Business Commons^™

Two Essays On Corporate And Institutional Investors’ Usage Of Options, Financial Constraints, And Firm Performance, Bharat Patil

Dissertations - ALL

This dissertation consists of two major parts. Essay I examines the relationship between the firm’s derivative risk management and its financial constraint. Firms face a wedge between their internal and external financing for their investments. I test whether this wedge reduces the firm’s financial constraint when it hedges using interest rate, foreign currency, and commodity derivatives. Using a difference-in-difference framework around the implementation of Financial Accounting Standard (FAS) 123R, this study shows a strong causal relationship between hedging intensity and the financial constraint. I find that net debt increases for the derivative hedging firms, on the other hand, cash holding …

Commonality In Two-Dimensions: An Empirical Investigation, Zhaoque Zhou

Dissertations - ALL

In this thesis, I follow Hasbrouck and Seppi (2001)’s work and use reduced-rank regression to model the commonality in Chapter Two. The literature on the study of return commonality generally attributes its source to the order flow. But I find that return and order flows are endogenous and use the new exogenous Twitter sentiment dataset to show that return commonality may be due to sentiment and attention. Furthermore, I observe the non-linear (linear) relationship between sentiment (attention) and return commonality. Finally, I may export the non-linear relationship using the same reduced-rank regression framework in future research.

I also follow Korajczyk …

A More Efficient And Effective Objective Measure Of Financial Disclosure Quality: Omissions Of Seven Key Financial Statement Variables, Ying Zhang

Dissertations - ALL

This dissertation research includes three Chapters. Chapter One proposes a new and simple measure of financial reporting quality. Chapter Two and Chapter Three apply this new measure to examine the association between financial reporting quality and firms' internal governance issues, such as internal control quality and a possible outcome of internal control weakness (ICW), financial restatements.In Chapter One of the thesis, I propose a parsimonious, theory-based and empirically-supported measure of missing variables, REPORT. Chen et al. (2015) proposes a measure of disclosure quality, DQ, based on missing financial statement variables. DQ includes hundreds of items and is complex to program. …

Essays On Ipo Cycles And Windows Of Opportunity, Meng Chen

Dissertations - ALL

The dissertation consists of two chapters regarding private firms financing in the capital market. The first chapter explores the long-term failure rate of private firms that issued initial public offerings (IPOs) in the public capital market. We study busted, or failed, IPOs to examine the underwriter certification hypothesis and windows of opportunity hypothesis in the new issues market. Extensive literature pointed out that time-varying characteristics of information asymmetry might induce windows of opportunity in capital market when information asymmetry is relatively low. During windows of opportunity, private firms can issue public equity with lower information costs and more favorable terms. …