Finnish Short-Term Stock Returns

Functioning capital markets are a crucial part of a competitive economy since they provide the mechanisms to allocate resources. In order to be well functioning a capital market has to be efficient. Market efficiency is defined as a market where prices at any time fully reflect all available information. Basically, this means that abnormal returns cannot be predicted since they are dependent on future, presently unknown, information. The debate of market efficiency has been going on for several decades. Most academics today would probably agree that financial markets are reasonably efficient since virtually nobody has been able to achieve continuous abnormal positive returns. However, it is clear that a set of return anomalies exists, although they are apparently to small to enable substantial economic profit. Moreover, these anomalies can often be attributed to market design. The motivation for this work is to expand the knowledge of short-term trading patterns and to offer some explanations for these patterns. In the first essay the return pattern during the day is examined. On average stock prices move during two time periods of the day, namely, immediately after the opening and around the formal close of the market. Since stock prices, on average, move upwards these abnormal returns are generally positive and cause the distinct U-shape of intraday returns. In the second essay the results in the first essay are examined further. The return pattern around the former close is shown to partly be the result of manipulative action by market participants. In the third essay the focus is shifted towards trading patterns of the underlying stocks on days when index options and index futures on the stocks expire. Generally no expiration day effect was found. However, some indication of an expiration day effect was found when a large amount of open in- or at-the-money contracts existed. Also, the effects were likelier to be found for shares with high index-weight but fairly low trading volume. Last, in the forth essay the attention is turned to the behaviour of different tax clienteles around the dividend ex-day. Two groups of investors showed abnormal trading behaviour. Domestic non-financial investors, especially domestic companies, showed a dividend capturing behaviour, i.e. buying cum-dividend and selling ex-dividend shares. The opposite behaviour was found for foreign investors and domestic financial institutions. The effect was more notable for high yield, high volume stocks.

Corporate Governance in China (summary section only)

The negative relationship between economic growth and stock market return is not an anomaly according to evidence documented in many economies. It is argued that future economic growth is largely irrelevant for predicting future equity returns, since long-run equity returns depend mainly on dividend yields and the growth of per share dividends. The economic growth does result in a higher standard of living for consumers, but does not necessarily translate into higher returns for owners of the capital. The divergence in performance between the real sector and stock markets appears to support the above argument. However, this thesis strives to offer an alternative explanation to the apparent divergence within the framework of corporate governance. It argues that weak corporate governance standards in Chinese listed firms exacerbated by poor inventor protection results into a marginalized capital market. Each of the three essays in the thesis addresses one particular aspect of corporate governance on the Chinese stock market in a sequential way through gathering empirical evidence on three distinctive stock market activities. The first essay questions whether significant agency conflicts do exist by building a game on rights issues. It documents significant divergence in interests among shareholders holding different classes of shares. The second essay investigates the level of agency costs by examining value of control through constructing a sample of block transactions. It finds that block transactions that transfer ultimate control entail higher premiums. The third essay looks into possible avenues through which corporate governance standards could be improved by investigating the economic consequences of cross-listing on the Chinese stock market. It finds that, by adopting a higher disclosure standard through cross-listings, firms voluntarily commit themselves to reducing information asymmetry, and consequently command higher valuation than their counterparts.

Angel Investing in Finland: An Analysis Based on Agency Theory and the Incomplete Contracting Theory

Wealthy individuals - business angels who invest a share of their net worth in entrepreneurial ventures - form an essential part of an informal venture capital market that can secure funding for entrepreneurial ventures. In Finland, business angels represent an untapped pool of capital that can contribute to fostering entrepreneurial development. In addition, business angels can bridge knowledge gaps in new business ventures by means of making their human capital available. This study has two objectives. The first is to gain an understanding of the characteristics and investment behaviour of Finnish business angels. The strongest focus here is on the due diligence procedures and their involvement post investment. The second objective is to assess whether agency theory and the incomplete contacting theory are useful theoretical lenses in the arena of business angels. To achieve the second objective, this study investigates i) how risk is mitigated in the investment process, ii) how uncertainty influences the comprehensiveness of due diligence as well as iii) how control is allocated post investment. Research hypotheses are derived from assumptions underlying agency theory and the incomplete contacting theory. The data for this study comprise interviews with 53 business angels. In terms of sample size this is the largest on Finnish business angels. The research hypotheses in this study are tested using regression analysis. This study suggests that the Finnish informal venture capital market appears to be comprised of a limited number of business angels whose style of investing much resembles their formal counterparts’. Much focus is placed on managing risks prior to making the investment by strong selectiveness and by a relatively comprehensive due diligence. The involvement is rarely on a day-to-day basis and many business angels seem to see board membership as a more suitable alternative than involvement in the operations of an entrepreneurial venture. The uncertainty involved does not seem to drive an increase in due diligence. On the contrary, it would appear that due diligence is more rigorous in safer later stage investments and when the business angels have considerable previous experience as investors. Finnish business angels’ involvement post investment is best explained by their degree of ownership in the entrepreneurial venture. It seems that when investors feel they are sufficiently rewarded, in terms of an adequate equity stake, they are willing to involve themselves actively in their investments. The lack of support for a relationship between increased uncertainty and the comprehensiveness of due diligence may partly be explained by an increasing trend towards portfolio diversification. This is triggered by a taxation system that favours investments through investment companies rather than direct investments. Many business angels appear to have substituted a specialization strategy that builds on reducing uncertainty for a diversification strategy that builds on reducing firm specific (idiosyncratic) risk by holding shares in ventures whose returns are not expected to exhibit a strong positive correlation.

Repercusión económica de la certificación medioambiental ISO 14001

Este trabajo ha sido realizado bajo el marco de objetivos del Grupo de Investigación de Excelencia CREVALOR reconocido por la Diputación General de Aragón.

Aplicación de la teoría de carteras con activos numismáticos y metales preciosos

[ES] El objetivo del trabajo es la construcción de diferentes carteras compuestas por activos numismáticos de oro y metales nobles (oro, plata, platino, paladio y rodio); con el fin de construir aquella cartera que mejor se adapte al inversor, acorde a su perfil y conocer cuál es la Cartera del Mercado. Para ello, mediante la Teoría de Carteras (Markowitz, 1952; 1959), construiremos la Frontera Eficiente y trazaremos la Línea del Mercado de Capitales o CML.

O sistema de controle gerencial em empresas petrolíferas: um estudo de caso múltiplo: os casos da Petróleo Brasileiro S/A. (Petrobras) e da Shell Brasil Ltda

A partir da metade do século passado, a industrialização no Brasil entrou numa fase de grande expansão gerando um aumento na demanda por combustíveis. Neste contexto, a indústria petrolífera tomou um grau de importância espetacular que continua até hoje. O desempenho das empresas ligadas a cadeia de valor de combustíveis passaram a ser importantes para toda a economia, quer pela influência nos custos, como no mercado de capitais, pelos grandes investimentos que requerem. O presente estudo visa analisar os sistemas de controle gerencial das empresas Petróleo Brasileiro S/A (Petrobras) e Shell Brasil Ltda. Tendo como objetivo verificar se os seus sistemas de controle gerenciais estão aderentes a literatura sobre esse tema. A pesquisa de estudo de caso múltiplo foi executada através de entrevista com gerentes das duas petrolíferas sobre objetivos organizacionais, contabilidade por responsabilidade, processo orçamentário, balanced scorecard (BSC) e Enterprise Resource Planning (ERP). Também foram coletadas informações institucionais publicadas pelas duas empresas.

Análise comparativa dos modelos de cálculo dos retornos anormais utilizando o evento recompra de ações na Bovespa

Este trabalho tem por objetivo verificar se há diferença quanto ao nível de significância estatística no cálculo do retorno anormal realizado através de quatro modelos estatísticos utilizados em estudos de eventos, tendo como objeto de estudo empresas no mercado de ações no Brasil durante o período de março de 2003 até julho de 2010 na Bovespa. Considerando a importância do cálculo do retorno anormal nos estudos de eventos, bem como possíveis variações de resultados decorrentes da escolha do modelo de cálculo, este estudo utiliza um tema bastante conhecido, qual seja, o anúncio de recompra de ações feito pela própria companhia emissora dos títulos. A metodologia utilizada nesta pesquisa foi quantitativa, utilizando o estudo de corte transversal. Os resultados apontam que há diferença entre os níveis de significância encontrados. Ao analisar o gráfico dos modelos calculados no período da janela do evento, verificou-se que as empresas que recompraram ações a fizeram quando os papéis estavam com retorno anormal acumulado negativo e, após a recompra, os papéis tiveram retornos anormais acumulados positivos. Recalculou-se os dois modelos que utilizam o Ibovespa em sua fórmula de cálculo, através de um Ibovespa sem ponderação e conclui-se que os resultados apontam na direção de se evitar o uso de índices ponderados de mercado, preferindo a utilização de carteiras compostas apenas com uma ação para cada empresa componente da carteira de controle. Após este recálculo, verificou-se que o modelo que era menos próximo dos demais graficamente era o modelo de retorno ajustado ao mercado ponderado. Por fim, as evidências empíricas indicam que o mercado de capitais brasileiro ajusta tempestivamente os papéis das empresas que realizaram recompra de ações, em linha com o que prescreve a hipótese do mercado eficiente na sua forma semiforte.

O Impacto da colocação secundária na performance das firmas

O objetivo do presente trabalho foi examinar o desempenho das firmas em períodos próximos à realização da colocação secundária, perfazendo uma análise das pesquisas relatadas sobre o evento. Como constatado na literatura, os agentes alienam sua participação acionária por motivos diversos e, dependendo do tipo de informação que o alienante possui, a performance das ações e operacional das firmas tendem a ser robusto em momentos próximos ao fenômeno e fraco conforme vai se distanciando do mesmo. Foi a demonstração dessa repercussão que se buscou comprovar nesse trabalho, tratando de diferenciar os efeitos no mercado quando a venda é feita por um detentor de informação privilegiada da que é realizada por um alienante que não detém esse tipo de informação. O que se depreende da literatura é que os agentes no momento da venda de suas ações tendem a se aproveitar da janela de oportunidade. Apresentando ainda as teorias levantadas sobre o tema, percebe-se que elas possuem um poder de explicação sobre o que ocorre no mercado de capitais no momento da distribuição secundária.

Relational dimensions of corporate governance in translation: networked governance in China and India

The effectiveness of corporate governance mechanisms has been a subject of academic research for many decades. Although the large majority of corporate governance studies prior to mid 1990s were based on data from developed market economies such as the U.S., U.K. and Japan, in recent years researchers have begun examining corporate governance in transition economies. A comparison of China and India offers a unique environment for analyzing the effectiveness of corporate governance. First, both countries state-owned enterprise (SOE) reform strategies hinges on the Modern Enterprise System characterized by the separation of ownership and control. Ownership of an SOE’s assets is distributed among the government, institutional investors, managers, employees, and private investors. Effective control rights are assigned to management, which generally has a very small, or even nonexistent ownership stake. This distinctive shareholding structure creates conflict of interest not only between management (insiders) and outside investors but also between large shareholders and minority investors. Moreover, because both governments desire to retain some control—in part through partial retained ownership of commercialized SOEs, further conflicts arise between politicians and firms. Second, directors in publicly listed firms in both countries are predominantly drawn from institutions with significant non-market objectives: the government and other state enterprises, particularly in China, and extended families, particularly in India. As a result, the effectiveness of internal governance mechanisms, such as the number of independent directors on the board and the number of independent supervisors on the supervisory committee, are likely to be quiet limited, although this has yet to be fully evaluated. Third, because of the political nature of the privatization process itself, typical external governance mechanisms, such as debt (in conjunction with appropriate bankruptcy procedures), takeover threats, legal protection of investors, product market competition, etc., have not been effective. Bank loans have traditionally been viewed as grants from the state designed to bail out failing firms. State-owned banks retain monopoly or quasi-monopoly positions in the banking sector and profit is not their overriding objective. If political favor is deemed appropriate, subsidized loans, rescheduling of overdue debt or even outright transfer of funds can be arranged with SOEs (soft budget constraints). In addition, a market for private, non-bank debt is limited in India and has yet to be established China. There is no active merger or takeover activity in Chinese stock markets to discipline management. Information available in the capital markets is insufficient to keep at arm’s length of the corporate decisions. In light of the above peculiarities, China and India share many of the typical institutional characteristics as a transition economy, including poor legal protection of creditors and investors, the absence of an effective takeover market, an underdeveloped capital market, a relative inefficient banking system and significant interference of politicians in firm management. Su (2005) finds that the extent of political interference, managerial entrenchment and institutional control can help explain corporate dividend policies and post-IPO financing choices in this situation. Allen et al. (2005) demonstrate that standard corporate governance mechanisms are weak and ineffective for publicly listed firms while alternative governance mechanisms based on reputation and relationship have been remarkably effective in the private sector. Because the peculiarities are significant in this context, the differences in the political-economies of the two countries are likely to be evident in such relational terms. In this paper we explore the peculiarities of corporate governance in this transitional environment through a systematic examination of certain aspects of these reputational and relationship dimensions. Utilising the methods of social network analysis we identify the inter-organisational relationships at board level formed by equity holdings and by shared directors. Using data drawn from the Orbis database we map these relations among the 3700 largest firms in India and China respectively and identify the roles played in these relational networks by the particularly characteristic institutions in each case. We find greatly different social network structures in each case with some support in these relational dimensions for their distinctive features of governance. Further, the social network metrics allow us to considerably refine proxies for political interference, managerial entrenchment and institutional control used in earlier econometric analysis.

Does Gender Matter? Women Business Angels and the Supply of Entrepreneurial Finance

There is a substantial literature on the relationship between gender and access to finance. However, most studies have been concerned with access to debt finance. More recently, the focus of this research has broadened to examine women and venture capital. This article extends the focus further by examining the role of women in the business angel market, which is more important than the formal venture capital market in terms of both the number of ventures supported and total capital flows. Based on a detailed analysis of business angels in the U.K., the study concludes that women investors who are active in the market differ from their male counterparts in only limited respects. Future research into women business angels, and the possible existence of gender differences, needs to be based on more fully elaborated standpoint epistemologies that focus on the experience of the woman angel investor per se, and center on the examination of the role of homophily, social capital, networking, and competition in investment behavior.

Factor markets in England before the Black Death

Modern English factor markets originated during the two centuries of active commercialization that preceded the Black Death. An active labour market was established by the late twelfth century. Evolution of a land market followed the legal reforms of the 1170s and 1180s, which created legally secure and defensible property rights in land. These rights stimulated growth of a capital market, since land became a security against which credit could be obtained. Nevertheless, none of these nascent factor markets functioned unconstrained and each became embedded in legal, tenurial, and institutional complexities and rigidities which it took later generations centuries to reform.

Accounting, Regulation and Profitability: The Case of PFI Hospital Refinancing

The refinancing of PFI (Private Finance Initiative) projects represents one of the most contentious aspects of Public Private Partnerships (PPPs) in the UK. The negative publicity associated with UK PFI refinancing deals is associated with several factors, including, evidence of massive private sector profit making, the failure of private sector financiers to share refinancing profits and, lastly, private sector frustration of adequate regulatory intervention in this area. Utilising a dynamic model of capital market and state interaction, this paper explains these outcomes as a function of effective private sector lobbying of bureaucratic state agencies to alter the structure of accounting, accountability and regulation with the goal of securing favourable profit and risk outcomes. These dynamics are illustrated with reference to the history of UK PFI refinancing and a case study of one of the projects where these gains reached extreme levels.

Taking pluralism seriously:Embedded moralities in management accounting and control systems

Professor Norman Macintosh has long been a leading, and at times a dissonant, voice in critical accounting studies, exhibiting an intellectual dexterity seldom encountered in the accounting academy. His work ranges from the application of traditional organizational theories within work organizations to poststructural renderings of capital market exigencies. Here, we consider and extend Professor Macintosh's work contemplating the morality embedded within, and propagated by, management accounting and control systems (macs). We begin with Macintosh (1995) employing structuration theory in investigating the ethics of profit manipulation within large, decentralized corporations. The work highlights the fundamental dialectical contradictions within these work organizations, demonstrates the indeterminacy of traditional ethical reasoning, and shows the extent to which macs provide legitimating underpinnings for management action. We propose to extend the conversation using the tools provided in Macintosh's subsequent work: a Levinasian ethic (Macintosh et al., 2009), and heteroglossic accounting (Macintosh, 2002)—both emerging from his poststructuralist predilections. A Levinasian perspective provides an ontologically grounded ethic, and heteroglossic accounting calls for multiple accountings representing alternative moral voices. A critical dialogic framework is proposed as a theoretic for imagining heteroglossic accounting that takes pluralism seriously by recognizing the reality of irresolvable differences and asymmetric power relationships associated with assorted moral perspectives.

Happy hour followed by hangover: financing the UK brewery industry, 1880-1913

In the last 15 years of the nineteenth century c.300 British brewers incorporated and floated securities on the stock market. Subsequently, in the 1900s, the industry suffered a long-lived hangover. In this paper, we establish the stylised facts of this transformation and estimate the gains enjoyed by brewery investors during the boom as well as the losses suffered by investors during the bust of the 1900s. However, not all brewery equity shares suffered alike. We find that post-1900 performance correlates positively with capital-market discipline and good corporate governance and negatively with family control, but does not correlate with indebtedness.