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Uit verschillende literaire bronnen blijkt dat aanbevelingen van analisten toch niet volledig waardeloos zijn. In deze thesis onderzoeken wij aan de hand van IBES data voor Belgische aandelen die deel uitmaken van de BEL 20 index of we inderdaad abnormale rendementen kunnen genereren. Na een grondige studie van de literatuur testen we aan de hand van event studies en een portfoliobenadering welke rendementen we kunnen realiseren. Aan de hand van de event study concluderen we dat dit niet mogelijk is. Op basis van de portfoliomethode stellen we echter dat door middel van een buy- en holdstrategie gebaseerd op een publieke consensusscore het mogelijk moet zijn om significante abnormale rendementen te behalen.

Analistenaanbevelingen. --- Consensusscores. --- Event Study. --- IBES. --- Portfoliobenadering.

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This paper is a master study about the valuation effects on security prices in the case of a corporate name change.Authors: Ruben De Saegher and Anouk Himpe

Corporate Name Change. --- Event study. --- Name Change. --- Valuation effects.

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This research thesis aims at examining the ability of prediction markets in event studies to account for the stock market behaviour and to accurately forecast its reaction to a political event. The 2016 US presidential election seems to be an interesting setting to conduct that sort of political event study, given the surprise caused by the unexpected election of Donald Trump as the 45th President of the United States.
The equity markets whose expected and actual reactions are analysed are the US, the European and the Developed Countries ex USA stock markets, respectively proxied by the S&P 500, the MSCI Europe and the MSCI World ex USA indexes.
Two methods are applied to conduct this political event study. On the one hand, the first method consists of using a multifactor model to obtain the equity market return not influenced by economic variables. A regression is then conducted to assess whether that part of the market return can be explained by prediction market prices implying a Trump win during the period encompassing pre-election events and the Election Day itself. On the other hand, the alternative method compares the reaction of equity markets to sudden changes in prediction market’s election probabilities following far-reaching election-related events in an attempt to estimate the stock market reaction to the future announcement of the election outcome.
The results from the first method reveal that election probabilities implied by the prediction market had a significant influence on the equity market behaviour, provided that only election-related events which sharply shifted the election odds were considered. The second method indicates that globally market participants were slightly more favourable to a Clinton administration during the last weeks leading to the election, even though her expected positive effect on equities was narrowing as the Election Day approached. While the global prediction market anticipation of a slightly lower equity market value if Trump came to win is consistent with the reaction of the Developed Countries ex USA stock market to the election results, it is not coherent with the response of both the US and the European stock markets. Nonetheless, anticipations about stock market responses to the election outcome were heading in the right direction as far-reaching events occured. Therefore, even though prediction market expectations about market reactions were not really accurate, their evolution was a good indicator of the trend followed by equity markets after the election results’ announcement.

event study --- prediction market --- stock market --- anticipation --- election --- Trump --- Clinton --- 2016 --- Sciences économiques & de gestion > Finance

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Today, despite the literature abounds with mixed results and no consensus has been indeed reached, it seems anyway that a larger proportion of researchers provides evidence in favor of a green bond premium. In other words, green bonds’ yields would be lower than that of conventional bonds with the same characteristics, which makes these green bonds priced higher from an investor perspective, or funded cheaper from an issuer perspective. In addition to that, the spread appears to vary depending on the sector, credit-ratings or issuer type. 
Issuers’ lower borrowing costs through the debt market may constitute a first potential answer to the research question ‘How and why are green bonds arousing more interest nowadays?’, however it is certainly not the only explanation to their surge. Indeed, some authors highlight the reporting, labeling and monitoring costs GBs issuers have to bear, saying that the premium they obtain is offset by these costs. Therefore, what is the point to issue green bonds? Is there any interest other than the premium that motivates issuers to go for GBs? This paper investigates the case of listed corporations and, more specifically, through a difference-in-differences methodology and using historical stock returns data, we first investigate the effect of first green bond issue on the systematic risk as well as on the abnormal returns. In a second time, we investigate the stock market reaction to first green bond issue announcement. 
We find that neither the systematic risk nor the abnormal returns are affected by first GB issue. Similarly, the stock market seems insensitive to first green bond issue announcement since both the average abnormal returns and cumulative average abnormal returns appear not statistically different from zero. Note, however, that tests were conducted on a sample comprised of 2 x 33 large capitalization (mainly) stocks, which is relatively small and not diversified in terms of size; the problems that come along therefore constitute the main drawback of the study.

Green bonds --- Systematic Risk --- Abnormal returns --- Event-Study --- Sciences économiques & de gestion > Finance

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The impact of M&A deals on the stock prices of acquiring firms has been extensively studied in the event study literature. By measuring the abnormal returns from acquisitions in different industries or regions, researchers have reported mixed results concerning the short- and long-term effects of those events. In similar studies, the determinants of the abnormal returns have been examined by looking at the influence of transaction-, bidder- and target- specific characteristics. The purpose of this thesis is thus to evaluate the performance of acquirers operating in the personal luxury goods industry as well as its drivers. 
First of all, the luxury market and its associated takeover activity are presented. The purpose is to underline the relevance of this research for this uncommon sector. The event study literature is then summarized together with its underlying assumptions. The short-and long- term abnormal returns from M&A announcements identified in the prior country- or industry- specific studies are thus reported. The impact of the prevailing drivers of the post- announcement performance on the abnormal returns is also outlined. 
Secondly, the data gathering process and the criteria applied to clean the sample are introduced. The methodologies to detect and assess the size of the abnormal returns from M&A deals over short-and long-term periods are then detailed. We report each approach with its associated statistical tests. The cross-sectional regressions used to determine the impact of specific variables on the abnormal returns are further presented. 
Then, the results of both short-and long-term methodologies are reported with the results of the regressions in the subsequent order. Firstly, the abnormal returns measured around the deal announcement date are introduced. They highlight the positive impact of the event over a 3-day time window. The long-term abnormal returns measured with the buy-and-hold benchmark procedure are then presented. However, only the calendar-time abnormal return approach is considered as reliable for our post-announcement findings. This approach does not report any abnormal return in the long-term which is consistent with the efficient market hypothesis. Finally, the significance of GDP per capita related variables in the target country identified in the regressions outlines their positive relationship with the abnormal returns.

Event study --- Global personal luxury goods --- Abnormal returns --- Finance --- Sciences économiques & de gestion > Finance