Institutional Investors and the Information Content of Earnings Announcements: The Case of Poland

This paper investigates the relationship between market reaction to earnings surprises and institutional concentration in the firm?s shareholders base. We use data from the Polish stock market where pension funds form a homogenous and highly competitive investor class with an increasing share in the market capitalisation and trading volume. We find evidence that higher pension funds holdings in a company tend to reduce the magnitude of market reaction around public disclosures. We interpret these findings as an information advantage that funds have over individual investors, which may result from scale economies in gathering and processing public information, as well as from access to privileged information in the interim period. We also find that company mangers are selective as to the type of information they provide to the market prior to their scheduled disclosures. --public disclosure,information advantage,institutional investors

The Role of Self-Regulation in Corporate Governance

This paper assesses the effectiveness of self-regulation to promote investor interests. TheNetherlands provides an excellent opportunity to gather such evidence for two reasons. First,characteristics of the Dutch corporate governance structure have made it the recent focus ofattention by the European Union, the International Monetary Fund and countries (e.g., Korea)when deliberating issues of corporate governance. Second, during the period 1996-1998, aprivate sector initiative was undertaken to promote change in the balance of power betweenmanagement and investors. Not surprisingly, the United States Securities and ExchangeCommission has closely followed the Dutch "experiment" in self-regulation. We begin byidentifying corporate governance characteristics that are linked to firm value. We thencompare corporate governance characteristics and the relation between firm value and thesecharacteristics before and after the private sector initiative. We find that therecommendations of the private sector initiative had no substantive effect on corporategovernance characteristics or their relationship with firm value. Using event study techniqueswe document the market's skepticism about the successful evolution of corporate governancepractices in the Netherlands through self-regulation. The one exception to this generalconclusion is the market for new listings. Overall, our results confirm the importance ofshareholder voting rights, and who controls these rights, when considering the design of asuccessful self-regulation process.corporate governance;law and economics;financial economics;International economics

Insider Trading, Option Exercises and Private Benefits of Control (Revision of DP 2010-32)

We investigate patterns of abnormal stock performance around insider trades and option exercises on the Dutch market. Listed firms in the Netherlands have a long tradition of employing many anti-shareholder mechanisms limiting shareholders rights. Our results imply that insider transactions are more profitable at firms where shareholder rights are not restricted by anti-shareholder mechanisms. This finding goes against the monitoring hypothesis which states that more shareholder orientation and stronger blockholders would reduce the gains from insider trading. We show robust support for the substitution hypothesis as insiders of firms which effectively curtail shareholder rights enjoy valuable private benefits of control in lieu of engaging in insider trading to exploit their position.insider trading;management stock options;timing by insiders;corporate governance;anti-shareholder mechanisms;anti-takeover mechanisms

Economic consequences of private equity investments on the German stock market

This paper investigates the wealth effects of private equity (PE) investor purchases of shares in German quoted companies. It is the first study to analyze these effects for the German market which is particularly interesting due to its distinct characteristics with regard to the ownership structure of publicly listed companies and the protection of minority shareholders. We find that PE investors generate positive wealth effects for target shareholders of 5.90% around the event day (t = -1 to t = 0). In addition, we find that the wealth effects of PE investor involvement in Germany are positively related to the target's tax liabilities and degree of undervaluation and negatively related to the target's leverage and the shareholding of the second largest ownership block. The latter effect can be interpreted as a supplementary monitoring effect of the management or a monitoring effect of the largest shareholder through which private benefits of control are reduced. --Private Equity,Corporate Governance,Agency Theory,Event Study

Insider trading in Germany: Do corporate insiders exploit inside information?

Our study analyzes a large sample of transactions carried out by corporate insiders reported to the German regulatory authority BaFin in the period July 1, 2002 to April 30, 2005 employing event study methodology. In particular, we focus on the question whether corporate insiders exploit inside information while trading in their company's stock. Therefore we use a distinct property of German law, i.e. company's obligation to reveal inside information through ad-hoc news disclosures, to link trading of insiders to their foreknowledge of important corporate news. We find strong evidence that insiders exploit inside information as they earn above average profits by front-running on subsequent news disclosures. Furthermore, looking at the type of insider, we find that members of the supervisory board (directors) and the group of other insiders (basically family members of senior managers and directors) profit substantially from exploiting inside information. In contrast, members of the executive board (senior managers) can be largely exculpated from exploiting inside information as they realize below average returns with their rare front-running transactions. --insider trading,inside information,§15a WpHG,German stock market,regulation of financial markets

Data Analytics and Performance Enhancement in Edge-Cloud Collaborative Internet of Things Systems

Based on the evolving communications, computing and embedded systems technologies, Internet of Things (IoT) systems can interconnect not only physical users and devices but also virtual services and objects, which have already been applied to many different application scenarios, such as smart home, smart healthcare, and intelligent transportation. With the rapid development, the number of involving devices increases tremendously. The huge number of devices and correspondingly generated data bring critical challenges to the IoT systems. To enhance the overall performance, this thesis aims to address the related technical issues on IoT data processing and physical topology discovery of the subnets self-organized by IoT devices. First of all, the issues on outlier detection and data aggregation are addressed through the development of recursive principal component analysis (R-PCA) based data analysis framework. The framework is developed in a cluster-based structure to fully exploit the spatial correlation of IoT data. Specifically, the sensing devices are gathered into clusters based on spatial data correlation. Edge devices are assigned to the clusters for the R-PCA based outlier detection and data aggregation. The outlier-free and aggregated data are forwarded to the remote cloud server for data reconstruction and storage. Moreover, a data reduction scheme is further proposed to relieve the burden on the trunk link for data uploading by utilizing the temporal data correlation. Kalman filters (KFs) with identical parameters are maintained at the edge and cloud for data prediction. The amount of data uploading is reduced by using the data predicted by the KF in the cloud instead of uploading all the practically measured data. Furthermore, an unmanned aerial vehicle (UAV) assisted IoT system is particularly designed for large-scale monitoring. Wireless sensor nodes are flexibly deployed for environmental sensing and self-organized into wireless sensor networks (WSNs). A physical topology discovery scheme is proposed to construct the physical topology of WSNs in the cloud server to facilitate performance optimization, where the physical topology indicates both the logical connectivity statuses of WSNs and the physical locations of WSN nodes. The physical topology discovery scheme is implemented through the newly developed parallel Metropolis-Hastings random walk based information sampling and network-wide 3D localization algorithms, where UAVs are served as the mobile edge devices and anchor nodes. Based on the physical topology constructed in the cloud, a UAV-enabled spatial data sampling scheme is further proposed to efficiently sample data from the monitoring area by using denoising autoencoder (DAE). By deploying the encoder of DAE at the UAV and decoder in the cloud, the data can be partially sampled from the sensing field and accurately reconstructed in the cloud. In the final part of the thesis, a novel autoencoder (AE) neural network based data outlier detection algorithm is proposed, where both encoder and decoder of AE are deployed at the edge devices. Data outliers can be accurately detected by the large fluctuations in the squared error generated by the data passing through the encoder and decoder of the AE

Insider Trading, Option Exercises and Private Benefits of Control

We investigate patterns of abnormal stock performance around insider trades and option exercises on the Dutch market. Listed firms in the Netherlands have a long tradition of employing many anti-shareholder mechanisms limiting shareholders rights. Our results imply that insider transactions are more profitable at firms where shareholder rights are not restricted by antishareholder mechanisms. This finding goes against the monitoring hypothesis which states that more shareholder orientation and stronger blockholders would reduce the gains from insider trading. We show robust support for the substitution hypothesis as insiders of firms which effectively curtail shareholder rights enjoy valuable private benefits of control in lieu of engaging in insider trading to exploit their position.insider trading, management stock options, timing by insiders, corporate governance, antishareholder mechanisms, anti-takeover mechanisms