Finance and Financial Management Commons^™

Performance Classification Of Ornstein-Uhlenbeck-Type Models Using Fractal Analysis Of Time Series Data., Peter Kwadwo Asante

Open Access Theses & Dissertations

This dissertation aims to assess the performance of Ornstein-Uhlenbeck-type models by examining the fractal characteristics of time series data from various sources, including finance, volcanic and earthquake events, US COVID-19 reported cases and deaths, and two simulated time series with differing properties. The time series data is categorized as either a Gaussian or a Lévy process (Lévy walk or Lévy flight) by using three scaling methods: Rescaled range analysis, Detrended fluctuation analysis, and Diffusion entropy analysis. The outcomes of this analysis indicate that the financial indices are classified as Lévy walks, while the volcanic, earthquake, and COVID-19 data are classified …

Essays On Reit Founder Ceos, Michael Mcgonigle

Open Access Theses & Dissertations

I explore how founder CEOs influence the firm. In my first chapter I examine how founderCEO risk-aversion affects firm capital structure. Using book and market leverage ratios to proxy for risk aversion, I show that REITs with founder CEOs have less leverage than other REITs. This result holds when controlling for firm size, firm age, tangibility, profitability, growth potential, diversification strategy, property-type fixed effects and year fixed effects. I use a propensity score matching methodology to examine whether the reduced leverage is due to factors other than a CEO's founder status. The results do not support that notion. I use …

Essays On Employee Litigaiton Risk, Adrian Tippit

Open Access Theses & Dissertations

This dissertation examines the valuation effects of a legislative shock to employee litigation rights, as well as the mediating effects of pre-existing employee rights.The first chapter examines the valuation effects of the Passage of the Lilly Ledbetter Fair Pay Act, an act that increases employee litigation rights related to demographic-based discriminatory compensation filings. We find that firms with relatively fewer women in their workforce exhibit a significant negative three-day abnormal return of 0.61% around the passage of the Lilly Act. In contrast, we find that firms with relatively more women in their workforce do not exhibit a significant abnormal return. …

A Machine Learning Approach To Stochastic Optimal Control, Pablo Ever Avalos

Open Access Theses & Dissertations

Merton's portfolio optimization problem is a well-renowned problem in financial mathematics which seeks to optimize the investment decision for an investor. In the simplest situation, the market consists of a risk-less asset (i.e. a bond) that pays back a relatively low interest rate, and a risky asset (i.e. a stock) that follows a geometric Brownian motion. The optimal allocation strategy of the investor's wealth is found by optimizing the expected utility along the stochastic evolution of the market. This thesis focuses on several different applications of this optimization problem. We look at pre-constructed analytical solutions and showcase the results. We …

Essays On The Economic Consequences Of Regulatory Monitoring, Yicheng Zhu

Open Access Theses & Dissertations

This dissertation studies the economic consequences of regulatory monitoring in two chapters. In the first chapter, using hand-collected data on Financial Industry Regulatory Authority (FINRA) violations, I examine how enforcement actions on financial institutions affect their investment bankersâ?? role as mergers and acquisitions (M&A) advisors. I document that FINRA violations in the current year lead to a loss of M&A market share in the following year. I further find that client performance improves in future M&A deals advised by the sanctioned banks. Specifically, I document that future bidder (client) cumulative abnormal returns (CARs) are positively related to both the number …

Essays On The Financial Implications Of Economically Linked Firms, Chao Wei

Open Access Theses & Dissertations

This Dissertation consists of two topics on the financial implications of economically linked firms. The Chapter 1 examines the impact of supply chain concentration on purchasing firm's financing costs. I find that purchasing firms engaging in less concentrated supply chain structure are subject to higher risk and cost of equity. This effect is more pronounced when the supplier's financial performance deteriorates or when the purchasing firmâ??s purchase demand is large. I also provide evidence that lower supply chain concentration increases purchasing firm's cost of debt. Lenders charge higher interests on the corporate loans as their compensation for the additional risk …

Stochastic Modeling Of Earthquakes And Option Pricing Using Bns-Gamma-Ou Model, Mandela Bright Quashie

Open Access Theses & Dissertations

High frequency data are becoming increasingly popular these days. They are fundamental in basically every facet of people’s lives. They are the determining factors in hedging in the field of finance. In geology, they help in the accurate prediction of earthquakes’ magnitude which goes along way to help save lives and properties.

High frequency data are also used more and more frequently for speculations. For this reason, it is important not only for scientists to apply models allowing correct quantification of these data, but also to improve the eciency of these models.

The Black-Scholes model, which is widely used because …

Lévy Processes: Characterizing Volcanic And Financial Time Series, Peter Kwadwo Asante

Open Access Theses & Dissertations

In this work, we use the Diffusion Entropy Analysis (DEA) to analyze and detect the scaling properties of time series from both emerging and well established markets as well as volcanic eruptions recorded by a seismic station, both financial and volcanic time series data are known to have high frequencies (i.e they are collected at an extremely fine scale). The objective is to determine the characterization i.e whether they follow a Gaussian or Lévy distribution. If they do follow a Lévy distribution we are then interested in finding if they are characterized by a Lévy walk which has a finite …

Essays On The Spillover Effects Of Whistleblowing On Peer Firms, Emmanuel Joseph Sequeira

Open Access Theses & Dissertations

This Dissertation examines the spillover effects of media reported corporate whistleblowing on industry peer firms in two essays. The first essay examines peer firm risk-taking and firm efficiency following a whistleblowing allegation. I find that peers significantly reduce their risk-taking following the allegation. They also increase their efficiency following the allegation and increase their market share at the expense of the whistleblowing firms, leading to increased profitability. My second essay examines peer firms' earnings management choices following a whistleblowing allegation. I find that peer firms significantly reduce their manipulation of real activities and reduce their use of accruals-based earnings management …

Managerial Entrenchment And Financial Reporting Comparability, Qifeng Wu

Open Access Theses & Dissertations

This study examines whether managerial entrenchment has an association with firms' financial statement comparability. I find that managerial entrenchment has a significant negative association with financial statement comparability, providing a new notion about the management influence on financial reporting quality. Moreover, by using the business segment as a proxy for business complexity, I find that the variation of accounting comparability with its peer firms mainly stems from managers' investment choice. This finding supports FASB's assertion that financial statement comparability is a reporting quality that should be enhanced among firms with similar economic events. Lastly, I test if managerial entrenchment mitigates …

Market Effects Of Local Media Employment Reductions On The Idiosyncratic Risk Of Nearby Firms; Returns, Valuation, And Debt; And Firm Meet-Beat Behavior And Ceo Turnover And Compensation, C. Kyle Jones

Open Access Theses & Dissertations

This research examines the effects of reductions in local and regional media employment on firms' information environment. A reduction in the number of local media employees available to provide coverage of firms is associated with persistent levels of increased idiosyncratic risk. The source of that firm-level risk appears to be increased estimation risk among investors, rather than decreased awareness about the investment opportunities or real effects on firms' product market competition. I also demonstrate that overall levels of local media coverage are associated with differences in returns similar to those associated with coverage in national outlets. While a reduction in …

Two Essays On Executive Compensation, Michael Abrokwah

Open Access Theses & Dissertations

This doctoral dissertation examines the effect of an exogenous event on Executive compensation and the relationship between executive compensation and earnings management undertaken by the firm.

My first essay presents evidence that natural disasters have an effect on CEO compensation. Our main findings are that option compensation is lower for CEOs in counties where a natural disaster occurred. Furthermore, in the year of the disaster, stock compensation is higher among CEOs in natural disaster counties when compared to those in non-disaster counties. When considering liquidity, option compensation levels are lower for firms with below average liquidity levels but stock compensation …

Information Content Of Revised Earnings Forecasts, Market Learning, And Analyst Behavior, Lifei Xue

Open Access Theses & Dissertations

In my first essay, I examine how the quality of private information and the quality of public information contained in analyst revised one-year-ahead earnings forecasts issued right after a quarterly earnings announcement affect the post-earnings announcement drift (PEAD). I find that high precision of private information contained in revised forecasts reduces the level of PEAD and that the precision of public information contained in the revised one-year-ahead earnings forecasts partially offset the reduction in PEAD. Moreover, I find the effect of precision of private information on PEAD decreases after Reg FD, which required in the year 2000 that analysts could …

Credit Union Loan Rate Determinants During The Post-2009 Expansion, Esmeralda Patricia Muniz

Open Access Theses & Dissertations

Credit union deposits have grown substantially in recent years. Given that, an increasing number of consumers and small businesses are joining credit unions as members. This study investigates the determinants of credit union loan rates during a period of economic expansion in the United States using fourth quarter 2015 data for 5,942 credit unions. Five different interest rate categories are analyzed using nine potential loan rate determinants. The results indicate that credit union loan rates tend to be lower when economies of scale exist, while high ratios for net charge-offs and operating costs cause interest rates to increase. Opposite of …

Maximum Entropy Approach To Interbank Lending: Towards A More Accurate Algorithm, Thach N. Nguyen, Olga Kosheleva, Vladik Kreinovich

Departmental Technical Reports (CS)

Banks loan money to each and borrow money from each other. To minimizing the risk caused by a possible default of one of the banks, a reasonable idea is to evenly spread the lending between different banks. A natural way to formalize this evenness requirement is to select the interbank amounts for which the entropy is the largest possible. The existing algorithms for solving the resulting constrained optimization problem provides only an approximate solution. In this paper, we propose a new algorithm that provides the exact solution to the maximum-entropy interbank lending problem.

Essays On Corporate Vertical Integration, He Li

Open Access Theses & Dissertations

My Dissertation examines the corporate diversification strategy of vertical integration. Vertical integration refers to the organizational structure in which divisions within the firm are integrated along the supply chain. I examine the advantages and disadvantages associated with vertical integration in two chapters.

In Chapter 2, I model how inter-divisional spillover effects mitigate internal capital market (ICM) inefficiencies. The model shows that the spillover effect helps align the objectives of division managers and the objective of the CEO and the firm, and thus facilitates efficient capital allocation at equilibrium. Empirically, I measure the size of the spillover effect by the degree …

Ceo Ownership And Firm Performance: Evidence From The 2003 Dividend Tax Cut, Hong Kim Duong

Open Access Theses & Dissertations

This study investigates whether and how CEO ownership impacts firm performance by using the large tax cut on individual dividend income enacted in 2003 (The 2003 Dividend Tax Cut) as an exogenous shock. My findings suggest that CEO ownership of dividend payers significantly increased after the shock in the form of higher annual restricted stock grants and more option exercises. I document that the change in CEO ownership has an asymmetric impact on firm performance and investment efficiency. Only dividend payers with CEOs who moved closer to optimal ownership experienced improvement in investment efficiency and performance. In contrast, dividend payers …

Quantifying A Mining Investability Quotient To Mitigate Junior Mining Investment Risk, Jonathan Mickey Merguerian

Open Access Theses & Dissertations

Uncertainty and risk are inherent features of investing in mineral exploration ventures. Investors rely on qualitative and quantitative analysis to evaluate risk of capital. The distinction between risk and uncertainty pertaining to mineral exploration is that risk is an opportunity for loss and uncertainty can be described as the range of probabilities that some condition may occur (Rose, 1987). Stakeholders rely on a combination of investment conferences, risk analysis equations, press releases, financial reports, and investment research to determine if an investment potential. J. M. Cozzolini developed a formula for Risk Adjusted Value (RAV) of an exploration venture. The study …

Financial Decision-Making And The Normalization Of Deviance, Dilata Ranadive

Open Access Theses & Dissertations

Two perspectives have dominated the discourse on the causes of the financial crisis of 2008. The first attributes the financial crisis to intentionally malevolent behaviors, whereas the second attributes it to the natural market fluctuations. However, there is still a third, possible perspective. While the first two perspectives focus on the intention of the actors, the third perspective focuses on the response of the observers. This is what Vaughan (1996) refers to as "normalization of deviance". In normalization of deviance actions or decisions that are initially regarded as aberrant or atypical are re-conceptualized and adopted as the new criterion. The …

Product Market Competition, Corporate Investments And Risk, Hussein Ali Ahmad Abdoh

Open Access Theses & Dissertations

This doctoral Dissertation examines the impact of product market competition on the cash flow investments and risk. The Dissertation is comprised of three essays. First essay investigates the link between a firm's competitive environment and the ratio of idiosyncratic volatility to systematic volatility. I postulate that competition has a higher effect on idiosyncratic volatility than the systematic volatility for two reasons. First, market power works as a tool that passes on firm-specific cost shocks to customers but is irrelevant to passing on the industry-wide cost shocks. Second, firm's competitive advantage relative to its peers in the industry is affected by …

Essays In Accounting And Finance, Sayan Sarkar

Open Access Theses & Dissertations

In my first essay, I investigate changes in a number of firm characteristics surrounding the change in debt policy (i.e., becoming unlevered). I do so to investigate why firms may lower their debt levels, and add insights to the zero-leverage puzzle. My main findings are that tax based explanations and market timing explanations do not explain the observed behavior of firms that become totally unlevered. My findings are most consistent with the pecking order theory (Myers and Majluf, 1984) and with Jensen's (1986) theory of free cash flows. I also investigate whether financial constraint is somehow related to the decision …

The Effects Of Stock Distributions On Returns, Volatility, And Price, Jason Heavilin

Open Access Theses & Dissertations

This Dissertation investigates three issues regarding the effects of stock distributions on returns, volatility, and prices in an attempt to answer the questions why firms execute stock distributions and why the market appears to favor them. These questions have occupied academicians for at least 40 years (i.e., Fama et al (1969), Ohlson and Penman (1985), Rankine and Stice (1997), Angel (1997), and Crawford et al (2005) among many others).

Chapter 1 studies the notion that the stock market reacts more positive to stock dividends than to stock splits (Rankine and Stice, 1997). However, I find that the stock market does …

Waiting For The Confidence Fairy: An Analysis Of European Sovereign Bond Spreads Before And After The Financial Crisis, David Uresti

Open Access Theses & Dissertations

The 2008 Financial Crisis that began in the United States caused widespread panic throughout the financial sector which resulted in the collapse of some companies and large losses for others. The availability of credit declined even as investor confidence continued to deteriorate. The European periphery concluded that the Financial Crisis would be relegated to the American economy. However, in 2009 Greece suffered a credit downgrade that signaled that the financial shock entered European shores. Shortly thereafter Spain suffered a credit downgrade followed by Italy in 2010. Suddenly the threat of default by a number of European countries became very real. …

Essays On Earnings Quality: Evidence From Net Share Issue, Put Option Sales, And Hedging, Jagadish Dandu

Open Access Theses & Dissertations

There are three essays in this research. The main objective of the research is to extend the literature in corporate finance by investigating the quality of earnings around corporate events like net share issues, put option sales by firms on their own stock, and hedging commodities by high input cost group of firms.

The first paper is "Does Earnings Quality predicts Net Share Issuance". This paper investigates whether quality of earnings predicts net share issuance by corporations. Pontiff and Woodgate (2008) show that annual share issuance (ISSUE) measure is a better predictor of future cross-sectional returns and we use this …

Essays On Authorized Shares, Stock Splits, And Top-Up Options, Hilmi Songur

Open Access Theses & Dissertations

This Dissertation consists of two separate but broadly related essays investigating the role of authorized shares in corporate events. In the first essay, I examine the relation between management's power to issue new shares of stock and stock split abnormal announcement returns. I posit that the mechanical reduction in excess authorized shares (EAS) caused by a stock split, decreases management's power to issue stock. I argue that this results in lower agency costs and thereby increases shareholder's value. After controlling for other factors, and consistent with my hypothesis, I find that the pre-split ratio of unissued authorized shares to total …

Firm Growth Around The World: Financial Constraints, Corruption, And Privatization, Sk. Md. Barkat Ullah

Open Access Theses & Dissertations

This Dissertation consists of three separate essays that are broadly related to firm-level financial constraints, corruption, and privatization and their relation to firm performance and growth across the globe. I employ World Bank Enterprise Survey data collected from 2006-2011 for over one hundred countries. In my first Dissertation essay, I study the effects of accounting information disclosure through auditing on firm level financial constraints and corruption obstacles. I find that audited firms exhibit significantly lower level of financial constraints than unaudited firms. Audited firms also encounter higher level of corruption obstacles than unaudited firms. The second essay examines three firm-level …

Essays On Financial Constraints, Export, And Entrepreneur Gender In Latin America, Maria Barulina

Open Access Theses & Dissertations

This research focuses on financial constraints faced by firms in Latin America and the Caribbean and their financing patterns. Unique firm level survey data from World Bank Enterprise Survey (WBES) is leveraged for this study. The sample used in this research consists of over 22,000 firms from 31 Latin American and Caribbean (LAC) countries for the period between 2006 and 2010.

First, this author empirically estimates the effect of financial constraints on a firm's export behavior in terms of probability to export and export intensity. The analysis shows that older, larger firms with a share of foreign ownership, and those …

Essays In Corporate Finance, Shofiqur Rahman

Open Access Theses & Dissertations

This doctoral Dissertation examines the impact of firms' geographic location and labor market friction, both based on the states in which firms are headquartered, on corporate policies. The first essay examines the impact of the geographical location of the firm on the use of operating leases. The main idea of this essay is that, because obtaining information and monitoring is costly for potential lessors, especially when a lessee is relatively far away from financial centers, rural firms are less likely to use operating leases in comparison to their urban counterparts. Consistent with this hypothesis, I show that rural firms tend …

Reits And Stock Market Cointegration, Jessie E. Felix

Open Access Theses & Dissertations

Real Estate is popular among investors looking for attractive total returns, predictable price movements, and low correlations to the general equity markets. The financial crisis of 2007 led by real estate mortgage defaults led to a universal bear market, and a credit freeze which impacted REITs ability to raise capital. REITs long viewed perception as a distinct asset class was questioned as a result. Research analyzing REITs long run trends find evidence of an existing long run relationship between REITs, and the S&P. This paper employs the same cointegration framework of prior studies using a longer sample period, and favors …

The Impact Of The Proposed Format Of Financial Statements By Iasb And Fasb On Investors' Decisions, Francisco Villanueva

Open Access Theses & Dissertations

This dissertation investigates the impact of the proposed format of financial statements from the International Accounting Standard Board (IASB) and the Financial Accounting Standard Board (FASB) on investors' decisions. In particular, the research question of this study is whether the proposed format reduces the bias from the disposition effect. In 2008, the FASB in conjunction with the IASB published an exposure draft to modify the presentation of financial statements. The proposed format does not change the content of the financial information; it only modifies how information is presented in the financial statements. In other words, recognition of assets, liabilities, revenues, …