eThesis - Kauppakorkeakoulun sähköiset gradut

OBJECTIVES OF THE STUDY:

In this thesis I study the effects of mandatory ownership disclosures on stock prices in the NASDAQ OMX Helsinki stock exchange. The objectives of the study are to find evidence of whether mandatory ownership disclosures result in abnormal stock returns; what kind of returns these are; and whether abnormal returns are dependent on the information content of the disclosures, principally the resulting ownership level and the identity of the shareholder making the mandatory ownership disclosure. Finally, I also study the different factors that may be driving the abnormal returns relating to mandatory ownership disclosures.

DATA AND METHODOLOGY:

The study sample consists of 1,079 mandatory ownership disclosures, 605 of which relate to increases of ownership and 474 to decreases of ownership. The time period of the study extends from January 1, 2000 to September 30, 2014. The study is based on the event study methodology and employs the market model for calculating estimated returns and actual abnormal returns.

FINDINGS OF THE STUDY:

Mandatory ownership disclosures are associated with abnormal stock returns. The cumulative average abnormal returns for mandatory ownership disclosures relating to increases of ownership are 0.84% in the 21-day event window of [-10, +10]. Respectively, the cumulative average abnormal returns for mandatory ownership disclosures relating to ownership decreases are somewhat smaller and amount to -0.49% in the 21-day event window of [-10, +10]. However, the informational value of disclosures relating to ownership increases appears to be larger, since the cumulative abnormal returns in the 9-day post-event window of [+2, +10] amount to -0.72% for ownership decreases and -0.30% for ownership increases.

Based on the results of this thesis, it is not possible to clearly and concisely determine the drivers of the abnormal returns. The cumulative abnormal returns are partially explained by the size of the company subject to the disclosure. Smaller companies are associated with larger abnormal returns. Furthermore, the identity of the shareholder has in some cases explanatory value. Shareholders that are typically considered as active non-portfolio investors are associated with larger cumulative abnormal returns. However, the most important factors explaining the abnormal returns are the stock's volatility and market volatility.