This empirical study is concerned with whether the oil and gas reserve value data reported by petroleum producers have been utilized by investors. Reporting reserve value data based on a present value approach is the initial step toward the development of the Securities and Exchange Commission's new accounting method called "Reserve Recognition Accounting" (RRA) for oil and gas producers. Experimentation with this new accounting concept in the oil and gas industry has been adopted as a tentative resolution of the long-standing controversy over valuation of oil and gas reserves and the measure of income from oil and gas exploration. Evidence gathered in this research will be valuable to the SEC in its efforts to assess the usefulness of RRA. This dissertation assumes capital market efficiency and address two specific questions. First, do investors behave as if the reported end-of-year reserve value data are effective signals for pricing securities of oil and gas producers? Second, has the SEC-mandated reserve value disclosures induced any response in the capital market? Two research designs were employed to permit extensive investigation of these two questions.

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. / Yarmouk University, Jordan.

Syfte: Studien syftar till att visa hur och varför volymen börsnoteringar av fastighetsbolag varierat över tid och hur denna volym har påverkats av det ekonomiska klimatet. Metod: Studien baseras på en kvantitativ metod. Multipel regressionsanalys tillämpas där makroekonomiska faktorers förklaringsvärde för volymen börsintroduktioner av fastighetsbolag undersöks. Teoretisk referensram: Det teoretiska ramverk som används i denna studie har sin primära utgångspunkt i tidigare forskning gjorda på börsnoteringar. Vidare har The Fisher Di Pasquale Wheaton model använts för att få en djupare förståelse för fastighetsbranschens mekanismer. Kopplingen till aktiemarknaden har sitt ursprung i Den effektiva marknadshypotesen tillsammans med The capital demand hypothesis. Resultat: Denna studie finner ett negativt samband mellan antalet introduktioner av fastighetsbolag samt det aktuella ränte- och konjunkturläget. Aktieprisutvecklingen bland fastighetsbolag och volatilitet på fastighetsaktiemarknaden har båda ett positivt samband med antalet introduktioner av fastighetsbolag. Denna studie finner inget samband mellan antalet introduktioner av fastighetsbolag och inflationsnivå. / Objective: This thesis aims to gain a deeper understanding of IPO activity by real estate firms, and why its volume varies over time. The objective is also to obtain the impacts of macroeconomic factors on the volumes of initial public offerings. Method: This study uses a quantitative method were macroeconomic factors will be used as predictors in a multiple regression analysis. Further, IPO volumes of real estate firms will be considered as the constant. Theorethical references: The basic theories that are used in this thesis are Efficient Market Hypothesis, the FDW-model, and The Capital Demand Hypothesis. Previous thesis that covers IPOs are considered as the fundmental basis of this study. Results: The results shows a negative correlation between the IPO volumes of real estate firms, and the interest rate, as well as the economic cycle. Hence, this study finds a positive correlation between stock prices and the volatility at the stock market. The results don’t find any significant correlation between IPO volumes and the inflation rate.

<p>Основни циљ истраживања у раду представља утврђивање функционалности бонитета у одређивању тржишних цена акција емитената пољопривредног-прехрамбеног сектора у Србији који су укључени на одређен сегмент тржишта Београдске берзе а.д. Београд. Превасходни циљ истраживања је да се утврди каква је међузависност бонитета и метода фундаменталне и техничке анализе цена акција пољопривредно-прехрамбеног сектора у Републици Србији, да се критички сагледају, утврде слабости и предности и да се на основу тога предложе одговарајућа решења, пре свега у смислу како бонитет утиче на тржишне цене акција. Наведено истраживање треба да представља основу за доношење правилних одлука, приликом инвестирања у акције емитената пољопривредно-прехрамбеног сектора. Полазне основе у истраживању представљају финансијски извештаји и показатељи емитената пољоприведно прехрамбеног сектора.<br />Утицај бонитета на тржишне цене акција емитената пољопривредно прехрамбеног сектора утврђена је применом дескриптивне статистике и логистичке регресије. На основу добијених резултата дескриптивне статистике и логистичке регресије за факторе на нивоу значајности 0,05 и 0,01, установљено је да бонитет нема пресудан утицај у одређивању тржишних цена акција, што указује на то да остварени финансијски показатељи и резултати немају утицај на тржишне цене акција. Наведено указује да велики утицај на тржишне цене акција имају макро фактори економског, политичког и друштвеног окружења. Са друге стране добијени резултати указује да бонитет предузећа може да пружи значајне информације приликом предвиђања пада или стагнације цена акција.</p> / <p>Osnovni cilj istraživanja u radu predstavlja utvrđivanje funkcionalnosti boniteta u određivanju tržišnih cena akcija emitenata poljoprivrednog-prehrambenog sektora u Srbiji koji su uključeni na određen segment tržišta Beogradske berze a.d. Beograd. Prevashodni cilj istraživanja je da se utvrdi kakva je međuzavisnost boniteta i metoda fundamentalne i tehničke analize cena akcija poljoprivredno-prehrambenog sektora u Republici Srbiji, da se kritički sagledaju, utvrde slabosti i prednosti i da se na osnovu toga predlože odgovarajuća rešenja, pre svega u smislu kako bonitet utiče na tržišne cene akcija. Navedeno istraživanje treba da predstavlja osnovu za donošenje pravilnih odluka, prilikom investiranja u akcije emitenata poljoprivredno-prehrambenog sektora. Polazne osnove u istraživanju predstavljaju finansijski izveštaji i pokazatelji emitenata poljoprivedno prehrambenog sektora.<br />Uticaj boniteta na tržišne cene akcija emitenata poljoprivredno prehrambenog sektora utvrđena je primenom deskriptivne statistike i logističke regresije. Na osnovu dobijenih rezultata deskriptivne statistike i logističke regresije za faktore na nivou značajnosti 0,05 i 0,01, ustanovljeno je da bonitet nema presudan uticaj u određivanju tržišnih cena akcija, što ukazuje na to da ostvareni finansijski pokazatelji i rezultati nemaju uticaj na tržišne cene akcija. Navedeno ukazuje da veliki uticaj na tržišne cene akcija imaju makro faktori ekonomskog, političkog i društvenog okruženja. Sa druge strane dobijeni rezultati ukazuje da bonitet preduzeća može da pruži značajne informacije prilikom predviđanja pada ili stagnacije cena akcija.</p> / <p>The main objective of the research work is determining the functionality of solvency in determining the market price of shares of the issuers of the agricultural and food sector in Serbia who are involved in a particular segment of the market of the Belgrade Stock Exchange ad Belgrade. The primary goal of the research is to determine what is the interdependence of solvency and methods of fundamental and technical analysis of share prices of agri-food sector in the Republic of Serbia, to critically analyze, identify weaknesses and strengths and that on that basis propose appropriate solutions, especially in terms of how worthiness affects the market price of the shares. The study should be the basis for making the right decisions when investing in shares of issuers agri-food sector. Baseline research are the financial statements of issuers and indicators for agricultural production and food sectors.<br />Influence of solvency on the market price of shares of issuers agri-food sector was assessed by descriptive statistics and logistic regression. Based on the results of descriptive statistics and logistic regression for factors at the significance level of 0.05 and 0.01, it was found that creditworthiness has no influence in determining the market price of shares, indicating that achieved financial indicators and results have uicaj the market price of shares. The above indicates that a large impact on the market price of shares have the macro factors of economic, political and social environment. On the other hand, the results indicate that the creditworthiness of companies may provide important information in predicting the decline or stagnation of share prices.</p>

This thesis extends the 52-week high momentum literature, which was first published by George and Hwang in 2004, by stressing the parameters of the trading strategy to investigate its robustness. George and Hwang, in their seminal paper, find that the ratio of a stock’s close price to its 52-week high price is a good predictor of future returns. The thesis stresses various parameters of the strategy - such as the percent of total stocks bought and sold each period – and applies the strategy over different time periods – such as bull and bear markets. The study finds that the strategy is more profitable over the later half of the data set due to underperformance in bear markets such as the 1929 market crash and subsequent Great Depression. The results also show a significant difference in profitability between bull and bear market periods. The second half of the thesis looks at a new area in momentum, the absolute 52-week high. The strategy buys stocks whose price has increased over the previous six months, and who also close to their 52-week high price. Stocks are only bought (sold) if their price has increased (decreased) over the past six months and is close to (far from) the 52-week high price. The aim is to cut out stocks that are considered to be underperforming in the 52-week high momentum strategy, leaving only true winner and loser stocks. This strategy was found to increase the strength of the 52-week high momentum strategy, and the results show that there is no longer a significant difference between bull and bear market returns.

會計的主要目的在提供有用的資訊，以幫助使用者制定相關決策。由於一般公認會計原則採用應計基礎，重視收益實現原則及配合原則，因此盈餘資訊一直相當受到重視。自Ball & Brown及Beaver從事有關盈餘與股票報酬的研究開始，許多實證研究的結果均支持盈餘具有資訊內涵。國內有關這方面的研究亦不在少數，但所得的結論並不一致，有些支持盈餘有用，有些則否。基於這個原因，本研究乃由企業生命週期的觀點來探討盈餘與股價的關聯性，以了解盈餘對股票報酬是否具有解釋能力。 　　本研究所欲檢定的假說如下： 　　一、假說一：相同的盈餘，在成長期股價的反應大於成熟期 　　二、假說二：相同的盈餘，在成熟期股價的反應大於衰退期 　　三、假說三：相同的盈餘，在成長期股價的反應大於衰退期 　　四、假說四：假說一至假說三中之三種盈餘與股價的關係，不因公司規模的大小而有差異 　　五、假說五：假說一至假說三中之三種盈餘與股價的關係，不因行業的不同而有差異 　　根據實證的結果，本研究達成下列結論： 　　一、本研究所使用的四個企業生命週期指標變數--營收成長率、營業利益率、股利支付率及企業年齡，除了股利支付率外，其餘三者之變動與預期相符，應為適當之分類指標。 　　二、對於相同的盈餘，在不同的企業生命週期階段中，股價的反應趨勢雖支持研究假說，但因各階段的係數間並未有顯著的差異，因此假說一、假說二及假說三無法獲得證實。 　　三、以不同期間進行分析時，所獲結果並無重大改善，因此仍無法證實上述三個假說的真實性。 　　四、在規模別的分析中，小公司之分析結果與正常時期之分析結果大致相同，但大公司在營收成長率、營業利益率及股利支付率三種指標中其成長期股價的反應顯著大於成熟期，此時假說一獲得證實。因小公司與大公司在各階段股價的反應並不相同，因此假說四無法獲得證實。 　　五、在行業別的分析中，只有塑膠業較符合本研究的預期，其他行業則否，因此假說五亦無法獲得證實。 　　六、造成上述結果的可能原因有三： 　　　（一）台灣股市規模尚小，且機構投資者在市場交易所占比例不高，加上證券法規未徹底執行、投資人較不重視基本分析，造成股市投機性高，因此盈餘資訊與股價間的關係不易偵測。 　　　（二）台灣上市公司大多擁有許多關係企業，或為關係企業之成員，受關係企業之影響頗深，在股價的反應上自不單純以個別公司情況作考量，因此應考慮整個企業集團的情況。 　　　（三）企業在衰退後可能因策略上的改變，如多角化經營，而進入另一個生命週期，再次成長。依本研究的理論模型，此時股價會對此有所反應，因而導致成熟期與衰退期股價對盈餘的反應與成長期無蘋著的差異。

La thèse étudie les implications des anticipations des agents privés formées avec l’apprentissage adaptatif pour la politique monétaire optimale dans des modèles Nouveau Keynésien. Les résultats obtenus sont comparés avec la littérature adoptant l’hypothèse d’anticipations rationnelles. La banque centrale fait l’arbitrage intertemporel introduit par les anticipations à apprentissage adaptatif entre stabiliser l’inflation maintenant et dans le futur. La distorsion générée par ces anticipations rend la politique monétaire davantage agressive, même si la présence du marché financier diminue légèrement l’agressivité de la politique monétaire. Il est optimal pour le gouvernement de choisir un banquier central libéral, ce résultat peut être mitigé par un contrat d’inflation linéaire. Un autre résultat est qu’il est optimal pour la banque centrale d’être moins indépendante en termes d’instruments par rapport aux anticipations rationnelles. La possibilité de contrôle robuste de la politique monétaire est limitée par l’apprentissage adaptatif en économie fermée, et encore plus limitée en économie ouverte. Mes travaux de recherche donnent des recommandations nouvelles. / The dissertation studies the implications of private agents expectations formed with adaptive learning for the optimal monetary policy using New Keynesian models. The obtained results are compared with the literature adopting the hypothesis of rational expectations. The central bank makes the intertemporal trade-off between stabilizing current inflation or the future one that is introduced by adaptive learning expectations. The distortion which is introduced by this latter makes the monetary policy more aggressive, even if the presence of financial market slightly reduces the aggressiveness of the monetary policy. It is optimal for the government to choose a liberal central banker, but this result may be mitigated by adopting a linear inflation contract. Another result is that it is optimal for the central bank to be less instrument-independent compared to rational expectations. The possibility of robust control for monetary policy is limited by adaptive learning in a closed economy, and even more limited in an open economy. My research works give new recommendations for policy making.

Several times a year companies publish business reports to openly account for their business activities. This thesis examines the effect of those business reports on stock prices of businesses in the German automotive industry. Different statistical methods such as Event Coincidence Analysis and Superposed Epoch Analysis are used to examine possible negative and positive reactions of stock prices before and after the disclosure of business reports. It shows that there seems to be a stronger influence of a negative business report on the daily abnormal rate of return than of a positive business report. Furthermore the thesis confirms the hypothesis of Roeder that the information from a business report is processed not only on the day of publication but also on the day after.

Several times a year companies publish business reports to openly account for their business activities. This thesis examines the effect of those business reports on stock prices of businesses in the German automotive industry. Different statistical methods such as Event Coincidence Analysis and Superposed Epoch Analysis are used to examine possible negative and positive reactions of stock prices before and after the disclosure of business reports. It shows that there seems to be a stronger influence of a negative business report on the daily abnormal rate of return than of a positive business report. Furthermore the thesis confirms the hypothesis of Roeder that the information from a business report is processed not only on the day of publication but also on the day after.

There has been a growing interest in economic policies and their impact within a country among the real estate economics research community in recent years. After the economic crisis of 2008, an unconventional monetary policy was created, and it has been called quantitative easing (QE), an instrument of economic policy applied through central banks to boost the economy in periods when conventional monetary policy is not satisfactory. As with the economic challenge brought by COVID-19, many central banks had to implement unconventional monetary plans. This thesis aims to discover the impact of quantitative easing (QE) and its opposite quantitative tapering (QT) on the housing prices of the US real estate market. In order to deal with this problem, this research performs time-varying rolling correlations, which are correlations between two-time series on a rolling window. The window for this research will be monthly and subject to historical data points from a 280-month period of the USA metropolitan price housing and the Federal Balance sheet between 1998 and 2022. The results show there is a positive correlation between the different US housing markets and the US Federal Balance Sheet in the majority of the US markets analyzed and finds a high positive correlation between the different regional house price indices and US National Home Price Index and finally the existence of spillover effect between the cities in the high tier (e.g., Los Angeles and Miami) and low-tier (e.g., Chicago and Atlanta) cities, such that rising trends in one city are mirrored by the following changes in the other city in the equivalent tier and vice versa. / Under de senaste åren har det funnits ett växande intresse för ekonomisk politik och dess inverkan inom ett land bland den fastighetsekonomiska forskarvärlden. Efter den ekonomiska krisen 2008 har en okonventionell penningpolitik skapats och den har kallats kvantitativa lättnader (QE); ett ekonomiskt politiskt instrument som tillämpas genom centralbanker för att stärka ekonomin i perioder då den konventionella penningpolitiken inte är tillfredsställande. Liksom i fallet med den ekonomiska utmaning som covid-19 orsakade, var många centralbanker tvungna att genomföra okonventionella monetära planer. Denna avhandling syftar till att upptäcka effekten av kvantitativ lättnad (QE) och dess motståndare kvantitativ nedtrappning (QT) på bostadspriserna på den amerikanska fastighetsmarknaden. Som ett sätt att hantera detta problem utför denna forskning tidsvarierande rullande korrelationer som är korrelationer mellan två tidsserier på ett rullande fönster, fönstret för denna forskning kommer att vara månadsvis och föremål för historiska datapunkter från 280-månadersperioden i USA storstadspriserna bostäder och den federala balansräkningen mellan 1998 och 2022. Resultaten visar att det finns en positiv korrelation mellan de olika amerikanska bostadsmarknaderna och den amerikanska federala balansräkningen på majoriteten av de analyserade amerikanska marknaderna och finner en hög positiv korrelation mellan de olika regionala husprisindex och US National Home Price Index och slutligen förekomsten av spridningseffekter mellan städerna i städerna på hög nivå (t.ex. Los Angeles och Miami) och lågnivå (t.ex. Chicago och Atlanta), så att stigande trender i en stad speglas av följande förändringar i den andra staden i motsvarande nivå och vice versa.