This thesis analyzes the effects of analysts’ recommendations on stock prices and trade volumes of firms listed on OMXS30 during the three-year period 2018-2020. An event study of 313 recommendations issued during the three- year period was conducted in order to calculate the abnormal returns and abnormal volumes during the event window. Our results show only one occasion respectively where buy and sell recommendations induces abnormal returns significantly different from zero. We thereby conclude that analysts’ recommendations, on average, do not impose significant abnormal returns for OMXS30-firms during the event window. A potential investment value can be found in short selling sell recommended stocks, provided that one obtains information prior to public release. However, the nature of short selling may reduce or erase this value. Our results indicates that recommendations in general, do not contain new information and that the market to an extent, acts efficient. Positive abnormal volumes significant on the 5% level are found on three occasions, hence the majority are found to be insignificant. Significant abnormal volumes of 0,071% were found on the first post-event day of a recommendation, implying a small initial volume reaction. In general, however, the results do not show clear indications of a recommendation generating positive abnormal volumes.

Quantitative easing (QE) is an unconventional monetary policy tool used by central banks to stimulate the economy in times when conventional monetary policy is not sufficient. In the wake of covid-19, central banks around the world has announced significant increases in their QE-programs. This research paper aims to find out whether quantitative easing has any statistically significant effect on the stock prices of the Swedish real estate market. Moreover, it aims to produce an indication of the direction of the real estate stock prices over the year of 2020. To those ends, a combination of statistical analysis and economic theory is used. We estimate three Autoregressive Distributed Lag (ARDL) models. For a chosen model, an out-of-sample prediction is carried out as a way to model future stock price movements. We conclude that quantitative easing indeed has a statistically significant effect on real estate stock prices in Sweden. Furthermore, we estimate that stock prices in the real estate sector will see negative movements during the second and third quarter of 2020, followed by a return to positives during the fourth quarter. / Kvantitativa lättnader (QE) är ett redskap inom okonventionell penningpolitik som används av centralbanker för att stimulera ekonomin när konventionella metoder inte är tillräckliga. I kölvattnet av covid-19 så har centralbanker runt om i världen meddelat kraftiga ökningar i deras program för kvantitativa lättnader. Den här uppsatsen syftar till att ta reda på om kvantitativa lättnader har någon statistiskt signifikant påverkan på priserna för fastighetsaktier som handlas på öppen marknad i Sverige. Därutöver syftar den till att ge en anvisning kring i vilken riktning priserna på dessa aktier kommer röra sig under 2020. För dessa ändamål används en kombination av statistisk analys och ekonomisk teori. Vi estimerar tre Autoregressive Distributed Lag (ARDL) modeller. För en av modellerna görs en out-of-sample prediktion för att modellera framtida prisrörelser på aktiemarknaden. Utifrån våra modeller och analys kan vi konstatera att kvantitativa lättnader har en effekt på priserna för fastighetsaktier. Vidare så estimerar vi att priserna på fastighetsaktier kommer röra sig i en negativ riktning under andra och tredje kvartalet 2020, för att sedan svänga tillbaka till positiva rörelser under fjärde kvartalet.

Background. Instagram as a social media platform is used by firms as both a com- munication, marketing and promotion tool. In analyses of firms on Twitter, several authors have found connections between positive changes in stock returns and posts on Twitter regarding the firm, both from and about the firm. The research on Twit- ter is clear on the power of external and internal usage of Twitter on firm’s stocks. This thesis extends the Twitter research to Instagram. By considering a new post made on Instagram by a firm as an event, inferential tests on whether or not the post had any significant effect on the stock value for that firm were established. Objectives. This thesis aims to relate stock value changes to the publishing dates of Instagram posts for firms in the Swedish stock market. Consequently, the hypothesis to falsify is that Instagram content publishing has no effect on stock values for firms in the Swedish stock market. Methods. Both a literature review and a synthetic control group methodology is utilised. The literature review builds the foundation for selection of Instagram pub- lishing events and some of the assumptions necessary for the data analysis. The synthetic control group method allows for inferential analysis of the data by con- structing a weighted non-correlated dataset for the group under purview. Results. For four of the thirteen firms chosen in this thesis, statistical significance was found by the means of placebo t-tests. Conclusions. Signalling theory, valuation theory and the underlying assumption of market efficiency contribute to the effect to which Instagram content publishing may have on stock prices after the publishing date. The effect is potentially relevant as an indicator for investors due to the rejection of this thesis’ null hypothesis for four of the thirteen firms. However, nine cases could not reject the null hypothesis, which indicates that the effect may be negligible. / Bakgrund. Instagram är ett socialt mediaverktyg som används av flera företag för att bedriva marknadsföring och kommunikation med sina kunder. När man analy- serat företag som är aktiva på en annan social media plattform, Twitter, har flera rapporter visat på ett samband mellan postiva ändringar av aktiepriset och pub- liseringar av information angående det specifika företaget på Twitter. Detta gällde både om företaget i fråga delgav sig av information eller om en annan användare gjorde det. Forskningen visar tydligt att Twitter har en påverkan på aktiepriset. Vår forskning bygger vidare på detta antagande med inriktning på Instagram. Om man ser ett nytt inlägg på Instagram av företaget analyserat som en händelse, kan vi med ett inferentiellt avgöra om inlägget hade någon signifikant effect på deras aktievärdet. Syfte. Denna rapport avser att se om det finns något samband mellan aktieprisets ändringar och publiseringar av information för ett företag på den svenska aktiemark- naden. Hypotesen som ska falsifieras är att om ett företag på den svenska aktiemark- naden lägger upp ett inlägg med relevant information på Instagram, har det ingen påverkan på deras aktiepris. Metod. I denna studie används både en litteraturgenomgång och syntetisk kontrollgrupps- metod. Litteraturgenomgången bygger på forskning som har med vilka information- styper som tidigare visat sig ha påverkan på aktiepriset och information som gör att antaganden kring dataanalysen kan göras. Den syntetiska kontrollgrupps-metoden tillåter oss att göra inferentiell analys av data genom att skapa en viktad, icke- korrelerad datastruktur för gruppen som blir analyserad. Resultat. Fyra av de 13 företagen som valdes för denna studie visade statistisk signifikans genom ett placebo t-test. Slutsatser. Signalteori, värderingsteori och det underliggande antagandet om mark- nadseffektivitet bidrar till effekten som informationsdelning via Instagram har på aktiepriset dagarna efter publiseringsdatumet. Effekten kan potentiellt vara relevant för investerare då vi kan förkasta nollhypotesen för fyra av de tretton företagen. Däremot kunde vi för nio av de tretton företagen inte förkasta nollhypotesen, vilket kan innebära att effekten är försumbar.

This study investigates the long- and short-run relationship between stock- and housingprices in Finland, Denmark, Norway and Sweden between 1987-2017 and 1995-2017 with data from OECD statistics. By using interest rate as a control variable and Johansen's Test for Cointegration, the results show a significant relationship for Finland during the period 1995-2017. The short-run analysis implies a credit effect, which is inline with previous studies. However, in Denmark, Norway and Sweden the analysis show no sign of cointegration. A possible explanation for the insignificant results could be the high degree of policy implementations and changes to market structures in the early 1990s, which theoretically could be controlled for by including additional control variables in the analysis.

This thesis is based on four essays in exchange rates and international finance. The first essay, examined in the second chapter, considers the long-run performance of the flexible-price monetary model as well as the real interest differential monetary model to explain the dollar–yen exchange rate during a period of high international capital mobility. We apply the Johansen methodology to quarterly data over the period 1980:01–2009:04 and show that the inadequacy of the two monetary models is due to the breakdown of their underlying building-blocks, money demand stability and purchasing power parity. In particular, modifying the monetary models by adjusting them for real stock prices to capture the stability of money demands on one hand and also for real economic variables such as productivity differential, relative government spending, and real oil price to explain the persistence in the real exchange rate on the other provide long-run relationships that appear consistent with the monetary models. Our findings of long-run weak exogeneity tests also emphasise the importance of the extended models employed here. The second essay, examined in the third chapter, is on the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated to produce evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and of bidirectional causality in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in Japan and in the opposite direction in the euro area and Switzerland, whilst there is evidence of bidirectional causality-in-variance in the US and Canada. These findings imply limited opportunities for investors to diversify their assets during this period. The third essay, examined in the fourth chapter, considers the impact of net bond and net equity portfolio flows on exchange rate changes. Two-state Markov-switching models are estimated for the exchange rate of the US vis-a-vis Canada, the euro area, Japan and the UK. Our results suggest that the relationship between net portfolio flows and exchange rate changes is nonlinear for all cases considered, except that of the US dollar against the Canadian dollar. The fourth essay, examined in the fifth chapter, considers the impact of exchange rate uncertainty on different components of net portfolio flows, namely net equity and net bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in mean model is estimated using bilateral data for the US vis-à-vis Australia, the UK, Japan, Canada, the euro area, and Sweden over the period 1988:01-2011:12. The results indicate that the effect of exchange rate uncertainty on net equity flows is negative in the euro area, the UK and Sweden, and positive in Australia, whilst two countries (Canada and Japan) showed insignificant responses. With regard to the impact of uncertainty on net bond flows, it is shown to be negative in all countries, except Canada (where it is positive). Under the assumption of risk aversion, this suggests that exchange rate uncertainty induces investors, especially those of the counterpart countries to the US, to reduce their financing activities to maximise returns and minimise exposure to uncertainty. This evidence is strong for the UK, the euro area and Sweden as opposed to Canada, Australia and Japan. Furthermore, since exchange rate volatility and the variability of flows are interlinked, exchange rate or credit controls on these flows can be used to pursue economic and financial stability.

This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks.

Cette thèse a pour objet de revisiter, à la lumière de données financières historiques inédites, certains résultats de la littérature en histoire économique concernant la propagation de la Grande Dépression vers l’Europe, et plus particulièrement vers la France. Nous cherchons notamment à étudier les différents canaux de transmission à l’échelle internationale -boursiers, bancaires et monétaires- de cette crise et évaluons le rôle respectif qu’ils ont pu exercer dans la propagation de cette crise aux marchés financiers français. Les différentes contributions, que nous proposons dans cette thèse, sont avant tout empiriques et s’appuient sur un travail important effectué en amont de collecte et de traitement de données financières originales, provenant principalement des archives de la Bourse de Paris.Plusieurs résultats importants émergent de notre travail. Notre analyse sur les marchés boursiers montre, tout d’abord, que le krach boursier américain de 1929 a eu un faible impact sur la bourse de Paris, De même, le système bancaire français a, dans son ensemble, plutôt bien résisté à la crise bancaire du début des années 1930, en raison notamment de la forte spécialisation qui le caractérisait à cette époque. Enfin, nous montrons que le niveau d’intégration financière entre les États-Unis, la France et la Belgique, à travers l’étude des relations bilatérales entre les marchés actions de ces trois pays, a eu tendance à se renforcer avec l’adoption par ces pays du système de l’étalon "de change" or. Cette forte intégration financière, couplée aux contraintes en matière de politique économique liées à ce système monétaire, pourraient ainsi expliquer comment la Grande Dépression s’est propagée en Europe et pourquoi la crise économique s’est prolongée dans des pays comme la France ou la Belgique, comparativement à d’autres grandes économies. / The aim of this thesis is to shed new light on how the Great Depression spread to Europe, and more particularly to France by relying on new historical financial data compiled from original source documents. In particular, we analyze the different transmission channels - stock markets, banking sector and international monetary system - of this crisis, in order to assess the respective role they have played in the impact of this crisis on French financial markets. We contribute empirically to this larger literature by providing evidence based on original historical data hand-collected from the archives of the Paris Stock Exchange.Several important results emerge from our work. Our analysis based on the stock markets shows, first, that the American stock market crash of 1929 had a low impact on the Paris stock exchange. Similarly, the French banking system, as a whole, remained quite resilient to the banking crisis of the beginning of the 1930s, mainly due to its strong specialization of the sector at that time. Finally, we show that the level of financial integration between the United States, France and Belgium - proxied by bilateral relationships between their equity markets - has tended to increase with the adoption by these countries of the Gold Exchange Standard. This high financial integration, coupled with economic policies constrained by the exchange rate regime, could explain how the Great Depression spread to Europe and why the economic crisis lasted longer in countries such as France or Belgium, compared to other major economies

The purpose of this study was to determine whether publicly disclosed violations by U.S corporations, resulting in convictions or settlements, erode shareholder investment in the offending organizations. This study was designed to assess whether or not the shareholders' reactions to corporations' violations were related to a decline in organizations' stock valuations across sectors. In addition, this study attempted to assess whether or not shareholder support, expressed by stock prices, declined more after a corporation was prosecuted or reached a settlement for violations, as compared to corporations that disclosed earnings disappointments. Also, this study investigated the stock prices of violating corporations compared to the non-offending corporations from within the same business sector, as well as considered the percentage decline for repeat offenders for violation two compared to violation one. Opposite to hypothesis, results showed that stock prices for the violating companies were significantly greater 12 months after the violation compared to the other months and no significant differences in percent decline between the eight sectors on any of the five decline measures. There were also no differences between violating companies and their matched companies. Companies with a violation had significantly greater stock prices overall than those without a violation.

This thesis attempts to analyze the market response of stock prices of major U.S. banks to the February, 1987 Brazilian loan default announcement. The study's general hypothesis is that the market revalued stock prices according to each bank's amount of Brazilian loan exposure. The first chapter examines the significance of the default announcement. A survey of related literature is presented in the second chapter. Chapter III specifies the methodological techniques involved in analysis of the data. Chapter IV reports the findings of the study. Conclusions about the results are drawn in Chapter V. The results indicate the market is efficient. They also suggest that individual exposure was the major determinant of bank stock price decline.

Fin 2008, la faillite de Lehmann Brother fait basculer les économies développées dans une crise économique qui se propagea brutalement à l'ensemble du monde. Connu sous le nom de Grande Récession, cet épisode a depuis contribué à raviver les inquiétudes relatives aux déséquilibres sur les marchés financiers. S'inscrivant dans ce contexte, cette thèse tente d'apporter un éclairage nouveau aux effets macroéconomiques de déséquilibres sur un marché particulier : le marché des actions. Après avoir répondu à l'étape préliminaire consistant à définir la composante spéculative, nous explorons ses canaux de transmission et tentons de mettre en lumière la présence d'effets asymétriques. De façon générale, deux questions fondamentales sont ainsi posées. Premièrement, nous cherchons à déterminer si la présence de déséquilibres sur le marché des actions est susceptible de déstabiliser l'activité économique. Deuxièmement, nous testons l'apport informationnel de la composante spéculative pour la prévision des conditions économiques futures. Nos travaux empiriques attestent finalement que les mouvements spéculatifs impactent significativement l'activité économique et montrent que ces répercussions sont en moyenne néfastes pour la sphère réelle. Les effets bénéfiques et négatifs ne se compensent pas. Ce dernier résultat est en partie confirmé par l'analyse du pouvoir prédictif de la composante spéculative. / Fall 2008, the bankruptcy of Lehman Brother led a part of world to a severe economic crisis. Also known as "Great Recession", this episode contributed to ravive apprehension about financial imbalances. In this context, we attempt to analyze the macroeconomic effects of the non-fundamental component of stock price. Overall, the thesis focuses on two questions. First, we investigate the macroeconomic effects of this component and pay a particular attention to asymmetry. Second, we examine whether share price misalignments contain leading information about gross domestic product (GDP). In order to deal with these issues, we first have to define the non-fundamental component of stock prices. Using recent econometric methodologies, we explicitly show that the speculative component has significant effects on real economy. Furthermore, the impact of a negative shock is larger that of a positive shock. Volatility of stock prices is found to be an explanation for this asymmetry. Our results also suggest that the speculative component is useful for predicting GDP.