Two important findings in the IPO literature, IPO's underpricing and poor long run stock returns, are investigated by using the sample of IPOs completed in the Stock Exchange of Thailand (SET) from 1994 to 1999. The evidence suggests that Thai IPOs are underpriced and have poor long run stock returns. Rock 's (1986) model is employed to explain the underpricing of Thai IPOs. Rock's model is supported by the evidence of Thai IPOs. Past market conditions and the stock liquidity of the IPOs' industries are the main factors which affect investor demand for IPO shares. IPOs which go public in the hot market conditions (periods with high past market return) and IPOs which come from liquid industries (industries which have high stock turnover) attract more investor demand. These two factors are also positively correlated with IPO first day return. This suggests that investors have higher demand for IPOs which go public in the hot market conditions and IPOs which come from liquid industries because these IPOs are underpriced, and the underpricing of these IPOs is corrected during the first trading day. IPOs with low investor demand underperform their benchmarks in the long run. On the contrary, the long run returns of IPOs with high investor demand are not significantly different from their benchmarks. One possible explanation for the underperformance of IPOs with low investor demand is that these IPOs may be illiquid. The lack of demand during the first trading day may cause their first closing price to be different from their intrinsic value. This difference is gradually adjusted in the long run leading to the underperformance of these IPOs. This hypothesis is supported by the evidence. The sample of rights offerings announced in the SET between 1994 and 1999 also supports the role of liquidity in explaining the poor long run performance of issuers. The change in operating performance of IPOs from the IPO-year to the post-IPO years also has some power in explaining the long run underperformance of IPOs. IPOs which perform more badly after going public have poor long run returns.

<p>This study examines the relationship between stock prices and accounting figures, primarily the book value of equity and earnings, as well as the market perception of accounting choices implemented by</p><p>companies. Market event studies from late sixties have initiated numerous of researches, and the majority of contemporary results were consistent with strong belief in the market efficiency theory. The</p><p>book value of equity and earnings have been proved to have the highest explanatory power of future stock prices. Other accounting-related issues, like inventory methods or accounting for business combination, were proven to have reliable impact on the stock prices. Moreover, the cash flow implications triggered by the accounting change are not an indispensable condition to influence the stock price level. Although a great body of research has treated the relationship between accounting</p><p>choices and stock prices, a clear-cut mechanism is not well specified. The evidence is inconsistent, and the consequences of accounting change are difficult to measure. However, the accounting figures</p><p>included in financial statements remain the most important measure of the companies’ performance. Due to the economic and technical progress, which considerably modified the structure of companies</p><p>and the environment in which they operate, further studies are advisable in order to maintain the reliability of accounting figures on significant level.</p>

Financial supervision department has loosened restrictions on insurance company’s holdings on capital market, aiming to give full play to the insurance funds which typically have the strengths of large scale, long investment horizon and stable supply. Nevertheless, some insurance companies carry out unfriendly behaviors through capital superiority, which may cause volatility of stock prices. Based on this, the paper mainly studies the insurance funds and volatility spillover of individual stocks as well as the entire capital market. This paper uses a framework of econometric methods based on vector autoregressive mode, and selects the 2016—2020 quarterly data from the SSE A-share disclosure. The results reveal that on one hand, price fluctuation has a unidirectional spillover effect on insurance companies’ changes in ownership. On the other hand, insurance companies’ changes in ownership also have a unidirectional spillover effect on volatility of the SSE index. / Business Administration/Finance

Doctor of Philosophy / Department of Agricultural Economics / Ted Schroeder / Food recalls have been an issue of great concern in the food industry. Stakeholder responses to food safety scares can cause significant economic losses for food firms. Assessing the overall impact that may result from a food recall requires a thorough understanding of the costs incurred by firms. However, quantifying these costs is daunting if not impossible. A direct measurement of a firm’s total costs and losses of revenue associated with a food recall requires firm-level data that is not available. The method utilized in this study overcomes this severe limitation. Using an event study, the impact of meat and poultry recalls is quantified by analyzing price reactions in financial markets, where it is expected that stock prices would reflect the overall economic impact of a recall. A unique contribution of this study is evaluating whether recall and firm specific characteristics are economic drivers of the magnitude of impact of meat and poultry recalls on stock prices. Results indicate that on average shareholders’ wealth is reduced by 1.15% within 5 days after a firm is implicated in a recall involving serious food safety hazards. However, when recalls involve less severe hazards, stock markets do not react negatively. Also, reductions in company valuations return to pre-recall levels after day 20. Firm size, firm’s experience, media information and recall size are drivers of the economic impact of meat and poultry recalls. That is, firms recalling a larger amount of product perceive greater reductions in company valuations. Additionally, recalls issued by larger firms are less likely to present negative effects on stock prices, compared to smaller firms. Moreover, firms that have recently issued a recall are less harmed by a new recall compared to those firms issuing a recall for first time. Thus, suggesting that investors take into consideration the past performance of a company when dealing with food recalls. Furthermore, media information has a negative impact on shareholder’s wealth. Findings from this study provide essential information to the meat industry. In particular, understanding the likely impact of such “black swan” events is critical for firm’s investing in food safety technologies and protocols.

This study examines the dynamic interaction between housing prices, stock prices and the repo rate in the Stockholm region by using the Johansen tests for cointegration. Several studies have been done on this topic, but the results are mixed across the world, and not many have been done in Scandinavia. This study contributes to the literature by examining eleven years of monthly data for the housing prices in the Stockholm region. We find evidence of a long-run relationship between housing prices, stock prices and the interest rate. There is a negative relationship between housing prices and the interest rate as well as between stock prices and the interest rate, but a positive relationship between housing prices and stock prices.  However, the results are somewhat sensitive to model specification and therefore further studies on the topic are encouraged.

The present paper explores the effects of championships won and financial stability of the clubs on share price returns for publicly traded football clubs in Europe. The study uses samples from 2012-2017 of 14 publicly traded clubs on different exchanges such as Borsa Italiana, London Stock Exchange, New York Stock Exchange, Germany Stock Exchange, Paris CAC Index, Borsa Lisbon, Copenhagen Stock Exchange as well as the Turkish Stock Exchange. The initial analysis assesses share price returns’ links with team performance and team financial variables as well as two indices: STOXX 600 Market Index and the STOXX Football Index. Further analysis includes looking at revenues and the different variables that affect returns to see the correlation and understand profitability vs win maximization due to the effect of sugar daddy owners. There appears to be a negative and significant correlation between profit margin and returns, and I also conduct event studies for the biggest transfers of the clubs and conclude that in the short term, there is a significant effect on share prices when transfers occur.

The goal of this master thesis is to analyze impact of shocks in oil prices to automobile industry stock prices and returns. We decompose oil price shocks on oil supply shocks, aggregate demand shocks and oil-specific demand shocks and assess their individual impacts on these stock prices/returns. This is done using the vector autoregression (VAR) methodology which allows us to compute impulse responses, that is the reaction paths on the individual shocks. In addition to linear VARs we also employ threshold VAR models in order to capture nonlinearities in impulse responses and besides the aggregate automobile stock price index we compute these nonlinear impulse responses also for some selected individual car producers. We think that this analysis have two different uses. First, it can be beneficial to stock market investors. Second, it can be used by policymakers in countries such as Slovakia and the Czech Republic, which are relatively heavily dependent on automotive industry. 1

This paper provides an empirical analysis of the stock price behaviour of firms listed on the Johannesburg Securities Exchange (JSE) around corporate events relating to final cash dividend change announcements over the period 2004 to 2009. Declared for the financial year-end, final cash dividend announcements either represent an increase, a reduction or no change relative to the previous year’s announcement. In this paper we analyse the stock price behaviour of firms that announced dividend reductions before and during the Global Financial Crisis of 2007 (GFC 2007). The pre-crisis analysis focuses on dividend reduction effects on share price during normal economic times and crisis analysis focuses on effects during economic downturn. We refer to the pre and during crises effects as firm-specific and systemic effects respectively. Studies about the general effect of dividend announcements on shareholder value are well documented; however our study is motivated by the fact that there has not been an abundance of forthcoming research in South Africa pertaining to how share prices have reacted to dividend reductions before and during the GFC 2007. We employ an event study methodology in the context of this emerging market to assess the share price behaviour to dividend reductions. Integral to an event study methodology in the corporate context, is the analysis of abnormal performance around the event date. Abnormal performance is measured by employing three widely used quantitative approaches namely, the market-adjusted, market model and the buy-and-hold abnormal return approaches. Based on daily closing share price information collected from iNet Bridge database, abnormal performance is calculated from 2004 to 2009 while controlling for the contemporaneous effect of earnings announcements (earnings data collected from Bloomberg database) occurring within 10 trading days of dividend announcement. The analysis shows that the market reaction is not statistically significant on the announcement day and that more negative returns occur during the pre-crisis period. Volatility of abnormal returns is higher during the pre-crisis period. The research does not support the Irrelevance Theory but seems to support the signalling hypothesis.

Este trabalho objetiva explorar, teórica e empiricamente, a relevância dos dividendos com o valor patrimonial na valorização do preço das ações listadas na BM&FBOVESPA. Para tal, levantou-se a seguinte questão-problema: Que modelo têm um maior poder de explicação dos números contábeis, com base nas empresas listadas na BM&FBOVESPA: valor patrimonial e dividendo ou valor patrimonial e resultados reportados? Como referencial teórico foi utilizado os modelos desenvolvidos primeiramente por Ohlson (1995; 2003; 2005) e como forma alternativa os modelos desenvolvidos por Brief e Zarowin (1999) e de Pourheydari et al (2008) e como base de dados as empresas não financeiras com ações negociadas na BM&FBOVESPA do período de 1997 a 2007. A metodologia aplicada foi de análise de regressões simples e multivariadas, através da proposta de Brief e Zarowin (1999) e de Pourheydari et al (2008), análise da tendência do R2 e dos valores incrementais das variáveis usadas no cálculo. Concluiu-se que dividendos têm importante papel nos modelos de valorização de ações, com relevância informacional (R2) maior, mas, em alguns anos da amostra essa relevância foi menor. Tal fato, no Brasil, pode ser aparentemente devido à (i) contabilidade ser voltada para o atendimento ao fisco e o mercado de crédito; e (ii) à concentração acionária do mercado brasileiro; e ainda a predominância de um mercado acionário voltado ao curto prazo em contraponto se comparado a mercados mais maduros e com uma cultura de investimento voltado a longo prazo, como os Estados Unidos. / This work aims at to explore, theoretical and empirically, the relevance of the dividends and the patrimonial value in the valuation of stocks price listed in the Brazilian Stock Market called BM&FBOVESPA. For help this task raise up the following subjectproblem: What model has a higher link with the accounting numbers, with base in the listed companies in BM&FBOVESPA: Book Value and Dividends or Book Value and Reported Earnings? As theoretical referential was used the models developed firstly by Ohlson (1995; 2003; 2005) and as alternative form the models developed by Brief and Zarowin (1999) and Pourheydari et al (2008) and as data base the non-financial companies with actions negotiated in BM&FBOVESPA of the period of 1997 the 2007. The applied methodology was of analysis of regression - simple regressions and multivariate, through the proposal of Brief and Zarowin (1999) and of Pourheydari et al (2008), analysis of the tendency of R2 and the values of the variables used in the calculation. As conclusion it right to state that dividends have important rule in the models of valuation of assets, with higher informational relevance (R2), but, in some years of the sample that relevance was smaller. Such fact, in Brazil, it can be seemingly due to the following (i) accounting drives to the tax authorities and the credit market; and (ii) higher concentration in the stock market in the Brazil; and still the predominance of a stock market returned to the short-time in counterpoint of long-term investment if compared to more development markets such as the American.

This paper reviews theoretical and empirical evidence of asset price movements impact on the real economic activity. A key channel is the wealth effect on consumption. Fluctuations in stock prices and housing prices influence the households wealth and could have important impacts on households consumption. In addition, stock prices may affect corporate sector investments and property prices may affect building activity. Here, the method of cointegration is used to estimate the wealth effect and the investment effect in aggregate time series for Germany after the Reunification in 1990. Moreover, we discuss the role of asset prices in the monetary policy strategy of the ECB.