contratos de hipoteca nos EUA. Foram selecionadas 5 construtoras norte-americanas e 5 brasileiras com ações negociadas em bolsas de valores. Para a realização da pesquisa, foi selecionada a técnica estudo de eventos, e o resultado apurado foi que os dois fatos relacionados ao Banco BNP Paribas e a falência do Lehman Brothers geraram retornos anormais nos preços das ações das 10 empresas, nos dias anteriores e posteriores à divulgação dos fatos. Tal resultado contraria o postulado da teoria de mercado eficiente, visto que o retorno esperado é o normal, dado que o mercado é racional e os preços são ajustados às informações divulgadas

Made available in DSpace on 2016-04-25T16:44:37Z (GMT). No. of bitstreams: 1 Andre Nardy.pdf: 1089149 bytes, checksum: bf93de2a1a852c7d9ef44cfa8f114323 (MD5) Previous issue date: 2014-02-12 / The dynamics of abnormal returns , volume and betas is analyzed for Bovespa s stocks included or excluded from the Ibovespa index between 2003 and 2012, in a phenomenon known in the financial literature as the index effect, one of the oldest reported anomalies. Event studies are used with different settings of estimation window to measure abnormal returns and assess its effect on the calculation of return for the market model , since the calculation of the theoretical portfolio of Bovespa is known beforehand and is based on marketability and liquidity. No abnormal return is veryfied for shares on the date of their effective entry on the index, only abnormally high volumes. On the date of the first preview of inclusions positive abnormal returns and volumes are observed, and so on for excluded stocks. However, when we exclude from the sample companies with IPOs up to 3 years of its entry into the Bovespa Index and those assets included during the crisis of the financial markets, it appears tha abnormal returns do occur on the effective date, consistent with previous literature on the theme. The betas of the stocks included tend to covariate with greater force after inclusion in the index . With the results achieved market efficiency in the semi-strong form cannot be challenged for the Brazilian stock market, but there is a possible change in the occurrence of the index effect for the period studied, compared with previous studies / Analisa-se a ocorrência para o Ibovespa de dinâmica anormal de retornos, volume e dos betas para as ações incluídas ou excluídas do índice, entre 2003 e 2012, em fenômeno conhecido dentro da literatura de finanças como Efeito índice, uma das anomalias mais antigas relatadas. Utilizam-se estudos de eventos em diferentes configurações de janela de estimação para medir os retornos anormais e avaliar o efeito da mesma na apuração de retorno pelo modelo de mercado, dado o cálculo da carteira teórica do Ibovespa ser conhecido de antemão e baseado em negociabilidade e liquidez. Não se encontram ocorrências de retorno anormal para a data de efetiva entrada das ações, apenas volumes anormalmente altos. Na data de primeira prévia das inclusões ocorrem retornos e volumes anormais positivos, o mesmo ocorrendo para exclusões. Entretanto, ao se excluir da amostra de inclusões as empresas com IPOs realizados até 3 anos de seu ingresso no Ibovespa e aqueles ativos incluídos durante a crise dos mercados financeiros, verifica-se retornos anormais na data de efetivação da nova carteira teórica, coerente com a literatura precedente. Os betas das ações incluídas tendem a covariar com maior força após a inclusão no índice. Com os resultados não é possível questionar a eficiência na forma semiforte para o mercado acionário brasileiro, porém verifica-se uma possível mudança na ocorrência do efeito índice para o período estudado, em comparação com estudos anteriores

Made available in DSpace on 2016-04-25T16:45:29Z (GMT). No. of bitstreams: 1 Moacir Xavier.pdf: 556416 bytes, checksum: 29edacee4e3cd24d2e0897c655a3f4bf (MD5) Previous issue date: 2010-06-09 / The finance literature defines that stock prices are influenced mainly by the policies of funding, distribution of dividends / share buyback and investments, which are usually defined by financial managers. The objective of this research is to evaluate empirically whether these policies have a significant impact on pricing of the stock market. To achieve this goal it was decided to produce a case study for Cia. Brasileira de Distribuição inn which, trough an event study, we sought to determine the validity of the policies mentioned above in the light of events representative of those policies. Information about the events were collected and applied to the chosen methodology, which seeks to identify whether the market is efficient or not, depending on the information it receives and process. The tests were performed and identified that, for Cia Brasileira de Distribuição, only the investment policy has statistical significance for the market condition is not efficient, thus influencing the return of shares and the market value of the company. Tests of events representing the other two policies had resulted in the condition that the market is efficient, which means in the case of Cia Brasileira de Distribuição that both the policy of funding the dividend policy will not affect the abnormal return of its shares / A literatura de finanças estabelece que os preços das ações sejam influenciados, preponderantemente, pelas políticas de financiamento, de distribuição de dividendos/recompra de ações e de investimentos, as quais são usualmente definidas pelos administradores financeiros. O objetivo desta pesquisa é avaliar, empiricamente, se estas políticas tem influência relevante no estabelecimento dos preços de mercado das ações. Para a consecução desse objetivo decidiu-se por elaborar um estudo de caso para a Cia. Brasileira de Distribuição no qual, por meio de um estudo de evento, buscou-se determinar a validade das políticas acima mencionadas em função de eventos representativos dessas políticas que por ela foram gerados.. As informações sobre os eventos foram coletadas e aplicou-se a metodologia escolhida a qual procura identificar se o mercado é eficiente ou não, em função das informações que ele recebe e processa. Os testes foram realizados e identificou-se que, para a Cia Brasileira de Distribuição, apenas a política de investimento apresenta relevância estatística para a condição de mercado não eficiente, influenciando assim no retorno da ação e no valor de mercado da empresa. Os testes dos eventos representativos das outras duas políticas apresentaram como resultado a condição de que o mercado é eficiente, o que significa dizer no caso da Cia. Brasileira de Distribuição que, tanto a política de financiamento quanto a política de dividendos não influenciam os retornos anormais de suas ações. Os resultados encontrados abrem perspectivas para novos estudos, podendo ser utilizados como fonte de futuras pesquisas

Made available in DSpace on 2016-04-25T18:39:45Z (GMT). No. of bitstreams: 1 Carlos Eduardo Furlanetti.pdf: 957434 bytes, checksum: 4d15c672f25586845118ea42ab2bd576 (MD5) Previous issue date: 2011-12-12 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This work analyzes the mean quarterly returns produced by portfolios, selected between 2002 and 2010, compounded by stocks traded in the BM&FBovespa, based on the use of two popular multiples, Price/Earnings (P/E), or Price/Book Value (P/B), aiming at verifying whether these returns were consistently higher than the mean valuation of the Bovespa‟s index. Thus, by investigating the possible existence of a market anomaly, this study fits in the field of controversial academic debate: the Efficient Market Hypothesis (Fama, 1970). For each selected date, the shares were sorted by the selected multiple, and were divided, then, into four portfolios (by quartiles). To analyze the results, descriptive statistics were calculated, Jarque-Bera (JB) and Student tests were performed. The results suggest that portfolios formed by stocks 'P / E Very Low' (below the first quartile) were able to produce, over that period, quarterly average returns higher than the Bovespa‟s index, within a confidence interval of approximately 96.2%. In addition, portfolios formed by stocks 'P / B Low‟ or P / E Low‟ (between the 1st and 2nd quartile) produced good performance as well, but at a much lower level of confidence, set between 82,2 and 83,5%, respectively / Este trabalho analisa os retornos médios trimestrais produzidos por carteiras de ações negociadas na BM&FBovespa, montadas entre 2002 e 2010, a partir do uso dos múltiplos Preço/Lucro (P/L) ou Preço/Valor Contábil (P/B). Investiga a existência de possível anomalia de mercado ao verificar se retornos produzidos por carteiras formadas por ações de baixo P/L ou P/B podem ser consistentemente superiores à valorização do Ibovespa. Assim, este estudo transita em campo de controvertido debate acadêmico: a Hipótese de Mercado Eficiente (Fama, 1970). Para cada data selecionada, as ações foram ordenadas de acordo com o múltiplo escolhido e divididas em quatro carteiras (por quartis). Para a análise dos resultados, foram calculadas estatísticas descritivas e realizados testes de normalidade Jarque-Bera (JB) e paramétricos t de Student. Os resultados obtidos sugerem que carteiras de ações formadas por ações de P/L Muito Baixo‟ (abaixo do 1º quartil) foram capazes de produzir, no período analisado, retornos médios trimestrais superiores ao Ibovespa, dentro de um intervalo de confiança de aproximadamente 96,2%. Carteiras formadas por ações de P/B Baixo ou P/L Baixo‟ (entre o 1º e o 2º quartil) tiveram boa performance, porém a um nível de confiança bem menor, fixado entre 82,2 e 83,5%, respectivamente