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Full-Text Articles in Finance and Financial Management
Spacs And The Macroeconomy: An Empirical Examination Of Real Interest Rates' Impact On Spacs, Ryan A. Jacobs
Spacs And The Macroeconomy: An Empirical Examination Of Real Interest Rates' Impact On Spacs, Ryan A. Jacobs
Doctoral Dissertations (DBA)
Special Purpose acquisition companies (SPACs) are an alternative way private entities enter public markets through reverse merger of a publicly listed pool of capital. Price discovery is more transparent than the traditional IPO process, as valuations are negotiated between the SPAC Sponsor and the firm’s management team before shareholders approve through a shareholder vote. I conducted an OLS regression test for a relationship between SPAC activity, using capital invested in SPAC IPOs as a proxy, and various macroeconomic variables. I did not find evidence of a linear relationship. I examined the impact of the real interest rates on monthly pre-merger …
Cultural Distance And Momentum Effect—The Case Of Cross-Listed Companies In The United States, Ling Liu
Cultural Distance And Momentum Effect—The Case Of Cross-Listed Companies In The United States, Ling Liu
Doctoral Dissertations (DBA)
This paper examines the momentum effect in U.S. cross-listed companies, exploring the relationship between cultural distance and momentum portfolio formation, and how cultural distance affects momentum portfolio returns for US cross-listed firms. The study selects cross-listed companies from January 2001 to December 2022 and create momentum portfolios (Chui, Timan, & Wei, 2010) to test the momentum effect of cross-listed companies in the United States. The cultural distance for cross-listed companies is then calculated using the within-group cultural diversity method (Frijns, Dodd, & Cimerova, 2016) and the Hofstede (2001) dimensional method to find the momentum effect in cultural distance sorted groups. …
Assessing Diversification Of S&P500 And Cdx Indexes, Jeffrey A. Palma
Assessing Diversification Of S&P500 And Cdx Indexes, Jeffrey A. Palma
Doctoral Dissertations (DBA)
In this paper, I conduct a study of comovement between equity and corporate bonds using S&P500 and Investment Grade and High Yield CDX Indexes to evaluate the diversification benefits of holding these assets in portfolios. I assess comovement and diversification potential using DCC-GARCH and copulas. This approach allows for a review of equity and credit linkages through multiple lenses and evaluation of how these relationships have evolved over time. In general, I find only modest potential for diversification between equity and CDX markets and strong evidence of increased comovement over time.