本研究旨在探討投資人情緒與月營收資訊是否能夠解釋台灣股票報酬，以及投資人情緒是否影響對於月營收資訊的解讀。實證結果發現，前期月營收資訊、前期投資人情緒以及兩者乘積對當期股票報酬有顯著的正向影響。表示月營收資訊的揭露能帶給投資人資訊，作為交易時的考量，而前期投資人情緒能夠部分解釋當期股票報酬。兩者乘積表示營收資訊和投資人情緒為同期時，投資人對於資訊的解讀會受到情緒影響，進而影響股票的報酬。進一步探討，當投資人面對月營收成長率高、月營收波動低時，對於其月營收資訊的解讀傾向伴隨著情緒。 / This study wants to discuss whether sales information and investor sentiment could explain Taiwan stock market and whether investor sentiment affects their interpretation on sales information. The empirical results show that the sales information last period, investor sentiment last period and the multiplication of these two are significantly positively correlated to current stock returns. It indicates that the sales disclosure is informative to investors as a consideration while trading and investor sentiment can partially explain the stock returns. The estimate of multiplication which is positive indicates that when sales information and investor sentiment are in the same period, investors’ interpretation on sales information would be affected by their sentiment, and further affecting the stock returns. We further find that when companies have the characteristics of high sales growth rate and low sales volatility, their sales information tends to be interpreted by investors emotionally.

I investigate the relationship between expected stock returns and trading volume. I collect together 522 estimates from 46 studies and conduct the first meta-analysis in this field. Use of Bayesian model averaging and Frequentist model averaging help me to discover the most influential factors that affect the return-volume relationship, since I control for more than 50 differences among primary articles such as midyear and type of data, length of the primary dataset, size of market, or model employed. In the end, I find out that the relation between expected stock returns and trading volume is rather negligible. On the other hand, the contemporaneous relation between returns and volume is positive. These two findings cut the mixed results from previously written studies. Moreover, the investigated relationship is influenced by the size of country of interest and the level of its development. Besides the primary studies that employ higher data frequency provide substantially larger estimates than the studies with data from longer time periods. On the contrary, there is no difference among different estimation methodologies used. Finally, I employ classical and modern techniques such as stem-based methodology for publication bias detection, and I find evidence for it in this field. 1

Purpose: The purpose of this study is to examine how changes in long and short interest rates as well as in the slope of the yield curve affect the stock returns of the four major Swedish banks; Svenska Handelsbanken, Nordea Bank, Swedbank, and Skandinaviska Enskilda Banken. Further, the aim of the research is to compare these findings to how the banks perceive that such changes affect their stock returns. The objective is thereof to detect differences and similarities between regressions and interviews, in order to contribute with insights to how the banks can handle their exposure to interest rate risk. Theoretical Framework: Previous research show that banks’ stock returns are affected by many factors, including cash flow news, interest rates, size of the business, and the macroeconomy as a whole. However, banks’ interest rate margins are set to market rates so these are more exposed to and affected by changes in interest rates, especially short ones, than are non-financial institutions. Furthermore, the low interest rate levels and forecasting errors that have been seen lately have contributed to greater uncertainty and higher risk exposures, making banks’ sensitivity increase. Methodology: A mixture of a qualitative and a quantitative methodology is used, where the former consists of interviewing the banks and the latter of regressions through secondary data from Thomson Reuters Eikon and the Riksbank. Conclusion: The major Swedish banks’ stock returns are generally affected by changes in short interest rates but not by changes in long interest rates, with the exception of Handelsbanken being impervious to all such changes. Swedbank’s stock returns are most sensitive than the other banks’ stock returns and it is the only bank affected by changes in the yield curve slope. However, the banks seem to perceive no crucial difference in how their stock returns are affected by changes in short interest rates and long interest rates, concluding that their perceptions of long interest rates are not as in line with our results as are their perceptions of short interest rates. However, it tends to be a more diffuse relationship between changes in long interest rates and stock returns than between changes in short interest rates and stock returns.

Este trabalho tem por objetivo principal avaliar a capacidade de explicação das variações dos retornos das ações de empresas que negociam seus títulos em bolsas de valores de mercados emergentes. Esta tarefa foi conduzida a partir de indicadores com o seu cálculo baseado em valores advindos das demonstrações contábeis, tais: como price-to-book, accruals, investimento, tamanho, lucro bruto e crescimento de vendas. Em adição, busca-se avaliar se o ambiente econômico e institucional afeta essa relação em países emergentes. Para isso investigaram-se empresas de capital aberto de 20 países classificados como emergentes, com base no índice elaborado pela agência Standard&Poors. Por essa via, as demonstrações contábeis das firmas nativas dessas economias foram utilizadas como insumo, restringindo-se aquelas de capital aberto que estavam disponíveis na base de dados da Capital IQ. Em paralelo, foram selecionadas informações macroeconômicas organizadas pelo International Country Risk Guide. A amostra abrangeu dados de 2004 a 2013, com a exclusão de dados faltantes (missings), variáveis consideradas outliers e daquelas empresas que apresentaram patrimônio líquido a descoberto. Os resultados demonstraram que a variável lucro bruto e price-to-book foi positivamente correlacionadas com os retornos. De outro lado, as variáveis investimento e tamanho foram estatisticamente significativas e negativamente correlacionadas com a variável retorno. As variáveis apresentaram sinais condizentes com a literatura, com exceção a variável price-to-book e a variável mudança de ativos. A análise fatorial gerou quatro fatores, para controlar as condições macroeconômicas que poderiam afetar o preço das ações no período analisado. Por essa via, mesmo após a inclusão dos fatores, as variáveis analisadas permaneceram estatisticamente significativas e com o sinal esperado. A inclusão de variáveis relacionadas ao ambiente informacional da contabilidade ofereceu indícios de que quanto mais opaco o ambiente da contabilidade no país, menor a capacidade dos lucros em retratar as variações dos retornos das ações. Em outra linha, a origem legal do país exibiu influência significativa sobre a variável dependente. Ainda, os resultados sugerem que a transição para normas internacionais ampliou a relevância da informação contábil / The thesis aim was to assess how variables calculated from financial statements affect stock return (such as Price-to-Book, Accruals, Investments, Size, Gross Profit, and Sales Changes). The research also investigates whether firms\' economic and institutional environments affect this relationship in emerging countries. We have investigated listed companies in 20 markets that are classified as emerging in Standard & Poor\'s index. Financial statement data were collected from the Capital IQ database. We also have collected macroeconomic information from the International Country Risk Guide. The sample comprised data from 2004 to 2013. Firms with missing data, outliers, and those with negative equity were excluded. The results showed that the variables Gross Profit and Price-to-Book were positively correlated with stock returns. On the other hand, Investment and Size were statistically significant and negatively correlated to returns. All variables reached the expected sign except Price-to-Book. Further research is needed to understand this result and determine if this signal is systematically achieved. We used principal component analysis to estimate macroeconomic risk and to address problems related to excess variables and multicollinearity. Four main factors were reached in principal component analysis to control the macroeconomic conditions that could affect stock prices during the period. In this way, even after the inclusion of factors, variables calculated from financial statements remained statistically significant and with expected signs. After analyzing variables related to the country\'s information environment it was sugested that the more opaque the accounting environment in the country, the lower the ability of earnings to portray variations in stock returns. The legal origin of the country also significantly influenced the results: Countries that follow laws originating from the French code has the weakest explanatory power. This finding supports the argument of La Porta et al. (1998, 1997) that such countries has the weakest legal protection and enforcement, compared with the German code or common law. The results also suggest that the relation between the adoption of international accounting standards and the ability of accounting information to portray variations in stock returns.

A ampla divulgação do conceito de valor econômico adicionado (EVA®) fez com que as empresas utilizassem essa medida de desempenho para evidenciar o quanto de valor foi adicionado aos seus proprietários. Essas empresas esperam que EVA®s positivos aumentem o valor da empresa no mercado. Nesse sentido, alguns estudos comprovaram uma relação forte entre o EVA® e o retorno das ações no mercado, confirmando que o EVA® positivo valoriza a empresa no mercado (FELTHAM et al, 2004; SILVEIRA et al, 2004). Entretanto, ao se analisarem as medidas contábeis tradicionais, como lucro líquido e fluxo de caixa operacional, encontra-se uma forte relação dessas medidas com o retorno das ações e uma fraca relação do EVA® com o retorno das ações (BIDDLE et al, 1997). Neste trabalho, foi aplicado o estudo de Biddle et al, para todas as empresas não-financeiras de capital aberto listadas na Bovespa, no período de 1997 a 2006. Foi apurado o lucro líquido, o fluxo de caixa operacional, o EVA® e o lucro residual (EVA® sem ajustes contábeis) e foi analisada a relação dessas medidas com o retorno das ações das empresas brasileiras. Foi analisada também a influência dos ajustes contábeis na explicação do retorno das ações, para o mesmo período. Os testes de regressões com efeito fixo e efeito aleatório para as amostras com as variáveis independentes ajustadas e não-ajustadas mostraram que o poder de explicação, medido pelo r-quadrado, encontrado nos testes foi muito baixo. Este resultado se aproximou do encontrado por Biddle et al e Feltham et al, fato este que não permitiu afirmar claramente o quanto as medidas de valor econômico e as medidas contábeis explicaram o retorno das ações e se afastou dos resultados encontrados por Silveira et al fato este que poderia evidenciar que o mercado brasileiro apresentou alguma eficiência na sua forma semi-forte. / The huge propagation of the EVA® (Economic Value Added) concept allows companies to use this performance measure to prove how much value was added for the owners. These companies hope positive EVA®s increase firm values in the market. In this direction, some studies prove a strong association between EVA® and stock returns, confirming that the positive EVA® valorizes companies in the market (Felthan et al, 2004; Silveira et al, 2004). However, when analyzing mandated performance measures, such as earning and operate cash flow, there is a strong association between these measures and the stock returns, and a weak association between EVA® and stock returns (Biddle et al, 1997). At this study, Biddle et al study was applied to all of no-financial companies with open capital listed at Bovespa, from 1997 to 2006. Earning, operate cash flow, EVA® and residual income (EVA® without accounting adjustments) were verified, and the association between these measures and Brazilian company stock returns was analyzed. The influence of accounting adjustments in the explanation of stock returns was analyzed too, in the same period of time. The tests of fixed effect regression and random effect regression for the samples with independent, adjusted and non-adjusted variables showed that the explanation power, measured by r-square, found in the tests, was very low. This result got closer to the results presented by Biddle et al, which did not allow clearly stating how much the economic value and accounting measures explain the stock returns. In the other hand, this result got far from the results presented by Silveira et al, which could prove that Brazilian market has some efficiency in its semistrong-form.

Made available in DSpace on 2016-04-25T16:44:29Z (GMT). No. of bitstreams: 1 Wilton Moises Modro.pdf: 1762868 bytes, checksum: 37683595c1b75e15b2ac5d6da474f7ac (MD5) Previous issue date: 2012-06-05 / The purpose of this study was to analyze if the main financial indicators, value metrics and economic factors are relevant to explaining the performance of common shares return of the three largest Brazilian banks, Banco do Brasil, Banco Itau and Banco Bradesco, during the period between 2001 and 2010. Such rationale begins with the assumption, based on the modern theory of finance, that certain factors may contribute to the explanation of stock return behavior. Accordingly, were selected the top accounting indicators and value metrics exposed in the studies and in finance literature and, additionally, the top economic factors that could be related to stock return. Considering the growing importance of the Brazilian banking sector and the lack of studies focused on companies in this sector, it was decided to apply the selected indicators and metrics to these key Brazilian banks, which together accounted, at the end of 2010, for about half of the performance of the banking sector in the country. Through an empirical-descriptive study, based on documentary research, having the financial statements and the stock market performance of the three selected banks as the main sources of data, it was verified which independent variables showed positive correlation and explanatory power on the stock return of the following period of these banks. The results obtained by correlation analysis and multiple regressions, applied to the accumulated variation of common shares return and the 26 (twenty six) independent variables studied, showed the price-to-earnings ratio (P/E) as the main explanatory variable statistically significant to common shares return, with r2 of 77.7% (Banco do Brasil), 69.8% (Banco Itaú) and 64.3% (Banco Bradesco). Other variables with significant explanatory power, although smaller, were the index of operational efficiency (16.5%) for Banco Itau and the ratio loans/deposits (7.6%) and inflation (6.7%) for Banco Bradesco. These results demonstrate the importance of the P/E ratio, which shows the investors expectation about the generation of future cash flows by companies and, therefore, it is expected to be associated with stock returns. Some limitations of this study, however, should be taken into consideration, especially regarding the use of accounting data, the events occurred during the period of analysis (accounting changes, mergers and acquisitions, subprime crisis, etc..), and the calculations and results of value metrics, since several studies indicate value metrics, specifically the EVA®, as more closely related to the return or the market price of the shares / O objetivo deste estudo foi analisar se os principais indicadores contábeis, métricas de valor e fatores econômicos são relevantes para a explicação do desempenho do retorno das ações ordinárias dos três maiores bancos brasileiros, Banco do Brasil, Banco Itaú e Banco Bradesco, no período entre 2001 e 2010. Tal objetivo parte do pressuposto, fundamentado na teoria moderna de finanças, de que certos fatores podem contribuir para a explicação do comportamento do retorno das ações. Nesse sentido, foram selecionados os principais indicadores contábeis e métricas de valor expostos nos estudos e na literatura de finanças e, além destes, os principais fatores econômicos que podem ter relação com o retorno das ações. Tendo em vista a crescente relevância do setor bancário brasileiro e a escassez de estudos voltados para empresas desse setor, optou-se por aplicar os indicadores e métricas selecionados, aos principais bancos brasileiros, os quais responderam em conjunto, no final de 2010, por cerca de metade do desempenho do setor bancário no país. Por meio de um estudo empírico-descritivo, baseado em pesquisa documental, sendo as principais fontes de dados as demonstrações contábeis e o desempenho bursátil dos três bancos selecionados, verificou-se quais variáveis independentes apresentaram correlação positiva e poder explicativo sobre o retorno das ações ordinárias do período seguinte, desses bancos. Os resultados obtidos pelas análises de correlação e regressão múltiplas, aplicadas sobre a variação acumulada do retorno das ações ordinárias e das 26 (vinte e seis) variáveis independentes pesquisadas, indicaram o índice preço/lucro (P/L) como principal variável explicativa estatisticamente significante do retorno das ações ordinárias, com r2 de 77,7% (Banco do Brasil), 69,8% (Banco Itaú) e 64,3% (Banco Bradesco). Outras variáveis que apresentaram relevante poder explicativo, embora menor, foram o índice de eficiência operacional (16,5%) para o Banco Itaú e o índice empréstimos/depósitos (7,6%) e inflação (6,7%) para o Banco Bradesco. Tais resultados demonstram a importância do índice P/L, o qual evidencia a expectativa dos investidores quanto à geração de fluxos de caixa futuros pelas empresas e, portanto, espera-se que esteja associado ao retorno das ações. Algumas limitações deste estudo, entretanto, devem ser consideradas, principalmente em relação ao uso dos dados contábeis, aos eventos ocorridos no período da análise (mudanças contábeis, fusões e aquisições, crise do subprime, etc.) e aos cálculos e resultados das métricas de valor, já que diversos estudos indicam as métricas de valor, mais especificamente o EVA®, como mais fortemente relacionadas ao retorno ou ao preço de mercado das ações

Most of the prior research in the area of monthly regularities has been based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This thesis examines monthly calendar anomalies in the Pakistani stock market for both the Gregorian calendar and its Islamic counterpart. This is one of the first studies to investigate both calendars for monthly seasonality in one investigation on the same dataset. Empirical studies of the Pakistani stock market that have examined monthly calendar anomalies are relatively sparse when compared with investigations from other emerging markets throughout the world. Even the findings from the small number of Pakistani investigations that have examined for the presence of monthly calendar anomalies have arrived at different conclusions about the predictability of equity returns at different times within a year. Since the conclusions of these findings have been mixed, the current study undertakes further work on this topic to offer some clarity in this area; this thesis arrives at a firm conclusion about the monthly calendar anomaly. For the purpose of this thesis, both qualitative and quantitative research methods were employed. Firstly, 19 face-to-face interviews were conducted with brokers, regulators and individual investors to ascertain their views about share price regularities with regards to monthly calendar anomalies and to gain some insights about the role of investor sentiment in the Pakistani stock markets. Secondly, share returns for a sample of 106 companies listed on the KSE over the 17 year period from 1995 to 2011 were analysed to determine whether Pakistani stock markets are weak-form efficient or whether security price changes can be predicted from knowledge of the month when the return is earned; it also investigates whether there is a change in the risk (volatility) of shares in different months which might explain any pattern in returns. To answer these questions various research methods were employed. The results of the interviews suggest that most respondents believed that share prices exhibit patterns in certain months of the year. The most common pattern highlighted by the interviewees related to the month of January for the Gregorian calendar and Ramadan for the Islamic calendar. Interviewees also argued that volatility declined during the religious month of Ramadan; they attributed these changes to investor sentiment and religious duties. Overall, the results suggested that monthly calendar anomalies may be present in the market and that these are studied by investors in an attempt to earn profit. The results from the quantitative analyses supported the findings from the interviews. Initial analyses suggested that returns varied significantly during certain months which indicate that the market might not be efficient. Further, investigations for seasonality in both the mean and volatility of returns offered conflicting evidence; very little statistical evidence of monthly seasonal anomalies was identified in average returns. However, monthly patterns were present in the variance of equity price changes in Pakistan. Overall, the results confirm that whatever monthly seasonality may be present in the equity prices of Pakistani companies, it is more pronounced in the volatility data than in the mean return numbers. These findings may have useful implications for trading strategies and investment decisions; investors may look to gain from managing the risk of their portfolios due to time varying volatility documented in the findings of this thesis. Further, the results of this thesis have interesting implications for our understanding of the dynamics of equity volatility in the Pakistani stock market.

台灣因本身自然資源並不豐富，屬於典型的開放性海島經濟，對國際貿易依存度高。匯率是重要的影響台灣總體經濟因素。因亞洲金融風暴影響，導致台幣兌美元匯率大幅貶值。本篇論文旨在探討，自民國86年7月始，新台幣大幅貶值，此項匯率的巨幅波動（波動期）與83年7月至86年6月間（平穩期），究竟對上市公司的營業績效及上市公司的股票報酬，是否造成不同之影響。利用營業利潤受匯率變動的影響，來解釋公司的外匯風險，進一步探討匯率變動與上市公司股票異常報酬的關係。 探討匯率變動對公司營業利潤的影響，可藉由契約，外匯換算或競爭效果表現出來。所謂契約效果是公司在國際貿易的環境下，有不可取消的外匯合約，造成營業利潤該增加而未增加，或應減少而未減少，立即反映出來對公司營業利潤的影響。外匯換算效果是指公司擁有國外子公司，當國外子公司匯寄外幣現金回母公司時，因受匯率變動而產生的風險，會在財務報表上反映出來．競爭效果是指因進出口貿易頻繁，匯率變動會影響公司的競爭情勢，通常不會立即直接的反映出來，而是間接的影響公司的銷貨收入和進貨成本，而延後反映在財務報表上。本研究試圖檢視匯率變動對公司利潤的影響是立即反映，還是延後反映，以瞭解哪一個效果較顯著。 此外，本研究也檢視匯率變動對公司股票異常報酬變動的影響是立即或延後反映，以瞭解投資者對於匯率變動對股價變動影響認知的反應程度。當企業受匯率變動而產生會計或經濟風險時，任何對公司價值之影響，在效率市場的情形下，應當會立即反映在股票價格上。 本研究實証結果發現，匯率平穩期，契約及競爭效果顯著。但在匯率波動期，契約及競爭效果不顯著。台灣股市，不論在匯率平穩期或波動期，匯率波動皆對公司當季股票異常報酬有顯著影響力，顯示台灣股市投資人十分重視匯率走向。平穩期或波動期，匯率變動會遞延影響公司股票異常報酬，間接驗証台灣股市非為效率市場。同時，以出口為導向的產業，匯率變動對該產業的股票異常報酬有顯著的影響。 關鍵詞：匯率變動、營業利潤、股票異常報酬 / The purpose of this paper is to identify the categories of exposure that are most likely to effect company's operating income and the observed association between exchange rate changes and abcdrmal stock returns. The period examined in this paper is July 1994 to December 1997. This period examined is divided .One is July 1994 to June 1997(Exchange rate changes wave is flat) and the other is July 1997 to December 1997(Exchange rate changes wave is inflectional). This paper attempts to understand the different associations among operating income exchange rate changes and abcdrmal stock returns between July 1994 to June 1997 and July 1997 to December 1997. This paper finds that contractual effects and competitive effects are most likely to explain impact of exchange rate changes and unexpected operating income in July 1994 to June 1997. The association between exchange rate changes and abcdrmal stock returns is at relatively high significance levels between July 1994 to June 1997 and July 1997 to December 1997. The Taiwan Stock market investors have more attention on exchange rate changes waves. The a-quarter lagged relation between exchange rate changes and abcdrmal stock returns are at relatively high significance levels in July 1994 to June 1997. The a-quarter and two-quarter lagged relation between exchange rate changes and abcdrmal stock return are at relatively high significance levels in July 1997 to December 1997. This result examines Taiwan stock market is inefficiency Keywords: operating income, exchange rate changes, abnormal stock returns

本研究係依據理性預期理論，探討「自營商」及「外國法人投資機構」是否具備知情投資者的角色？為回答上述問題，本研究係以每日經濟日報證券新聞版所刊登之「自營商買進賣出股票較多表」及「外國法人股票進出表」為研究對象，探討是種資訊是否具股價先導角色？亦即這些資訊是否具資訊內涵？ 　　本研究之研究期間起自八十三年八月一日，截至八十四年二月止。且本研究係採用市場模式衡量異常報酬，經實證分析，本研究所獲得的結論可彙述如下： 　　1.就外國法人投資機構（外資）及自營商買超而言，是項資訊的確具有市場先導角色，亦即其具有買漲的效果。因此，自外資或自營商買超的資訊公布後，測試期之異常報酬顯著大於零。故，「外資及自營商買超」之資訊具資訊內涵。本研究結論，一般投資者可參考此資訊來做股價決策，俾用以獲取異常報酬並改善投資績效。 　　2.就外國法人投資機構及自營商賣超而言，是項資訊的公布並未如預期所推論：在測試期產生顯著負的異常報酬。其原因可能係一般投資人無法確實解讀賣超資訊所代表的經濟意義。 　　3.就買超資訊而言，外資之投資標的若以公司規模（本研究係以股本為替代變數）大小來區分。其股本在50億以上之證券，並無顯著之異常報酬。此結果顯示流通在外籌碼愈多之證券，較不利於炒作，且較不具上漲空間。故，較不受投資人偏愛。

本文主要目的在檢定臺灣股票報酬率是否為序列隨機；臺灣股票報酬率分 配是否符合常態分配、穩定分配。其中實證結果發現：拒絕臺灣股票報酬 率為序列隨機；拒絕臺灣股票報酬率分配呈常態分配、穩定分配。由於拒 絕臺灣股票報酬率為序列隨機，故將原資料隨機化後再次進行常態、穩定 分配之檢定、結果發現拒絕隨機化後之臺灣股票報酬率分配呈常態分配， 但不能拒絕隨機化後之臺灣股票報酬率分配呈穩定分配。