Business Commons^™

Esg Activities, Political Contributions, And Firm Performance, Ahmed W. Alam

University of New Orleans Theses and Dissertations

This dissertation is comprised of two distinct empirical papers which I document in two separate chapters. In the first chapter, I empirically examine the impact of banks’ environmental, social, and governance (ESG) practices on banking efficiency. Using a sample of 578 international banks over the years 2011-2019, I employ a data envelopment analysis (DEA) method to estimate banks’ technical efficiency scores. My baseline Tobit regressions reveal that high ESG performance significantly reduces banks’ efficiency. Further, I find that this relationship is non-linear at very high levels of ESG scores. These findings are consistent across the social (S) and governance (G) …

The Relationship Between Political Contributions And Federal Earmarks And The Impact Of State-Owned Enterprises On U.S. Competition, Tahsin I. Huq

University of New Orleans Theses and Dissertations

With the reintroduction of hard earmarks in the U.S., it is essential to understand the factors that drive earmark receipt. Legislative earmarks have historically represented a significant source of revenue for several firms. We examine the relationship between political expenditure, federal earmarks, and subsequent firm performance. Using a sample of earmarks from 2008-2010 Appropriations bills, we demonstrate that Political Action Committee (PAC) contributions by firms to Senators and Representatives strongly predict both the size and number of earmarks directed to these companies. We also show that PAC contributions to a member of Congress increase the probability that a politician writes …

The Effect Of Conditional Volatility, Skewness, And Excess Kurtosis On Interest Rates, Sarah H. Al Talafha

University of New Orleans Theses and Dissertations

This paper examines the lognormality assumption of per capita, real consumption growth, which is a common assumption in asset pricing models. We found that shocks to household consumption growth are persistent, negatively skewed, and have excess kurtosis. Therefore, we revisited the fundamental relation between expected growth and the real risk-free rate, assuming a non-Gaussian distribution of consumption growth, and found a robust positive association between real consumption growth and real risk-free interest rate, and a negative relationship between macroeconomic uncertainty and real rates, although less in magnitude, which is consistent with both intertemporal smoothing and precautionary savings. This paper offers …

Idiosyncratic Volatility And Interruption Mechanisms In South Korean Stock Markets, Seungho Shin

University of New Orleans Theses and Dissertations

The purpose of this study is to examine how the volatility interruption mechanisms affect idiosyncratic volatilities in Korean stock markets. Collecting the South Korea Stock Market (KOSPI) data from June 15, 2015 to March 31, 2019, we collect each residual„ from three different estimated models: CAPM, FF3, and FF5. To estimate the conditional idiosyncratic volatility, we employ two conditional time-varying measurements: GARCH and TGARCH. Our results show that the conditional idiosyncratic volatility increases when stock prices reach the upper and lower static limits, indicating the implementation of adopting static VI mechanism neither stabilize market conditions nor reduce excess volatility along …

Catalysts And Impediments To Tax Increment Finance In Tulsa’S Historical African American Neighborhood, Bria A. Dixon

University of New Orleans Theses and Dissertations

This thesis assesses how Tulsa, Oklahoma grew to utilize tax increment financing (TIF) to produce economic activity in Tulsa’s historic downtown area. Specifically, how the creation, history, and maintenance of ONEOK Field, a $60 million, 6,000-seat sports venue in Tulsa’s historically African American neighborhood became the catalyst for Tulsa’s current TIF policy. In examining the fiscal outcomes of ONEOK Field, this thesis finds implications for inequitable investment in and around Tulsa’s Greenwood TIF district

Incomplete Markets And Financial Innovation: Consequences For Risk-Sharing, Household Welfare, And Portfolio Choice, Nicolas Duvernois

University of New Orleans Theses and Dissertations

The dissertation consists of three chapters measuring the degree of risk-sharing in a panel of US households, and its impact on welfare and portfolio choice. Conventional wisdom suggests financial innovation improves risk-sharing by completing markets and lowering transaction costs--households engage in risk-sharing to insure against idiosyncratic income shocks to improve their own welfare. In the first chapter, using household level income and imputed consumption data, I find that households' ability to smooth permanent shocks has slightly increased while transitory insurance remained unchanged. However, I find that participating households have higher consumption insurance. Their ability to insure permanent shocks has improved …

Money, Fdi And Economic Growth In Mena Countries., Huda Alsayed

University of New Orleans Theses and Dissertations

First chapter examines the link between FDI, trade, capital formation and economic growth in 12 MENA countries using panel analysis for yearly data between the period 2001 to 2017. Using cointegration and Hausman test, our results indicate that, all the variables are stationary at first level, and long run relationship exist between our variables. A model of endogenous growth highlight that MENA countries favored FDI to trade, where trade has negative relation with economic growth. Capital formation and labor has positive and significant relation. We also, address the relation of education level, as we know that increase in Education level …

State Ownership, Financial Constraints, And The Determinants Of Capital Structure, Sultan Alshuwaier

University of New Orleans Theses and Dissertations

The aim of this study is to investigate the influence of state ownership in Saudi firms listed in the stock market. The first chapter studies the influence of state ownership on financial constraint on investment. Some scholars believe state ownership has a negative effect on the firm value. However, by using two measures of financial constraint, the investment cash flow sensitivity and the Kaplan and Zingales financial constraints index, the finding indicates that the existent of government ownership decreases financial constraint in firms. Also, the results show that the higher government ownership percentage the less financial constraint in firms. The …

Corporate Leverage, Constraints, And Compliance, Abdullah Khaled Alnamlah

University of New Orleans Theses and Dissertations

The first chapter evaluates the zero-leverage effect on firms' financial constraints. Moreover, using investment- and cash-to-cash-flow sensitivities as financial constraint indicators, the results suggest that unleveraged firms are expected to face lower constraints relative to leveraged firms. Lastly, the results indicate that the zero-leverage effect on firms’ financial constraints is more likely stronger for smaller firms, zero-dividend firms, firms with lower proportions of tangible assets, and growth firms. The second chapter develops a new quantitative measure that reflects the extent to which a firm complies to Shariah relative to the other firms located in a certain region at a certain …

Pricing Of Idiosyncratic Risk In An Intermediary Asset Pricing Model, Hasib Ahmed

University of New Orleans Theses and Dissertations

Standard asset pricing theories suggest that only systematic risk is priced. Empirical studies report a relationship between idiosyncratic volatility or risk (IVOL) and asset price. The most common explanation for this anomaly is that households under-diversify creating a Bad Model problem. This paper uses an Intermediary Asset Pricing Model (IAPM) as a way to control for under-diversification in evaluating the relationship between IVOL and asset price. We find that IVOL premia is lower in an IAPM. Our findings indicate that under-diversification can explain the anomaly partially.

Impact Of Relative Liquidity Of Stocks And Bonds On The Financing And Investment Decisions Of A Firm, Sohale Altamimi

University of New Orleans Theses and Dissertations

The dissertation consists of two essays. The first essay investigates if market illiquidity is a significant determinant of capital structure decisions. We hypothesize that firms would likely compare the illiquidity of two sources of external funding at a given point in time and issue the one with lower illiquidity. Therefore, if the level of illiquidity is a key driver of firms’ capital structure decisions in that year, the higher the level of stocks illiquidity, the more of its financing needs are satisfied by the issuance of debt, and the higher the level of bonds illiquidity, the less of its financing …

Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul

University of New Orleans Theses and Dissertations

The objective of this paper is to examine the impact of implementing the static and dynamic volatility interruption rule on idiosyncratic volatility and stock returns in Nasdaq Stockholm. Using EGARCH and GARCH models to estimate the conditional idiosyncratic volatility, we find that the conditional idiosyncratic volatility and stock returns increase as stock prices hit the upper static or dynamic volatility interruption limits. Conversely, we find that the conditional idiosyncratic volatility and stock returns decrease as stock prices hit the lower static or dynamic volatility interruption limit. We also find that the conditional idiosyncratic volatility is higher when stock prices reach …

Financial Regulation, Banking, And Sovereign Debt, Rhada Boujlil

University of New Orleans Theses and Dissertations

The dissertation consists of two essays. In the first essay we study the efficiency of banks during the period of (2000-2017) that witnessed a fierce financial crisis in the light of the regulatory acts enacted in response to the crisis (Basel III 2010). We investigate the combined impact of compliance with Tier 1 and Tier 2 capital, common equity Tier 1, and leverage requirements on bank operating efficiency. We measure operational efficiency of 68 insured, U.S. federally and state-chartered, commercial banks, with consolidated assets of $15 billion or more, over a sampling period of 18 years. We seek to identify …

The Effectiveness Of Government Mandated Disclosure Reform, Sakshi Raj

University of New Orleans Theses and Dissertations

The higher the level of information asymmetry between a firm and its investors, the higher is the firm’s reluctance to raise money externally, potentially leading to investment distortions. An improved disclosure system reduces information asymmetry and therefore, lessens the adverse selection effects of external financing, thereby moderating investment inefficiencies. In this paper, we examine the impact of potentially improved transparency stemming from stricter disclosure requirements (Clause 49) on financing and investment decisions of Indian firms. The results show that reliance of Indian firms on internal financing in the pre-reform period gives way to greater use of external financing …

Innovation, Ownership And Ipo Underpricing, Roman Bohdan

University of New Orleans Theses and Dissertations

This dissertation consists of two empirical essays. The first chapter titled: “Hedge Fund Activism and Dual Ownership of U.S. Multinationals”. Harford, Wang & Zhang (2017) conclude that holding high cash balances abroad to avoid US taxes causes internal capital markets and investments distortions. We posit that hedge funds target MNCs with more severe internal capital and agency problems. We demonstrate that upon acquiring dual ownership in these firms, hedge funds reduce internal capital problems and improve investment, especially innovation, efficiencies. To further reduce agency costs of foreign cash holdings, hedge funds engage dual firms in focused acquisitions. These improvements are …

Two Essays In Economics And Finance, Phuvadon Wuthisatian

University of New Orleans Theses and Dissertations

This dissertation contains two essays. The first essay investigates the measure of FX liquidity and determinants of the change in FX liquidity. Using 20 cross currency exchange rates over spanning period of 1999 to 2016, funding constraints and global risks are responsible for the main drivers of changing in FX liquidity. The magnitudes of both G7 and emerging volatility index are offsetting each other in all the regression models indicating that FX investors take diversification trading strategies to diversify their portfolios. The financial crisis provides an evidence that the more financial constraint issues contribute to the change in FX market …

The Impact Of Governance Mechanism On Performance And Survival Of Entrepreneurial Firms, Noura S. Metawa

University of New Orleans Theses and Dissertations

The dissertation consists of two essays.

The first essay studies governance structures and their effectiveness for start-up companies and their survival. We utilize data from the Kauffman Survey, which tracks a sample of firms from their inceptions through their first eight years of existence. We hypothesize and find evidence that a startup's governance system affects its survivability as well as its performance. We show that controlling for the firm size and the industry, cross-sectional variations in the performance of the start-up firms can be explained by governance variables; the presence of one or more independent board member on the board, …

Social Norms And Stock Trading, Asem Alhomaidi

University of New Orleans Theses and Dissertations

The dissertation consists of two essays. In the first essay we compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects. We sample the daily stock returns of all Saudi firms from September 2002 to 2015 and calculate important measures, including idiosyncratic volatility (Ang et al, 2006), market integration (Pukthuanthong and Roll, 2009), systematic turnover (Loughran and Schultz, 2005), and stock turnover and liquidity (Amihud, 2002). Integration tests report that Islamic stocks are more sensitive to changes in …

Dividend Policy In A Frontier Market And Sector Equity Traded Funds In The United States, Abdulrahman Alharbi

University of New Orleans Theses and Dissertations

In chapter 1, we examine the nature and scale of the relationship between returns on sector Equity Traded Funds (ETFs) and their volatility. We discuss the source and direction of the effect between returns and risk and whether behavioral biases are prominent among sector ETFs. The study has implications for financial sector practitioners and investors, as it provides more information about the risk in sector ETF and whether that risk differs from that of other investment instruments. To this end, we test three hypotheses based on the relevant literature on volatility and returns: the leverage effect hypothesis, feedback hypothesis, and …

Global Market Liquidity And Corporate Investments, Abdulrahman Alhassan

University of New Orleans Theses and Dissertations

The dissertation consists of two essays. The first essay investigates how oil market factors impact on liquidity commonality in global equity markets. I identify two transmitting channels of the effect on liquidity commonality, namely oil price return and volatility. Using a sample of firms drawn from 50 countries spanning from Jan 1995 to Dec 2015, I find that both effects in oil explain the liquidity commonality in countries with higher integration to oil market. In addition, I show that oil volatility effect is more pronounced in net oil exporters compared to net oil importers after controlling for oil sensitivity. My …

Financial Crises And Investment Behavior: The Impact Of Institutional Investors, Kathleen Lindsay

University of New Orleans Theses and Dissertations

The following dissertation contains two related essays. The first essay explores how institutional investor presence impacts investments during the global financial crisis. Using OLS, industry fixed effects, and Heckman 2SLS regression approaches, I explore two ways through which institutional investors could impact investments: liquidity and monitoring. My findings best support monitoring theory. I find that institutional investors monitor capital and R&D levels to maximize crisis period firm value.

The second essay is a direct fallout from my first essay. In it, I investigate how institutional investor types influence investments. I ask, do certain types of investors improve liquidity or monitor …

A Dual-Role Analysis Of Game Form Misconception And Cognitive Bias In Financial And Economic Decision Making, Chinedum D. Nwadiora

University of New Orleans Theses and Dissertations

The endowment and the framing effect are widely examined cognitive biases. The experimental economics literature, using choice data gathered through an elicitation device, commonly finds evidence of these biases. Recent work by Cason & Plott (2014) shows that the interpretation of choice data as consistent with biases related non-standard preference theory could also be consistent with confusion or misconception of the game type used to elucidate preferences. I use the Cason and Plott card auction framework to analyze offers of buyers and sellers in an experimental setting with subjects from the University of New Orleans simulating 97 sellers and 90 …

Banking And Microfinance Performance: Market Power, Efficiency, Performance, Outreach And Sustainability Perspectives, Nazar S. Mustapha

University of New Orleans Theses and Dissertations

This dissertation consists of two empirical papers that explore recent phenomena in Banking and Microfinance Performance. Chapter 1, “Market Power and Bank Performance in MENA Countries,” examines the determinants of market power in 12 Middle Eastern and North African (MENA) countries in the aftermath of the Global Financial Crisis (GFC), specifically within six Gulf Cooperation Countries and six non-Gulf countries. We examine the dynamics of bank competition in MENA countries, provide an up-to-date assessment of market power, investigate the factors impacting bank competition, and explore the evolution of market power during the financial crisis. Our results show an overall increase …

Two Essays In Corporate Finance, Youngha Ki

University of New Orleans Theses and Dissertations

For more than a decade, to reduce the agency problem, various ways have been examined on how to align the interest of manager with shareholders. Evidence and empirical findings are conflicting on the agency problem. Recently, deferred compensation as one incentive compensation draws the attention as a means to incentivize CEOs to make them work for the firm. However, it is still not evident if deferred compensation has effect on aligning CEOs with the firm’s goal possibly due to the issue on data. Therefore, the first essay investigates if deferred compensation has the effect on the agency problem and on …

Two Essays In Corporate Finance: The Effects Of Ownership And Governance On A Firm's Innovation And Capital Structure Decisions, Zhengyi Zhang

University of New Orleans Theses and Dissertations

In the first chapter, we assess the effect of changes of government ownership on corporate innovation activities. Across 58 non-US countries, treatment firms’ innovation, both in quantity and quality, decrease after a governmental acquisition by using a difference-in-difference regressions and propensity score matching. We show that there is conflict of interest between major shareholders and minor shareholders. The corporate innovation efficiency also decline after the government acquisition. We find that this negative relationship is more severe for the group with higher government ownership of banks, better creditor rights and worse stock market development.

For second chapter, if the optimal capital …

An Applied Credit Scoring Model And Christian Mutual Funds Performance, Esther E. Castro

University of New Orleans Theses and Dissertations

This dissertation comprises two different financial essays. Essay 1, “An Applied Credit Score Model,” uses data from local credit union to predict the probability of default. Due to recent financial crisis regulation has been enacted that makes it essential to develop a probability of default model that will mitigate charge-off losses. Using discriminant analysis and logistic regression this paper will attempt to see how well credit score can predict probability of default. While credit score does an adequate job at classifying loans, misclassification of loans can be costly. Thus while credit score is a predictor, there is danger in relying …

Retirement Planning Decisions Using The 2013 Survey Of Consumer Finances, Yun Doo Lee

University of New Orleans Theses and Dissertations

Abstract

This dissertation consists of two essays. The first essay analyzes financial preparation for retirement of American men and women, using the 2013 Survey of Finances. Specifically, for retirement plan, income is an important factor for men and women aged 35-45 because of their insufficient income, health (excellent) for men and women aged 46-59 because of continuing work, number of weeks worked per year for men and women aged 60-67 because they have already retired or will retire and many of them are participating in a part time job. Also, health has significantly positive effects on the share of the …

Predictability Of International Stock Returns With Sum Of The Parts And Equity Premiums Under Regime Shifts, Mahtab Athari

University of New Orleans Theses and Dissertations

This research consists of two essays. The first essay entitled” Stock Return Forecasting with Sum-of-the-Parts Methodology: Evidence from Around the World”, examines forecasting ability of stock returns by employing the sum-of-the-parts (SOP) modeling technique introduced by Ferreira and Santa-Clara (2011).This approach decomposes return into three components of growth in price-earnings ratio, earnings growth, and dividend-price ratio. Each component is forecasted separately and fitted values are used in forecast model to predict stock return. We conduct a series of one-step ahead recursive forecasts for a wide range of developed and emerging markets over the period February 1995 through November 2014. Decomposed …

Two Essays In Finance And Economics: “Investment Opportunities In Commodity And Stock Markets For G7 Countries” And “Global And Local Factors Affecting Sovereign Yield Spreads”, Selma Izadi

University of New Orleans Theses and Dissertations

In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the …

Two Essays In Finance: “Selection Biases And Long-Run Abnormal Returns” And “The Impact Of Financialization On The Benefits Of Incorporating Commodity Futures In Actively Managed Portfolios”, Ramesh Adhikari

University of New Orleans Theses and Dissertations

This dissertation consists of two essays. First essay investigates the implications of researcher data requirement on the risk-adjusted returns of firms. Using the monthly CRSP data from 1925 to 2013, we present evidence that firms which survive longer have higher average returns and lower standard deviation of annualized returns than the firms which do not. I further demonstrate that there is a positive relation between firms’ survival and average performance. In order to account for the positive correlation between survival and average performance, I model the relation of survival and pricing errors using a Farlie-Gumbel-Morgenstern joint distribution function and fit …