Browsing by Author "Shin, Sean"

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  • Abnormal CEO Compensation and Firm Performance: Empirical Evidence from Europe
    (2017) Auria, Sebastian
     School of Business | Bachelor's thesis
    This study presents new evidence on a relationship between chief executive officer compensation and subsequent firm performance. The sample is collected from Europe, consists of 1459 firm years and covers period of 2000-2013. Methods used to test the relationship in this study are ordinary least squares and weighted least squares regression models. Previous studies of Carter et al. (2016) and Core et al. (1999) suggest that abnormal CEO compensation has a decreasing effect on subsequent firm performance. Contrary to the previous findings, results of this study suggest that the relationship is rather positive, albeit abnormal compensation coefficients are not thoroughly found statistically significant. The results might be explained with global differences in CEO compensation practices, policies and regulations.
  • Abnormal returns and the S&P 500 membership - Proof that the index effect is temporary
    (2018) Vienola, Jussi
     School of Business | Bachelor's thesis
  • An Alternative Approach to Quality: Reconstructing the QMJ-Factor Using Augmented ESG-Data
    (2017) Karjalainen, Matti
     School of Business | Bachelor's thesis
    I construct a proprietary measure of stock quality, the Augmented ESG-score (AESG-score), that accounts not only for the Environmental, Social and Governance, but additionally the Economic sus-tainability of the underlying company. I show that the AESG-score is a persistent measure, stocks with high AESG-scores generally command higher prices and that an Alternative Quality Minus Junk -Factor (AQMJ-factor) that goes long stocks with high AESG-scores and short stocks with low AESG-scores yields statistically significant risk adjusted returns. I analyze the returns of 7 portfolios sorted on AESG-scores, and show that 4-factor alphas and portfolio Sharpe-ratios increase mono-tonically moving up in quality. The AQMJ-factor is robust to variety of specifications, and performs well in an Out-of-Sample analysis.
  • Analyst recommendations, post-IPO stock returns and underwriter analysts' conflict of interest
    (2019) Tirronen, Miska
     School of Business | Bachelor's thesis
    This study provides evidence on the significant investment value of analyst recom-mendations on newly public companies. The sample of this study comprises of 1,825 initial public offerings conducted 2010 to 2018 in NASDAQ, NYSE and NYSE American exchanges. I document that investment strategy following consensus recommendations by purchasing (selling short) stocks with most (least) favorable consensus recommen-dations yields significant monthly abnormal gross return of 1.6 percent. Moreover, this predictive power of consensus recommendations appears to be more pronounced for post-IPO stock performance in the first subsequent year of the IPO. In turn, the investment value of underwriter analysts’ recommendations is inferior to consensus recommendations as the recommendations of affiliated analysts do not pro-duce significant excess returns. The existing research has not covered the relation between analyst recommendations and post-IPO stock performance. However, the results are consistent with the prior re-search suggesting that analysts, in general, possess predictive power on stock perfor-mance.
  • Anchoring and Acquirer Announcement Performance - Evidence from Nordic deals
    (2021) Tuutti, Clarissa
     School of Business | Bachelor's thesis
  • Benefits to be derived from the Green Bond Premium: Evidence from the Chinese corporate bond markets
    (2022) Rasinkangas, Eetu
     School of Business | Bachelor's thesis
    The popularity of green bonds has massively grown in the recent years, not only in the bond markets, but also in the academia as a subject of research. This growth in popularity has been especially prevalent in the Chinese bond markets, making it one of the largest issuer domiciles globally. I study the existence of a green bond premium i.e., the yield differential between a green bond and its comparable conventional bond match, at issuance in the Chinese corporate bond market context. Through the nearest neighbour matching method, I show that green bonds are issued at statistically insignificant negative premium of around -11.7 basis points. Furthermore, I confirm the prior results from the academic literature of the variation in the premiums across different issuer types. The financial issuers exhibit a statistically significant negative premium of around -22.4 basis points, while the non-financial issuers exhibit a still negative, yet insignificant premium of around -5.7 basis points. The issuance size is a significant driver of the issue yields with this paper’s sample i.e., a larger issuance size leads to a smaller issue yield. These results can highly motivate financial corporations to issue green bonds and acquire a cheaper source of financing, which could moreover lead to the aforementioned financial issuers being overrepresented in the green bond markets.
  • Board gender diversity and firm emission performance
    (2020) Hyytiä, Helena
     School of Business | Bachelor's thesis
  • Capital asset pricing model beta and excess returns on days that contain macroeconomic announcement
    (2020) Rinne, Veera
     School of Business | Bachelor's thesis
    This thesis examines whether US stock market response is different on days that contain scheduled macroeconomic announcements. Macroeconomic announcements contain valuable information for investors, and thus announcement days contain higher systematic risk than other trading days. I show that investors demand, and in equilibrium receive, higher average excess returns on days that contain macroeconomic announcements compared to other trading days. Furthermore, asset prices are easier to model with traditional finance theories on days that contain macroeconomic announcements. On announcement days, capital asset pricing model beta is positively related to asset returns, meaning that taking higher systematic risk is compensated with higher excess returns. This relation holds for individual stocks, for various test portfolios and even when controlling betas with various factors. On the contrary, on non-announcement days, there exist a negative trade-off between stock market beta and average excess return, so that bearing more systematic risk is associated with lower average excess returns. In addition, I show how traditional return patterns are reversed on macroeconomic announcement days for various test assets. On announcement days, growth portfolios perform better than value portfolios, suggesting that the value premium only exist on non-announcement days. I also show how small capitalization stocks seem to outperform large capitalization stocks only on announcement days, suggesting that the size premium is earned on days that contain macroeconomic announcement, which represent under 13 % of days in my sample. My results suggest that Capital asset pricing model beta is important measure of systematic risk for days that contain macroeconomic announcements, even though the model cannot explain returns on other trading days.
  • CEO appointments: do investors have preferences on age, nationality, and gender? Evidence from the Nordics
    (2021) Lauronen, Jesper
     School of Business | Bachelor's thesis
  • CEO turnover and firm performance between public and private firms
    (2023) Åkesson, Joakim
     School of Business | Bachelor's thesis
    This study compares CEO turnover-performance sensitivity between public and private firms from 2006 to 2019. I use a European sample of public and private firms and analyze if public firms face more CEO turnovers and have greater turnover-performance sensitivity than private firms. Furthermore, I examine how the performance has developed after the CEO turnover in public and private firms. My findings show that public firms have a higher turnover rate and face more CEO turnovers in my period. I also find that public firms have greater turnover-performance sensitivity than private firms. In addition, I present that the performance has improved in both public and private firms after the CEO turnover.
  • Cryptocurrencies’ Internal and External Relations: a Descriptive Analysis of Cryptocurrency Dynamics and Relations to the US Equity Market
    (2017) Aaltonen, Aleksi
     School of Business | Bachelor's thesis
    This thesis is a descriptive statistical analysis of cryptocurrency market and its relation within cryptocurrencies and across asset classes, using correlation functions, orthogonalized impulse response functions and OLS regressions. Consistent with Wang (2014), bitcoin does not suffer from a liquidity trap, even though bitcoin is a decentralized system. This thesis concludes that bitcoin has a lead effect on only 2 out of 8 of the top cryptocurrencies, endowing diversification benefits within cryptocurrency market. This paper provides evidence on cryptocurrency market’s and US equity market’s impulse response dynamics which are insignificant, consistent with Gangwal’s (2016) results that adding cryptocurrencies to a diversified portfolio will yield to a higher Sharpe ratio. Lastly, the study reports bitcoin momentum factor having an impact on banking and financial industries’ excess returns.
  • Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs
    (2024-01) Choi, Jaewon; Huh, Yesol; Shin, Sean
     A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
    The convention when calculating corporate bond trading costs is to estimate bid–ask spreads that customers pay, implicitly assuming that dealers always provide liquidity to customers. We show that, contrary to this assumption, customers increasingly provide liquidity following the adoption of post-2008 banking regulations, and thus, conventional bid–ask spread measures underestimate the cost of dealers’ liquidity provision. Among large trades wherein dealers use inventory capacity, customers pay 40%–60% wider spreads than before the crisis. Customers’ balance-sheet capacity and their trading relationships with dealers are important determinants of customer liquidity provision.
  • Desperate Times Call for Valuable Measures: Impact of Macro Conditions on Value of Analyst Output in Finland
    (2018) Makkonen, Antti
     School of Business | Bachelor's thesis
    This paper studies the implications of macroeconomic conditions on the price-impact following analyst output in Finland. In general, bad times make firm prospects more difficult to value, and thus investors should value analyst output more. Conversely, the same uncertainty makes analyzing firm prospects more difficult, and the output less reliable. I find weak evidence for analyst recommendation revisions having a larger stock-price impact in bad times. Equivalently, I find weak evidence for local analysts providing more valuable output and investors’ reliance on analysts increasing in bad times. However, results with an alternative benchmark provide strong evidence for recommendation changes having a larger price-impact in bad times, consistent with analyst output being more valuable in bad times.
  • Dividend Payout Policy and Acquirors' Announcement Returns
    (2022) Suominen, Tuomas
     School of Business | Bachelor's thesis
    The examination of value-creating properties for acquirors is plenty in prior research. However, the relationship between acquirors’ dividend payout policies and announcement returns during mergers and acquisitions events has received marginal attention. Consistent with the findings of Glambosky et al. (2020), this thesis presents evidence of a positive relation between dividend paying acquirors and cumulative abnormal returns for European public, listed companies. The similarity of the acquiror and the target dividend payout policies are also shown to have a significant relation, although negative. Due to the endogenous nature of dividend payout policy, the thesis limits its enquiry to only studying the similarity of dividend policies, however, a proposal is made for the future consideration of the implications of dividend tax incidence for acquiror dividend clientele.
  • Does ESG rating effect long-term stock returns: Evidence from Europe
    (2022) Meijanen, Aarne
     School of Business | Bachelor's thesis
  • Does investment bank reputation affect bidder returns in mergers and acquisitions? Empirical evidence from the European markets
    (2020) Rytsölä, Alli
     School of Business | Bachelor's thesis
    This thesis analyses whether using a top-tier financial advisor in a merger or an acquisition produces higher returns for the bidder in the deal, indicating that the reputation of the financial advisor matters in deal-making. To evaluate the reputational effect, I apply cross-sectional OLS regression analysis for European mergers and acquisitions that are announced between 1.1.2006 and 31.12.2019. I find evidence that using a top-tier advisor produces higher announcement returns. In addition, I observe that the reputational effect is larger when the bidder is small, suggesting that the reputation of the financial advisor creates more credibility for the bidder.
  • Does ownership concentration play role in IPO underpricing? Evidence from the Finnish IPO market
    (2018) Siitonen, Jori
     School of Business | Bachelor's thesis
    Using a sample of 74 Finnish initial public offerings (IPO) from 1997 to 2017 I examined the impact of the post-IPO ownership concentration on initial public offering underpricing. I found insignificantly that there is no relation between ownership concentration and initial returns. Furthermore, I found significantly that stocks with high-level ownership concentration underperform during the first year after IPO refuting the theory of high ownership concentration and high underpricing. I investigated the association by portfolio construction but also by regressions for individual stocks. My results are robust after controlling different ownership concentration measures and matching firm-adjusting.
  • Does the gender of mutual fund managers matter? Empirical evidence of gender biases in the Nordics
    (2022) Ollila, Niko
     School of Business | Bachelor's thesis
    This study examines the effect of genders of single-managed equity mutual fund managers on fund flows in Iceland, Norway, Sweden, Finland, and Denmark from 2008 to 2021. Using monthly data of actively managed funds, the question is approached with a pooled OLS regression to investigate whether mutual fund investors are subject to gender discrimination. A previous study in the U.S. suggests that individually managed funds by female fund managers have lower fund flows than male fund managers due to gender discrimination by mutual fund investors (Niessen-Ruenzi and Ruenzia 2019). In line with previous findings, the main findings of this study suggest that female fund managers have significantly lower monthly fund flows compared to male managers in an analysis conducted on samples with similar attributes. In addition, this study aims to find potential rationale for the findings by including investment behaviour, performance, and flow-performance relationship analyses. Considering everything, the overall conclusion of this study is that Nordic female fund managers face irrational discrimination by mutual fund investors, which could provide a customer-based explanation for the low representation of female fund managers.
  • Economic Policy Uncertainty and Corporate Investment
    (2018) Karo, Joonas
     School of Business | Bachelor's thesis