Contributions published at Finance (Per Nils Anders Östberg)

Calculating the cost of capital is important for companies worldwide. In practice, these capital costs are calculated using the Capital Asset Pricing Model (CAPM) as well as a raw beta estimator is used often. Unfortunately, that it has been shown that the beta is not stable over time. Therefore, the future beta should be adjusted or calculated in another way.

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The goal of my thesis was to examine if there are excess stock return patterns around Federal Open Market Committee (FOMC) meetings similar to the biweekly patterns found by Cieslak et al (2016). The thesis extends in the way that possible explanatory variables are tested and evaluated. Industry indices will be examined and their behavior in the biweekly cycle intuitionally explained. The collected data and properties will then be used to create trading strategies that maximize returns and their performance metrics will be assessed.

Over a period of more than four years the ECB has repeatedly and in addition to its standard monetary refinancing operations offered repos with extraordinarily long durations. This paper argues that such operations serve the function of reducing rollover risks for Eurozone banks. The data shows that high rollover (and borrowing) costs of banks in struggling countries correlate with the ECB's offering periods of these additional longer-dated repos. Banks with high rollover costs take disproportionately more Eurosystem liquidity and profit, expost, exceptionally from market borrowing cost reductions. As discussed, sheltering banks from rollover risks prevents some banks' equity holders (possibly erroneously) from deciding to let the bank default on its obligations. Moreover, such measures neither solve bank debt overhang (Myers, 1977) nor do they bail out banks efficiently (Bhattacharya and Nyborg, 2013). The inefficiency feature may have implications for the observed increase in fragmentation in the Euro area, the bank-sovereign nexus, and the risk composition of the ECB's balance sheet.

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This thesis uses 3,134 European IPO firms since 1991 to 2015 to determine the impact of post-IPO acquisition behavior on long-term performance, likelihood of delisting and survival profile. The findings show that serial acquirers exhibit long-run underperformance as measured by value- and equally-weighted daily abnormal portfolio returns. Becoming an acquirer in one year post-IPO, increases the likelihood of delisting, acquiring in later periods does not. Cox PH model results show the hazard of delisting is lower for frequent acquirers, with acquisition deals three and five years post-IPO. No evidence suggests high delisting rates of IPOs are a result of acquisitions.

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This thesis analyzes 641 cross-border mergers and acquisition across the world announced between 01.01.2006 and 31.12.2015. Using short-term cumulative abnormal returns as performance measure, I find that cross-border deals create value for targets and combined firms, while they destroy value for acquirers. Furthermore, I proxy national cultural differences with an aggregate index of cultural distance based on Hofstede et al. (2010) model with six dimensions. I observe no significant effect of cultural distance on merger performance. However, when testing for influence of single dimensions I identify a negative effect of indulgence versus restraint, in particular on returns to acquirer.

Since the Financial Crisis of 2008 and the Sovereign Debt Crisis of 2011 central banks around the world employed Unconventional Monetary Policies (UMP) to ght tensions in funding mar- kets of banks, to stimulate the economy, and to raise in ation. The UMP of the European Central Bank (ECB) studied in this master's thesis consists of purchase programs, extensions of the collateral framework, xed-rate-full-allotment for repurchase agreements, and maturity extension of repurchase agreements. These measures were used heavily: The purchase programs reach a combined value that is comparable to the GDP of larger European countries. The same is true for the amounts tendered in repurchase agreements. For the extension of the collateral framework it is documented that it lead to an increase of eligible collateral of 62% from 2006 to 2012 - a nominal value of around EUR 5 trillion. At the same time governments in the Euro-Area have curtailed spending and are therefore issuing less debt.

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This thesis examines the long-term performance of initial public offerings (IPOs) taking place at the Swiss stock exchange over the period of 1995 to 2011 and relates it to the cross-section of IPO stocks. Buy-and-hold abnormal returns (BHARs) do not show significant results over various holding periods whereas calendar time portfolios indicate a significant underperformance when a multifactor model is applied. The leverage ratio as well as the market capitalization of firms going public are found to exhibit predictive power onto fiveyear BHARs, whereas no relation to behavioral variables can be assigned.

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Researchers use variables which explain the variance in stock returns to study stock market behavior, develop asset pricing models, and analyze mutual fund performance. The financial industry applies such variables or risk factors in portfolio management to develop investment strategies according to their clients' (risk) preferences and investment goals (Ammann and Steiner (2008)). Fama and French (1998) and Griffin (2002) find that international risk factors are not applicable to individual countries and therefore country-specific factor analysis is most promising. As documented in this thesis, research by renowned empiricists in this field seems to mainly focus on the US stock market. It seems that much less research was done on risk factors in other countries. An in-depth analysis of the HML (high minus low) risk factor mimicking portfolio in the Swiss stock market, conducted in this study, attempts to fill this gap. Switzerland has one of the 15 largest stock exchanges in the world in terms of market capitalization1 and displays some unique characteristics. Swiss stock market indices such as the Swiss Performance Index (SPI) are dominated by a small number of disproportionally large firms in terms of market capitalization. In August 2016 the three largest firms accounted for 46% of the total market capitalization of the SPI, which currently comprises 207 companies2. Moreover, Switzerland is a small, yet strong and stable open economy in Europe and is not part of the European Union. Switzerland-specific market research is interesting since banking and investing are internationally recognized Swiss specialties. Finding statistical evidence on a positive return on the HML portfolio (value premium) in such a large stock market would further strengthen Fama and French's (1998) claim that the value premium persists around the world. Additionally, it might encourage future research in this field.

Until now, there has been extensive research on the phenomenon of mergers and acquisitions and towards their financial performance ex-ante and ex-post their completion. Although privatizations have an important impact on economy, the case of the peculiar Greek privatizations has never been the core of analysis. In fact, the Greek context presents an ideal environment, as an important number of privatizations through M&A took place recently. The whole banking sector was reshaped (Eichengreen & Gibson, 2001; Mylonidis & Kelnikola, 2005) and specific privatizations were part of the recent Greek bailout deal (Papadopoulos, 2015). Moreover, Greek publicly held companies suffer from mismanagement (Christopoulos, Lolos, & Tsionas, 2002). Evidently, European policies following the incorporation of Greece in the Economic and Monetary Union (EMU) (in 2001) pressured for liberalization of goods, services and labor markets, and encouraged privatizations in certain sensitive and monopolistic sectors (Dyson, 2000).

This study examines the e↵ect of media coverage - separated by international and regional news articles prior to an initial public o↵ering in the French market to the first trading day return. The sample contains 364 o↵erings between January 2000 and December 2015. When testing media coverage for age, o↵er size, price revision and underwriters rank, a very low positive relationship is found only between regional media coverage and return. This may be due to private equity investors forcing the IPO to be highly priced in order to maximise the exit value, rather than to care about trading performance.

The Swiss housing market boomed for years while other financial markets perform weakly. For example, in mid-2016, 50-year Swiss government bonds offer negative returns and the Swiss Market Index (SMI), which represents the most important stock market indicator in Switzerland, has tumbled by 15 % since its peak in April 2015. Moreover, it seems that the positive development in the Swiss housing market will continue despite the general disquiet on the financial markets in Switzerland and around the world.

This thesis uses 4,001 European acquisitions since 1981 to 2015 to investigate the impact of the status of serial acquirers to performance of acquisitions. The findings show that being a serial acquirer decreases returns by 0.75%, acquirers from a country with higher protection standards of shareholders, have lower returns. Observing performance of deal order, there is no clear evidence neither of persistent hubris nor of gradual learning in the acquisition process. However, serial acquirers have lower returns after the first successful deal and they pay higher premia for their targets, as compared to single acquirers.