Business Commons^™

Three Essays On International Transmission Mechanism, Volatility And Spillovers On American Depositary Receipt Returns, Priti Verma

Theses and Dissertations - UTB/UTPA

This dissertation is a collection of three inter-related essays that examine spillovers from interest rates, exchange rates, regional markets, and the U.S. market to the American Depositary Receipt (ADR) returns. The ADRs investigated in this study are from Brazil, Chile, Mexico (Latin America), U.K., Germany, France, Italy (Europe), and Japan, Hong Kong, and Taiwan (Asia).

Essay 1 investigates the price and volatility spillovers as well as the asymmetric impact of positive and negative innovations from interest and exchange rates to ADR returns. Unlike previous studies which use bivariate statistics, the multivariate extension of Nelson's (1991) Exponential Generalized Autoregressive Conditional Heteroscedasticity …

Overreaction, Seasonality And Relationship Among Middle East And North Africa National Stock Markets, Yaser A. Al-Kulaib

Theses and Dissertations in Business Administration

This dissertation examines overreaction, seasonality, and relationship among Middle East and North Africa (MENA) stock markets. The dissertation is organized in five chapters. The first chapter is introduction to the dissertation and its importance. The second chapter will discuss the MENA capital market developments in the last few years, examine the human and economic development for countries in MENA, and try to find similarities and differences between them. Then the discussion will shift to an overview of the GCC, Levant, and NA regions. Finally, there will be a discussion about economic reform and development in MENA capital markets.

Then, the …

The Effects Of Local And Global Risk Factors On Industry Stock Returns: Across Country Analysis, Mahdy Farag Elhossiny

Theses and Dissertations in Business Administration

This dissertation studies the local and global sources of risk and industries stock returns across national equity markets. We examine several local and global economic risk factors and ask whether and to what extent these risk factors can explain the variation in the industries' stock returns of five countries, namely Canada, Germany, Japan, the U.K., and the U.S. Specifically, the main objective of this dissertation is to find answers for three main questions: First, whether and to what extent do returns on local industries respond to changes in local macroeconomic risk factors? Second, whether and to what extent do returns …

Valuation Effects Of Earnings Restatements Due To Accounting Irregularities, Tan Xu

Theses and Dissertations in Business Administration

This dissertation studies three financial topics using earnings restatement data. In the first topic, we discriminate between the market efficiency hypothesis and the underreaction hypothesis by examining their predictions on the stock performance of restating firms in the post-announcement period. Three approaches are used, namely, the cumulative abnormal return (CAR), buy-and-hold abnormal return (BHAR), and calendar time portfolio approaches. Consistent with the market efficiency hypothesis, we do not find significant abnormal performance in the post-restatement period. In the second topic, we test the extrapolation model (LSV, 1994) by examining the relationship between stock price reaction to earnings restatement and the …

Essays On Currency Risk Management, Nehad Elsawaf

Theses and Dissertations in Business Administration

In recent years a growing number of corporations have committed considerable resources to risk management, indicating the potential for risk management to protect and increase firm value. One can argue that most prior attempts to directly link the value of the firm to its hedging strategies are rather scant. Moreover, several questions with regards to firms' risk management activities remain unanswered. This study consists of two essays dealing with a series of questions regarding corporate risk management in modern U.S. multinational corporations.

In the first essay we first, test the valuation effects of currency hedging policies of firms around extraordinary …

Changes In The Intertemporal Relation Between The U.S. And Japanese Stock Markets, Rustin Paul Diehl

Undergraduate Honors Capstone Projects

This paper finds a decreasing relationship between daytime trading in previous-day US equity markets and the Japanese market performance in the current period. On the other hand, the connection has increased between current US equity markets and current, after-hour Japanese markets. These changes have corrected a previous violation of the efficient market hypothesis, and suggest that as internet trading has increased volumes of off-hour trading, the Japanese equity markets have been better able to digest information from current US markets.

Operating Measures, Ipo Valuation, And After Market Performance-Perspective From Internet Bubble Period, Yuhong Fan

Theses and Dissertations in Business Administration

Internet related firms experienced an extremely high degree of underpricing in the year 1999 and 2000; 40 percent more than underpricing of Non-Internet firms. Two explanations for this phenomenon are examined: the changing-risk composition hypothesis and overreaction hypothesis. Empirical tests are conducted in three stages: first trading day, short-term, and long-term performances. The results are consistent with both hypotheses, and the high initial returns for Internet firms are explainable by investors' overreaction and the firm's high uncertainties.

Credit Union Service Organization Products And Services: Implications, Decisions, And Strategies, Michael Burnett Bare

Theses Digitization Project

This project will create strategic tools for the Credit Union and CUSO to use in order to best create a more symbiotic relationship between the two entities.

Preferred Habitat For Liquidity In International Short-Term Interest Rates, Vladimir Valeryevich Kotomin

Electronic Theses and Dissertations

U.S. money market securities have been found to exhibit behavior consistent with preferred habitat for liquidity around year-ends (Griffiths and Winters (1997, 2004)). In particular, repurchase agreement and commercial paper yields tend to increase when the security begins to mature across the end of the year, and return to normal levels after the year-end obligations have been paid but before the calendar year-end. The competing hypothesis, window dressing by financial intermediaries around disclosure dates, requires that the increase in yields be sustained until after the turn of the year. This study is aimed at finding whether the behavior of international …

Internal Capital Markets And Bank Relationship - Evidence From Japanese Corporate Spin-Offs.Internal Capital Markets, Investment, Seung Han

Electronic Theses and Dissertations

This dissertation consists of two studies related to internal capital markets and bank relationship using Japanese corporate spin-offs. The first study analyzes the relation between internal capital markets and banks by examining 137 Japanese corporate spin-offs created between the years 2001 and 2003 (since the establishment of new spin-offs law in 2001). In a univariate analysis, we find significant positive average cumulative abnormal returns around the announcements, market-adjusted excess returns after the spin-offs, an increase of the Herfindahl index, and a reduction in the diversification discount after the spin-offs. In a cross-sectional analysis, we find that bank-related governance variables such …

Performance Measurement In Irish Credit Unions: An Evaluation Of Pearls, Ruth Vance

Theses

In recent years, the appropriateness of the measures used in performance measurement systems is one of the areas within Management Accounting that attracts significant interest. Even though a lot has been written on the advances in measurement systems in for-profit organisations there is a lack of literature on performance measurement systems in not-for-profit organisations. This dissertation describes and evaluates the performance measurement system used by credit unions in Ireland.

A literature review on performance measurement identifies the criteria that a performance measurement system needs in order to be effective: namely it should be linked to the organisation’s strategic objectives, reflect …

Public Authorities And Determinants Of Aggregate Debt: Kentucky's Municipal Governments, Derek J. Bridges

MPA/MPP/MPFM Capstone Projects

Special purpose entities, or Public Authorities, constitute a substantial portion of the public sector. In Kentucky, these entities provide large percentages of the services offered by state and local governments, employ thousands, have immense budgets, and issue large quantities of debt. It is this debt issuance that may be of concern to public administrators.

The purpose of this study was to examine the numbers and types of Authorities operating in a selection of Kentucky municipalities and how these Authorities, combined with other possible determinants, affect the levels of aggregate debt in the jurisdictions. A combination of analytical methods demonstrated that …

Herzberg's Two-Factor Theory Of Motivation Applied To The Motivational Techniques Within Financial Institutions, Shannon Riley

Senior Honors Theses and Projects

Throughout time, many have attempted to develop detailed theories and studies of motivation, satisfaction, and self-awareness. Each of those theories at some point has been applied and tested as to its effects on people’s lives, jobs, and personal goals in life and in the work place. Due to my strong interest in the management fields specifically, I have decided to look into the different styles of motivation that managers and leaders of organizations within the financial industry typically use. After all, it has been said that one of the manager’s most basic tasks is to communicate with and motivate their …

The Trading Volume Trend, Investor Sentiment, And Stock Returns, Yung-Chou Lei

LSU Doctoral Dissertations

This dissertation relates the information contained in past trading volume to investor sentiment, and investigates its ability in predicting stock returns. Investor sentiment here refers to the enthusiasm of irrational investors on an asset, relative to that of rational investors. Motivated by Baker and Stein (2004) that an increase in trading volume reflects a rise in investor sentiment, I use the change in trading volume per unit of time, referring it as the trading volume trend, as a measure of investor sentiment on individual stocks. I document a negative and significant cross-sectional relation between the trading volume trend and stock …

Ceo Succession Processes And Agency Costs, Zeynep Ayca Altintig

LSU Doctoral Dissertations

In the 'passing the baton' succession process, the incumbent CEO/Chairman relinquishes the CEO title, but retains the Chairman title to facilitate monitoring the new CEO during a probationary period. The new CEO eventually wins the Chairman title if he is successful during the probationary period. We argue that this type of succession process can lead to managerial conformism and conservatism because reputation concerns give the retiring CEO incentives to pressure the new CEO to continue existing policies and to avoid making major changes that could substantially improve performance or increase firm value. Consistent with this hypothesis, we find no changes …