This dissertation consists of three essays exploring market reactions to business failure. In the first essay, the filing strategies are divided into three basic types, voluntary, involuntary and prepackaged. The second essay provides insight into industry wide factors impacting assimilation of information by the market. The third essay provides a view of the GARCH-M model in measuring a risk premium as a firm approaches bankruptcy.

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Thesis advisor: Rosen Valchev / This thesis explores the impact of Donald Trump’s tweets related to China on the financial markets in the United States and China, particularly during the U.S.-China trade war period. The study collects financial variables of interest, including the USC-CNY exchange rate and several stock indices from both countries, at hourly intervals from January 2018 to December 2020, and uses OLS regression models to examine the immediate impact of Trump’s tweets on these variables. The study finds that Trump’s tweets related to China had an immediate impact on several financial variables, including a slight negative impact on the USD-CNY exchange rate, the U.S. stock market (S&P 500), the Chinese A-share stock market (CSI 300), and the U.S. industrials sector (MSCI USA Industrials index). Multiple regression analyses show that the number of tweets has a significant impact on the U.S. stock market and the U.S. industrials sector, while the number of retweets appears to be more market-moving than the number of favorites. The study concludes that Trump’s tweets during the trade war period were perceived by the market as a signal of a potential shift in U.S. trade policy towards China, leading to uncertainty and volatility in the financial markets. / Thesis (BA) — Boston College, 2023. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: Departmental Honors. / Discipline: Economics.

This study analyzes the share price reactions to real estate development and building/construction materials corporations in relation to FIRB rule changes. It appears companies as a whole were indifferent to the rule changes; however individual securities returns were wildly different. These findings suggest that the FIRB rule changes had a mixed effect on different corporations possibly based on their exposure to the Australian real estate market.

M.Com. (Financial Management) / This study was an investigation into the impact of hosting the FIFA World Cup soccer tournament on the stock market of the host country. The investigation looked at whether stock markets react efficiently or show a positive reaction to the hosting of the FIFA World Cup. Hosting the FIFA World Cup was assessed at two event dates: the announcement date where the host country’s winning bid is announced and the when the tournament starts. An event study research methodology was used to investigate the impact of hosting the FIFA World Cup on the stock exchange of the host country, by examining the movement of CARs across the two event windows. It was found that stock markets react differently to the announcement of the tournament and event start dates. The results of this study show that the stock market does not always regard the hosting of the FIFA World Cup as positive news, therefore resulting in either a positive or negative stock market reaction. Markets do however appear to be efficient and incorporated all information in stock prices. The test statistics showed a number of statistically insignificant results; hence the presented results do not support the hypotheses that the FIFA World Cup has a significant impact on the host country stock market during the announcement and hosting stages.

Cette thèse s’articule autour de trois essais liés par la thématique des réformes récentes de séparation des activités bancaires. Le premier essai examine les décisions réglementaires dans le cadre de la réforme française de séparation bancaire. En s’appuyant sur les théories des logiques institutionnelles et de la justification, cette étude de cas montre comment un découplage des logiques institutionnelles se justifie dans une situation de controverse publique.En adoptant la méthodologie d’étude d’évènements, le deuxième essai analyse les réactions des investisseurs liées aux réformes de séparation des activités bancaires en Allemagne, aux Etats-Unis, en France et en Grande Bretagne. En se basant sur les théories du maintien institutionnel et l’endogénéisation de loi, le troisième et dernier essai de cette thèse étudie le processus d’élaboration de la réforme de séparation bancaire au niveau de l’UE, qui n’a pas été mise en oeuvre. / This thesis consists of three essays on recent post-crisis structural banking reforms. The first essay examines regulatory decision-making in the national context, namely regarding the French structural banking reform. Drawing on the theories of institutional logics and orders of worth, this case study shows how decoupling institutional logics is justified in a situation of public controversy. Adopting event study methodology, the second essay analyses stock price reactions to the US Volcker Rule, the UK Vickers Reform as well as the German and French structural banking reforms. Relying on the theories of institutional maintenance work and endogenization of law, the third and final essay of this dissertation investigates the rule-making process of the EU structural banking reform which did not lead to any final regulation.

I takt med att teknologin i nytillverkade bilar blir allt mer avancerad, ökar också antalet produktåterkallelserinom bilindustrin till följd av defekta komponenter. En produktåterkallelse ger upphov till enkostnadsökning för det berörda företaget och bör således ge en negativ effekt på aktiekursen, närmarknadsaktörer tar del av informationen. Det är inom bilindustrin vanligt att biltillverkande företagkontrakterar ut tillverkningen av fordonens komponenter. Den upptrappade outsourcingen frambringarfrågan om vilken part som ska ansvara för återkallelsens kostnader. Studien undersöker med hjälp aveventstudier och hypotesprövningar hur produktionsledets olika aktörer påverkas av information om enåterkallelse inom bilindustrin? Studien har valt ut 39 händelser när ett biltillverkande företag tvingas attåterkalla bilmodeller. Uppsatsens resultat visade att produktionsledets olika aktörer inte påverkas avinformation om en återkallelse, därmed gick det inte heller påvisa att komponenttillverkare drabbashårdare än biltillverkare av en återkallelse. Studiens resultat visade heller inget positivt samband mellanmarknadsreaktionen beroende på återkallelsens storlek, felorsak eller tidpunkten för tillkännagivandet. / As the technology in newly manufactured cars becomes more advanced, the number of product recallsin the automotive industry is also increasing due to defective components. A product recall gives rise toan increase in costs for the company concerned and should therefore have a negative effect on the shareprice when market participants consult the information. It is common in the automotive industry for carmanufacturing companies to outsource the production of vehicle components. The escalating outsourcingraises the question of which party should be responsible for the costs of the recall. The study examineswith the help of event studies and hypothesis tests how the different actors in the production stage areaffected by information about a recall in the automotive industry? The study has selected 39 events whena car manufacturing company is forced to recall car models. The results of the paper showed that thevarious operators of the production stage are not affected by information about a recall, so it was notpossible to demonstrate that component manufacturers are hit harder than car manufacturers by a recall.Furthermore, the results of the study did not show a positive relationship between the market reaction dueto the size of the recall, the cause of the withdrawal or the time of the announcement.

本研究探討台灣會計師公費揭露的市場反應，並以累計異常報酬（CAR）來衡量市場反應。第一階段針對是否揭露會計師公費研究其不同的反應；第二階段再將有揭露會計師公費的公司區分為主動揭露與被動揭露，並探討是否會造成不同的影響；第三階段更進一步將被動揭露的公司依其所符合的法規揭露原因再做細分，特別探討因為非審計公費過高而揭露公費者之市場反應。 研究結果發現，相較於不揭露會計師公費的公司，市場對於有揭露會計師公費資訊的公司會給予較正面的反應；其中，有揭露會計師公費的公司，若屬於主動揭露，市場更是會給予正面的肯定；相反的，有揭露會計師公費的公司，若是因非審計公費達審計公費之四分之一以上者而被動揭露者，市場會對此公司之會計師之獨立性有所懷疑，故給予負面的反應。可見會計師公費的資訊對投資大眾而言確實是一項有意義且重要的資訊。本研究並加入公司治理的相關變數，研究結果發現，若公司之治理程度較差，但「有揭露」會計師公費資訊者，投資大眾會給予正面的反應，此外，相對於被動揭露者，市場對於「主動揭露」之公司會給予更正面的肯定。另一方面，若公司之治理程度較佳，但其揭露原因是屬於非審計公費達審計公費四分之一以上而被動揭露者，市場會對會計師獨立性有所質疑，故對於此種公司仍給予負面的反應。 / This study attempts to examine audit fee disclosure and market reactions. We use Cumulative Abnormal Returns to measure market reactions. First, we analyze whether audit fee disclosure has any market reactions at all. Second, we divide the samples into voluntary disclosure and forced disclosure groups. Third, we make further segmentation from the forced disclosure group according to their disclosure reasons, and specially focus on the disclosure reason of high non-audit fees. We find that market reactions are significantly more positive for firms with audit fee disclosures than for firms without fee disclosure. Market reactions are also significantly better for firms with voluntary disclosure than the forced disclosure group. In contrast, market reactions are significantly lower for firms which disclose audit fees due to high levels of non-audit fees. Our evidence supports that audit fee is a piece of useful and important information to investors. Additionally, we include corporate governance variables in the analysis. We find that when firms’ corporate governance is not good, if they choose to disclose audit fee voluntarily, the market responds with positive reactions. In contrast, if a firm’s corporate governance is quite good but discloses audit fees due to high levels of non-audit fee, the market then reacts with negative returns.

Cette thèse analyse les conséquences et les implications des annonces de dividendes sur le marché boursier français dans un contexte de crise financière. Elle comporte quatre chapitres dont un premier, théorique qui trace les orientations des trois études empiriques réalisées. À l’issue de ce chapitre, il est proposé un cadre d’analyse de l’impact de la crise sur la politique de dividendes. Le deuxième chapitre traite de l’impact de la crise sur les réactions du marché. Il a testé et validé l’hypothèse d’une réaction différenciée des investisseurs aux annonces de dividendes en fonction du contexte économique. De surcroît, il met en évidence des réactions asymétriques des investisseurs en période de crise. Le troisième chapitre fournit une nouvelle explication à ces réactions asymétriques à travers la théorie de l’ambiguïté. L’hypothèse selon laquelle la nature et le degré d’incertitude de l’environnement macroéconomique auraient un impact sur la manière dont les investisseurs réagissent suite aux annonces de dividendes a été testée et validée. Le quatrième chapitre analyse la prévision des bénéfices comptables par les dividendes en période de crise, au regard de la théorie du signal. Nos résultats valident globalement les théories du signal et de l’ambiguïté. Même si la crise a affecté les réactions du marché français, elle n’a pas eu d’impact sur la relation significative qui existe entre les changements de dividendes et les variations de bénéfices futurs. Cette thèse analyse les conséquences et les implications des annonces de dividendes sur le marché boursier français dans un contexte de crise financière. Elle comporte quatre chapitres dont un premier, théorique qui trace les orientations des trois études empiriques réalisées. À l’issue de ce chapitre, il est proposé un cadre d’analyse de l’impact de la crise sur la politique de dividendes. Le deuxième chapitre traite de l’impact de la crise sur les réactions du marché. Il a testé et validé l’hypothèse d’une réaction différenciée des investisseurs aux annonces de dividendes en fonction du contexte économique. De surcroît, il met en évidence des réactions asymétriques des investisseurs en période de crise. Le troisième chapitre fournit une nouvelle explication à ces réactions asymétriques à travers la théorie de l’ambiguïté. L’hypothèse selon laquelle la nature et le degré d’incertitude de l’environnement macroéconomique auraient un impact sur la manière dont les investisseurs réagissent suite aux annonces de dividendes a été testée et validée. Le quatrième chapitre analyse la prévision des bénéfices comptables par les dividendes en période de crise, au regard de la théorie du signal. Nos résultats valident globalement les théories du signal et de l’ambiguïté. Même si la crise a affecté les réactions du marché français, elle n’a pas eu d’impact sur la relation significative qui existe entre les changements de dividendes et les variations de bénéfices futurs. / This dissertation investigates the consequences and implications of dividend announcements on French stock market in a context of financial crisis. It consists of four chapters including a first theoretical chapter that draws directions of the three empirical studies we realised. After this chapter, we provide an analysis framework of the impact of the crisis on the dividend policy. The second chapter discusses the impact of the financial crisis on french market reactions following dividend announcements. It tested and validated the hypothesis of a differentiated reaction of investors to dividend announcements based on the economic environment. Furthermore, it highlights asymmetric reactions of investors in times of crisis. The third chapter provides a new explanation for these asymmetric reactions through the ambiguity theory. The hypothesis according to which the nature and the degree of uncertainty of the macroeconomic environment has an impact on the way in which capital market prices react to dividend announcements was tested and validated. The fourth chapter analyses earnings forecast by dividends in times of crisis, according to the signaling theory. Our findings generally support the signaling and ambiguity theories. But, although the crisis affected the French market reactions to dividend announcements, it has no impact on the significant relationship between dividends changes and future earnings variations.

本研究探討我國於2004年發佈之第35號財務會計準則公報，有關『資產減損之會計處理準則』。35號公報要求企業必須評估公司資產之價值，以避免資產價值之虛列，增加資產價值資訊之透明度。本研究就公開資訊之揭露與資訊透明度的觀點，探討與資產減損有關的三項議題：(1)資產減損之股價反應幅度與公司特質及減損資產類別的關聯性；(2)資產減損對分析師盈餘預測特性之影響；(3)資產減損對本益比之影響。本文之研究結果顯示：(1)對於提前於2004年年報適用的樣本與準時於2005年第一季季報適用的樣本，公司特質變數與股價反應幅度的關聯性有不同；而減損資產類別變數與股價反應幅度則未有顯著之關係；(2)相較於同產業且資產總額接近之未宣告認列資產減損的控制組公司，宣告認列資產減損之公司，其分析師盈餘預測之離散性與預測誤差降低；並且公司揭露認列的減損比率愈大，其分析師間盈餘預測的離散性及預測誤差愈小；(3)在與同產業且資產總額接近之未宣告認列資產減損之控制組公司相較下，宣告認列資產減損之公司，其減損認列後的本益比較減損認列前的期間為高，且認列減損之比率愈大者，其認列減損之後的本益比愈高。這些結果顯示35號公報之公布實施，強制規定公司全面檢視資產或重大投資之潛在未實現損失，將有助於增加資產及盈餘資訊之透明度與穩健性，並提高了分析師對公司盈餘預測能力及市場對公司盈餘資訊之評價。 / This paper studies the effects of the implementation of Statement on Financial Accounting Standards (hereafter, SFAS No. 35) in 2004 on “Accounting for Asset Impairments”. SFAS No. 35 requires that the company has to assess its assets to reflect the potential unrealized losses of assets and improve the transparency of the value of assets in financial statements. From the viewpoints of the disclosure on public information and the transparency of financial statements, this study examines the following three issues related to the asset write-offs: (a) how is the association between the magnitude of market reaction to write-off announcements, firms’ characteristic, and the categories of the asset written-off? (b) what is the impact of asset write-offs on analysts’ forecast dispersion and errors? (c) what is the impact of asset write-offs on price/earnings ratios? The results show that the magnitudes of market reaction in the early adoption samples in 2004 financial statements are different from that in the timely adoption samples in first quarter of 2005’s financial statement. However, The magnitudes of market reactions to the write-off are not significantly associated with categories of asset written-off. Furthermore, compared to control sample of non-adopting firms in the same industry and with similar total assets, the adopting firms have less analysts’ earnings forecast dispersion and errors. And, the larger the asset write-offs, the smaller the analysts’ earnings forecast dispersion and errors. Finally, the adopting firms have larger price/earnings ratios after the asset write-offs than control sample. The larger proportions of asset write-offs to total assets, the larger the price/earnings ratios after the firm the asset write-offs. Accordingly, the above evidence indicates that the reports implementations of SFAS No. 35 improves the transparency and conservatism of assets and earnings information, and to increase the valuations of earnings in the stock market in that the adopting firms are required to evaluate the potential unrealized losses on their long-lived assets and investments.