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  • 1.
    Ai Jun, Hou
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Magnus, Wiktorsson
    Rui Zhi, Zhao
    Variance based efficiency test of OMX index option markatIn: European Journal of Finance, ISSN 1351-847X, E-ISSN 1466-4364Article in journal (Refereed)
    Abstract [en]

    n this paper, followed by the market efficiency definition of the absence of arbitrage opportunity in the market, we test the market efficiency of the OMXS30 index option market.

    We first check the arbitrage opportunity by examining the boundary conditions and the

    Put Call Parity that must be satisfied in the market. Then a variance based efficiency test is performed by establishing a

    risk neutral portfolio and re-balancing the initial portfolio in different trading strategies. In order to choose the most appropriate model for option price and hedging strategies, we calibrate several most applied models, i.e. the Black Scholes, Merton, Heston, Bates, and Affine Jump Diffusion models. Our results indicate that the Affine Jump Diffusion model significantly outperforms other models in the option price forecast and the trading strategies. Both the boundary and the Put Call Parity tests and the dynamic hedging strategy give evidence that no significant abnormal returns can be obtained in the OMXS30 option market, thereby supporting the market efficiency.

  • 2.
    Ai Jun, Hou
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Sandy, Suardi
    Modeling and forecasting short-term interest rate volatility: a semi-parametric approach2011In: Journal of Empirical Finance, ISSN 0927-5398, E-ISSN 1879-1727, Vol. 18, no 4, 692-710 p.Article in journal (Refereed)
    Abstract [en]

    This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the conditional variance. Moreover, the semiparametric approach yields robust volatility estimates even if the short rate drift function and the underlying innovation distribution are misspecified. Empirical investigation with the U.S. three-month Treasury bill rates suggests that the semiparametric procedure produces superior in-sample and out-of-sample forecast of short rate changes volatility compared with the widely used single-factor diffusion models. This forecast improvement has implications for pricing interest rate derivatives.

  • 3.
    Almqvist, Roland
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Accounting.
    Högberg, Olle
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Public-Private Partnership in Social Services – ten years of contract management in the City of Stockholm 2005In: 28th annual congress of the European Accounting Association, Gothenburg, Sweden 18 – 20 May. , 2005Conference paper (Other academic)
  • 4.
    Almqvist, Roland
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Accounting.
    Högberg, Olle
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Public-private partnership in social services: the example of the City of Stockholm2005In: The challenge of public-private partnerships: learning from international experience / [ed] Graeme Hodge, Carsten Greve, Cheltenham: Edward Elgar Publishing , 2005Chapter in book (Other academic)
  • 5. Asgharian, Hossein
    et al.
    Christiansen, Charlotte
    Hou, Ai Jun
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Effects of Macroeconomic Uncertainty on the Stock and Bond Markets2015In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 13, 10-16 p.Article in journal (Refereed)
    Abstract [en]

    In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high.

  • 6.
    Baron, Matthew
    et al.
    Johnson Graduate School of Management, Cornell University.
    Brogaard, Jonathan
    Foster School of Business, University of Washington.
    Hagströmer, Björn
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Kirilenko, Andrei
    Brevan Howard Centre for Financial Analysis, Imperial College Business School.
    Risk and Return in High-Frequency TradingIn: Journal of financial and quantitative analysis, ISSN 0022-1090, E-ISSN 1756-6916Article in journal (Refereed)
    Abstract [en]

    We study performance and competition among high-frequency traders (HFTs). We construct measures of latency and find that differences in relative latency account for large differences in HFTs’ trading performance. HFTs that improve their latency rank due to colocation upgrades see improved trading performance. The stronger performance associated with speed comes through both the short-lived information channel and the risk management channel, and speed is useful for various strategies including market making and cross-market arbitrage. We find empirical support for many predictions regarding relative latency competition.

  • 7. Brogaard, Jonathan
    et al.
    Hagströmer, Björn
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Nordén, Lars
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Riordan, Ryan
    Trading Fast and Slow: Colocation and Liquidity2015In: The Review of financial studies, ISSN 0893-9454, E-ISSN 1465-7368, Vol. 28, no 12, 3407-3443 p.Article in journal (Refereed)
    Abstract [en]

    We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly by participants who engage in market making. Those that upgrade use their enhanced speed to reduce their exposure to adverse selection and to relax their inventory constraints. In particular, the upgraded trading entities remain competitive at the best bid and offer even when their inventories are in their top decile. Our results suggest that increasing the speed of market making participants benefits market liquidity.

  • 8.
    Brunzell, Tor
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Case Study - scandiwall.se & familjetapeter.se2015Other (Other (popular science, discussion, etc.))
    Abstract [sv]

    Scandiwall.se var den första siten att se dagens ljus och lanserades med syftet att erbjuda ett stort och exklusivt sortiment av fototapeter med skandinavisk inriktning. Idag har sortimentet breddats något och innehåller förutom fototapet också:

    • Canvastavlor

    • Ramade tavlor

    • Möjlighet att ladda upp och trycka en egen bild som fototapet eller på canvas

  • 9.
    Brunzell, Tor
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    High-frequency Trading–to Regulate or Not to Regulate-That is the Question?: Does Scientific Data Offer an Answer?2013In: Journal of Business and Financial Affairs, ISSN 2167-0234, Vol. 2, no 1, 1-4 p.Article in journal (Refereed)
    Abstract [en]

    High-frequency trading (HFT) certainly captures public (and regulatory) attention. On May 6th 2010, the Dow Jones (DJ) experienced its largest intraday point drop in history, shedding $1 trillion of its market value in half an hour. Largely as a consequence of the event– named Flash Crash–regulatory authorities sharpened the regulations concerning HFT: in the U.S., circuit breakers were introduced [1], and the European Union made regulative changes that require equity orders to delay for at least half a second. Also, in the markets, there has been a demand for introducing a financial transactions tax (FTT) in order to discourage high frequency trading.

    So, what is high-frequency trading? And why should it be regulated? And if it is regulated, how should that regulation be designed? In this editorial article, I will focus on existing scientific evidence on how HFT affects the market, and on the big questions about HFT that remain unanswered.

  • 10.
    Brunzell, Tor
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    What Aspects of a Board’s Work are Really Important?2012In: Journal of Business and Financial Affairs, ISSN 2167-0234, Vol. 1, no 2, 1-3 p.Article in journal (Refereed)
    Abstract [en]

    In this editorial article, I will discuss what chairmen and CEOs perceive to be the most and least important aspects of their board’s work for a high-quality outcome. I focus on the chairman and CEO because they are the two most important persons affected by their board’s work, but they have different roles and perspectives. The chairman leads the board, while the CEO leads the company’s daily operations.

    How should we attempt to answer the following question: which aspects of the board’s work are more important and which are less important? The most direct method is to ask chairmen and CEOs. Therefore, I will base my discussion on data from a questionnaire sent to Nordic listed companies that asked chairmen and CEOs how they perceive different aspects of the work on the board they serve. The respondents responded on a 1-5 Likert-scale. An optimal model is estimated for each working aspect, starting with an overall satisfaction question.

  • 11.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Hansson, Mats
    Liljeblom, Eva
    The use of derivatives in Nordic firms2011In: European Journal of Finance, ISSN 1351-847X, E-ISSN 1466-4364, Vol. 17, no 5-6, 355-376 p.Article in journal (Refereed)
    Abstract [en]

    We contribute to the previous literature on the use of derivatives by studying separately the determinants of profit seeking versus those of hedging. In our sample of listed firms from four Nordic countries, about 62% use derivatives. Although the hedging motive clearly dominates, over half of the firms give some weight for additional income as a motive for the use of derivatives. Combining survey data on the use of derivatives with financial variables, data on management and blockholder ownership, and data on firm-level diversification, we find that very different determinants drive the use of derivatives for these two motives. Firm-level diversification is negatively related to hedging, but is positively related to the use of derivatives for additional income. Financial firms use derivatives more for profit than for hedging. We also find weak support for a value-increasing effect of the use of derivatives.

  • 12.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Holm, Sören
    Jonsson, Bengt
    A Model of Optimal Dividend Policy to Maximize Shareholder Wealth: When Taxes are Considered2013In: Journal of Business and Economics, ISSN 2155-7950, Vol. 5, no 7, 1068-1078 p.Article in journal (Refereed)
    Abstract [en]

    The article analyzes theoretically how a firm maximizes the value of shareholder’s wealth with its dividend policy. Corporate dividend policy is one of the major puzzles with modern finance. The overall question is whether company should pay out dividend at all. However, the large majority of listed companies pay dividend and they also carry sophisticated dividend policies. In this paper we outline when it is optimal for a company to pay out dividend and when it should reinvest the profit from operations. The model takes taxes in to consideration estimating the value of a company, i.e., the present value after deduction for taxes, is used as objective function.Four different taxes are considered. The analysis shows the terms on which it is profitable to receive dividend payout or to reinvest at an arbitrary time. Under the assumption of a unique maximum net present value, the terms at the time for the maximum net present value are also presented.

  • 13.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Liljeblom, Eva
    Hanken, Finland.
    Chairman’s Perception of Board Work Upon Female Board Representation:: A Study on Nordic Listed Companies2012Conference paper (Refereed)
    Abstract [en]

    In this study we consider the consequences of female board representation on board work in listed firms in the five Nordic countries. Using survey data provided by company chairmen, we contribute to the literature on gender diversity in boards by providing an insider perspective. Survey data reveals that chairmen, the operative syllable being "men," are significantly less satisfied with female board members when asked to rate various groups of board members. Controlling for a number of factors, gender diversity is not perceived to provide a positive contribution to board work. However, concluding that homogeneous groups would work better when risk is high is not warranted, as data reveals evidence that gender diversity produces positive results in high-risk firms. Furthermore, the results indicate that when a company has a nomination committee, the likelihood that the company will have a gender diverse board increases dramatically.

  • 14.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Liljeblom, Eva
    Chairmen's perceptions of female board representation: a study on Nordic listed companies2014In: Equality, Diversity and Inclusion, ISSN 2040-7149, E-ISSN 2040-7157, Vol. 33, no 6, 523-534 p.Article in journal (Refereed)
    Abstract [en]

    Purpose – The purpose of this paper is to survey chairmen's perceptions of female board representation in five Nordic countries, focussing on whether the chairman's perception of board work is related to gender diversity, and on differences between high- and low-risk firms. Design/methodology/approach – The authors combine data from a questionnaire directed to the chairmen of the boards in Nordic listed companies with data on firm characteristics and board composition. Findings – The authors find that the chairmen (97.5 percent male) are significantly less satisfied with female board members as compared to male ones. The authors also find that firms with nomination committees have more gender diverse boards, as well as indications of a more positively perceived contribution of female representation in high-risk firms. Research limitations/implications – The study is restricted to perceptions of chairmen for listed Nordic firms. The low response rate of 20.1 percent is a severe limitation. Practical implications – The increasing practice of using nomination committees in the Nordic countries seems advantageous from gender balance perspective. Originality/value – The authors contribute to the literature on gender diversity in boards by providing results from a board intern perspective.

  • 15.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Liljeblom, Eva
    Hanken School of Economics, Finland.
    Löflund, Anders
    Hanken School of Economics, Finland.
    Vaihekoski, Mika
    University of Turku, Finland.
    Capital Structure Policy Decisions in Nordic Listed Firms2013In: Proceeedings, Eurofidai , 2013, 1-27 p.Conference paper (Other academic)
    Abstract [en]

    In this paper we report the results from a survey among all publicly listed Nordic firms on their policy decisions concerning their capital structure. We find that more than 60 percent of the companies have rather or relatively flexible debt target, whereas a strict target or no target at all is approximately equally common. We also study the determinants for the strictness of the debt target, and find support for both firm characteristics as well as behavioral variables. We also study the link between capital structure policy and dividend policy, and find that dividend paying firms - firms with a definite dividend policy are more likely to have a stricter debt target. These results indicate that more research should be done on the joint setting of capital structure and dividend policies.

  • 16.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Liljeblom, Eva
    Hanken School of Economics, Department of Finance and Statistics.
    Löflund, Anders
    Vaihekoski, Mika
    Dividend Policy in Nordic Listed Firms2013Conference paper (Refereed)
    Abstract [en]

    In this paper we analyze the results from a survey among all publicly listed Nordic firms on their dividend payout policy. A number of interesting results are found. The results show e.g. that 72 percent of the Nordic companies have a specified dividend policy. Larger and more profitable companies are more likely to have a defined dividend policy in place. The dividend policy is mostly influenced by the considerations of company’s capital structure and future earnings. We get indirect support for agency / monitoring motives, or the need for a stable cash flow, rather than for the signaling motive, since the likelihood for a firm having an explicit dividend policy is positively related to ownership concentration as well as to large long-term, private or industrial owners.

  • 17.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Liljeblom, Eva
    Löflund, Anders
    Vaihekoski, Mika
    Dividend policy in Nordic listed firms2014In: Global Finance Journal, ISSN 1044-0283, E-ISSN 1873-5665, Vol. 25, no 2, 124-135 p.Article in journal (Refereed)
    Abstract [en]

    In this paper we analyze the results from a survey among all publicly listed Nordic firms on their dividend payout policy. The results show that 72% of the Nordic companies have a specified dividend policy. Larger and more profitable companies are more likely to have a defined dividend policy in place. The dividend policy is mostly influenced by capital structure considerations and the outlook of future earnings. We also find that the likelihood for a firm having an explicit dividend policy is positively related to ownership concentration as well as to the presence of large long-term private or industrial owners. Our results support the use of defined dividend policies for agency or monitoring reasons rather than signaling reasons.

  • 18.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Liljeblom, Eva
    Hanken, Finland.
    Vaihekoski, Mika
    Turku School of Economics, Finland.
    Short-term Expectations in Listed Firms:: The Effects of Different Owner Types2012Conference paper (Refereed)
    Abstract [en]

    We report empirical evidence regarding the disciplining role of differentinstitutional and other owners in reducing managerial myopia. Using data from alarge Nordic survey, we find that companies to a reasonably high degree feelthat external pressure for a good result in the short-term generates conflictwith the company’s long-term goals. We test for the effect of several ownershiptypes, and find that especially in firms with a large private equity owner theperceived pressure for short-term actions is reduced. In addition, we find anegative association between firm profitability and short-term pressure. Wealso find support for a behavioral characteristic: younger managers feelsignificantly more pressure. Firms subject to higher pressure undertake moreactions to accommodate that pressure. Again, the impact of especially a largeprivate equity owner is beneficial because such firms undertake significantlyless often actions that are likely to destroy value, such as deprioritizingtheir long-term investments or R&D.

  • 19.
    Graham, Michael
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Kiviaho, Jarno
    Nikkinen, Jussi
    Integration of 22 emerging stock markets:  A three-dimensional analysis2012In: Global Finance Journal, ISSN 1044-0283, E-ISSN 1873-5665, Vol. 23, no 1, 34-47 p.Article in journal (Refereed)
    Abstract [en]

    We apply the three-dimensional analysis of wavelet coherency to examine the

    integration of 22 emerging stock markets with the U.S. market.

    We find a high degree

    of co-movement at relatively lower frequencies between the U.S. and the 22 individual

    emerging markets.

    Our results show that t

    he strength of co-movement, however, differs

    by country. For example, we report a high degree of co-movement between the U.S. and

    Brazil, Mexico and Korea, but low co-movement with and Egypt and Morocco. Our

    analyses also document a general change in the pattern of the market relationship after

    2006, where we detect co-movements at relatively higher frequencies. Co-movement at

    the highest frequencies is, however, weak for fluctuations with duration less than a year.

    Our findings imply that investing selectively in emerging markets may provide

    significant diversification benefits which, invariably, depend on the investment horizon.

  • 20.
    Hagströmer, Björn
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Henricsson, Richard
    Nordén, Lars L.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Components of the Bid-Ask Spread and Variance: A Unified Approach2016In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 36, no 6, 545-563 p.Article in journal (Refereed)
    Abstract [en]

    We develop a structural model for the price formation and liquidity supply of an asset. Ourmodel facilitates decompositions of both the bid–ask spread and the return variance intocomponents related to adverse selection, inventory, and order processing costs. Furthermore,the model shows how the fragmentation of trading volume across trading venues influencesinventory pressure and price discovery. We use the model to analyze intraday price formationfor gold futures traded at the Shanghai Futures Exchange. We find that order processing costsexplain about 50% of the futures bid–ask spread, whereas the remaining 50% is equally due toasymmetric information and to inventory costs. About a third of the variance in futures returnsis attributable to microstructure noise. Trading at the spot market has a significant influence onfutures price discovery, but only a limited impact on the futures bid–ask spread.

  • 21.
    Hagströmer, Björn
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Nordén, Lars
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Zhang, Dong
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    How aggressive are high-frequency traders?2014In: The Financial Review, ISSN 0732-8516, E-ISSN 1540-6288, Vol. 49, no 2, 395-419 p.Article in journal (Refereed)
    Abstract [en]

    We study order aggressiveness of market-making high-frequency traders (MM-HFTs), opportunistic HFTs (Opp-HFTs), and non-HFTs. We find that MM-HFTs follow their own group's previous order submissions more than they follow other traders’ orders. Opp-HFTs and non-HFTs tend to split market orders into small portions submitted in sequence. HFTs submit more (less) aggressive orders when the same-side (opposite-side) depth is large, and supply liquidity when the bid–ask spread is wide. Thus, HFTs adhere strongly to the tradeoff between waiting cost and the cost of immediate execution. Non-HFTs care less about this tradeoff, but react somewhat stronger than HFTs to volatility.

  • 22.
    Hinnerich, Mia
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Equity swaps2010In: Encyclopedia of quantitative finance / [ed] Rama Cont, Chichester: John Wiley & Sons, 2010Chapter in book (Refereed)
    Abstract [en]

    In this article, we consider equity swaps. We provide product definitions and examples of several contracts. We also provide some illustrations of how these contracts can be used.

  • 23.
    Hinnerich, Mia
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Inflation-indexed swaps and swaptions2008In: Journal of Banking & Finance, ISSN 0378-4266, E-ISSN 1872-6372, Vol. 32, no 11, 2293-2306 p.Article in journal (Refereed)
    Abstract [en]

    This article considers the pricing and hedging of inflation-indexed swaps, and the pricing of inflation-indexed swaptions, and options on inflation-indexed bonds. To price the inflation-indexed swaps, we suggest an extended HJM model. The model allows both the forward rates and the consumer price index to be driven, not only by a standard multidimensional Wiener process but also by a general marked point process. Our model is an extension of the HJM approach proposed by Jarrow and Yildirim [Jarrow, R., Yildirim, Y., 2003. Pricing treasury inflation protected securities and related derivatives using an HJM model. Journal of Financial and Quantitative Analysis 38, 409–430] and later also used by Mercurio [Mercurio, F., 2005. Pricing inflation-indexed derivatives. Quantitative Finance 5 (3), 289–302] to price inflation-indexed swaps. Furthermore we price options on so called TIPS-bonds assuming the model is purely Wiener driven. We then introduce an inflation swap market model to price inflation-indexed swaptions. All prices derived have explicit closed-form solutions. Furthermore, we formally prove the validity of the so called foreign-currency analogy.

  • 24. Hoós, Janos
    et al.
    Malmström, Li
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Multinational Companies and Their Role in East-Central Europe2001In: Emergo: Journal of Transforming Economies and Societies, ISSN 1233-3115, Vol. 8, no 4, 18-44 p.Article in journal (Refereed)
  • 25. Huskaj, Bujar
    et al.
    Nordén, Lars L.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Two Order Books are Better than One? Trading At Settlement (TAS) in VIX Futures2015In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 35, no 6, 506-521 p.Article in journal (Refereed)
    Abstract [en]

    We examine the effects from the Trading At Settlement (TAS) introduction on VIX futuresmarket quality. We find that the VIX futures market exhibits higher trading activity and betterliquidity after the TAS introduction. VIX futures traders use the TAS limit order book to executelarge transactions, and TAS helps limit order traders from being picked off by informed traderswhen the VIX futures price volatility is high. The TAS introduction has created a highly liquid,low‐cost, trading venue. Although the TAS introduction fragments VIX futures trading into twoorder books, liquidity in the regular order book is not hurt.

  • 26.
    Irani, Mohammad
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Anticipating Takeovers and their Payment Methods: A New Approach Using U.S. AcquisitionsManuscript (preprint) (Other academic)
    Abstract [en]

    This paper introduces a new approach for identifying the ex-ante dates on which the market anticipates both takeovers and their payment forms. This approach predicts when the market receives informative signals about potential takeovers, the variance-covariance of the stock returns shifts. Using a sample of U.S. acquisitions, I find that 86% of takeovers (62% of payment forms) are anticipated on average nine (six) months in advance. This is much earlier than reported by previous studies (two months). Moreover, this paper documents that employing the anticipation dates can improve the identification of takeover studies. Previous findings report that the return correlation (as a proxy of the relatedness) of merging firms is one of the important cross-sectional determinants of the choice between cash and equity payments. However, it loses its explanatory power when I control for the anticipation effects. The evidence indicates that the likelihood of a takeover being anticipated is related to the firm characteristics, so the anticipation variables should be included in the choice-of-payment-method regressions. The return correlation and other price-related variables should also be estimated from the pre-deal-anticipation period to prevent them from being contaminated by the anticipation effects.

  • 27.
    Irani, Mohammad
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Event Study Analysis with Time-Varying Alphas, Betas and Variances: The Case of M&AsManuscript (preprint) (Other academic)
    Abstract [en]

    This paper proposes a new approach to control the effects of time-varying parameters on the estimates of abnormal returns. Event studies usually assume that the parameters of the market model are stable. Using a sample of firm takeovers, however, I find that this assumption is indeed rejected. The beta remains stable while the alpha and the idiosyncratic variance change significantly. The ex-ante merging likelihood is updated, which in turn shifts the parameters in the pre-announcement period. Furthermore, this paper documents that a benchmark event study, which assumes that the parameters are constant, overestimates significantly the abnormal returns around the announcement date. The size of the average annual bias for the target firms is 23.81%, while for the acquirer firms it is 4.13%. The main source of the bias is an upward shift in the alpha in the pre-announcement period. The benchmark approach hence underestimates the alpha and so estimates lower expected returns in the event window, which in turn boosts the abnormal returns.

  • 28.
    Irani, Mohammad
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Takeover Anticipation and Abnormal ReturnsManuscript (preprint) (Other academic)
    Abstract [en]

    This paper documents that a part of takeover synergy is incorporated in the target and acquirer stock prices prior to the event window of previous studies, around the takeover anticipation date. This result suggests that those studies might quantify only a partial wealth effect of acquisitions. This paper introduces a new approach, which estimates the parameters of the expected return model from the pre-anticipation period, to control the consequences of early anticipation for the measurement of abnormal returns. Contrary to a benchmark event study, this approach finds that the daily average abnormal returns to the target (acquirer) shareholders are smaller by 3.06 (1.71) basis points in the cash acquisitions, and greater by 4.4 (2.12) basis points in the equity deals. These improvements are economically important, as daily returns of the U.S. treasury notes range from 1.13 to 1.78 basis points in the sample period. Overall, using an anticipation-adjusted event study in this paper sheds light on the magnitude of acquisition returns, and so on some well-documented takeover results.

  • 29. Julius, Enqvist
    et al.
    Graham, Michael
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Nikkinen, Jussi
    The impact of working capital management onfirm profitability in different business cycles: evidence from Finland2014In: Research In International Business and Finance, ISSN 0275-5319, E-ISSN 1878-3384, Vol. 32, 36-49 p.Article in journal (Refereed)
    Abstract [en]

    The recent economic downturn of 2007–2008 has brought renewed focus on working capital policies. In this paper we examine the role of business cycles on the working capital–profitability relationship using a sample of Finnish listed companies over an 18-year period. We find the impact of business cycle on the working capital–profitability relationship is more pronounced in economic downturns relative to economic booms. We further show that the significance of efficient inventory management and accounts receivables conversion periods increase during periods of economic downturns. Our results demonstrate that active working capital management matters and, thus, should be included in firms’ financial planning.

  • 30. Karlsson, Anders
    et al.
    Nordén, Lars
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Home Sweet Home: Home Bias and International Diversification Among Individual Investors2007In: Journal of Banking & Finance, ISSN 0378-4266, E-ISSN 1872-6372, Vol. 31, no 2, 317-333 p.Article in journal (Refereed)
  • 31.
    Kjellén, Bengt
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Case Research and Case Teaching - Is It Possible to Close the Divide?2007In: International Journal of Case Method Research & Application, Vol. 19, no 2, 116-122 p.Article in journal (Refereed)
    Abstract [en]

    From a teaching perspective, the case method is already well established in many, if not all, academic disciplines. From a research perspective, the method is well established in some academic communities, e.g. Sweden and also Scandinavia in general, where qualitative methods have gained an increasing acceptance, while it is less so in other communities, where quantitative methods still seems to be dominant. Also, even in communities where there is an acceptance for cases as a valid research method, there is a perceived gap between case research and case teaching, sometimes so wide as to define them as completely different activities. This means that proponents of the case method faces the dilemma that, in an environment where increasingly “research is king”, it is hard to get case development recognized as a valid academic activity. This paper is a first attempt to on one hand give some ontological and epistemological basis for the case method as such and on the other to close the divide between case research and case writing for educational purposes

  • 32.
    Kjellén, Bengt
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Eklann, A
    Svensson, Lars
    Lärande med praktikfall2010In: Lärande i och för det nya arbetslivet / [ed] Lagrosen, S., Lundh Snis, U. & Nehls, E, Malmö: Studentlitteratur , 2010Chapter in book (Other academic)
  • 33.
    Listermar, Magnus
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Friberg, Andreas
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Market power relationships among life insurance intermediaries: The power of giants2011Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    The imposed commission ban to Finnish insurance intermediaries has generated some controversy and the intermediary market has experienced consolidation in the few last years. The thesis examines the relationship between market structure and profitability among Finnish life insurance intermediaries and tests for the applicability of two market power hypotheses. The panel data analysis shows that there is support for the Relative Market Power hypothesis while the Structure-Conduct-Performance hypothesis is not applicable for Finnish life insurance intermediaries. The implication of this research is that competition authorities should be concerned with market structure effects when discussing changes to the regulatory environment which surrounds life insurance intermediaries.

  • 34. Luo, Jian
    et al.
    Ye, Xiaoxia
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Hu, May
    Counter-Credit-Risk Yield Spreads: A Puzzle in China’s Corporate Bond Market2016In: International Review of Finance, ISSN 1369-412X, E-ISSN 1468-2443, Vol. 16, no 2, 2013-241 p.Article, review/survey (Refereed)
    Abstract [en]

    In this paper, using China's risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China's credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates and risk premia and the stock index, and these results are somewhat attributed to this puzzle.

  • 35.
    Malmström, Li
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Institutionellt ägande i omvandling2008In: Börsrätt / [ed] Catarina af Sandeberg, Robert Sevenius, Lund: Studentlitteratur, 2008, 2. uppl., 415-434 p.Chapter in book (Other academic)
  • 36.
    Mobarek, Asma
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Fiorante, Angelo
    The prospects of BRIC countries: Testing weak-form market efficiency2014In: Research In International Business and Finance, ISSN 0275-5319, E-ISSN 1878-3384, Vol. 30, 217-232 p.Article in journal (Refereed)
    Abstract [en]

    The main purpose of the study is to determine whether the equity markets of Brazil, Russia, India and China (BRIC) may be considered weak-form efficient in recent years. The major findings using daily data and a bias-free statistical technique with a sample spanning from September 1995 to March 2010 indicate that the results from the last sub-periods, including the subprime crisis, support the belief that these markets may have been approaching a state of being fairly weak-form efficient, which reflects the future prospects of BRIC countries.

  • 37.
    Mobarek, Asma
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Global Stock Market Integration: Co-Movement, Crises, and Efficiency in Developed and Emerging Markets2016Book (Other academic)
    Abstract [en]

    The aim of the book is to present an in-depth critical analysis of the existing literature on market co-movement and integration and an empirical investigation with a detailed comparison between developed and emerging markets in efficiency, integration, and causality during global financial crises.

  • 38.
    Mobarek, Asma
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Market Volatility Across Countries- Evidence from International Markets 2009In: Studies in Economics and Finance, ISSN 1086-7376, Vol. 26, no 4, 257-274 p.Article in journal (Refereed)
    Abstract [en]

    Purpose – The purpose of this paper is to investigate the time-varying risk return relationship and the persistence of shocks to volatility within GARCH framework both in developed and emerging markets.Design/methodology/approach – This paper uses nonlinear ARCH and GARCH-family models for testing the volatility both in developed and emerging markets.Findings – The findings of the paper suggest that there is a long-term persistence shock in emerging markets compared to developed markets.Research limitations/implications – The data set used for the developed and emerging markets is not consistent in terms of sample period. However, this paper explores the venues for further research on the global diversification.Practical implications – The implication of volatility measurement is vital in determining the cost of capital for investment and portfolio management, option pricing and for market regulations.Originality/value – The unique features of the paper include large sample size with updated data set that reveals the nature of world economy and empirical evidence on volatility testing that reports the risk return characteristics of both developed and emerging markets.

  • 39.
    Mobarek, Asma
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance. Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance. Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    The Risk Return Relationship in the Emerging Stock Market of Botswana2009In: International Journal of Business Research, Vol. 9, no 1Article in journal (Refereed)
  • 40.
    Mobarek, Asma
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Keasey, Kevin
    Leeds University.
    A Cross-Country Analysis of Herd Behavior in Europe2014In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 32, 107-127 p.Article in journal (Refereed)
    Abstract [en]

    This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001-2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global financial crisis and Nordic countries during the Eurozone crisis. However, PIIGS countries are the victims in both crises. Furthermore, we find evidence that the cross sectional dispersions of returns can be partly explained by the cross sectional dispersions of the other markets, with Germany having the greatest influence on the regional cross-country herding effect. Apprehensions heighten among the regulators, policy makers, and investors in the European markets for the herding behavior during volatile market conditions. 

  • 41.
    Mobarek, Asma
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Muradoglu, Gulnur
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Hou, Ai Jun
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Determinants of Time Varying Co-movements among International Stock Markets during Crisis and Non-crisis periods2016In: Journal of Financial Stability, ISSN 1572-3089, E-ISSN 1878-0962, Vol. 24, 1-11 p.Article in journal (Refereed)
    Abstract [en]

    In this paper, we use the DCC MIDAS approach to assess the validity of the wake-up call hypothesis for developed and emerging markets during the global financial crisis (GFC). We use this approach to decompose the total correlations into short- (daily) and long-run (quarterly) correlations for the period from 1999 to 2011. We then examine the transmission mechanisms by regressing the quarterly economic, financial, and behavioral variables on the quarterly DCC–MIDAS correlations. We find that country specific factors are crisis contingent transmission mechanisms for the co-movements of emerging country pairs and mixed pairs of advanced and emerging countries during the global financial crisis. However, we do not observe wake-up calls in the transmission of the crisis among advanced country pairs. The classification of the transmission mechanisms for crisis and non-crisis periods with the different country pairs has important implications for crisis management as well as for portfolio investment strategies. Thus, our findings contribute to the discussion on the role and effectiveness of the international financial architecture.

  • 42.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Dividend Policy and Behavior in an Emerging Market: Evidence from Dhaka Stock Exchange2010Book (Other academic)
  • 43.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Do Emerging Market Firms Follow Different Dividend Policies? Empirical Investigation on the Pre and Post Reform Dividend Policy and Behaviour of Dhaka Stock Exchange Listed Firms2011In: Studies in Economics and Finance, ISSN 1086-7376, Vol. 28, no 2, 118-135 p.Article in journal (Refereed)
    Abstract [en]

    Purpose – This study aims to investigate the behaviour of pay-out policy of Dhaka Stock Exchange (DSE) listed firms preceding and following financial crisis to see whether dividend policy appears as significant measure to protect the general shareholders' interest following the crisis in 1997-1998.

    Design/methodology/approach – Ordinary least square models are tested on DSE data preceding (1988-1997) and following the financial crisis (1999-2003), on which no other study has been conducted yet.

    Findings – The empirical results fail to trace noticeable improvements in pay-out policy following the market crisis.

    Research limitations/implications – Dividend policy does not appear as a significant measure to protect the shareholders' interest in the emerging market of Bangladesh and regulatory reforms following the financial crisis in 1997-1998 appears as ineffective in Bangladesh.

    Originality/value – The unique features of this study are that it is the first study of this kind in the stock market of Bangladesh and the data are captured preceding and following the financial crisis in 1997-1998.

  • 44.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Financial Crisis: Is There a Need for Paradigm Shift?2010In: Studies in economics and finance, Vol. 27, no 2, 89-90 p.Article in journal (Refereed)
  • 45.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Testing Partial Adjustment Dividend Behavioral Models in Emerging Markets: Evidence from Pre and Post Market Reforms in Bangladesh2009In: Global Journal of Business Research, ISSN ISSN: 1931-0277 (print) ISSN: 2157-0191 (online), Vol. 3, no 1, 1-14 p.Article in journal (Refereed)
    Abstract [en]

    A number of studies examine dividend policy and security price behavior in emerging markets but none on the stock market of Bangladesh. Partial adjustments are made to dividend behavior models that are then tested on the Dhaka Stock Exchange using data over the period of 1988-2003 in order to identify the dividend policy and security price behavior of the emerging Stock Market of Bangladesh. The empirical results suggest that dividend decisions are primarily governed by current profitability and lagged dividends. The empirical results identified cash flow as the better measure of the company’s ability to pay dividends.

  • 46.
    Mollah, Sabur
    Stockholm University, Faculty of Social Sciences, School of Business, Finance. Stockholm University, Faculty of Social Sciences, School of Business.
    Volatility Persistence in South Asian Emerging Equity Markets: Evidence from Bangladesh. 2009In: Journal of Academy of Business and Economics, Vol. 9, no 1Article in journal (Refereed)
  • 47.
    Mollah, Sabur
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business.
    Bhuyan, R.
    Mobarek, Asma
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Dividend Announcement and Security Price Reaction in Emerging Financial Markets: Evidence from Bangladesh2008In: Journal of Emerging Markets, Vol. 13, no 1, 36-45 p.Article in journal (Refereed)
  • 48.
    Mollah, Sabur
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business.
    Bhuyan, R.
    Mobarek, Asma
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Pope, R.
    Testing the Relevancy of Agency Theory on Dividend Policy in the Emerging Market of Bangladesh2008In: ICFAI Journal of Applied Finance, Vol. 13, no 1, 36-45 p.Article in journal (Refereed)
  • 49.
    Mollah, Sabur
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance. Stockholm University, Faculty of Social Sciences, School of Business.
    Bhuyan, R
    Robbani, M
    Wedd, R
    Pricing and Bidding Behavior of T-bills in Bangladesh2009In: Journal of International Business and Economics, Vol. 8, no 2, 1-17 p.Article in journal (Refereed)
    Abstract [en]

    This paper examines the pricing mechanism and bidding behavior of T-bills in Bangladesh. We analyze the yield patterns of different maturity T-bills from auction 222-273 including the secondary T-bills market. In our analysis, we also focus on the pros and cons of local T-bills market. In addition, the concept of Repo and Reverse Repo has been introduced. The primary T-bills market in Bangladesh is still thin in the sense that the supply side is influenced by the budgetary financial requirements of the government, while the demand side comprises mainly the Deposit Money banks (DMBs) having SLR obligations. Finally, some suggestions have been provided for strengthening and streamlining the T-bills market in Bangladesh.

  • 50.
    Mollah, Sabur
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance. Stockholm University, Faculty of Social Sciences, School of Business.
    Mobarek, Asma
    Stockholm University, Faculty of Social Sciences, School of Business, Finance. Stockholm University, Faculty of Social Sciences, School of Business.
    Thin trading, the Estimation of Beta and the Relationship between Share return and Beta in an Emerging Market: Evidence from Botswana Stock Exchange2009In: International Journal of Business Research, Vol. 9, no 1, 119-125 p.Article in journal (Refereed)
    Abstract [en]

    The capital market theory and stock price behavior is extensively tested in various developed markets, but there is still little such study in the emerging markets. However, most of the early studies support the validity of CAPM, while the later studies found that beta is not the sole determinant of share returns. The major objective of this study is to investigate the relationship between risk and return in the emerging market of Botswana. The study estimates beta, which is free from thin trading bias using Dimson (1979) correction model. This paper attempts to examine whether there is a significant positive relationship between beta and share return in the Botswana Stock Exchange (BSE) for the period of 2000-2005. The empirical results suggest that the overall market movements do not influence share returns.

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