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Articles 1 - 17 of 17
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Expected Equity Option Returns, Xue Zhang
Expected Equity Option Returns, Xue Zhang
Dissertations and Theses Collection (Open Access)
Substantial progress has been made in investigating `Overpriced Puts Puzzle' which exists in index futures options. However, scarce studies focus on whether single-stock options also have similar problems. This thesis analyzes the returns of individual stocks' calls, puts, and their portfolios, both theoretically and empirically. Adopting the methodology of Broadie, Chernov, and Johannes (2008), I find that (1) calls have positive expected returns while puts have negative expected returns. The expected returns of both calls and puts are increasing in the strike price. (2) CAPM alphas and Sharpe ratios are reasonable for calls options, but they are too negative for …
Institutional Distance And Location Choice Of Multinational Enterprises, Yumeng Du
Institutional Distance And Location Choice Of Multinational Enterprises, Yumeng Du
Dissertations and Theses Collection (Open Access)
Even though scholars have realized the importance of the impact of the institutional environment on the strategy of MNEs, most of them have overlooked the first and essential step of the FDI decision location choice. In this paper, we link institutional theory and location choice literature and propose that the difference in the host country and home country`s institutional environments - institutional distance - has a negative effect on the FDI`s location choice. We also formulate hypotheses about firm specific attributes that may moderate this impact of institutional distance on location choice. Using data on Japanese companies` FDI information and …
Does Vc Reputation Affect Function Of Lockup Agreement?, Kejia He
Does Vc Reputation Affect Function Of Lockup Agreement?, Kejia He
Dissertations and Theses Collection (Open Access)
Instead of perceiving lockup agreement and VC-backing as exogenous variables, this paper employs the VC-backed IPO data and takes a closer examination on the specific effect of VC reputation, which impacts the choice of lockup length and return and volume abnormality around lockup expiry. Contrary to the commitment hypothesis proposed by previous literatures, the data suggests that less VC-backed companies tend to choose a longer lockup agreement as a compensation device and those companies backed by more reputable VC experience less negative abnormal return and less abnormal volume around lockup expiry.
Illiquidity, Stock Return And Corporate Capital Structure: Evidence From Seasoned Equity Offering, Zhao Yu
Illiquidity, Stock Return And Corporate Capital Structure: Evidence From Seasoned Equity Offering, Zhao Yu
Dissertations and Theses Collection (Open Access)
The post-issue underperformance of seasoned equity offering (SEO) is generally explained by asymmetric information and deteriorating operating performance. We complement these traditional explanations with a new parameter, the liquidity, which results from the change of capital structure due to equity offering. The new issuing of equity lowers the debt to asset ratio, lowers the information asymmetry, thus increasing stock liquidity, which is in accordance with the hypotheses presented by Kyle(1985)'s model; Evidence that stocks become more liquid after SEO, thus lower the expected return, resulting to underperformance, combined with the high stock illiquidity before SEO, which coincides the high return, …
The Effects Of Patent Characteristics As Signals On The Growth Of Follow-On Innovations: Evidence From Chinese Patenting Activities In U.S, Wenxin Guo
Dissertations and Theses Collection (Open Access)
As global trade and business activities intensified, cross-national patenting activities have been playing an increasingly important role in the process of innovation accumulation and growth. However, few studies (to my knowledge) have examined the characteristics of cross-national patents and their relationship to the accumulation and growth of innovation, especially in the context of a developing versus a developed country.
Motivated by the anecdotal evidence and `Patent Signaling Theory'(Spence, 1973), I investigate the possible influential factors on the `quality' of a US patent with a Chinese priority (thereafter `US-CN' patent) and their impact on the growth of follow-on innovation. By developing …
A Metaheuristic For The Pickup And Delivery Problem With Split-Loads And Its Extension, Dai Yao
A Metaheuristic For The Pickup And Delivery Problem With Split-Loads And Its Extension, Dai Yao
Dissertations and Theses Collection (Open Access)
In this dissertation, we study improvements in the Pickup and Delivery Problem that can be achieved by allowing multiple vehicle trips to serve a common load. We explore how costs can be reduced through the elimination of the constraint that a load must be served by only one vehicle trip. Specifically, we investigate the problem of routing vehicles to serve loads that have distinct origins and destinations, with no constraint on the amount of a load that a vehicle may serve at a time. We develop a metaheuristic to solve large scale practical size problems in this form and apply …
Acquisitions Driven By Stock Overvaluation, Leming Lin
Acquisitions Driven By Stock Overvaluation, Leming Lin
Dissertations and Theses Collection (Open Access)
Overvaluation might drive a firm to use its stock to acquire another firm whose stock is not as overpriced. Though hypothetically desirable, these acquisitions create little, if any, value for acquirer shareholders. Two factors impede value creation for acquirer stockholders from these transactions (despite large differences in relative overvaluation at announcement): acquirers paying large premiums to targets, and investors' correction of acquirer overvaluation during the bid period. Furthermore, acquirer CEOs obtain a large amount of new stock and option grants after acquisitions and realize a net gain in wealth, further suggesting that equity overvaluation increases agency costs and the resulting …
Does Morningstar Shine In The Universe Of Mutual Funds? A Study On Morningstar Mutual Fund Ratings, Wee Seng Ng
Does Morningstar Shine In The Universe Of Mutual Funds? A Study On Morningstar Mutual Fund Ratings, Wee Seng Ng
Dissertations and Theses Collection (Open Access)
Using data from Morningstar Principia CDs and employing standard methodologies, we examine the extent to which two mutual fund ratings: Morningstar star ratings and Morningstar stewardship grades can predict future fund performance. In particular, we investigate whether the combined predictive power of the two ratings exceeds that of a single rating. We decompose funds into various groups characterized by fund age and fund categories in order to address such issues as whether predictive performance is uniform across characteristic-based groups. Although our analysis shows that none of the ratings alone possesses strong predictive power, there is statistical evidence to support the …
Empirical Evidences On Risk-Taking And Performance Of Mutual Fund, Jingchang Lu
Empirical Evidences On Risk-Taking And Performance Of Mutual Fund, Jingchang Lu
Dissertations and Theses Collection (Open Access)
This paper examines the relationship between performance and risk exposure for mutual funds. The preliminary analysis fails to support the tournament hypothesis, which predicts that poorly performing managers will increase risk exposure while outperforming managers will decrease risk exposure. Instead, we find evidence of risk reduction for extreme losers and risk increase for winning managers. Besides, the risk-taking fails to align manager interest with shareholder interest since the returns from the risk enhancement by winners and the risk reduction by losers is relatively worse than those with contradictory strategies. Overall, the competition among fund managers appears to affect management risk …
Entrepreneurial Competencies As An Entrepreneurial Distinctive: An Examination Of The Competency Approach In Defining Entrepreneurs, Xiang Li
Dissertations and Theses Collection (Open Access)
Entrepreneurship is of critical importance to the modern economy. Researchers have studied entrepreneurship for decades. In recent years, significant relationship between entrepreneurial competencies and firm performance has been reported in empirical studies. Applying the competency approach, researchers have assumed that entrepreneurial competency differentiates entrepreneurs from non-entrepreneurs without empirically examining if this is the case. The research conducted under this thesis addresses this gap. Drawing upon a thorough literature review regarding the components, antecedents and performance outcomes of the entrepreneurial competency, we propose the following hypothesis: the entrepreneurs generally possess higher level of entrepreneurial competencies than the non-entrepreneurs, and the entrepreneurs …
Has The Introduction Of Bookbuilding Increased The Efficiency Of China's Ipo Pricing?, Jiehui Fei
Has The Introduction Of Bookbuilding Increased The Efficiency Of China's Ipo Pricing?, Jiehui Fei
Dissertations and Theses Collection (Open Access)
Book-building is commonly adopted in global primary markets and regarded as the most efficient pricing method for accurate IPO pricing by literatures. China has introduced book-building in 2005 to increase IPO pricing accuracy and the capabilities of domestic institutional investors. However, with the current IPO data from China, I find the level of under-pricing has unexpectedly increased after book-building, which is against the empirical studies of a few domestic papers. Secondly, there's some evidence that with better information disclosure from issuer-side through book-building process, the signaling and ex-ante uncertainty effect that previously caused under-pricing has been reduced. But there're unique …
Information Role Of Analysts' Target Prices: Event And Intra-Day Analysis, Fan Chen
Information Role Of Analysts' Target Prices: Event And Intra-Day Analysis, Fan Chen
Dissertations and Theses Collection (Open Access)
I have documented that target prices subsumed in downgrade recommendations are the most informative while target prices in coverage reiteration are the least informative. The First Call database enables me to extend the analysis to an intraday frequency. Conducting event studies using high frequency data, is even more critical given the advent of information technology systems has dramatically changed the landscape of stock trading. The modified approach to event study is relevant to the fast-changing trading environment in today's capital market. For upgrades, there are significant positive market-adjusted returns lasting 20 minutes; for downgrades, there are significant negative market-adjusted returns …
On Stock Return Patterns Following Large Weekly Price Movements: The Case Of Hong Kong, Yue Lu
On Stock Return Patterns Following Large Weekly Price Movements: The Case Of Hong Kong, Yue Lu
Dissertations and Theses Collection (Open Access)
In this paper, I examine the short-run and long-run performance of the largest 49 stocks in Hong Kong market which experience weekly price movements of more than ±10% between 1999 and 2007. For both decline and increase events, one-week significant reversal is documented. But such reversal in returns diminishes very quickly within two or three weeks. From a long-run perspective, I find that large price increases are followed by negative performance, which is consistent with the overreaction hypothesis. However, large price declines are also followed by negative cumulative abnormal returns, which supports the underreaction hypothesis. Such findings indicate that the …
The Announcement Effects And The Long-Run Performances Of Convertible Bond Issuances, Wei Xie
The Announcement Effects And The Long-Run Performances Of Convertible Bond Issuances, Wei Xie
Dissertations and Theses Collection (Open Access)
We discuss several measurements of equity components in CBs and then examine the short-run announcement effects and the long-run performances surrounding CB issuances by dividing the whole sample of CBs into a debt-like portfolio, a mixed portfolio and an equity-like portfolio. At the time of the CB issuance announcements, the market reactions to different portfolios strictly follow a hierarchy predicted by the pecking order hypothesis. In the long-run subsequent to the CB issuances, the buy and hold stock returns of the equity-like portfolio significantly underperform the industry and market benchmarks and the debt-like portfolio; the operating performances of the issuers …
The Effect Of Concentrated Institutional Portfolio On Stock Returns, Hao Li Zhang
The Effect Of Concentrated Institutional Portfolio On Stock Returns, Hao Li Zhang
Dissertations and Theses Collection (Open Access)
This paper examines whether stock return is related to the extent of portfolio concentration on the part of institutional fund managers. There is evidence that large firms are preferred for both concentrated and well-diversified funds. Also, a trading strategy based on concentrated ownership generates positive abnormal return. This implies that informational effect (implied in an increase in concentrated capital) has significant impacts and predictability on returns. Meanwhile, we do not find diversified ownership has predictability on future stock returns.
Three Sections Of Applications Of Co-Integration: Hedge Funds, Industry And Main Global Equity Markets, Zhongjian Lin
Three Sections Of Applications Of Co-Integration: Hedge Funds, Industry And Main Global Equity Markets, Zhongjian Lin
Dissertations and Theses Collection (Open Access)
Co-integration is an econometric property of time series variables. If two or more series are themselves non-stationary (unit root process), but a linear combination of them is stationary, then the series are said to be co-integrated. If there is a co-integration among some time series, we can say there is a long-run equilibrium. That is the non-stationary time series may diverge from each other in short-run, however they would arrive at equilibrium in long-run. Therefore, we can use this methodology to test the existence of commonality of some non-stationary time series. Here we apply a semi-parametric cointegration test introduced by …
Venture Capital Firm's Reputation Effect On Its Start-Up Company's Long Term Operating Performance And Survivorship, Huei Siang Yap
Venture Capital Firm's Reputation Effect On Its Start-Up Company's Long Term Operating Performance And Survivorship, Huei Siang Yap
Dissertations and Theses Collection (Open Access)
In this paper, I tested the effects of three proxies for venture capitalist(VC) reputation on its invested company's long term industry-djusted operating performances (ROA , ROE), market-to-book ratio and survival time (time to delisting) in the aftermarket. VC's market share and VC's IPO share have strong and positive association with the post-IPO long-term performance metrics, and the effects are statistically significant even after accounting for self-selection bias. For long term survivorship of start-up companies, I applied hazard analysis to the IPO company's time to delisting with accelerated failure time (AFT) model as the baseline hazard function, and found that start …