No description available.

Share repurchases in Sweden has since legalization in 2000 gained momentum. Similar to other corporate events, there are studies that examine whether this affects the share price performance. With studies in the U.S. that measured excess returns of approximately 3,5 percent on the announcement day; Swedish buybacks, holding a tighter regulation is of interest to study. The Stockholm Stock Exchange regulation regarding reporting is also similar to the Stock Exchange in Hong Kong. Unlike most previous research using only the announcement of a buyback, where an actual repurchase cannot be assured, the stock exchanges in this study requires disclosure on a daily basis, which means that the announcement can be linked to an actual share repurchase. The study aims to examine how the stock markets in Stockholm and Hong Kong react to share repurchases. Thereby judge whether the notice gives a negative or positive effect. The problem formulation takes the following approach: Is there abnormal returns at the announcement of share repurchases in the Stockholm stock exchange and the Hong Kong stock exchange.  The following sub questions will further be explored: Are there differences between the size of the abnormal return and industry? Is there a correlation between the abnormal returns and corporate market-to-book value? The survey is conducted through an event study, measuring abnormal return during a window of ten days prior to the announcement day and ten days after. Repurchases are studied during the period 2000-03-10 until 2011-04-10 in order to cover the entire period since legalization in Sweden. The sectors used are: industrials, financials, consumer discretionaries and information technology. Furthermore a regression analysis consisting of the variables market-to-book, divided into low and high values, and abnormal return is constructed. Through a theoretical synthesis, consisting of previous research, signaling hypotheses, the efficient market hypothesis and agency theory, the empirical data is analyzed. The conducted study shows low positive abnormal returns (AAR) for both Stockholm and Hong Kong at 0,37 percent and 0,38 percent for the announcement day respectively with a certain significance days before the announcement. Small differences exist between sectors, with financials showing highest abnormal return and consumer discretionaries the lowest in the two markets. There is furthermore a significant value between high market-to-book values and negative abnormal returns.

Intellektuellt kapital anses av många vara en av de största drivande faktorerna till företags framgång och i litteraturen värderas den ofta som skillnaden mellan ett företags marknadsvärde och dess bokförda värde. Market-to-book ratio är det relativa måttet som beskriver denna skillnad och gör det möjligt att jämföra detta värde med andra företag. Målet med denna uppsats är att undersöka hur företag redogör för sitt intellektuella kapital och utreda hur detta reflekteras i företags market-to-book ratio. Frågeställningarna som besvaras är huruvida det finns något samband mellan ett företags market-to-book ratio och dess redogörelser för intellektuellt kapital i dess årsredovisningar och om det finns något samband mellan dessa redogörelser och förändringar i market-to-book ratio. För att mäta redogörelser för intellektuellt kapital gjordes innehållsanalyser. Totalt undersöktes 60 företags årsredovisningar på Stockholmsbörsens Large- och Mid Cap. Resultatet tyder på att samband mellan företags market-to-book ratio och dess redogörelser för intellektuellt kapital saknas, undersökningen fann inte heller något samband mellan redogörelser för intellektuellt kapital och förändringar i market-to-book ratio.

Tidigare forskning har funnit delvis motstridiga resultat för hur företagsledningens och styrelsens egenskaper påverkar bolagets värde. Enligt vår vetskap har inga studier genomförts på svenska data. Syftet med denna uppsats har varit att klargöra om det finns något samband mellan ett företags värde (mätt som market-to-book) och ett antal demografiska faktorer hos företagets ledning och styrelse. Detta har testats med hjälp av årsredovisningar och finansiella data för börsnoterade bolag under perioden 2010-2012. Genom multipla regressionsanalyser har vi bland annat funnit att styrelsens storlek har en positiv effekt på bolagets värde och att andelen kvinnor i styrelsen påverkar värdet positivt. För VD och styrelseordförande har vi funnit positiva samband för variabler som speglar erfarenhet, förutom för VD-ålder, där vi funnit en negativ effekt på bolagets värde.

Försiktighetsprincipen är och har länge varit en av de viktigaste principerna inom svensk redovisning. Sedan år 2005 måste dock samtliga börsnoterade företag i Sverige upprätta sin redovisning i enlighet med det internationella regelverket International Financial Reporting Standards (IFRS). Tidigare forskning har anmärkt att IFRS ger relativt mycket utrymme för subjektiva bedömningar och har ett komplicerat förhållande till försiktighet som är ett omdebatterat ämne bland redovisare.Att upprätta redovisning är en subjektiv process där personliga egenskaper hos redovisaren och redovisarens omgivning har en inverkan på sättet den upprättas. Uppsatsens syfte är därför att förklara vilka faktorer som påverkar tillämpningen av försiktighet i redovisning i svenska börsnoterade företag. Studien fyller ett gap kring styrelsesammansättningens påverkan på mängden försiktighet i redovisning som inte är ett väl utforskat område, speciellt angåendesvenska förhållanden. Den undersöker även hur ägarstruktur och företagets storlek påverkar redovisningen i fråga om tillämpningen av försiktighet. För att genomföra studien har nödvändig data inhämtats från databaser och årsredovisningar. Market-to-Book valuehar använtssom en metod för att mäta försiktighet i redovisning. Studienhar kommit fram till några intressanta resultat som bidragit till forskningen kring försiktighetsprincipens framtid. Det har nämligen visat sig att företag med en större andel kvinnori styrelsen tenderar att vara mer försiktiga i sin redovisning. Större företag har även påvisats visa mindre tendenser till en försiktig redovisning vilket inte var förenligt med studiens ena hypotes. Försiktighet i redovisning är ett omdiskuterat ämne och det finns fortfarande mycket kvar att undersöka. Framtida forskning skulle kunna undersöka hur andra faktorer påverkar redovisningens försiktighet exempelvis redovisares personlighetsdrag. Andra metoder borde även användas för att mäta graden av tillämpning av försiktighetsprincipen.

Purpose and aim By studying swedish public companies and their annual reports through the years of 2005-2015, the purpose of this study is to determine whether there are any similarities in the capital structure of companies with homogenous market-to-book ratio and tangible assets. A comparison on industry level will also take place. Previous research and theories The main research in this research is the previous study by Wu and Yeung about public american companies. They argue that a combination of market- to-book ratio and tangible assets can build a certain capital structure. Other previous researches are Aggarwal, who says that capital structure differ between countries and industries, and also Harris and Raviv who argue that leverage ratio is constant within the specific industry. The theories that have been used in this study are the pecking order theory, asymmetric information, market timing theory, buy-and-hold theory and financial architecture. Methodology A quantitative method have been used, where collection of data happens through studies of companies annual reports in a similar way of Wu and Yeung. The population is all of the companies that have been publicly introduced on either Aktietorget or Nasdaq OMX Stockholm during the years of 2005-2015. The selection from the population are 77 companies. Conclusion Swedish pharmaceutical companies who possess a high market-to-book ratio in combination with a low rate of tangible assets: are persistent within its company type (G3), finance through issues of equity, follows the market timing theory, have a leverage ratio under 10 %, have no dividends, shows a negative profitability indicator during the years 0-2, have high cash holdings and a high rate of intangible assets, have stockholders who don’t bother about dividends, have low asymmetric information between management and stockholders, and they also have stockholders who see growth opportunities with investing in pharmaceutical companies. Keywords Capital structure, market-to-book ratio, tangible assets, pecking order, asymmetric information, swedish companies

The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbitrage. Modern finance theory and efficient market hypothesis suggest that security prices, at equilibrium, should reflect their fundamental value. If the market price deviates from the intrinsic value, then a risk-free profit opportunity has emerged and arbitrageurs will eliminate mispricing and equilibrium is restored. This arbitrage process is characterized by large number of arbitrageurs which have infinite access to capital. However, a better description of reality is that there are few numbers of arbitrageurs to the extent that they are highly specialized; and they have limited access to capital. Under these condition arbitrage is no more a risk-free activity and can be limited by several factors such as arbitrage risk and transaction costs. Other factors that are discussed in the literature are availability of substitutes and financial constraints. The former arises as a result of the specialization of arbitrageurs in the market in which they operate, while the latter arises as a result of the separation between arbitrageurs and capital. In this dissertation, I develop a measure of the availability of substitutes that is based on the propensity scores obtained from propensity score matching technique. In addition, I use the absolute value of skewness of returns as a proxy of financial constraints. Previous studies used the limits of arbitrage framework to explain pricing puzzles such as the closed-end fund discounts. However, closed-end fund discounts are highly affected by uncertainty of managerial ability and agency problems. This study overcomes this problem by studying the effect of limits of arbitrage on publicly traded securities. The results show that there is a significant relationship between proxies of limits of arbitrage and firm specific mispricing. More importantly, empirical results indicate that stocks that have no close substitutes have higher mispricing. In addition, stocks that have high skewness show higher mispricing. Subsequent studies show that the S&P 500 stocks have different levels of liquidity, analysts’ coverage and volatility. These characteristics affect the ability of arbitrageurs to eliminate mispricing. Preliminary univariate tests show that S&P 500 stocks have, on average, lower mispricing and limits of arbitrage relative to non-S&P 500 stocks. In addition, the multivariate test shows that S&P 500 members have, on average, lower mispricing relative to non-S&P 500 stocks.

The purpose of this thesis is to test the extended industry shock hypothesis, which accounts for a macro-economic capital liquidity element, in determining the drivers of merger waves. Various theories have been extended by the literature and these are broadly classified under the neo-classical theory of merger waves and the behavioural theory of merger waves. Behavioural theories have explained merger waves by taking into account the psychology of stock markets and the occurrence of merger waves during a stock market boom. The industry shock hypothesis (a neo-classical theory) however, argues that merger waves are due to the clustering of industry shocks that affect an industry’s operating environment. Along with this shock, the mis-valuation caused by a stock market boom increases asset values, thereby lowering transaction costs and hence increasing capital liquidity in the economy. This capital liquidity factor causes merger waves to cluster even if industry shocks do not. The findings in this study show that industry level merger waves exist in Australia and they occur when there is sufficient capital liquidity in the economy. The industry shock variables are found to be insignificant; however they do improve the explanatory power of the explanatory variables used in predicting the start of a merger wave. The mis-valuation variables used in this study: market-to-book ratio, 3-year return and standard deviation of the 3-year return, are insignificant and do not have any explanatory powers in predicting the start of a merger wave. Merger and acquisition announcements made to acquire Australian firms listed on the Australian Stock Exchange (ASX), are collected and analysed for the period from 1996 to 2007. The methodology used in this study is adopted from Harford (2005), which uses legit models to predict the start of merger waves. The explanatory variables are also adopted from Harford’s (2005) study and include proxies for mis-valuation, industry shock and capital liquidity. Overall, the results obtained for the Australian merger and acquisition data are inconclusive as to whether industry shocks because industry merger waves as Harford (2005) documented for the US merger and acquisition data. However, industry level merger waves do exist, as there is clustering in time of firm-level mergers within industries. Moreover, sufficient capital liquidity must be present to accommodate the necessary transactions.

Syftet med denna undersökning är att utveckla den investeringsstrategi som Piotroski (2000) tog fram, grundad på fundamentalanalys, genom att sammanlänka variabler från Lev & Thiagarajan (1993) som visat sig vara värderelevanta indikationer på företags rapporterade resultat. För att genomföra detta utvecklas en modell med Piotroskis (2000) F-score som grund. Antalet signaler i modellen utökas från 9 till 12 stycken. Undersökningen genomförs med data från Stockholmsbörsen under perioden 1998 – 2012. Resultatet visar att både den utvecklade modellen och Piotroskis modell presterar en positiv marknadsjusterad avkastning under hela undersökningsperioden. Samtidigt ökar antalet investeringar i den utvecklade modellen vilket bidrar till en minskad risk och en ökad spridning.

Studies of the value relevance of accounting number in capital market research are consistent with the simple view that, in equilibrium, book values are equal to or have some long-term relationship with market values, and that market returns are related to book returns. This dissertation examines the value relevance of annually-reported book values of net assets, earnings and dividends to the year-end market values of five Japanese firms between 1950 and 2004 (a period of 54 years). Econometric techniques are used to develop dynamic models of the relationship between markets, book values and a number of macro-economic variables. In constructing the models, the focus is to provide an accurate statistical description of the underlying relationships between market and book value. It is expected that such research will add to the body of knowledge on factors that are influential to Japanese stock prices. The significant findings of the study are as follows: 1) well-specified models of the data generating process for market value based on the information set used to derive the models are log-linear in form. Additive, linear models in untransformed variables are not well-specified and forecast badly out of sample; 2) the book value of net assets has relevance for market value in the five Japanese firms examined, in the long run.