Doctoral theses

Recent Submissions

  • Sundvik, Dennis (Svenska handelshögskolan, 2016-09-21)
    The opportunistic aspects of financial reporting have largely been investigated under the umbrella term of earnings management. However, most research is devoted to capital market settings and listed firms in large economies, including the United States in particular. As a contrast, this dissertation examines earnings management based on tax incentives among private firms in European settings. In particular, the four interrelated essays analyze situations where the statutory corporate tax rate in a country is changed and firms are expected to report lower (higher) earnings while the tax rate is higher (lower) to reduce their total tax burden. While these tax changes are introduced to enhance international tax competitiveness, they also give rise to strong incentives for earnings management. For example, when the tax rate is to be decreased, firms may employ various accruals to defer earnings from high to low tax periods. The first essay of the dissertation contributes to the literature by investigating decomposed measures of earnings management instead of relying on a broad measure that does not provide much insight. Based on Swedish private firms, the analyses clearly show income-decreasing earnings management on the aggregate level before two tax rate cuts. The aggregate results are later observed to be largely driven by unexpected changes in accounts receivable. The second essay uses Finnish data and provides evidence that private firms, under certain circumstances, also change the end of the fiscal year to achieve benefits around tax reforms. Further, the analyses demonstrate that a reform that simultaneously lowers corporate tax and hikes dividend tax creates conflicting incentives to manage earnings. The motivation behind the third essay stems from the debate on the appropriate level of book-tax conformity. The essay documents that higher conformity between accounting and tax reporting in jurisdictions is associated with more earnings management in response to an upcoming change in the tax rate. A contribution of this study is the analysis of a clear incentive for earnings management instead of a sole focus on absolute measures. In the fourth and final essay, private firms that use external help in the financial reporting process are separated from firms that do not. The hypothesis is that firms, that handle their accounting function internally, have greater possibilities to influence their reporting opportunistically. The results also suggest that the minority of smaller private firms who perform the tasks in-house, and have the knowledge and resources needed, are able to manage taxes to a larger extent
  • Zhang, Mo (Svenska handelshögskolan, 2016-09-14)
    Along with Chinese economic development, the Chinese stock market is growing rapidly, and is now the second largest stock market in the world. However, despite its size, the Chinese stock market trades like the wildest emerging markets, with huge volatility, big boom and bust cycles, driven by fast-trading individual investors, and heavy involvement from the government. Owing to the peculiarity of the Chinese economic and political system, there are some unique structures within the Chinese stock market. In one sense, this makes the Chinese stock market an interesting laboratory. This dissertation comprises three single-authored essays. The first two analyze a special phenomenon, called B-share discounts in the Chinese stock market, seeking to explain why this phenomenon exists from the perspective of exchange risk. It shows that dual-class stock price disparity in the Chinese stock market can be explained, in a way, by exchange risk, meaning that “to some extent, investors are rational and ask for compensation for taking extra risks”. This is in line with the classical efficient market theory. The second essay uses this phenomenon as a natural experiment to test whether a new reform policy, namely granting permission for short selling, benefits the efficiency of the Chinese stock market. When the Chinese government lift the ban on short selling in the Chinese stock market, mispricing decreases significantly, even though the volume of short selling in the Chinese stock market is trivial relative to total trading volume. Instead of studying a particular set of stocks, the third essay focuses on the mispricing formation mechanism at the general market level. The market results show that both the resale option and inflation illusion hypotheses can explain the level of market mispricing. Only investors’ heterogeneous beliefs affect the volatility of market mispricing, in line with the resale option hypothesis prediction. Additionally, the results show that state-controlled industries tend to be underestimated more, when mispricing is negative, but to be overvalued less, when mispricing is positive.
  • Torkkeli, Anu (Svenska handelshögskolan, 2016-06-07)
    This study examines the corporate capital gains taxation in Nordic countries, European Union and Finland. The main perspective is in the corporate income tax law, but because of the multidisciplinary subject of the corporate capital gains taxation, this study also has an economic perspective. Before analyzing the taxation itself, the basic concepts for the study are introduced such as the concept of capital, income and capital gain. Also the tax framework of this study is introduced by describing the most significant features and issues in corporate income taxation and in corporate capital gains taxation. Corporate capital gains taxation is discussed by starting with Nordic countries, continuing with European Union member states and finally ending up with Finland. A rough comparative summary is created at the end of each of these sections. Recent changes having taken place until January 2015 in the corporate capital gains taxation are also included in the study. Taxation is investigated based on the existing tax law literature, and the analysis is fulfilled with the help of the selected case law. After the international tax system analysis, the future options for corporate capital gains taxation are discussed as well as challenges related to the changes in the corporate income taxation such as correct level of harmonization so that individual countries still have their own fiscal policy. This study offers the value-added to the society in a couple of different ways. The study extensively analyzes the international corporate capital gains taxation models. In addition, the study not only discusses the corporate capital gains purely from the legal point of view but also has a strong focus on the underlying features behind the corporate capital gains taxation system: features of the good taxation system, economics and competitiveness, significance and role of the corporate capital gains in the economics. The conclusions of the study are made in a concrete way, because a proposal for the focus of future development of the corporate capital gains taxation at the EU level and the proposal for a future corporate capital gains taxation model in Finland as an individual Nordic country and EU member state is developed.
  • González Osorio, David Humberto (Svenska handelshögskolan, 2016-05-27)
    In this dissertation we use a network approach based on cross-fund correlation to calculate metrics that can help to describe the existence of common features not captured by common factors. Previous studies have found that measurements of performance adjusted by risk factors are explained by some fund characteristics, like size, age, expenses and turnover. This dissertation specifically studies performance in the mutual fund industry utilizing a network approach to address the following three questions. Do the characteristics of the mutual fund network help to explain the performance of mutual funds? Is the position of a mutual fund in the network related to persistence of abnormal performance of the fund? Do changes in the structure of the network of mutual funds signal the presence of herd behavior? In the first essay of this dissertation we argue that performance is also explained by other features of the funds related to informational linkages. We argue that managers with different types of information will invest differently. In the same line of argument, managers with access to only free public information and poor private information should behave similarly, and their investments should perform close to the market, while managers of the type that holds quality private information should outperform the market. In that sense, funds with similar type of information will be correlated. We propose that informational linkages can be approximated by measurements of centrality in a network of mutual funds. Centrality of a fund in the network, as explained later, can be interpreted as a measure of how closely correlated the returns of a fund are to other funds in the market. In the second essay we build on the foundations of the first essay to include measures of the mutual fund network in order to establish a link between persistence and correlation across funds. If there are informational linkages, those connections could help to test for persistence. Then, we expect that the returns of those funds will be correlated to each other; if the returns of those funds were correlated by luck, it is expected that in the next period, those linkages will disappear. However, when those linkages remain from one period to another, we can consider that the returns of the funds are not correlated by chance and we expect to find persistence. Finally, we consider how correlation across funds can help to explain herd behavior in the mutual fund industry. The third essay argues that an aggregate centrality measure in the network of mutual funds could signal the existence of herd behavior in the market.
  • Siekkinen, Jimi (Svenska handelshögskolan, 2016-05-27)
    In order to achieve well-functioning capital markets, firms have to provide investors and other stakeholders with relevant and reliable information. Especially, for financial firms a large amount of assets and liabilities are measured at fair value in accordance with International Financial Reporting Standards (IFRS). The complexity and lack of liquid markets of certain financial instruments has made the valuation of such financial instruments complicated. Hence, fair value accounting for financial instruments leads to some subjective estimation of input data used in the valuation process. This subjectivity can be misused by managers for their own interest (i.e. opportunistic behaviour). However, opportunistic behaviour can be reduced with efficient and sophisticated internal and external control mechanisms. This dissertation investigates which control mechanisms that are suitable in monitoring managers related to fair value accounting of financial instruments in financial firms. In the first essay, the effect of corporate governance on the value relevance of fair values is analysed. The assumption is that stronger boards with an appropriate structure are more effective in monitoring managers. The results indicate that board independence and gender diversity have a positive effect on the information quality of fair value estimates. In addition, the results indicate that board size is negatively associated with the value relevance of fair value estimates. Thereby, firms with smaller, more independent, and more diverse boards disclose fair value estimates of the highest quality. The second essay examines whether the value relevance of fair values varies across investor protection environments. The premise is that the better the investor feels protected from the firm, the more likely the investor will trust in the manager’s ability to estimate reliable and relevant fair values. This essay finds evidence that the value relevance of fair values is positively associated with the investor protection environment of the firm’s home country. In countries with undeveloped investor protection traditions, investors do not trust managers when it comes to estimating the fair value of financial instruments. The third essay examines whether audit quality has an impact on the value relevance of fair values. It can be assumed that managerial opportunism is mitigated by independent high quality auditing. The results suggest that client importance affects the information quality of fair value estimates negatively and that non-audit services have a positive effect on the value relevance of fair values. Hence, the results imply that higher level of information quality of financial instruments can be achieved with independent audit of high quality.
  • Roos, Annikki (Hanken School of Economics, 2016-05-10)
    Information practices are human activities that are related to seeking, managing, giving, using, and producing information in context. This thesis concentrates on the information practices of the researchers in the scientific domain of biomedicine. The object of this study has been to understand the special nature of the information related work and practices as a part of the biomedical research work. It is argued that to be able to build efficient tools and advantageous information services for researchers in the biomedical domain, these efforts should be based on the understanding of knowledge creation processes and work practices in this domain. The domain analytical approach forms an alternative view to those models, which try to identify similarities in patterns of seeking and use of information across the research domains. In this study, this approach has been used as an alternative to the generalizing model. The findings of the thesis support the arguments, which oppose the general view of information needs and uses. In information science, the study of information practices is quite a new research orientation. There are no previous studies, where the domain of biomedicine would have been in focus. Another important contribution of this study is the use of the activity theory as a theoretical research frame in the study of information practices. The activity theory appeared to be very helpful in setting information practices in the context. When implementing the activity theoretical research framework, information practices are comprehended as one mediating tool in the activity system of the research work. It aids the researcher to achieve the objectives of the research work.
  • Xie, Yamin (Svenska handelshögskolan, 2016-05-09)
    This dissertation contains three essays on corporate finance and governance which cover a range of topics including: entrepreneurial finance, mergers and acquisitions, financial performance, family ownership, private ownership, ownership change, agency problem, managerial incentives, and management labor markets. In the first two essays, I examine how corporate governance (e.g., family ownership, private ownership and ownership change) affects corporate finance (e.g., financial performance ROA, stock returns, investment opportunities Tobin’s q and firm valuation). In the third essay, I examine how corporate finance (e.g., relative financial performance) affects corporate governance (e.g., CEO turnover and appointment, executive promotion, and incentive mechanism). The first two essays focus on a specific M&A target market and link to entrepreneurial finance. I investigate the founder-controlled firms that are 100% acquired, and examine acquirer performance in cases where the founder remains in the firm post-merger. This research stems from separation of ownership and management in classical agency theory and entrepreneurial theory, and aims to fill the gap about the transition from owners to agents after founders sell their firms in a new corporate governance mechanism. In the first essay, I consider public founder-controlled targets and in the second essay I study private founder-controlled targets. The first essay focuses on the value of founders to their founding firms and, hence, to the acquirers of such firms. I find significant differences between the acquirers of firms where founders remain and the acquirers of firms where founders leave. The acquirers of firms in which founders remain exhibit a higher Tobin's q and greater cumulative abnormal returns, especially when founders remain as daily executives. The second essay mainly examines how the takeover premium of private firms is influenced by the decision to let the founder remain in the firm post-merger. I find significantly higher acquisition premiums and deal prices for those private target firms that are controlled by original founders, especially when the founders remain at their firms post-merger. The third essay provides a financial perspective for the career paths of personnel executives to CEO, and studies why so many COOs are promoted to CEO. This research reconciles both CEO turnover and internal promotion through an analysis of the new CEO selection conditional upon prior positions they have held. I identify key determinants that contain information of CEO’s ability to create value for shareholders. I find that internal COOs are more likely to become CEOs than CFOs and external candidates, and the likelihood is positively related to relative firm performance, executive rank and tenure.
  • Medberg, Gustav (Svenska handelshögskolan, 2016-04-18)
    In recent years, value has become a central topic of marketing research and business practice and is now considered to be a foundation of all effective marketing activity. Value, however, is also one of the most debated and challenging concepts in contemporary marketing theory. The elusive nature of value has contributed to the difficulty for marketing researchers to define the concept. Several streams of value research exist within marketing literature, contributing to the fluid conceptualizations of value. The definition of value adopted by the recent service perspective on marketing theory is value as value-in-use. A fundamental principle of value-in-use is that value is always created and determined during use of products and services. But what is value-in-use, really? This thesis set out to explore what it means for customers in service contexts. Surprisingly little attention has been given in prior service marketing research to the question of how customers understand and interpret value-in-use. Such knowledge is essential for future research about value-in-use as well as for generating customer-centric marketing insights based on a service perspective on marketing theory. The aim of this study was to address this gap and further our understanding of value-in-use from the service customer’s point of view. To achieve the purpose of the thesis, the Value Chart Technique (VCT) was created. The VCT is a research method that captures customers’ perceptions of positive and negative value-in-use throughout service episodes. The method utilizes a graphical tool called the Value chart to track how value-in-use evolves. The VCT’s unique set of features makes it particularly suited for studying value-in-use as a dynamic phenomenon. For the empirical study, 26 informants were recruited, and they shared a total of 53 positive and negative bank service stories, which were analyzed using the VCT. The findings of the study show not only how value-in-use evolves positively and negatively over time, but also that customers understand and interpret value-in-use in service episodes as features of the service process, the outcome of the service, and economic features of the service, i.e., functional, technical, and economic service quality. Hence, this thesis contributes to service marketing theory by demonstrating that service quality and value-in-use in service episodes represent the same empirical phenomenon, despite their different theoretical traditions. As the findings indicate that service quality is the way in which customers understand and interpret value-in-use in service contexts, service managers are recommended to focus on continuous quality management as a way to facilitate the creation of value-in-use.
  • Osmekhin, Sergey (Svenska handelshögskolan, 2016-04-11)
    Financial markets and the pace of trading have changed dramatically over the last decade. Stock exchanges have replaced their traditional physical floors with electronic trading platforms. Most market participants now employ automated, algorithmic strategies, which are the focus of the present thesis. The thesis consists of introduction and three essays. In the first essay, I study the impact of algorithmic trading activity on market properties. The analysis is based on a proprietary dataset from NASDAQ OMX Nordic. The essay presents a method for causality identification that does not rely on exogenous events. Separating maker’s and taker’s activity provides the analysis of causality between traders and market properties. The results identify two-way causality from the activity of algorithmic liquidity providers to relative bid-ask spread and from bid-ask spread to the activity of algorithmic liquidity takers. In the second essay, I study the impact of trading fees on market properties and activity of traders using the natural experiment of unifying the tariff structure of the NASDAQ OMX Nordic exchange trading price lists. I test the hypothesis that if the change of the exchange fees is less than uncertainties of other trading costs (e.g. cost of future bid-ask spread), the impact of the change is economically insignificant. The third essay presents a quantitative approach to measure market efficiency, based on the waiting time distribution. Constructing mean-reverting portfolios of cross-listed stocks provides observation of inefficient states by divergence of price from its mean. The farther the price diverges from its mean, the quicker the mean-reversion is. The essay shows that the parameter of the waiting-time exponential distribution is a good indicator of market efficiency. The findings presented in the thesis have the potential to be of interest for investors, regulators, and policy makers internationally.
  • Haga, Jesper (Svenska handelshögskolan, 2016-04-05)
    Asset pricing models provide investors with a relation between risk and expected returns. Higher risk levels should be linked to higher expected returns. In addition, trading strategies that earn risk adjusted abnormally high or low returns are referred to as asset pricing anomalies. These asset pricing anomalies present an important challenge for us researchers. Either our asset pricing models are incorrect or there exist frictions in the capital markets allowing such anomalies to persist. A better understanding of these anomalies can help in the development of asset pricing models. Knowledge about these anomalies is of course gained by studying them, which is where my thesis comes in. This dissertation investigates three different topics in asset pricing literature. The first two papers study anomalies. In the first essay the momentum anomaly is investigated. In this respect, the momentum strategy consists of buying previous outperformers and selling previous underperformers. Moreover, this strategy generates abnormal returns. More specifically, the first essay studies the robustness of intermediate-term momentum. The result suggests that the difference found between short-term and intermediate-term momentum is mainly driven by low credit risk firms and that the optimal momentum strategy can be dependent on firm characteristics. In the second essay we investigate the credit risk puzzle. Previous studies have shown that firms with a high credit risk exhibit lower excepted returns than firms with a low credit risk. This phenomenon is referred to as the credit risk puzzle. Contrary to previous findings, we suggest that the credit risk puzzle is only a temporary occurrence. Furthermore, the reason for this temporary mispricing of high credit risk firms could be the result of stronger limits to arbitrage during the subsample or possibly due to a sudden increased power to the debtholders during the early subsample. The third essay shows that a higher reporting frequency can act as a stabilizing factor in times of market distress. Firms that report quarterly instead of semi-annually experience lower stock price volatility during times of market distress. However, the important systematic volatility is higher for stock prices of firms that report quarterly. Ultimately, there exists a trade-off between higher firm specific systematic volatility on average and lower total volatility in times of market distress.
  • Olufeagba, Olugbenga (Svenska handelshögskolan, 2016-03-01)
    Asset price movements play credible role as leading indicator for activity, financial distress and general economic wellbeing, and as such, are closely monitored by investors and policymakers alike. All assets’ prices are expressed in a unit of account, usually the home currency of the jurisdiction in which the asset is domiciled, and the values of these currencies continually vary, depending on the balance of demand and supply. The continuous variation in the value of currencies suggests that, at best, they can only be an inappropriate unit of measure of an asset. This dissertation aims to shed more light on why single currencies are inaccurate units of measure of asset prices. Our first study investigates how the currency of valuation affects the outcome of the return and volatility spillovers between the stock market and the foreign exchange (FX) market. Evidence from our study suggests the presence of exchange rate premium in asset prices, which in turn significantly affects the nature of the relationship between the equity and FX markets when asset prices are measured in an aggregate unit of account rather than pair-wise or single currency. In our second study, we examine the currency effect on the predictability of stock returns in the short term. Although previous studies have concentrated on investigating the factors or models that best predict asset returns, our study investigates the effect of currency of valuation on stock return predictability. Our results suggest that reducing the volatility of the variables by valuing them in an aggregate unit of account improves the predictability of stock returns on the short horizon. Our last study investigates the currency effect on the long-term relationship between the stock market and macroeconomic variables. Our results show evidence of significant changes in the relations between the stock market and macroeconomic variables with the introduction of the aggregate currency factor, marked by reducing the effect of the aggregate currency-denominated US macroeconomic variables on the aggregate currency-denominated stock index. Moreover, the results show that the previously documented relations between the stock market and macroeconomic variables, without accounting for the influence of the currency of valuation, might not necessarily hold when the currency factor is discounted.
  • Salonaho, Harry (Svenska handelshögskolan, 2015-11-16)
    Avhandlingens syfte är att presentera ett antal förändringsförslag för att förbättra arbetslagstiftningens och arbetsmarknadsmekanismernas funktion, och därmed förstärka Finlands konkurrenskraft. Ett centralt tema i avhandlingen är skyddsprincipens omfattning och struktur. I avhandlingen ställs frågan huruvida skyddsprincipen borde utvidgas till att också gälla skyddet av arbetsplatser för att samtidigt bättre än hittills skydda den enskilda arbetstagaren. Avhandlingen innehåller dessutom en jämförelse av arbetsmarknadsförhållandena i Tyskland, Sverige och Finland. Målsättningen är att beskriva förhållandena i två för Finland viktiga konkurrentländer, och presentera vilka förändringar Tyskland och Sverige har genomfört i arbetslagstiftningen och arbetsmarknadsmekanismerna för att förbättra sin internationella konkurrenskraft. För att visa hurudana fall som inte kunnat lösas mellan arbetsmarknadsparterna och där någondera parten väckt talan i arbetsdomstolen, har alla tvistemål från åren 2001, 2004, 2007 och 2010 analyserats. Fallen analyseras med hjälp av 9 variabler. Av undersökningen framgår att arbetsfredsfallen var den största kategorin av fall (48 %), åtföljd av avlöningsfrågor (23 %), och permitteringar och uppsägningar (18 %). Därefter presenteras svaren från intervjuerna som gjorts med 24 ledande aktörer på arbetsmarknaden, representerande arbetstagare, arbetsgivare och specialister. Frågorna som ställdes berörde arbetslagstiftningens och arbetsmarknadsmekanismernas funktion samt förändringsbehov, och de intervjuade ombads att gradera sin tillfredsställelse med situationen i dag och också gradera behovet av nödvändiga förändringar. Arbetsgivarna verkar vara missnöjdare och ser ett större förändringsbehov föreligga än arbetstagarna och specialisterna. Till slut presenteras ett antal förändringförslag baserade på jämförelsen mellan förhållandena i Tyskland, Sverige och Finland, analysen av arbetsdomstolens domar samt intervjusvaren. Avhandlingen visar att såväl arbetstagarna som arbetsgivarna måste vara beredda att acceptera att omfattande förändringar i både arbetslagstiftningen och arbetsmarknadsmekanismerna borde genomföras.
  • Zhang, Ling Eleanor (Svenska handelshögskolan, 2015-08-11)
    “I wanted to be Chinese, once…I wanted China to be the place where I made a career and lived my life. I won’t be rushing back either. I have fallen out of love, woken from my China Dream.” “China has been a familiar destination for multinational corporations over the last few decades, but surprisingly it still remains one of the most challenging destinations for expatriates”, says Ling Eleanor Zhang, who will defend her doctoral thesis on the subject. Yet, according to Zhang, underneath the seemingly high expatriation failure rate exists an ever more routine reality of contemporary working life. A growing number of sojourners, from expatriates sent by headquarters, to self-initiated expatriates, to expatriate entrepreneurs, are now, for various reasons, becoming caught up in China. They experience a dizzying array of processes collectively labelled cross-cultural adjustment, acculturation or biculturalism. Based on comprehensive fieldwork, Zhang seeks to uncover the working and living realities of expatriates in China from a language and culture perspective. In her doctoral thesis, Zhang also presents the multifaceted linguistic challenges faced by expatriates from both their own perspective, as well as that of the host country employees. She further provides a contextual account of expatriate host country language proficiency on cross-cultural adjustment, and inductively builds an analytical framework for analysing why and how host country language matters. “Nordic expatriates, who are currently working and living in China, have different types of cultural identity, i.e. marginal bicultural identity, cosmopolitan identity, transitional identity, and monocultural identity”, says Zhang. “Factors such as organisational context, expatriates’ attitudes towards the host country language, as well as their network orientations, have influenced expatriates’ identification with home, host and a third culture”, she continues. The findings also reveal a number of strategies expatriates adopt in order to cope with the uncertainty and ambiguity, such as holding on to physical proof of groundedness, believing in individuality, realistically evaluating and accepting the marginality, and allowing for a certain degree of fluidity regarding one’s cultural identity.
  • Vaillancourt, Alain (Svenska handelshögskolan, 2015-07-02)
    Major disasters, conflicts and poverty afflict many millions of people around the world. To address the needs of these people, humanitarian organizations deploy a vast array of resources supported by material, financial and information flows. Some of these resources need efficient logistics support to achieve their goals and through vertical or horizontal coordination, humanitarian organisations can improve the way to respond to a situation. A specific approach to coordination is consolidation which this thesis explores in depth. The thesis and its articles aim to understand the competence and underlying resources for consolidation of materials in supply chains. This thesis covers material consolidation concepts and humanitarian logistics activities such as warehousing consolidation, procurement consolidation and transportation consolidation. The research presented in the thesis is composed of three individually authored articles, the first one is a conceptual paper based on a literature review entitled “A Theoretical Framework for Consolidation in Humanitarian Logistics”. The second article is entitled “Procurement Consolidation in Global Humanitarian Supply Chains” and the third article is entitled “Kit Management in Humanitarian Supply Chains”; both these two articles are based on empirical case studies. This thesis further contributes to dynamic capabilities as it identifies a result that can be expected from the lower supply chain competition and interest in coordination and cooperation by humanitarian organizations: facilitating access to competencies in between organizations through specific consolidation activities. Humanitarian organizations do not seek profit neither do they compete through their supply chains and instead sometimes cooperate and coordinate to improve aid delivery.
  • Pettersson, John (Hanken School of Economics, 2015-07-02)
    The efficient market hypothesis stipulates that investors are unable to consistently gain risk adjusted returns with the information known to them at the time of the investment. The expected return, conditional on the information set known to investors, is determined from an assumed expected return theory (asset pricing model). However, it has previously been shown that past winners outperform past losers. A trading strategy taking a long position in previous winner stocks and a short in previous loser stocks earn positive statistically and economically significant risk-adjusted returns. These results are confirmed in international markets, but also in different asset classes. A number of alternative asset pricing models explaining momentum returns imply that momentum should be stronger among high uncertainty assets. Many of these alternative asset pricing models build on investor psychology. This premium, with higher momentum returns among high risk stocks has also been empirically documented. This dissertation evaluates some behavioral explanations to momentum returns by their implications. Behavioral explanations often imply that the momentum anomaly is stronger when uncertainty about information is high. Essay one confirms that there is an overreaction to information causing momentum to be high when uncertainty is high. However, when uncertainty is low momentum still exists, now caused by a slow incorporation of new information into asset prices. Contrary to what many behavioral models imply, the results in essay three suggest that uncertainty about information in the portfolio formation period does not cause a stronger momentum anomaly. Stock prices imply a larger under-reaction to positive and relatively reliable information, than to more uncertain information. Based on previous literature, the results in this study suggest that the driver of the return premium in high volatility assets is the general risk level of single stocks, and not uncertainty about portfolio formation period information. Using equity index futures data, essay two links time series momentum profits to volatility states. Time series momentum portfolio returns are driven by assets in a low volatility state. These results support the general finding that momentum is not caused by uncertainty about portfolio formation period information.