This thesis consists of an introductory chapter and four self-contained essays on the value relevance of financial statement information. Essay 1 The purpose of this essay is to examine relevance of environmental information from an investor’s perspective. The study proposes that the market value of companies will reflect both financial and environmental performance. The theoretical foundation ...

We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T{c} to be the time for which the market volatility V(T{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is quantitatively similar to earthquakes and solar flares, which have been describ...

The paper presents a dynamic model of trading on market of patents. It is assumed that each firm participating in market produces its own technologies, whereas its manufacturing sector utilizes both originally produced technologies and those produced in other firms. The firms are therefore interdependent through the technology stocks used in manufacturing, which provides a basis for the emergen...

Using a unique daily database, we investigate the short-run dynamic relation between institutional trades and stock price volatility in an individual investor dominated emerging market. We document a significant negative volatility-institutional trading relation in the emerging Chinese market. This negative relation is more pronounced for unexpected institutional imbalance and buy. Institutiona...

Stock markets play a fundamental role in the countries’ economies, since they allow companies to raise funds for their investments in technology, expansion or infra-structure by selling stocks to the public. At the same time, stocks are, for the stockholders, important assets that can help to maintain or increase the investor’s wealth for future use, like retirement, education, etc. On the othe...

We investigate the impact of dark trading on adverse selection in an aggregate market for UK stocks. Dark is linked to lower risk and improved informational efficiency liquidity market, even as declines lit with trading. However, there a value-based threshold when starts induce selection. estimate that this varies from around 9% most liquid stocks 25% least The overall average 288 FTSE 350 our ...

We find a strong tendency for positive returns during the overnight period followed by reversals during the trading day. This behavior is driven by an opening price that is high relative to intraday prices. It is concentrated among stocks that have recently attracted the attention of retail investors, it is more pronounced for stocks that are difficult to value and costly to arbitrage, and it i...

As e-commerce is growing rapidly, the need for an evaluation model of Internet business is increasing as well. This paper suggests a comprehensive evaluation model for one of the most important e-commerce systems, which is cyber trading system for stocks and bonds. Through an empirical study based on the evaluation model, this research identifies critical design factors for cyber trading system...

What happens when uninformed investors trade stocks via mobile phones? Do they react to social sentiment differently than more informed traders in traditional trading? Based on 16,817 data observations and econometric analysis for the trading of 251 equities in Korea over 39 days, we present evidence of herding behavior among uninformed traders in the mobile channel. The results indicate that m...

Employing Random Matrix Theory and Principal Component Analysis techniques, we enlarge our work on the individual and cross-sectional intraday statistical properties of trading volume in financial markets to the study of collective intraday features of that financial observable. Our data consist of the trading volume of the Dow Jones Industrial Average Index components spanning the years betwee...