Dissertations / Theses: 'Market Returns (MKTR) and Abnormal Returns'

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Einarsson, Per, and Hampus Wännerdahl. "Does Size Matter? : Abnormal Returns and Market Efficiency at Stockholm Stock Exchange." Thesis, Jönköping University, Jönköping International Business School, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1091.

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Background and purposeIn Sweden private savings in stocks has experienced a large increase and in year 2006 there were 6.7 million people, or 77 per cent of the population owning stocks. A recent study shows that more than every other Swede has deficient knowledge in trading with stocks. Since small private investors often do not know how to gather and interpret information they must utilize investment advices. The large increase in private savings in stocks, the lack of investment knowledge together with the large increase in Internet usage has resulted in investment advice seeking on the Internet. One of the largest sources of investment advices on the Internet in Sweden today is Avanza.se. The purpose with our thesis is to describe and analyze if, after a buy recommendation issued at Avanza’s website, the effects with respect to abnormal return and market efficiency differ significantly depending on a company’s capitalization value.MethodWe have used a quantitative approach to fulfill our purpose. The secondary data required to do so was gathered from the OMX-Group’s website, where historical prices and Index information was collected, and from the online broker Avanza’s website where the buy recommendations were compiled. In order to conduct statistical tests and calculations we have used the statistical software SPSS.Frame of ReferenceThe theories we made use of mainly treated market efficiency and abnormal return.ConclusionsWe have seen that the recommendations’ effect concerning abnormal return differ signifi-cantly depending on capitalization value, where the effect on companies with smaller capitalization values are larger. We have also found tendencies of market inefficiency at the semi strong level for stocks with smaller capitalization value.

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Punwasi, Kiran. "An event study : the market reactions to share repurchase announcements on the JSE." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22819.

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This study examines the market reactions to share repurchase announcements made by companies listed on the Johannesburg Stock Exchange from 2003 to 2012. We use an event study methodology and the Capital Asset Pricing Model to determine if there is an announcement effect when a share repurchase announcement is made. Our analysis show that consistent with signalling theory and the announcement effect, share repurchase announcements are associated with positive abnormal returns. The average abnormal return and cumulative average abnormal return noted was 0.46% and 3.81% respectively for the event period (t -20, t +20). There was an observable trend of declining share prices before the share repurchase announcement however the decline in the shares prices was not significant. We found some evidence of market timing ability in 2005 and 2010 however as a collective, we found no significant difference in timing a share repurchase announcement. Dissertation (MBA)--University of Pretoria, 2012. Gordon Institute of Business Science (GIBS) unrestricted

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Gyllefjord, Fredrik, Erik Gardhage, and Vladimir Lolic. "Stockholm stock exchange efficiency : Abnormal returns on positive annual and interim reports." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-136.

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Problem: An efficient market fully reflects all available information about a company in its share price. Furthermore any new information presented about a company will lead to an instant adaptation in the share price. Henceforth an investor can not reach abnormal returns on an efficient market. The Stockholm stock exchange is afairly large stock exchange with a turnover of SEK 14000 millions per day. Prior studies conducted regarding the efficiency of the Stockholm stock exchange have stated that the stock exchange was efficient on a semistrong level. However these studies were conducted with a time frame of several weeks and therefore the authors distinguished a need for a study aiming at short term efficiency. Furthermore this thesis aims to investigate the effects of the presentation of positive annual and interim reports. A positive report is defined as a report that leads to an increase in share price the day it is presented and consequently includes all events on the day of the presentation, e.g. the press conference. The thesis was written from an investors’ perspective, who is about to buy shares.Purpose: The purpose of this thesis was to describe and analyze the Stockholm stock exchange market’s efficiency. This was done during the days surrounding the presentation of annual and interim reports rendering an increase in share price. Furthermore the possibilities of making abnormal returns by buying shares during this period were investigated.Method: To investigate the efficiency of the Stockholm stock exchange an event study was carried out. Data regarding the performance of the shares of the fifteen most traded com-panies on the Stockholm stock exchange were collected from the OMX groups’ homepage. The chosen companies together represented more than fifty percent of the turnover of the OMXS 30 index. The index was used as a benchmark for measuring the efficiency. The share price movement was analyzed with a quantitative approach through a statistical T-test with the assistance of the SPSS 13.0.Result: The authors claim that the Stockholm stock exchange is not efficient on a semistrong level the day after the presentation of a positive report, as the shares displayed a negative abnormal deviation from the OMXS 30 index. The deviation was statistically verified. However the authors state that no abnormal returns can be reached by buying shares during this period since the deviation was negative. The period as a whole and the other tested days came out as efficient on a semi-strong level.

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Tran, Nguyen, and Anton Weigardh. "Repurchases on the Swedish Stock Market : - A good long-term investment?" Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-19191.

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The purpose of this paper is to investigate the long-term share price effects for Swedish companies that employed repurchases programs during 2000 - 2012. This paper applies a trading strategy where the investor invests in stocks of compa-nies that engage in repurchase of their own equity. We test buy-and-hold abnormal returns versus two different proxies for the control firm, using small sample t-statistics. Abnormal returns for one to five years are insignificant under sta-tistic tests, using the supersector indices. In contrast, they are significant using a proxy for the market index as control firm. Factors hypothesized to contribute to this result are incon-clusive using our method of comparison. As a whole, we suggest that investing in companies that repurchase stock is a solid strategy: It is on par or better than index.

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Lindgren, Daniel, and Petter Sjöberg. "Long-term Abnormal Returns Following Share Repurchase Announcements : Do repurchasing firms outperform the market?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-354789.

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We study the long-term performance of companies listed on the Stockholm Stock Exchange that announced their intention to repurchase shares between the years of 2005 and 2013. We test the hypothesis that the market underreacts to share repurchase announcements and that repurchasing firms consequently outperform the market in the following years. We find that repurchasing firms yield a cumulative abnormal return of 15.76 percent, significant at the 1 percent level, over the four years following the announcement. To address the concern that microcaps may be driving the results, we also investigate the differences in abnormal returns between companies of different sizes. We form three portfolios based on market capitalization and find that the large, medium-sized and small companies yield 14.34 percent, 20.13 percent and 6.61 percent respectively. Vi studerar den långsiktiga avvikelseavkastningen för företag noterade på Stockholmsbörsen som annonserat aktieåterköp mellan åren 2005 och 2013. Vi testar hypotesen att marknaden underreagerar på dessa annonseringar och att aktieåterköpande företag överpresterar marknaden de nästkommande åren. Vi finner att företag som återköper aktier ger en kumulativ abnormal avkastning på 15,76 %, signifikant på enprocentsnivån, under fyra år efter att företaget annonserat ett aktieåterköpsprogram. För att bemöta kritik mot tidigare anomaliforskning om att microcaps ofta snedvrider resultaten, undersöker vi skillnader i avvikelseavkastning mellan företag i olika storlek. Vi skapar tre portföljer baserat på företagens marknadsvärde och finner att stora, mellanstora och små företag genererar en kumulativ avvikelseavkastning på 14,34 %, 20,13 % samt 6,61 %.

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Ballout, Rami, and Fredrik Nygård. "Can intangibles lead to superior returns? : Global evidence on the relationship between employee satisfaction and abnormal equity returns." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73263.

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Subject background and discussion: In recent decades, issues of human rights, labor and environmental change has been hot topics world wide, which also has influenced the financial market. More and more investors use socially responsible investing (SRI) screens when constructing their portfolios. One form of SRI screen is to choose companies that have satisfied employees. Existing theory says that employee satisfaction is an intangible asset to the firm that will positively affect a firm’s performance in the future. Intangible assets are often unrecognized by the market and thereby not incorporated in the stock price. The efficient market hypothesis has been studied and debated for several decades. Proponents of the EMH argue that all available information is incorporated in the stock price, thus it is not possible to systematically beat the market. However, EMH is controversial, since research has shown different results regarding the possibility to make abnormal return from various investing strategy. Research question: Is it possible to make abnormal returns by investing in a portfolio of worldwide firms with top scores on the SRI screen employee satisfaction? Purpose: The main purpose of this study is to examine investor’s possibility to make abnormal return with controls for multiple risk factors by investing in worldwide firms with top scores in employee satisfaction. One sub-purpose is to examine how the market values intangibles depending on the degree of market efficiency. Another sub-purpose of the study is to test two different portfolio weighting methodologies, equally- and value weighted, and observe the differences between them. Theory: This study deals with the efficient market hypothesis and the concepts of SRI, employee satisfaction, intangible assets and several risk-adjusted measurements. Method: We have chosen to perform a quantitative study with a deductive approach to answer our research question. We used a sample size of 696 firms based on “Great Place to Works”- lists of companies with high employee satisfaction to construct sex portfolios with different holding periods and strategies. These portfolios have been explored and tested significantly with both equally and value weighted methods. Result/Analysis: The study finds significant evidence of an average annual abnormal return of 3,66% and 2,43% for our main portfolio over the market for equally- and value weighted, respectively, using the three-factor model. When adjusting for momentum, thus employing the four-factor model, all the predictive variables still identify strong persistence in the abnormal return, with statistical significance. Conclusion: The results show that it is possible to make abnormal returns, during the observed time period, regardless of the weighing methodology, although the equally weighted received higher abnormal returns. Thus, the market efficiency appears to be in weak form and does not fully value intangibles.

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Kolehmainen, Martti Eerik Juhani. "Mergers and acquisitions in the banking sector: an empirical review of the impact of merger announcement on abnormal returns." Master's thesis, NSBE - UNL, 2009. http://hdl.handle.net/10362/9501.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics This dissertation reviews and summarizes previous findings of merger announcement related abnormal returns. A sample of 183 event windows is collected and analyzed to observe cross-country differences. The results are discussed under five specific topics: location, payment method, strategic focus, size and corporate governance. The findings of this review indicate that target banks enjoy high abnormal returns both in the U.S. and in Europe. Bidding banks seem to incur negative returns on average while small value creation was observed for the merged entity. Target banks are generating higher returns in USA while bidding banks show better performance in Europe. A minor indication of decreasing U.S. bank returns is observed as the measurement period increases. Geographical and activity focus as well as use of cash as a payment method are seen to contribute to the higher abnormal returns.

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Axelsson, Lars, and Philip Brissman. "Share repurchase announcements and abnormal returns for Swedish listed real estate companies." Thesis, KTH, Bygg- och fastighetsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-82045.

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Asymmetric information in the management-investor relationship implies that the management’s actions will give signals to investors. According to the signalling hypothesis, an announcement of a share repurchase program is interpreted by investors that the management is putting its money where its mouth is, i.e. signalling that the stock is currently undervalued. Using the event study methodology to analyze share repurchases of listed Swedish real estate companies, we find significant short-term abnormal returns of 1,96% on the announcement day and cumulative abnormal returns of 2,32% (although not significant on conventional levels) for the ten first days subsequent to the announcement. At the most fundamental level of corporate finance theory, the Efficient Market Hypothesis stipulates that the whole value of the announcement should be discounted in the stock price immediately. On the other hand, it might be rational for investors to await certainty that the share repurchase program will be executed, before discounting its full value. We find indications of underreaction as the analysis suggests long-term positive stock price reactions to the announcement. The Jensen’s alpha approach utilized in the long-term analysis suggests an average abnormal return of 10,30%, although insignificant on conventional levels, the year following a share repurchase announcement. From a stock investor point of view, the results from this study suggest that buying real estate stocks that announce share repurchase programs can yield positive abnormal returns for investment horizons of 10 days as well as 12 months.

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Henricson, Tobias. "Underpricing in the Swedish IPO market : Can investors earn abnormal returns by investing in IPOs?" Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18404.

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This thesis examines underpricing in Sweden using unique data on the 185 firms going public through initial public offerings (IPOs) and listing on the Stockholm Stock Exchange between 1994-2011. The average initial return in the Swedish IPO market adjusted for index movements is 11.49% but underpricing of individual IPOs was as high as 241.04%. Further, time trends in underpricing, the level of average initial returns effect on IPO supply underpricing and differences between sectors, segments and investment banks are examined. Finally, it is argued that investors must be rewarded for taking the high risk associated with IPO investing and that the average initial return of 11.49% is a reasonable compensation for that risk.

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FILHO, CARLOS AUGUSTO DE MACEDO SILVA. "ABNORMAL RETURNS IN BRAZILIAN MARKET OF MERGERS AND ACQUISITIONS: EVIDENCES FROM DIFF-IN-DIFF METHODOLOGY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2016. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=30382@1.

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Este trabalho tem o objetivo de verificar o retorno que um evento de Fusão ou Aquisição no mercado de capitais brasileiro traz para o acionista no médio e longo prazo. A proposta deste trabalho é verificar, através de um estudo empírico, se o acionista de uma empresa compradora ou vendedora tem ou não a sua riqueza aumentada após um processo de fusão ou aquisição. Primeiramente, é apresentado um referencial teórico sobre o tema Fusões e Aquisições. O pressuposto básico deste trabalho é validar ou não a teoria da maximização da riqueza dos acionistas, que serve de base para a teoria das fusões e aquisições (FeAs). A Teoria da Maximização dos Lucros do acionista diz que uma fusão ou aquisição deve aumentar a riqueza dos acionistas. No Brasil não existem muitos estudos que constatem o que acontece com o retorno para o acionista após um evento de FeA no médio e longo prazo. Os métodos usados para este estudo foram o estudo de eventos e a regressão de diferenças em diferenças. Foram usadas cotações de fechamento diárias para se observar os retornos anormais nos períodos de até 50 dias antes e após o anúncio do evento - para o estudo de eventos. Já para a regressão diff-in-diff a janela amplia-se do anúncio do evento até Outubro/2015. O objetivo de ambas as metodologias é verificar se o acionista teve ou não aumento de sua riqueza em função do evento. Ao final do estudo conclui-se que no mercado de capitais brasileiro o acionista, na média, tem a sua riqueza aumentada, e que este aumento está relacionado ao evento de fusão ou aquisição. This work aims to verify the return that an M and A event brings in the Brazilian capital market to the shareholder in the medium and long term. The purpose of this study is to confirm, through an empirical study, if the shareholder of a company has or not your wealth increased after a merger or acquisition. First, a theoretical framework on the subject of M and A is presented. The basic assumption of this paper is to validate or not the theory of maximizing shareholder wealth, which is the basis for the theory of mergers and acquisitions (M and As). The maximization of shareholder profits theory says that a merger or acquisition should increase shareholder wealth. In Brazil there are few studies which analyze what happens to the return for shareholders after an M and A event in the medium and long term. The methods used for this study were the study of events and the regression difference in differences. Daily closing prices were used to observe the abnormal returns in periods of up to 50 days before and after the event announcement - for the event study. However for the diff-in-diff regression window expands from event announcement to October/2015. The purpose of both approaches is to check if the shareholder had or no increase in their wealth due to the event. At the end of the study it is concluded that shareholders of Brazilian capital market, on average, increased their wealth, and this increase is related to the event of merger or acquisition.

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Magnusson, Jacob Magnusson, and N. E. Ludvig Karlsson. "Exploiting Market Reactions to Dividend Cuts : Contrarian Trading Strategies in a Short Investment Horizon - Evidence from the Swedish Stock Market." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298351.

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This paper investigates the impact of dividend reduction announcements on the returns to stocks listed on the Stockholm Stock Exchange. We perform an event study on dividend cutting firms between 2002-2016 to determine if contrarian trading on the basis of negative dividend announcement yields abnormal returns. We evaluate the immediate market reaction during a three-day event window surrounding dividend announcements. Thereafter we test a contrarian trading strategy by examining abnormal returns during a holding period up to twenty days following the initial event. We evaluate the results in reference to previous literature on post earnings (dividend) announcement drift and contrarian investment strategies. The findings suggest that the initial market reaction to dividend cuts is negative, but that the abnormal returns to buying stock following dividend reduction announcements are negligible. Furthermore, we argue that there might be means of increasing these returns by supplementary analysis of firm specifics.

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Ozkan, Bora. "Six Sigma, Firm Performance and Returns Predictability In Emerging Real Estate Market." ScholarWorks@UNO, 2013. http://scholarworks.uno.edu/td/1756.

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This dissertation consists of two essays. First essay investigates Fortune 500 companies that implemented Six Sigma. Since the 1980s, industrial organizations have adopted practices such as Six Sigma to maintain and enhance competitiveness. The purpose of this study is to look at the long run stock price and the operating performance of Fortune 500 companies that were identified to have implemented Six Sigma compared to the overall market performance as well as the performance of industry and size matched firms. Even though our sample firms improved several variables after implementing Six Sigma, their operating performances were not quite close to the performances of the matching firms. After implementing Six Sigma, compared to the industry and size matched firms, the only variable that improved out of 14 variables we looked at, is the growth in staff levels. The findings may contribute to understanding the reasons that underlie the so-called jobless recovery. Second essay investigates the real estate price indices in 19 emerging markets. The main objectives of the central banks are not necessarily in line with the goals for asset prices, particularly house prices; however house price changes can have important implications for economic activity and inflation. The consequences of excess changes in house prices also should be watched carefully by central banks and other government agencies that regulate financial institutions for the purpose of financial stability. This essay searches for a link between house prices, broad money, private credit and the macro-economy among 19 emerging markets. We are also trying to explain which variables predict the emerging markets real estate index returns. Our results show that money market rate, growth in GDP and CPI as well as log of private credit and money supply have significant predictive power on growth in real estate price indices a quarter ahead. We also show that there is multidirectional causality among all of the variables. A unique data is being used for the emerging markets real estate price indexes in this study. The data is provided by aDubaibased private company which offers emerging markets real estate information to its customers.

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Hogan, Brian. "Does the Market Know? Evidence from Managerial (Non-) Reporting of Financial Stealth Restatements." Case Western Reserve University School of Graduate Studies / OhioLINK, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=case1220044485.

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Crosta, Alberto. "The Effects of Credit Rating and Watchlist Announcements on the U.S. Corporate Bond Market." Licentiate thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2281.

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I examine the effects of contemporaneous credit rating and watchlist announcements on the over-the-counter U.S. corporate bond market. I find significant negative daily abnormal returns (-2.91%) over a ten-day window associated with a downgrade announcement with negative watch. The effect is particularly strong over the two-day post-event window (-1.90%), while there is some weak evidence of market timing during the four days preceding a downgrade (-0.58%). Abnormal returns following upgrades with positive watch are weaker both in terms of statistical significance and magnitude. I also observe higher abnormal bond returns following downgrades with negative watch around rating-sensitive boundaries. These results suggest that bond abnormal returns could also be driven by regulation constraints, besides the information content of the ratings. Finally, a multivariate cross-sectional analysis on abnormal returns over the two-day window following downgrades shows that the negative watchlist state is a key determinant of bond market's response even when key control variables are included. Lic.-avh. Stockholm : Handelshögskolan, 2014

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Sangray, Sudesh Ram. "Semi-strong form efficiency of lowly capitalized firms : the case of the alternative investment market, (AIM) UK : an investigation of event study based abnormal returns using the single index market model." Thesis, University of Bedfordshire, 2004. http://hdl.handle.net/10547/550404.

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This thesis examines the impact of company announcements on the daily stock returns of lowly capitalised companies. A total of 105 companies comprise the sample and 1464 events are examined over the period 21110/97 to 03/0412000. The methodology employed is primarily, empirical in nature. Event studies are conducted to gauge the impact of company announcements on stock returns using the single index market model (SIMM) as the chosen equilibrium market model for modelling abnormal returns. The study professes three mam contributions to knowledge. The empirical evidence suggests that financial announcement have a more timely impact on stock returns than non-financial announcements. Secondly, there appears to be significant over-reaction and mean-reversion exhibited by lowly capitalised firms. Thirdly, the speed of adjustment of stock prices to new information is increased in cases where shareholder concentration is high while over-reactions appear inversely proportionate to shareholder concentration. This may be a consequence of smaller firms experiencing leakage of boardroom level information prior to public announcement days.

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Miron, Lionel, and Fabien Patel. "Empirical Study of post-takeover performance in banking industry: comparison between U.S. and European bank acquisitions." Thesis, Umeå University, Umeå School of Business, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1704.

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Takeover is a business activity which really started in the beginning of the eighties and which still takes a strong part in the business and financial area all over the world. According to our studies as the desire for further acknowledgements and the desire of building a career around financial activities, this study has been naturally conducted in the banking area.Regarding the steady use of acquisition like a powerful process with some positive and negative sides, we decided to implement a comparison of different mergers and acquisitions in the banking industry in the United States and Europe. This comparison has been supported and based on the third main topic of our study: performance.These large and complex subjects combined together lead to the following hypotheses:Hypothesis 1: Performance is not improved after takeover in the banking industry.Hypothesis 2: The level of post takeover performance is the same in the U.S. as in the European bank acquisitions.Based on the historical data and knowledge, the United States was the pioneer in the development of such gathers in the banking sector. Considering the United States as a reference, a first purpose was to compare them with the bank mergers and acquisitions in Europe. Stating on some possible differences as increasing our own knowledge have been some others purposes which have supported our work.A first large part of our work was focused, through a large literature review, on the enhancement of our knowledge as the statements of the basis and support for the analysis.To illustrate and to try to answer our research question, we have conducted our study based on a sample of 20 acquisitions which were achieved in the banking industry between March 1998 and May 2004. 10 of these acquisitions had been achieved in the United States as the 10 remaining acquisitions had been executed in Europe.The analysis has been achieved by collecting data in Thomson Datastream Advance.Based on a quantitative method, we applied two financial models: The Market Model (MM) and the Market-Adjusted Returns Model (MAR) supported by the Cumulative Abnormal Returns Method (CARs).The post-takeover study has been delimited on a period of 42 months after the public announcement.The study and the comparison between the United States and Europe have shown some differences between the two areas. Nevertheless it seems that negative abnormal returns are usually the case after such takeovers on the whole period studied. Some positive abnormal returns have been recorded at different points in the time into the studying period.According to the models we applied, the US banks results seem to be better than the ones of European banks: the differences range from 5,58 to 16,65 points under the MM, and from 1,66 to 18,08 points under the MAR model.

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Ramos, Nogales Juan Jose, and Kreshnik Elshani. "The Impact of Finance Mergers and Acquisitions on Short-Term Performance of Acquiring Companies : An Event Study Focused on the British Isles." Thesis, Internationella Handelshögskolan, Jönköping University, IHH, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49684.

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Background: Mergers and acquisitions (M&A’s) are common ways for businesses to expand, compete, and maintain in competitive business environments. A strongly debated question in literature is whether or not these M&A’s provide measurable benefits, as factors such as industry, geographic location, and regulations play key roles in the impacts of the M&A’s. In this paper, we investigate the short-term effects of M&A’s based on stock returns of acquiring companies, with a focus on finance industries in the British Isles. Purpose: The purpose is to study whether or not there are significant short-term abnormal returns for acquiring companies when M&As of financial services target enterprises take place. Further, the study examines factors which can affect the impact of M&A’s, such as size of transaction, whether it is domestic or cross-border, whether or not the acquiring company is in a finance industry, and whether there is evidence of merger waves related to finance M&A’s in the British Isles. Method: An event study methodology is applied and focused on calculating the cumulative abnormal returns, as well as verifying whether those are statistically significant. The study analyses 100 M&A’s conducted on target companies from the UK and Ireland between the years 2000 and 2019. The event study is performed using the STATA statistical software, which is used to analyse the stock return performance in comparison to the domestic market index for each acquiring company. Conclusion: The study finds statistically insignificant results, concluding that M&A events do not generate significant abnormal returns for acquiring companies. This is in line with majority of previous research done, showing that M&A deals are not deemed significantly value creating nor value destroying. M&A’s within finance industry where the acquiring companies were domestic, in a finance industry, where the deals were smaller, were all shown to have less negative, albeit still insignificant results. This study also presents evidence for merger waves. Moreover, this thesis adds a clear geographic and industry component which is often missing in previous research, showing that within finance industry in the British Isles the impacts of M&A deals are unlikely to be statistically significant in causing abnormal returns.

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Carvalho, Joana Peleias de. "The market reaction on returns of the fiscal indicators disclosure in the eurozone." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19510.

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Mestrado em Finanças Esta dissertação produz uma nova visão sobre as reações dos mercados financeiros à divulgação da divida publica e do défice governamental, para cada país na zona euro, usando dados anuais em painel para calcular os retornos anormais de cada índice de preços de cada país, no período entre 2005 e 2016. A pergunta de investigação é: "Qual é a reação do mercado à divulgação fiscal do défice na zona euro"?. Foram testados diferentes modelos, efeitos fixos, efeitos aleatórios, regressões GLS, regressões Tobit, para as variáveis independentes: variação do PIB, variação da divida, variação do défice e uma variável dummy para controlar o efeito da crise de 2008, fincrisis1. Outros testes econométricos foram utilizados para testar a variável dependente, o dia do anúncio: normalidade, hererocedasticidade, e correlação com as seguintes hipóteses, H0: o mercado mostra uma reação positiva ou negativa à divulgação da divida publica e ao défice governamental; H1: o mercado não reage à divulgação fiscal da dívida publica e ao deficit governamental. Os mercados financeiros demonstram uma reação negativa à variação da divida e à variação do défice, uma vez que essas variáveis apresentam alguma significância estatisticamente. This dissertation provides new insights on stock market index reactions to the fiscal disclosure of public debt and governmental deficit, for every country in the eurozone, using annual panel data for the abnormal returns calculated from index prices from each country stock index over the period 2005-2016. For the research question: "What is the market reaction to the fiscal discloser of deficit in the eurozone"?, different models were tested, fixed-effects and random-effects models, GLS regressions, Tobit regressions for the independent variables: GDP variation, debt variation, deficit variation and a dummy variable to control for the financial crisis of 2008, fincrisi1. Other econometric tests were used for testing the dependent variable, being the day of the announcement, normality, heteroskedasticity and correlation with the following hypothesis: H0: The market shows a positive or negative reaction to the fiscal disclosure of public debt and governmental deficit; H1:The market has no reaction to the fiscal disclosure of public debt and governmental deficit. The stock index markets express a reaction to debt and deficit variation, since these variables presents statistical significance. Comprehensibly, the market reacts negatively to an increase in debt and deficit, most notably in the days closer to the event day. info:eu-repo/semantics/publishedVersion

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Linder, Nicholas Richard. "The method of payment as a market signal in merger and acquisition transactions for South African firms." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/30620.

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Merger and acquisition (M&A) transactions have been the subject of numerous studies over the years. The effect of the method of payment in M&A transactions has been studied in first world countries where information transfer is regarded as being highly efficient. The aim of this research was to study the effect of the method of payment to both acquirer and target companies post the announcement of M&A transactions within the context of emerging economies. South African JSE listed firms were used as a proxy for emerging market companies.Event study methodologies are only as sound as the statistical methodologies used to conduct the tests as well as the accuracy with which expected returns can be calculated. This being so, the aim of the research was to apply rigorous testing using various event study methodologies and making use of the literature to ensure that the findings were robust and the testing thorough. The various testing methodologies did not always provide the same findings further emphasising that the results are only as conclusive and robust as the methodologies used.Using the well substantiated event study methodology it was found that target companies do not significantly outperform acquirer firms. Although target companies showed a 12.5% increase over the longest event window being a 120 day window, whilst acquirers only reported 6.40% the difference was not found to be significant. The additional returns to target companies are likely due to the bid premium to stave off competition.Results indicate that acquirer companies using shares as the method of payment do send a negative signal to the market that their shares used as the currency of exchange in the M&A transaction is inflated. As a result acquirer companies using shares underperformed acquirer companies using cash as the method of payment.Finally target companies bought where cash was used as the method of payment outperform targets bought using shares as the method of payment. This is likely due to the capital gains tax implications in the year the M&A transaction takes place where cash is the method of payment.Although South Africa is regarded as being a less efficient market than first world economies with regards to information transfer, based on the study (which focused on large capitalisation companies with high trading volumes) South Africa does show similar results to those of first-world economies for acquirer cash against acquirer share returns as well as for target cash against target share returns, when looking at the method of payment as a market signal in M&A transactions. This research did not however find significantly higher positive returns for target companies against acquirer companies returns. Dissertation (MBA)--University of Pretoria, 2012. Gordon Institute of Business Science (GIBS) unrestricted

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Ishak, Shahad, and Veronica Zamparutti. "Naturkatastrofers inverkan på bankers aktiekurser : En eventstudie." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16741.

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Objective: Our purpose with this study is to demonstrate the impact of natural disasters on banks' share prices. Method: Quantitative survey method, an event study. Conclusion: There is no association or a very weak correlation in this study between natural disasters and the Swedish banks' share prices.

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Wang, Chenxi, and Phet Gerky King. "Stock Return Performance around Earnings Announcements : Empirical Evidence from Nordic Stock Market." Thesis, Umeå universitet, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-56958.

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This thesis examines the impact of earnings announcements on the stock return performance. Most literature regarding this topic is related to the US market. We follow 40 of the largest and most liquid stocks on the virtual OMX Nordic Exchange from 2010 to 2012. In this research paper, we present the theoretical framework that gives an overview of the possible research areas, and provide empirical evidence of the repercussion of the earnings announcements on stock returns. We use the event study methodology to conduct this thesis. It is a standard approach established by Fama et al. (1969). It has been used in a variety of researches for gauging the effect of new information on the market value of a security. As we expected good news and bad news to have different reactions on the stock return performances, we have split our data in good news and bad news. To differentiate good news from bad news, we measure analysts’ forecast error. It consists in subtracting the earnings per share (EPS) of the analysts’ consensus forecast from the reported EPS of the same year. The analysis is composed of three different subdivisions: the study of the abnormal return during an event window of 17 days, the cumulative abnormal return during this event window, stock price behavior from growth stocks and from value stocks. Our findings show that stock behavior gradually responds to the earnings announcement. The stock reactions that appear within pre-event window may indicate information leakage. Our results describe most average abnormal returns as statistically insignificant during the event window. Earnings information has a lower impact on the stock market. We also find that the effect of positive earnings surprise on stock price lasts longer than that of negative earnings surprise. Stocks from OMX Nordic 40 index have a stable reaction on negative earnings surprise. As a conclusion, we highlight three points. Earning interim and annual earning information disclosure were unable to influence the stock market effectively, and therefore could not fully reflect the changes on the stock price. Investors can get the abnormal returns by using this earnings information during the whole event window.

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Guscott, Alyssa, and My Bach. "Investor distraction during the Swedish summer and stock market under-reaction to companies’ earnings releases." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155747.

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This paper investigates whether greater investor distraction on the Swedish stock market during the summer months of June, July and August leads to a more pronounced post earnings announcement drift (PEAD) effect, during the ten year period between 2000 and 2009. PEAD is an anomaly whereby the information contained in earnings announcements is not immediately or completely incorporated into stock prices, in the cases where the announcement contains an ‘earnings surprise’. The methodology involves using the standardised unexpected earnings (SUE) metric to measure the level of ‘earnings surprise’ and a buy and hold abnormal returns (BHAR) trading strategy to measure return. The study tests and confirms the existence of greater investor distraction during summer months on the Swedish market. For a holding period of 12 months, a BHAR trading strategy generates a greater abnormal return for summer months (11.3%) compared with the abnormal return for non-summer months (10.5%). These results are also interesting in a broader context, as they confirm the existence of the PEAD effect, one of the strongest counter-arguments to the efficient markets hypothesis (EMH); the foundation of many financial models used for stock market valuation. This is because, according to the EMH, in an efficient market it should not be possible to generate abnormal returns based on available information. However, it may be noted that these results do not take into account transaction costs. This means that while it can be demonstrated that there is greater investor distraction during the Swedish summer, in order to implement a successful trading strategy based on this finding, further testing would be required. Therefore, based on the findings of this paper, a number of areas for future research have been identified.

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Langmead, Peter Martin Stuart. "An explanation for abnormal returns from initial public offers and the revelation of information on the first day of trading of new company stocks." Thesis, University of Strathclyde, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.311298.

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Andoh-Baidoo, Francis Kofi. "An Integrative Approach for Examining the Determinants of Abnormal Returns: The Cases of Internet Security Breach and Ecommerce Initiative." VCU Scholars Compass, 2006. http://scholarscompass.vcu.edu/etd/1249.

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Researchers in various business disciplines use the event study methodology to assess the market value of firms through capital market reaction to news in the public media about the firm's activities. Capital market reaction is assessed based on cumulative abnormal return (sum of abnormal returns over the event window). In this study, the event study methodology is used to assess the impact that two important information technology activities, Internet security breach and ecommerce initiative, have on the market value of firms. While prior research on the relationship between these business activities and cumulative abnormal return involved the use of regression analysis, in this study, we use decision tree induction and regression.For the Internet security breach study, we use negative cumulative abnormal return as a surrogate for damage to the breached firm. In contrast to what has been reported in the research literature, our results suggest that the relationship between cumulative abnormal return and the independent variables for both the Internet security breach and ecommerce initiative studies is complex, often involving conditional interactions between the independent variables. We report that the incomplete contract theory is unable to effectively explain the relationship between cumulative abnormal return and the organizational variables. Other ecommerce theories provide support to the findings from our analysis. We show that both attack and firm characteristics are determinants of damage to breached firms.Our results revealed that the use of decision tree induction presents additional insight to that provided by regression models. We illustrate that there is value in using data mining techniques to study the market value of e-commerce initiative and Internet security breach and that this approach has applicability in other domains and that Decision Tree can enhance the event study methodology.We demonstrate that Decision Tree induction can be used for both theory building and theory testing. We specifically employ Decision Tree induction to test and enhance ecommerce theories and develop a theoretical model for cumulative abnormal return and ecommerce. We also present theoretical models for Internet security breach and damage to the breached firm. These models can be used by decision makers in Internet security and ecommerce investments strategic formulations and implementations.

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Sabel, Jimmy, and Xinrong Wu. "The Role of Lockups in Venture Capital Backed IPOs : An empirical study on the London Stock Exchange from 2009 to 2012." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-91036.

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There are plenty of things said about the financial industry, an always ongoing debate, to say the least. We have identified a complex situation with three dimensions: Initial public offerings, Venture capital, and Lockup agreements. IPOs are generally difficult to put a price on because the market is not united yet, which creates uncertainties. Venture capital firms invest into startups, often with the incentive of bringing them to an IPO and then make a fast cash out exit. Lockup agreements are contracts that prevent insiders from dumping their shares during a set period in the beginning of the IPO. Additionally, based on the market efficiency theory, a market should always be efficient. But does it play out when these characteristics are affecting each other? The purpose of this research was to investigate whether there are abnormal returns in the financial performance for publicly listed companies on the London Stock Exchange at the end of their lockup period. We sorted on venture capital backed companies and sought to explore differences between VC backed, Non-VC backed firms, and the entire market. The research question for this study is: ‘Does The theoretical aspects of this research’s ontological and epistemological views were set in positivism and objectivism with a deductive approach. The financial performance was key in this research, and it was essential to get ample and appropriate data, therefore a quantitative research method was used with an archival research strategy and explanatory research design. We explored a big research gap in this area after the financial crisis 2008, which made us look at IPOs from 2009 to 2012 with an event window as our time horizon. To answer the research question and fulfill our purpose, four hypotheses were developed with focus on VC backed firms, Non-VC backed firms, the entire market, and one shorter event window. Our results prove that the market efficiency theory does not hold. To answer the research question, we found negative abnormal returns after the lockup expiration date for both Non- VC backed firms and the entire market. However, we were unable to provide a statistically significant result for VC backed firms. There was an extra clear trend during the middle 20 days, and we suggest and encourage to further research with a longer time horizon than [- 20, +20] days.

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Lööf, Filip, and Casper Dahlberg. "The effects of analyst’s recommendations on stock prices and trade volumes : An event study on the Swedish market." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104582.

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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.

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Jakobsson, Ted, and Tobias Severin. "Post-Earnings Announcement Drift on the Swedish Stock Market : The Effect of Corporate Governance Quality." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-415726.

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This study examines the post-earnings announcement drift (PEAD) anomaly on the Swedish stock market. By constructing a corporate governance index based on share structure, board independence and board gender diversity, we test how the quality of firms’ corporate governance affects the drift – a link which is previously unexplored. We find no evidence of PEAD for firms with good corporate governance, while firms with bad corporate governance do experience a drift. Furthermore, a PEAD trading strategy based on bad governance firms yields significantly larger abnormal returns compared to the corresponding trading strategy for good governance firms. Our results are robust to controlling for the risk factors of the Fama-French 3-factor model. The findings support that investors tend to underreact to extreme earnings surprises reported by bad governance firms due to a higher degree of information uncertainty, while the stock price reactions are more complete for good governance firms.

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Andreasson, Axel, and Gustav Bergman. "The effect of corporate donations on a company’s market value in a short-term perspective : An event study approach." Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-20145.

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Background: Societies around the world have seen an increased willingness to contribute to social responsibilities activities. One way for corporations to commit to corporate social responsibility (CSR) have been to donate corporate assets. However, donating company assets has been questioned if justifiable. Arguments ranging from the missuses of assets to increased competitive advantage as a part of corporate strategy have been mentioned in connection to corporate donations. These different opinions have created an uncertainty of how corporate donations ultimately will affect a company’s market value. Objective: The objective of this thesis is to distinguish if corporate donations have a significant effect on a company’s market value. It is further examined if different amounts or recipient area of a donation significantly impacts the response to the donation. The aim is to understand if the donation amount is lost or if donating can create value for a company, possibly helping to motivate managers to donate and thus create value for our society. Method: An event-study methodology approach was used to examine abnormal returns associated with corporate donation announcements. Linear regressions were applied to distinguish if different donation amounts or if the recipient area played a significant role regarding how realised donation announcements is interpreted by the market. Result: No market significance regarding abnormal returns was found connected to donation announcements during any of the three studied event windows. The linear regressions performed revealed that the donation amounts significantly affect market reactions during a two day-period before an announcement as well as a seven day-period after the announcement day. Indicating information leakage and lagging reactions to the announcement. Recipient area was identified to not affect abnormal returns with the regressions for any of the investigated event windows. However, through an analysis of means, some specific cases where the donation amount and the recipient area resulted in a significant difference between groups were distinguished. Conclusion: No significant punishment to donating companies was found; hence no lost firm value was identified, indicating that the act of donating is not viewed as inappropriate by the market. Therefore, managers do not need to fear the market’s reactions when planning a corporate donation. Internal value can emerge from the act of donating, in the form of goodwill, brand image, reputation, company image, positioning or awareness. Further, it was determined that neither the donation amount nor the recipient area have a significant relation to the effect for any of the whole event windows tested. Bakgrund: Samhällen runt om i världen har upplevt en ökad strävan att bidra till samhällsansvar. Ett sätt som företag bidrar till detta är genom att donera sina tillgångar. Dock har användningen av företagstillgångar till detta ändamål ifrågasatts. Där argument som felanvändning av företagstillgångar till konkurrensfördel som en del av företagsstrategi har använts i samband med företagsdonationer. Dessa skilda åsikterna har skapat oklarhet kring hur företagsdonationer verkligen påverkar ett företags marknadsvärde. Syfte: Syftet med denna uppsatts är att urskilja om företagsdonationer har en signifikant effekt på ett företags marknadsvärde. Vidare undersöks om mängden som doneras har betydelse och om mottagarområdet påverkar den initiala reaktionen. Målet är att förstå om donationsvärdet går förlorat eller om donationer kan skapa värde för företag, vilket möjligen kan bidra till att motivera chefer att donera och på så vis skapa värde för samhället. Metod: Event-studiemetoden används för att undersöka abnormal avkastning som förknippas med offentliggörandet av företagsdonationer. Linjära regressioner används för att urskilja om olika donationsmängder eller mottagarområden har ett signifikant inflytande angående hur publikationen av en donation tolkas av marknaden. Resultat: Ingen marknadstäckande signifikans beträffande abnormal avkastning observerades kopplat till offentliggörandet av donationer under något av de tre testade eventfönstren. De linjära regressioner som utfördes avslöjar att donationsmängden signifikant påverkar marknadsreaktioner under en tvådagarsperiod innan offentliggörandet samt under en sjudagarsperiod efter annonseringsdagen. Detta indikerar att det finns informationsläckage och eftersläpande reaktioner kopplat till tillkännagivandet. Mottagarområde påverkade inte abnormal avkastning enligt de utförda regressionerna för något av de testade eventfönsterna. Däremot kunde vissa specifika fall urskiljas genom en medelvärdesanalys där donationsmängd och mottagarområde resulterade i en signifikant skillnad mellan grupperna. Slutsats: Ingen signifikant bestraffning mot donerande företag hittades, därav är inget förlorat företagsvärde identifierat; vilket indikerar att handlingen att donera inte anses som felaktig av investerare. Följaktligen behöver chefer inte bekymra sig för investerares reaktioner i samband med donationer. Inneboende värde kan skapas av akten att donera i form av goodwill, varumärke, rykte, företagssyn, positionering och/eller medvetenhet. Vidare kunde det fastställas att varken donationsmängden eller mottagarområdet har en signifikant relation till effekten under något av de testade eventfönsterna.

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Takamatsu, Renata Turola. "Accruals contábeis, persistência dos lucros e retorno das ações." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-19032012-192122/.

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A presente pesquisa foi desenvolvida com o objetivo de avaliar a capacidade dos investidores em interpretar os dados emanados pela Contabilidade; mais especificamente, analisou sua habilidade em compreender informações relativas ao lucro. De forma complementar, buscou analisar a existência de oportunidades de obtenção de ganhos econômicos por intermédio da adoção de estratégias de investimento com base em informações relativas aos accruals. A amostra compreendeu empresas não financeiras para as quais o banco de dados Economática dispunha de informações relativas ao período de 1995 a 2010. Foram descartadas da amostra as empresas com patrimônio líquido negativo, companhias com dados faltantes (missings), bem como observações com comportamento distinto dos demais (outliers). Por conta do baixo impacto dos números contábeis no mercado de capitais brasileiro detectado por Lopes (2005) esperava-se uma baixa presença da anomalia dos accruals no mercado de capitais brasileiro. Isso porque, países em que a importância dos lucros para os preços de mercado é reduzida, a precificação de ações seria menos influenciada pela fixação funcional no lucro final reportado o que, por sua vez, provocaria interferências na anomalia dos accruals (EL MEHDI, 2011). Para avaliar se a persistência dos componentes dos accruals era significativamente inferior aos componentes de fluxos de caixa, estimou-se uma regressão com dados em painel, na qual foi possível comprovar a hipótese de que os ajustes do regime de competência exibem uma menor persistência, com um parâmetro padronizado e estatisticamente significativo na regressão estimada de 0,43, enquanto os componentes de fluxos de caixa apresentaram um parâmetro de 0,53. A falta de significância estatística entre os accruals correntes e retornos anormais futuros das companhias estudadas, bem como, da ausência de retornos anormais significativos de estratégias baseadas em accruals demonstraram que uma baixa qualidade dos lucros correntes - devido a um alto nível de accruals - não resultou em retornos anormais negativos no período posterior. As proxies relativas a adoção das normas IFRS (International Financial Reporting Standards) e ao nível de investimentos - incluídas no modelo de regressão - compreendem parte das contribuições deste tralho, ainda que não se tenha identificado significância estatística para tais variáveis. Isso porque, por intermédio do teste-t, foi explicitada a ocorrência de uma relação entre o nível de acrruals e o crescimento do imobilizado. Tal resultado sugere indícios de que ambas as variáveis captariam o mesmo efeito, qual seja, a atividade investimento por parte das firmas (WEI; XIE, 2007; ZACH, 2007). Os resultados coadunam com as evidências detectadas por Cupertino (2010), ampliando os indícios sobre o comportamento do mercado frente a informações emanadas pela Contabilidade em mercados emergentes, além de explicitar a ausência da denominada anomalia dos accruals no mercado de capitais brasileiro. This research was developed to evaluate investors\' ability to interpret Accounting data, more specifically, to examine its ability to effectively understand earnings information. As a complement, we have analyzed the existence of economic opportunities to obtain abnormal returns through investment strategies based on accruals. The sample was composed by nonfinancial companies with available information in Economatica database from 1995 to 2010. We\'ve excluded firms with negative equity, missing data, as well as outliers. In countries in which profits importance to market price is lower, pricing of shares would be less influenced by the bottom line functional attachment, which in turn, would decrease the Accruals Anomaly (El MEHDI, 2011). Since Accounting numbers in Brazilian stock market have demonstrated low impact (LOPES, 2005) we previously expect a lower presence of the Accrual Anomaly. To assess whether persistence of accruals was significantly lower than cash flow component, we\'ve estimated a panel data regression, in which it was possible to prove our first hypothesis, that accrual\'s exhibit a lower persistence with a 0.43 estimated parameter, while the cash flows have presented a 0.53 parameter, both significantly different from 0 at the 0.05 level. The lack of statistical significance between current accruals and future abnormal returns among studied companies and the absence of significant abnormal returns in strategies based on accruals have demonstrated that a low quality of current earnings - due to a high level of accruals - did not result in a negative abnormal return, thereafter. Adding proxies to IFRS adoption and investment level can be considered as an additional contribution. Although these variables have shown no statically significance, we\'ve found a relationship, explicit by T-test, between accruals level and inventory growth, providing evidences that both variables would capture the same effect, namely, investments activity by firms (WEIK; XIE, 2007; ZACH, 2007). The results are consistent with Cupertino (2010) research, have increased evidences about market behavior to Accounting information in emerging markets, and explicit the absence of the Accrual Anomaly in Brazilian stock market.

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Andersson, Emmy, and Darko Draskovic. "Dreaming of Beating the Market : A Fundamental Analysis Study on the Stockholm Stock Exchange." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155705.

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The aim of this paper is to test and further improve fundamental analysis models developed by Piotroski (2000) and Rados and Lovric (2009). The improvement seeks to reverse the information in the previous models by taking relative importance and strength of both positive and negative fundamental signals into consideration. The theoretical framework used includes the efficient market hypothesis, fundamental analysis and investing in high book-to-market companies. The Piotroski model, two Rados’s and Lovric’s models and two variations of our model were tested on a portfolio consisting of high book-to-market companies from the Stockholm Stock Exchange during the period 1999-2008. The results show that our EDA Model was the most successful at identifying short selling candidates, as EDA Low portfolio rendered market adjusted returns of -19% on average. Moreover, our EDC model was the best performing at identifying buy-and-hold candidates, with an average annual market adjusted return of 31,5%. The success of our models implies that the market is not using the information captured by them fully and in a timely manner.

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Trembleau, Mathieu, and Gustavo Hiodo. "CAN ONE OUTPERFORM THE MARKET BY INVESTING IN SMALL AND." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1233.

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This study deals with one of the efficient market hypothesis’ anomaly. The research aims at proving theexistence of a size anomaly by answering the question: can you outperform the market by investing insmall and mid caps? It is in fact a questioning of the well-know efficient market hypothesis (EMH). Weinvestigate the size effect in the situation of a passive strategy with different indices (Russell Indices andS&P Indices) from 1995 to 2005.The introduction gives to the reader the background he needs to understand the methodology and theapproach of the issue by the authors. Key concepts are defined such as EMH, passive strategy.The second part exposes the methodology the authors choose and the methodology of exploited indices.The research consist on measuring the risk adjusting excess returns by comparing the market indexreturn (S&P 500 or Russell 3000) and the Small and Mid Caps indices (S&P Small Cap 600, S&P MidCap 400, Russell Mid Cap and Russell 2000) over the period. Indeed the methodology of indices isexposing in details to understand in which extent the study can be influence by the construction ofindices.Then in part 3 the authors describe theories that are possible explanations for the size effect. Then it isunderstandable that the size anomaly is the result of a set of factors that generate abnormal returns.These theories help the authors to come up with a model that gives an overview of the research.After having explained their research method and reveal their empirical findings. The authorsdemonstrate that excess returns can be earned by investing in small and mid caps indices even aftercontrolling for risk. The risk adjusting excess returns their findings can potentially be explained by theother factors depicted in the theoretical part. E/P ratios, Trading Costs, January effect, Overreaction arepossible reasons to explain the size anomaly. They also find an instability and/or reversal of the sizeeffect consistent with one of the theories. However the authors find data with non statistic significance,so I accept the null hypothesis that the excess returns of small and mid caps indices are equal to zero.The paper ends with a discussion about the limitations of the study and possible further researches. Theauthors conclude that even if the existence of a size effect is obvious for some years and horizons ofinvestment, the passive strategy appears to be an unsuited method to take advantage of the small effectsince the results reject the null hypothesis. The authors clarify the fact that before investing in small andmid caps, one has to be aware of all the factors that can influence his investment (beside risk) becausethe size effect is a set of factors.Key words: Efficient Market Hypothesis, Abnormal returns, Size effect (anomaly), Passive strategy,Market Index, S&P indices, Russell indices

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Bergman, Rickard, and Philip Gunnarsson. "Economic Value Added® applied on the American Stock Market : Can the EVA® fundamental analysis increase the returns to a hedge-portfolio strategy with stocks sorted after book-to-market valuation and size?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-143971.

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In this paper, the popular fundamental analysis model Economic Value Added is tested for any ability to generate returns above that explained by book-to-market effects on American large cap stocks. A zero net-investment hedge portfolio-test was undertaken where the Economic Value Added® fundamental analysis was applied on a sample of large cap stocks, sorted into quintiles after book to market valuation. The portfolio investing in the extreme quintiles gained positive returns between the years 1999 – 2010 equal to an average yearly total return of 7,32 %. During the test-period, the benchmark portfolio constituent of stocks sorted in the same way but without the Economic Value Added® analysis only managed to score returns equaling 2,3 %, adding evidence in favor of the Economic Value Added® analysis. The Economic Value Added also showed a better risk-profile than the benchmark portfolio, measured as the Modigliani Risk-Adjusted Performance over the entire period, further acknowledging the abnormal returns. However, the Economic Value Added® sample portfolios where unevenly distributed regarding number of stocks, foremost in the short-sold part for some years, mitigating the test as strong evidence in favor of the Economic Value Added® analysis. An independent samples t-test also did not reject the null hypothesis. Despite the mixed results of the test, the strength in the specification of sample and choice of method leads us to conclude that that the Economic Value Added® seems like a moderately effective tool for identifying mispriced stocks.

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Leathers, Edward K. J. "Bidding Wars and the Efficiency of Market Announcement Effects." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1030.

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Many studies have been performed on the short- and long-run abnormal returns to acquirers in acquisition attempts, but the topic of bidding wars is relatively unexplored. This piece performs an in-depth analysis of daily returns to both the public winners and losers in bidding war situations. It provides a counterargument to earlier findings that found that winners in bidding wars performed poorly compared to losers. I also fill in the gap in the analysis of short-term returns to paired winners and losers during and surrounding the bidding war. I find that winners perform significantly better than losers during certain critical periods in the bidding war, and this appears to signal the increased likelihood of the winner’s success. However, in the short-term, the market consistently misjudges the direction of the long-run benefits of the acquisition to the winner.

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Rosensand, Daniel, and Martin Karlsson. "The Signaling Effect of Insider Trading on the Swedish Stock Market." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-379557.

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This paper investigates the signaling effect of insider trading by analyzing the market reaction to 147 insider transactions executed within the period 2014-2016 on the Stockholm Stock Exchange. We present three major findings. First, we find significant market reactions for both insider purchases and insider sales, suggesting a signaling effect of insider trading. Second, we find the signaling effect to be similar for both insider purchases and insider sales. Third, we find that firm size has an influence on the signaling effect. Our findings indicate that the market values information about insider trading and that firm size has an effect on this informative value. Denna studie undersöker signaleringseffekten av insynshandel genom att analysera marknadsreaktionen för 147 insynstransaktioner utförda under perioden 2014-2016 på Stockholmsbörsen. Vi presenterar tre huvudsakliga upptäckter. Den första är att vi finner en signifikant marknadsreaktion för både köptransaktioner och säljtransaktioner utförda av insynspersoner vilket indikerar att det finns en signaleringseffekt av insynshandel. För det andra finner vi att signaleringseffekten är lika stark för både köptransaktioner och säljtransaktioner. För det tredje finner vi att bolagsstorlek har en påverkan på signaleringseffekten. Dessa upptäckter visar på att marknaden ser ett värde i information om insynshandel och att bolagsstorlek påverkar detta informationsvärde.

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Eliassen, Oliver, and Amelie Dahlgren. "Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-325919.

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In recent decades, many investors have abandoned hopes of achieving above market returns through active management, and consigned themselves to passive investing in the form of market capitalization based portfolios. Using Swedish stock exchange data from 2002-2016, this thesis investigates if there is a way to harmonize the strengths of active management, yielding potential above market returns, and passive index investing, implying lower fees and transparency. Based on observations from 275 companies, analysed through market model regressions, the results suggest that fundamentally invested value and quality portfolios create an alpha of 1-2 percent quarterly relative the market capitalization benchmark portfolio. Moreover, the results constitute basis for performing real investments, as they take into consideration the transaction costs implied by portfolio turnover. Furthermore, the findings of greater risk-adjusted returns through fundamentally weighted portfolios stand in opposition to the efficient market hypothesis.

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Novogradac, Charles. "An Evaluation of a Simple Merger Arbitrage Strategy in Middle-Market Mergers and Acquisitions." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2068.

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I investigate a simple merger arbitrage strategy with a focus on middle-market companies. I estimate [-1, 1] buy-and-hold abnormal returns (BHARs) and long-run BHARs of prospective middle-market acquirers after they announce an acquisition and test whether [-1, 1] BHARs are predictive of subsequent long-run holding period returns (HPRs) and long-run BHARs. The [-1, 1] BHARs are calculated for 57 acquiring companies, and then separated into two equal-weight portfolios: one of positive [-1, 1] BHARs (referred to as the long portfolio) and one of negative [-1, 1] BHARs (referred to as the short portfolio). I then calculate the HPR and long-run BHARs over the following time horizons: [2, 22], [2, 43], [2, 64], [2, 127], and [2, 253]. I perform a Student’s t-test comparing the means of the HPRs of the two portfolios and find that the long and short [2, 22] and [2, 64] HPRs have statistically different mean returns. Similarly, I perform a Student’s t-test comparing the means of the BHARs of the two portfolios and find that the difference in the means are not statistically significant. I also regress the different long-run BHARs on [-1, 1] BHARs, adjusted [-1, 1] BHARs, and normalized [-1, 1] BHARs. Adjusted [-1, 1] BHARs are adjusted for the effects of known predictive factors found in prior literature such as the type of payment. For example, if the type of payment is cash, 2.40 percentage points of the [-1, 1] BHAR is attributed to the cash payment. Normalized [-1, 1] BHARs divide each [-1, 1] BHAR by each security return’s standard deviation over the following trading days: [-22, -2]. I find [-1, 1] BHARs and adjusted [-1, 1] BHARs of middle-market lack statistically significant effects on long-run BHARs over the [2, 22], [2, 43], [2, 127], and [2, 253] horizons. [-1, 1] BHARs and adjusted [-1, 1] BHARs of middle-market firms have statistically significant effects on [2, 64] BHARs. Therefore, a possible merger arbitrage strategy may exist for predicting BHARs for the [2, 64] horizon. The strategy consists of an investor going long on all acquirers that have a positive [-1, 1] BHAR and short on all acquirers that have a negative [-1, 1] BHAR over the following trading days: [2, 64]. After the [-1, 1] BHARs are normalized, however, the normalized [-1, 1] BHARs are no longer statistically significant when predicting any long-run BHAR. On the whole, I find the Efficient Market Hypothesis – which states that the market efficiently prices the information released into the market after an acquisition announcement – is correct, at least with respect to the information contained in [-1, 1] BHARs.

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Faria, Emerson. "Underpricing of Brazilian Initial Public Offerings : An empirical analysis of the first-day trading performance of the Initial Public Offerings in the Brazilian market between January 2004 and April 2007." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1197.

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IPO underpricing is a phenomenon found in all markets worldwide. Investors are always looking for a good opportunity of short-term abnormal positive returns, and the IPOs first-day trading returns have been a good investment strategy for both institutional and private investors in all markets of the world.This study consists at an investor’s perspective analysis of the first-day returns of 59 IPOs listed on the Brazilian Stock Exchange Market from January 2004 to April 2007, where I have found a significantly mean positive underpricing of 6,60%.I have found also some evidences of a sprouting “hot-market” period in Brazil, since the number of the IPOs in Brazil has been growing almost in an exponential speed, taking advantage of the constant growing cash inflow and liquidity of the Brazilian market, followed by the high evaluation of the Ibovespa Index, with return of 140% on the study time frame.When categorizing the study by year, by underwriter (investment bank) and by market segment, I always have found positive adjusted initial returns, which corroborates the fact that underpricing is a constant phenomenon in the Brazilian market.Other important facts that were identified in this study is that the average returns of the IPOs are decreasing along the years and that companies that depend to a large extent on their human capital and are in the business areas that are staff intensive have a high level of underpricing while companies that have a high level of fixed assets have a low level of underpricing.Finally, after performing a multivariate linear regression analysis with the chosen independent variables on the full sample and some categorized samples, the results did not have enough statistical significance and consistence that could make them useful to create a statistical model to explain the underpricing level of Brazilian IPOs between January 2004 and April 2007.

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Axman, Lundbom Fredric, and Edward Nguyen. "En eventstudie om abnormal avkastning på spelsläpp hos svenska spelutvecklarbolag." Thesis, Södertörns högskola, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-45586.

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This essay examines the impact of game releases on the Swedish stock market. As previous research has examined product launches and news releases, this thesis intends to investigate game releases by game developer companies such as developers of computer, console or mobile games. Previous research has been based on a business perspective and business valuation, the authors of this thesis intend to examine the individual investor's perspective. The theoretical framework consists of information asymmetry, the signaling model, the effective market hypothesis, random walk hypothesis and market reaction to new products. The study has chosen a deductive quantitative research approach with the event study method. The sample consists of 14 game developer companies in computer, console and mobile games during theperiod 2017–2021 that are listed on the Swedish market, which were observed during a period of 180 days before the event day and 40 days after. The results showed that there is a statistically significant relationship before, after and during the event day for game releases.The period during and after the event day can also be generalized where 9/14 respective 10/14 game developer companies showed statistically significant within the accumulated abnormal return. Denna uppsats undersöker påverkan av spelsläpp på den svenska aktiemarknaden. Då tidigare forskning har undersökt produktlanseringar och nyhetssläpp ämnar denna uppsats att undersöka spelsläpp av spelutvecklarebolag som utvecklar PC-, konsol eller mobilspel. Tidigare forskning har utgått från ett företagsperspektiv och företagsvärdering, författarna för denna uppsats ämnar undersöka den individuella investerarens perspektiv. Det teoretiska ramverket består av informationsasymmetri, signaleringsmodellen, den effektiva marknadshypotesen, random walk hypothesis och marknadsreaktion till nya produkter. Studien har en deduktiv kvantitativa forskningsansats med eventstudie metoden. Urvalet består av 14 spelutvecklarebolag inom dator-, konsol- och mobilspel under tidsperioden 2017–2021 som är börsnoterade på den svenska marknaden. Dessa bolag observerades under en tidsperiod 180 dagar innan eventdagen och 40 dagar efter. Resultatet visade på att det finns ett statistiskt signifikant samband innan, efter och under eventdagen för spelsläpp. Perioden under och efter eventdagen kan även generaliseras där 9/14 respektive 10/14 spelutvecklarbolag visade på statistisk signifikant inom den ackumulerade abnormala avkastning.

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Öz, Izla. "Företagsförvärv : Abnorma avkastningseffekter på börsen vid olikheter i konjunkturläge respektive branschtillhörighet." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-6595.

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I denna studie har aktieutvecklingen hos förvärvade börsnoterade företag vid budets offentliggörande studerats. Företagen som förvärvades under lågkonjunkturen år 2007-2009, och högkonjunkturen år 2001-2004 har undersökts för att se om det finns någon skillnad i aktieprisutvecklingen som skulle kunna bero på vilket tillstånd ekonomin i samhället befinner sig. Därefter utreds om det finns en skillnad beroende på vilken bransch företagen befinner sig i. Studien förankras teoretiskt ur den effektiva marknadshypotesen där en semistark effektiv marknad antas. Denna grad av effektivitet antas vanligen för finansiella marknader och är den form som eventstudier utgår ifrån. Den undersökningsform som används i denna uppsats är en eventstudie och denna statistiska metod mäter marknadens reaktion på ny information. Den abnorma avkastningen har beräknats vilket sedan belysts genom tabeller och diagram, vilka i sin tur tolkats av en analytiker. Studien resulterade i att företagsförvärv i lågkonjunktur har högre abnorm avkastning än uppköp som sker under högkonjunktur. Uppsatsen uppvisade även att kommunikationssektorn hade en högre abnorm avkastning än resterande branscher. Share development of acquired companies listed at the bearer's publication has been studied. Companies acquired during the recession years 2007-2009 and the boom years 2001-2004 have been studied to see if there is any difference in the share price that would depend on what cyclical the economy in the society is. I have further investigated whether there is a difference depending on what industry the companies are active in. The study is anchored in theory from the efficient market hypothesis in which a semi-strong efficient market is assumed. This degree of efficiency is usually assumed in financial markets and is the form that event studies adopt. The survey form used in this paper is an event study and this statistical method measures the market’s reaction to new information. The abnormal return is calculated which is then illustrated by tables and charts, which in turn is interpreted by an analyst. The study showed that acquisitions in the recession had higher abnormal returns than purchases made during the boom. The paper also showed that the communications companies had a higher abnormal return than the remaining sectors.

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Henriques, Felipe Abad. "Estudo do comportamento do retorno das ações ao redor da data ex-distribuição de capital no mercado acionário brasileiro." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/9771.

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Submitted by Marcia Bacha (marcia.bacha@fgv.br) on 2012-05-09T20:07:57Z No. of bitstreams: 1 Dissertação Felipe Abad_vf_ajustada.pdf: 187905 bytes, checksum: 5977776224399c96e40832eb3146850a (MD5) Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-05-09T20:08:09Z (GMT) No. of bitstreams: 1 Dissertação Felipe Abad_vf_ajustada.pdf: 187905 bytes, checksum: 5977776224399c96e40832eb3146850a (MD5) Made available in DSpace on 2012-05-09T20:10:51Z (GMT). No. of bitstreams: 1 Dissertação Felipe Abad_vf_ajustada.pdf: 187905 bytes, checksum: 5977776224399c96e40832eb3146850a (MD5) Previous issue date: 2011 This study aims to evaluate the behavior of the stock return around exdistribution of capital days in the Brazilian stock market. Using the event study methodology we found evidences of an abnormal return around the event. It was found that the abnormal return persists among the period from 2000 to 2010. Additionally, we verify that for the Brazilian market it is not possible to assign the effect of taxes the cause of the abnormal results. Este estudo procura avaliar o comportamento do retorno das ações ao redor das datas ex-distribuição de capital no mercado acionário brasileiro. A partir da metodologia de estudo de eventos encontramos indícios da existência de um retorno anormal médio ao redor do evento. Constatou-se que o retorno anormal persiste do longo do período de 2000 até o fim de 2010. Adicionalmente verificamos que no caso brasileiro não é possível atribuir ao efeito dos impostos a presença do retorno anormal verificado.

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Santos, Alexandre Metello de Castro. "Post-earnings announcement drift no mercado de ações brasileiro." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/13718.

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Submitted by Alexandre Metello (alexandremetello@gmail.com) on 2015-03-06T20:48:35Z No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-05-08T16:13:06Z (GMT) No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-05-20T15:46:27Z (GMT) No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) Made available in DSpace on 2015-05-21T19:31:14Z (GMT). No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) Previous issue date: 2014-12-23 This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent literature about the subject, information contained in a firm’s earnings announcements is relevant for pricing of its stocks. Moreover, cumulative abnormal returns for stocks of firms that announce earnings with 'positive surprises' have positive tendency for some period after the earnings announcement. On the other hand, cumulative abnormal returns for stocks of firms that announce earnings with 'negative surprises' have negative tendency for some period after the earnings announcement. The identification of post-earnings announcement drift in the Brazilian stock market may be very useful for structuring of arbitrage strategies and portfolio management. After a theoretical review, the result is presented and shows itself partially consistent with the existent literature. Este trabalho busca testar a eficiência do mercado de ações brasileiro através da identificação da existência de post-earnings announcement drift, fenômeno já bastante estudado e reproduzido no mercado norte-americano. Segundo a literatura existente a respeito do assunto, a informação contida na divulgação de resultados de uma firma é relevante para a formação de preço de suas ações. Além disso, os retornos anormais acumulados de ações de firmas que divulgam resultados com 'surpresas positivas' possuem tendência positiva por algum tempo após a divulgação do resultado. Por outro lado, os retornos anormais acumulados de ações de empresas que divulgam resultados com 'surpresas negativas' possuem tendência negativa por algum tempo após a divulgação do resultado. A identificação de post-earnings announcement drift no mercado acionário brasileiro pode ser de grande utilidade para a estruturação de estratégias de arbitragem e gestão de portfólios. Após uma revisão teórica, o resultado é apresentado e se mostra parcialmente consistente com a literatura existente.

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Fagerstedt, Henrik, and Viktor Levinson. "Landslaget vinner – rationaliteten försvinner? : En studie av fotbollslandskampers påverkan på olika aktieindex." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-30409.

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Purpose The purpose of this study is to investigate whether abnormal return patterns can occur on different share indices, as a result of the outcome in national team matches. The subordinary aim is to investigate whether there are differences between the three share indices, (small-, mid- and large cap) depending on the match category and how it relates regarding the five countries in the study. Method This study has a positivistic and deductive approach, using a modified event study methodology. The event period is one day after the event. For each nation, year and share index, different estimation periods have been created. The study comprises 760 national team football matches and is investigating how each different share index is affected by match outcomes in championship matches, qualifying matches and friendlies. Results Upon compilation of all 760 matches, the result of this study shows a statistically significant impact on two of the three possible match outcomes, regarding small cap index. Furthermore the result also shows a connection between friendly matches and small cap index. The match categories championship matches and qualifying matches demonstrates no connection to the three diffrent kind of share indices. Regarding the different nations, Spain and their small- and large cap index shows the most significant connection between the match outcome and abnormal return. Conclusions The small cap share index is basically the only index that is affected by the all the matches that is involved in this study (after a victory or a loss). The magnitude of a match does not seem to have a greater influence on investor rationality. Over all, the match outcome draw does not lead to negative abnormal return. Of this studys five surveyed countries (England, France, Spain, Sweden and Germany), the english and german share indicies seems to be least likley to be affected by the outcome in national team football matches.

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Nardy, Andre. "Verificação da ocorrência do efeito índice no IBOVESPA, 2003-2012." Pontifícia Universidade Católica de São Paulo, 2014. https://tede2.pucsp.br/handle/handle/1093.

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Made available in DSpace on 2016-04-25T16:44:37Z (GMT). No. of bitstreams: 1 Andre Nardy.pdf: 1089149 bytes, checksum: bf93de2a1a852c7d9ef44cfa8f114323 (MD5) Previous issue date: 2014-02-12 The dynamics of abnormal returns , volume and betas is analyzed for Bovespa s stocks included or excluded from the Ibovespa index between 2003 and 2012, in a phenomenon known in the financial literature as the index effect, one of the oldest reported anomalies. Event studies are used with different settings of estimation window to measure abnormal returns and assess its effect on the calculation of return for the market model , since the calculation of the theoretical portfolio of Bovespa is known beforehand and is based on marketability and liquidity. No abnormal return is veryfied for shares on the date of their effective entry on the index, only abnormally high volumes. On the date of the first preview of inclusions positive abnormal returns and volumes are observed, and so on for excluded stocks. However, when we exclude from the sample companies with IPOs up to 3 years of its entry into the Bovespa Index and those assets included during the crisis of the financial markets, it appears tha abnormal returns do occur on the effective date, consistent with previous literature on the theme. The betas of the stocks included tend to covariate with greater force after inclusion in the index . With the results achieved market efficiency in the semi-strong form cannot be challenged for the Brazilian stock market, but there is a possible change in the occurrence of the index effect for the period studied, compared with previous studies Analisa-se a ocorrência para o Ibovespa de dinâmica anormal de retornos, volume e dos betas para as ações incluídas ou excluídas do índice, entre 2003 e 2012, em fenômeno conhecido dentro da literatura de finanças como Efeito índice, uma das anomalias mais antigas relatadas. Utilizam-se estudos de eventos em diferentes configurações de janela de estimação para medir os retornos anormais e avaliar o efeito da mesma na apuração de retorno pelo modelo de mercado, dado o cálculo da carteira teórica do Ibovespa ser conhecido de antemão e baseado em negociabilidade e liquidez. Não se encontram ocorrências de retorno anormal para a data de efetiva entrada das ações, apenas volumes anormalmente altos. Na data de primeira prévia das inclusões ocorrem retornos e volumes anormais positivos, o mesmo ocorrendo para exclusões. Entretanto, ao se excluir da amostra de inclusões as empresas com IPOs realizados até 3 anos de seu ingresso no Ibovespa e aqueles ativos incluídos durante a crise dos mercados financeiros, verifica-se retornos anormais na data de efetivação da nova carteira teórica, coerente com a literatura precedente. Os betas das ações incluídas tendem a covariar com maior força após a inclusão no índice. Com os resultados não é possível questionar a eficiência na forma semiforte para o mercado acionário brasileiro, porém verifica-se uma possível mudança na ocorrência do efeito índice para o período estudado, em comparação com estudos anteriores

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Werth, Luca Camilla. "Brazil’s 2014 presidential elections: the interconnection between election news and stock market behavior." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/15269.

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Submitted by Luca Werth (luca.camilla.werth@gmail.com) on 2016-02-13T14:21:02Z No. of bitstreams: 1 Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5) Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-02-15T11:43:25Z (GMT) No. of bitstreams: 1 Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5) Made available in DSpace on 2016-02-15T15:01:53Z (GMT). No. of bitstreams: 1 Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5) Previous issue date: 2016-01-19 This study researches whether there has been abnormal stock market behaviour in Brazil as a consequence of election news (observed via opinion polls), regarding the last Brazilian presidential election, held in October 2014. Via applying event study methodology, the research on the Ibovespa and Petrobras suggests that events in which Rousseff was gaining in share have been subject to negative abnormal returns, and events where Rousseff was loosing in share have led to positive abnormal returns. Moreover, volatility has been significantly elevated during the election period and volume has been found to have slightly increased. Este estudo investiga se houve comportamento anormal no mercado de ações no Brasil decorrente de notícias sobre as últimas eleições presidenciais brasileiras (através da utilização de sondagens), realizadas em outubro de 2014. Utilizando uma metodologia de estudos de evento (event studies), a investigação sobre o Ibovespa e a Petrobras sugere que, nos períodos em que Dilma melhorava a sua posição nas sondagens existiram retornos anormais negativos e, nos períodos em que Rousseff piorava a sua posição, existiram retornos anormais positivos. Além disso, a volatilidade foi bastante elevada durante o período eleitoral tendo o volume de transações aumentado ligeiramente.

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Rosenius, Niklas, and Gustav Sjöholm. "Arbitrage opportunities on the OMXS : How to capitalize on the ex-dividend effect." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-81173.

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Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. Dividend is a common tool for publicly listed firms when rewarding their shareholders. On ex- dividend day, the day after the dividend payout, the stock price should according to theory decrease in order for the valuation of the stock to be held constant. In our research we investigate if there are arbitrage opportunities in connection to the dividend payouts, namely the ex-dividend effect. We want to generalize our results across experimental settings, thus across different stock markets. As a basis for our research we picked the OMXS. We base our research on three theoretical areas: the dividend irrelevancy theory, the efficient market hypothesis and the anchoring theory. The dividend irrelevancy relates to how the stock price ought to behave on ex-dividend day whereas the efficient market hypotheses states that prices on a market fully reflects all available information. Both theories concur that no arbitrage opportunities should be available on the financial market. The anchoring theory highlights the fact that investors formulate an anchor price for financial assets, for example stocks. In our research we aim to formulate a practical method on how to make abnormal returns on the ex dividend effect, based on the anchoring theory. Our census sample consists of dividend-paying firms publicly registered on the OMXS, and consists of 694 observations taken from 2009 to 2012. The sample was picked on the basis of characteristics, for example that the firm has been registered for at least four years and paid dividend one time during the four years of investigation. In order to tests for arbitrage opportunities on ex-dividend day, we used a simple mathematical model measuring the deviation between the price drop cum-dividend day to ex-dividend day, and the dividend amount. We conclude that the price drop differs from the dividend amount, only accounting for a price drop of 0.73 of the dividend amount. Thus, the price drop for each dividend unit is 0.73, in relation to a perfectly efficient market where there should be no difference; hence the price drop would be equal to the dividend amount, 1. Research on the ex-dividend effect is a thoroughly investigated area, where the first research was presented in 1955. Previous research all attempts to explain why there are market anomalies, but none examine how one can capitalize on the findings. In our research we examine if it is possible to make abnormal returns based on a segmenting of stocks, depending on their price volatility. This research is thereby first in examining how to capitalize on found arbitrage opportunities.

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Singh, Paulin. "Ex-dagseffekten : En litteraturstudie kring ex-dagseffektens uppkomst och existens." Thesis, KTH, Fastigheter och byggande, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254851.

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Aktiemarknaden uppfattas som effektiv då aktiepriset faller i paritet med utdelningen på ex-dagen. Tidigare studier ger belägg för att aktiepriset faller med mindre än utdelningen. Att aktiepriset faller med mindre än utdelningsbeloppet på ex-dagen utgör ex-dagseffekten och innebär en avvikande avkastning för aktier kring ex-dagen. Ex-dagseffektens existens har genom historien undersökts och det råder delade meningar kring dess uppkomst och existens. Skattehypotesen, kortsiktiga handelshypotesen, mikrostrukturhypotesen och dispositions-effekten är fyra olika förklaringar till ex-dagseffektens uppkomst som ligger till grund för denna studie. Hypoteserna analyseras i samband med tidigare utförda studier och sedan dras slutsatsen att skattehypotesen är den mest uppmärksammade förklaringen till ex-dagseffekten. The stock market is perceived as efficient under the presumption that stock prices falls in parity with the dividends on the ex-dividend day. Earlier researches establish that stock prices rather falls with less than the amount of the dividend. The phenomen that the stock prices falls with less than the dividend constitutes the ex-div effect and implicate an abnormal return on the ex-dividend day. The existence of the ex-div effect has been examined through the history and there are shared opinions about its origin and existence. The tax hypothesis, the short-term trading hypothesis, the microstructure hypothesis and the disposition effect are four different explanations of the ex-div effect that forms the basis of this study. The hypotheses are analyzed in conjunction with earlier researches and the conclusion of the study is that the tax hypothesis is the most common explanation for the ex-div effect.

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47

Chen, Qing. "An Empirical analysis of the effects of market response to bank loan announcements in the Hong Kong stock market." Diss., Lincoln University, 2009. http://hdl.handle.net/10182/1205.

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This study will validate several key results from previous studies of bank loan announcement effects by using the data from Hong Kong market following the 1997 Asian crisis. Banks are believed to play a unique role in financial market which could effectively reduce the problem of information asymmetry and moral hazard. Banks could access borrowers’ inside information which is not available to other participants. Thus bank loan announcements convey valuable information to the market, and market response of the stock price should be positive. However, because of the significant reform in both financial market and information market, the valuation of bank loan announcement conveyed need to be reconsidered. This study investigates whether banks are still “unique” in the financial market or whether they are like middlemen between borrowers and investors. Data used in this study is collected from the Hong Kong Stock Exchange Index, and a standard event study with the market model is applied in the research to conduct the empirical analysis. The results suggest bank loan announcements are associated with significantly higher positive abnormal returns than non-bank loan announcements. Based on the market model of event study, market response is found to be significantly positive for loan syndication, short maturity loan and borrower’s debt ratio, and negatively related to firm size and loan size. Bank loans with refinancing and capital expenditure and no specific purpose have significantly higher positive abnormal returns, and borrowers with property and industrial industry type have more significant positive abnormal returns compared to other industry type. The findings also suggest the Hong Kong stock market is efficient in both strong and semi-strong form for bank loan announcements. A strong evidence of information leakage problem is found for non-bank loan announcements. The results are generally consistent with the existing literature.

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Jakobsson, Catrin, and Ola Henriksson. "Can money be made on Mondays? : An empirical investigation of the efficiency on the OMXS30." Thesis, Jönköping University, JIBS, Business Administration, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-12764.

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Purpose: The purpose of this thesis is to investigate if abnormal patterns concerning the rates of return during specific weekdays and months are observable for the companies in the OMXS30 during the period 2003-2010. A special focus will be put on the Monday effect anomaly.Background: Investors have a tendency to search for investment opportunities. If errors exist in the pricing of stocks it indicates that anomalies are present and that the stock market is inefficient. Investors then have the possibility to utilize the anomalies in order to receive above average returns. Method: This study is using data of stock prices from Nasdaq OMX in the period of 2003-2010. The strength and existence of the Swedish stock market efficiency is measured through autocorrelation-, chi-square- and regression tests. Average monthly stock returns are calculated on daily-, monthly-, and yearly basis. The returns are compared in order to examine if day-of-the-week and turn-of-the-year anomalies exist.Conclusion: No Monday effect is found in 2003-2010. However, positive Thursday- and positive Friday effects are detected. A negative turn-of-the-year effect as well as a positive April effect is found. The investment opportunities that could be utilized in 2003-2010 due to the specific anomalies in the period do not necessarily imply that the same anomalies can be expected on the OMXS30 in the future.

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Gairifo, Ricardo José Emídio. "Rendibilidades anormais nas vésperas dos anúncios de ofertas públicas de aquisição: aplicação ao mercado Euronext." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1310.

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Mestrado em Economia Monetária e Financeira Os anúncios de Ofertas Públicas de Aquisição (OPAs), na sua generalidade, influenciam significativamente as cotações em bolsa das sociedades visadas, conduzindo a oportunidades para os investidores com acesso a informação privilegiada antes do anúncio público, de obterem mais valias significativas com a compra e posterior venda das acções após o mesmo ser tornado público. O presente trabalho analisa a existência de rendibilidades anormais antes do anúncio ser tornado público para as sociedades visadas em Ofertas Públicas de Aquisição no Mercado Euronext de 2001 a 2007. De facto, constata-se a existência de movimentos anormais nas cotações antes dos anúncios mas a sua magnitude, medida pelo índice run-up revela-se substancialmente inferior à verificada em estudos empíricos anteriores. Além disso, grande parte do run-up pode ser explicado pela antecipação do mercado recorrendo a fontes legítimas, nomeadamente, pela especulação despoletada por notícias nos media quanto à possibilidade da empresa vir a ser visada numa futura oferta e pela participação da sociedade oferente na sociedade visada antes do anúncio. Tender Offers announcements, in general, influence significantly the stock prices of target firms, allowing investors with access to inside information to obtain significant profits buying stocks before announcement and selling them after the offer become public. The present study analyze the existence of abnormal returns in target firms before the announcement of Tender Offers become public in Euronext Stock Exchange from 2001 to 2007. The study revealed that there are abnormal movements in target stock prices, but the magnitude measured by run-up index is substantially lower than the magnitude calculated in previous empirical studies. Moreover, the largest part of run-up can be explain by market anticipation based in information obtained with resource to legitimate sources, namely media speculation and toehold of the bidder firm on the target firm before the announcement become public.

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Vasco, José João Saraiva. "Teste de eficiência semiforte do PSI20 no período 2008-2010." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3473.

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Mestrado em Finanças Neste estudo vai ser aprofundado o tema da eficiência dos mercados financeiros, testando essa eficiência na sua forma semiforte. Analisou-se, então, qual a eficácia da divulgação de factos relevantes por parte das empresas emitentes de acções cotadas admitidas à negociação no índice PSI20. Assim sendo, tentou-se determinar se a sua divulgação contém informação útil para o mercado, descobrir de que forma esta é incorporada no preço das acções e testar se há evidência empírica para concluir que há a possibilidade de alguém ter obtido rendibilidades consideradas anormais em torno do dia da divulgação dos factos relevantes escolhidos para o estudo. Para esse efeito, utilizou-se a metodologia clássica de estudos de acontecimentos (event studies). Através dela, foi testada a hipótese da eficiência semiforte do índice principal do mercado de acções português. Quanto à estrutura, começou-se por contextualizar este trabalho no tempo, apresentando um olhar sobre a conjuntura económica no período que escolhi para a análise (2008¬2010) e no período que o antecedeu. Após enquadrar a situação económica do mundo e feitos os alertas para uma fiscalização mais apertada nos mercados, apresenta-se o contexto legal do mercado português, encabeçado pela CMVM, no qual se fornecem dados sobre o dever de divulgação dos factos relevantes pelas sociedades cotadas. De seguida, foi feita uma revisão da literatura sobre o tema, procurando fazer a ponte entre os vários autores históricos que no século anterior se destacaram na análise da teoria da eficiência do mercado, mais especificamente no estudo de eventos, e os que estudaram e evoluíram o conceito já no século XXI. Quanto ao capítulo 4, dividiu-se em dois temas que podem enviesar a análise dos eventos: a análise técnica, utilizada pelos traders para negociar nos mercados financeiros, e as finanças comportamentais. Depois fez-se um breve resumo do mercado português e da constituição do PSI20. No capítulo 6, foi descrita a metodologia adoptada para o estudo, bem como a recolha dos dados. Assim, calculou-se a rendibilidade anormal (AR) que é a diferença entre a rendibilidade efectiva e a rendibilidade esperada. Os parâmetros desta última foram calculados pelo método dos mínimos quadrados (OLS). Depois calcularam-se a rendibilidade anormal média (AAR) e a rendibilidade anormal média acumulada (CAAR). Foi através destas que foram efectuados os testes à normalidade das rendibilidades para concluirmos se houve realmente evidência empírica que indicie a existência de rendibilidade anormal. Após essa descrição apresentam-se então, através dos testes descritos no capítulo anterior, os resultados empíricos. Foram igualmente apresentados os resultados dos testes efectuados por classificação dos eventos, divididos entre "Boas" e "Más" notícias, segundo as suas rendibilidades reais no dia 0. No capítulo final, foram tiradas conclusões sobre o trabalho efectuado e os resultados que este providenciou. As conclusões demonstram que o mercado português não é eficiente na sua forma semiforte. This study discusses the subject of efficiency of financial markets, testing the efficiency in its semi-strong form. Then, we analyzed how effective is the disclosure of relevant facts reported by companies that belong to index PSI20. Therefore, we attempted to determine whether disclosure contains information useful to the market, find out how that is incorporated into the share price and test whether there is empirical evidence to conclude the possibility of someone have obtained abnormal returns around the day of relevant fact's disclosure chosen for the investigation. To test we used the classic methodology of event studies. Through that, we tested the hypothesis of semi-strong efficiency of main index Portuguese stock market. At the first chapter, we began to contextualize this work in time, presenting a look at the economic situation in the period chosen for analysis (from 1st January 2008 to 31th December 2010) and the period that preceded it. After framing world's economic situation and made the alerts for a stricter monitoring the markets, it presents the legal context of the Portuguese market, spearheaded by CMVM, where we provide data about the duty of disclosure relevant facts by listed companies at PSI20. Next, we performed a literature review about the market informational efficiency's theory, trying to bridge the gap between several historical scholars in the previous century who studied the subject of market efficiency, more specifically in the event studies, and those who have studied and developed the concept already at the 21th century. At chapter 4, we divide it into two issues that may skew the analysis of events: the technical analysis, used by traders at financial markets, and behavioral finance. Then, we did a brief summary of Portuguese market and the formation of PSI20. At chapter 6, we described the methodology adopted for the study and data collection. Thus, we calculated the abnormal return (AR) which is the subtraction between the actual return and expected return. About expected return, the parameters we calculated by the method of least squares (OLS). Then, we calculated the average abnormal return (AAR) and cumulative average abnormal return (CAAR). It was through AAR and CAAR that we formulated the hypothesis of normality of returns in order to conclude if there was empirical evidence that indicates the existence of abnormal returns. After that description is then presented the empirical results of the tests described in the previous chapter. We also presented results of tests according to the categorization of announcement, "Good news" and "Bad news", based on the day 0's rate of return. The final chapter reveals the conclusions and the results provided. The findings show us that the Portuguese market is not efficient in its semi-strong form.

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Dissertations / Theses on the topic 'Market Returns (MKTR) and Abnormal Returns'

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