Finance and Financial Management Commons^™

Broker Conflict Of Interest Mitigation Efforts And Mutual Funds: Evidence From The 2016 Department Of Labor Fiduciary Rule, Connor Kasten

Doctoral Dissertations

This dissertation utilizes the 2016 Department of Labor (DOL) Fiduciary Rule to analyze the impact of efforts to mitigate broker conflicts of interest on mutual funds. The first chapter examines the effect of the Fiduciary Rule on mutual fund investment. Specifically, I look at changes in the composition of funds available for investment and fund flows during and after the implementation of the Fiduciary Rule. I find that investment companies shifted away from offering investments with broker compensation by eliminating commissioned loads on existing funds, removing funds with broker compensation, and adding funds without broker compensation. This change in investment …

Local Ipos And Retail Investor Trading, Guanhuan Wang

Doctoral Dissertations

This paper examines how salient events affect retail investors’ trading behavior. Using data on households’ trading records from a large discount broker between 1991 and 1996, I find that Initial Public Offerings (IPOs) significantly increase the trading activities of local retail investors of stocks in the same industry over the subsequent year. The effect is stronger for less sophisticated investors and investors who live closer to the IPO firm’s headquarters, consistent with salience as the channel. I also find that retail investors are net buyers of stocks right after the local IPOs and become net sellers after a year and …

Three Essays On Climate Finance And Machine Learning In Financial Studies, Huan Kuang

Doctoral Dissertations

This dissertation focuses on climate finance and explore how to incorporate machine learning techniques into financial research. In the first chapter, we focus on climate innovation. Through a novel design to link climate risk and the U.S. firm patents related to climate change mitigation technologies (CCMTs), we find that CCMT innovations generate significant economic value. These innovations are effective in mitigating firms’ carbon risk. We also find that adoption of a new patent classification scheme has promoted more CCMT innovations in the United States. However, we find mixed evidence on firms’ carbon risk and their CCMT innovation activities. Our work …

Fintech Lending In Consumer Credit Market During Risky Times: Evidence From The Marketplace Lending Platforms, Miaoyin Zhang

Doctoral Dissertations

This dissertation uses evidence from Marketplace Lending (MPL) platforms to examine how newly emerged Fintech lending performs during risky times. In the first chapter, I use the COVID-19 pandemic as a setting to examine the role of marketplace lending (MPL) as an alternative credit provider during a long-term and market-wide economic crisis. Using data from LendingClub, I find that marketplace lenders extend more credit to counties with larger COVID-19 exposure, as measured by its local economic impact and an area’s infection rate. This relation is more prominent in areas with fewer banks, suggesting that marketplace lenders fill borrowing needs in …

Essays On Investor Attention And Information Acquisition, Charles A. Lambert

Doctoral Dissertations

This dissertation examines the relation between capital market participants’ attention to fundamental information and capital market outcomes. The first essay examines whether investors’ attention to fundamental information helps predict mercer and acquisition activity. The second essay examines the impact of passive ownership on the acquisition of fundamental information.

An Analysis Of The Local Control Funding Formula (Lcff) As An Instrument Of Recognition And Distribution Justice, Maeve Mulholland

Doctoral Dissertations

The 2013 Local Control Funding Formula (LCFF) is the first substantive finance reform measure in California specifically designed to provide additional funding to targeted student groups. The present study adopts Nancy Fraser’s (1995) theory of distribution and recognition justice to examine the allocation of resources under the new formula. Critical quantitative methodology is employed to investigate if students identified as being in poverty, English Learners (ELs), and African-American students, benefit under the LCFF. Pre- and post-LCFF comparisons of district level per pupil dollar allocations from LCFF, Other State, Federal, and Local resources are conducted. The findings show that post-2013, funding …

Ceo Network Centrality And Earnings Management, Huan Qiu

Doctoral Dissertations

This study investigates the relationship between CEO network centrality, choice of earnings management, and the consequences for the period from 1998 to 2016. From our empirical analysis, we find that CEOs with higher network centrality are more likely to use accruals-based earnings management, but less likely to use real earnings management to manage earnings upward in the current year. Although the use of accruals-based earnings management normally results in bad economic consequences for firms, CEO network centrality is associated with better (at least not worse) earnings quality, after controlling the use of accruals-based earnings management. As for longterm economic performance, …

Essays In International Corporate Finance, Patrick M. Stanton

Doctoral Dissertations

International corporate finance has greatly expanded with the increased globalization and led to many new research topics. In this dissertation, I examine two distinct international finance topics; (i) determinants of corporate tax inversion and the effects ex-post; and (ii) determinants of for-profit microfinance institutions and financial and social performance.

In Chapter 1, I study corporate tax inversion which is a reorganization by which a domestic firm changes its tax-domicile from the United States to a foreign country with a lower corporate tax rate. In 2014 alone, U.S. public companies valued at over half a trillion dollars announced their intention to …

Essays In Financial Economics: Announcement Effects In Fixed Income Markets, James J. Forest

Doctoral Dissertations

ABSTRACT ESSAYS IN FINANCIAL ECONOMICS: ANNOUNCEMENT EFFECTS IN FIXED INCOME MARKETS PHD IN FINANCE MAY 2018 JAMES J FOREST B.A., FRAMINGHAM STATE UNIVERSITY M.S., NORTHEASTERN UNIVERSITY Ph.D., UNIVERSITY OF MASSACHUSETTS – AMHERST Directed by: Professor Hossein B. Kazemi This dissertation demonstrates the use of empirical techniques for dealing with modeling issues that arise when analyzing announcement effects in fixed income markets. It describes empirical challenges in achieving unbiased and efficient parameter estimates and shows the importance of modelling a wide range of macroeconomic announcement effects to avoid omitted variable bias. Employing techniques common in Macroeconomics, financial market researchers are better …

Essays On The Asset Pricing Anomalies, Kyungyeon (Rachel) Koh

Doctoral Dissertations

This dissertation aims to shed light on the source of the asset pricing anomalies by investigating behavioral and rational explanations. The first essay, “Asset Efficiency and the Asset Growth Anomaly,” examines the source of the asset growth anomaly. I present findings that the anomaly is driven by inefficient firms, which support the behavioral hypothesis that investors on average underreact to some firms’ overexpansion. Firms with past records of high asset efficiency relative to their industry peers do not suffer lower stock performance following high growth. The overarching impact of asset efficiency shows that firm skill is highly relevant, for effective …

When Doing Good Backfires: The Effects Of Corporate Social Responsibility Fit On The Decisions Of Long And Short-Term Investors, Chezham Sealy

Doctoral Dissertations

Investors, analysts, and news outlets have expressed concerns that corporate social responsibility (CSR) has deviated from its original altruistic purpose of improving society to a marketing ploy aimed at managing perceptions of shareholders and improving the bottom line of companies. In this study, I analyze how the fit of a company’s business operations to their CSR activities affects the investment willingness of long and short-term investors. While prior research shows numerous positive outcomes associated with CSR, I predict and find that low fit CSR activities can decrease the investment willingness of long-term investors when companies are involved in controversial “sin” …

Essays On The Term Structure Of Volatility And Option Returns, Vincent Campasano

Doctoral Dissertations

The first essay studies the dynamics of equity option implied volatility and shows that they depend both upon the option’s time to maturity (horizon) and slope of the implied volatility term structure for the underlying asset (term struc ture). We propose a simple, illustrative framework which intuitively captures these dynamics. Guided by our framework, we examine a number of volatility trading strategies across horizon, and the extent to which profitability of trading strategies is due to an interaction between term structure and realized volatility. While profitable trading strategies based upon term structure exist for both long and short horizon options, …

Three Essays On Hedge Fund Investments And Investment Banks, Xiaohui Yang

Doctoral Dissertations

This dissertation focuses on studying how investment banks affect hedge fund equity investments through acting as prime brokers for hedge funds. The first chapter studies how the relationships between hedge funds and investment banks are maintained through equity issuance and prime brokerage business. Using a comprehensive dataset of hedge funds and IPO allocations, I examine IPO allocation decisions by investment banks to hedge funds. I find that investment banks whose prime brokers have strong relationships with hedge funds and are lead underwriters of IPOs tend to allocate more IPOs to these hedge funds. Moreover, the allocation to hedge funds is …

Does Political Giving Impact Shareholder Wealth? Evidence From State Campaign Finance Reforms, Douglas Brian Blank Ii

Doctoral Dissertations

Does corporate political giving actually affect shareholder wealth? While firms value political participation, some lawmakers oppose corporate involvement in politics. Yet, the existing literature has established a correlation between campaign finance and corporate outcomes without fully documenting a causal relation. I use an innovative database of political giving to exploit changes in state campaign finance laws as an exogenous shock to political giving. Specifically, I use the staggered adoption of externally imposed legal limits to political giving across U.S. states to expose how shareholder wealth responds. I find shareholder wealth declines following legally imposed reductions in political giving. The causal …

Essays On Hedge Funds Performance: Dynamic Risk Exposures, Anomalies, And Unreported Actions, Chi Zhang

Doctoral Dissertations

The first chapter analyzes hedge fund activeness and its impact on hedge fund perfor- mance. We propose an innovative method to estimate time-varying risk exposures of hedge funds. The activeness is measured as the time-series average of sum of changes in risk exposures. We examine cross-section and time-series variation of activeness among hedge funds. The activeness can be explained by fund characteristics such as age, lockup period, performance fee, and past performance. Using four performance measures, we find little evidence of active funds outperforming others over the sample period 1994 through 2013. We find that activeness tend to yield better …

Three Essays On Corporate Control, Ning Pu

Doctoral Dissertations

Chapter 1 compares and contrasts the activism styles and outcomes of hedge-fund activists versus traditional institutional activists in an attempt to understand what drives the returns of institutional activism. Contrary to the popular belief that hedge-fund activism is designed to achieve a short-term payoff at the expense of long-term profitability, I find some evidence consistent with the hypothesis that hedge-fund activists can be effective monitors, especially when multiple hedge funds collaborate on the monitoring efforts. This result is supported by examining the relations between the holdings by different types of hedge-fund activists and the outcomes of proposed M&A deals, such …

Role Of Inside Directors In Mitigating Negative Effects Of Outside Directors’ Busyness, Syed Mainuddin Kamal

Doctoral Dissertations

In this study, I investigate the effect of outside directors’ busyness on firm performance, and how the presence of a certified inside director (CID) on the board alters the busyness effect. Busy outside directors are over-stretched to provide adequate monitoring. Certified inside directors (CIDs), inside directors holding a directorship at an unaffiliated firm, have director labor market incentives to focus on their own firm’s performance and share firm-specific information to outside directors for effective monitoring. I find that the negative effect of outside directors’ busyness on firm performance is mitigated when a firm’s board includes a certified inside director (CID). …

Contribution Of 52-Week Low To The Momentum Strategy On 52-Week High, Hyun Chul Cho

Doctoral Dissertations

I examine whether the momentum strategy based on 52-week high price can use 52-week low price as another reference point. I find that the remoteness of current price from 52-week low price plays an incremental role in the momentum profits of the strategy based on 52-week high price. Furthermore, I find that the role depends on the level of the nearness to 52-week high price. I find that the profits of the 52-week high price momentum strategy that also uses remoteness of current price from 52-week low price increase as the level of the nearness to 52-week high price increases. …

Three Essays On Bank Liquidity Creation And Funding Liquidity Risk, Feng Tu

Doctoral Dissertations

According to the modern theory of financial intermediation, liquidity creation is an essential role of banks. Chapter 1 investigates the relationship between diversification of activities conducted by banks and bank liquidity creation. We show that despite the passage of GLBA act in 1999, banks increased their specialization in the traditional loan market and thus became less diversified from 2004 until the end of 2008. In addition, we find evidence that more specialized banks tend to create more excess liquidity during normal times, suggesting too much specialization in mortgage and other types of loans created abundant liquidity leading up to the …

Arbitrage Risk, Investor Sentiment And Maximum Daily Returns, Kenneth A. Tah

Doctoral Dissertations

We test the cross-sectional relation between daily maximum return (MAX) and return in the following month for stocks with high and low idiosyncratic volatility. We use portfolio level analysis and firm-level cross-sectional regression to find that the negative and significant relation between MAX and expected stock return (known as the "MAX effect") is a non-January phenomenon observed predominantly on a sample of stocks with high idiosyncratic volatility. We find that the effect of investor sentiment on the MAX effect depends on arbitrage risk. Our findings suggest that arbitrageurs find it difficult to correct the mispricing of stocks with extreme positive …

Accounting Information Risk And Credit Ratings, Douglas Ray Ayres

Doctoral Dissertations

Using a sample of U.S. firms, this study explores whether accounting information risk has an impact upon corporate credit ratings, a long term measure of the cost of debt. Theory suggests that accounting information risk could impact shorter term measures of the cost of debt, but is unclear as to whether it will have measurable effects upon the long term cost of debt. This study employs SFAS 157 level three fair value disclosures as a proxy for accounting information risk. The findings suggest higher levels of accounting information risk negatively impact credit ratings. This is supported by both levels and …

Two Essays On The Effects Of External Pressure On Executive Compensation: Evidenced Through Political Sensitivity And Pay For Performance Disclosure, Brandy Elaine Hadley

Doctoral Dissertations

This dissertation analyzes the impact of two external forces on executive compensation behavior. In the first chapter, the impact of political sensitivity is investigated as an external force on government contractor executive compensation. Compensation for top executives has come into the political spotlight, especially over the last decade, with many politicians publicly supporting limits on compensation. However, the impact of political scrutiny to limit compensation is debatable. This study analyzes the effect of political scrutiny on CEO compensation using a sample of Federal contractors, which represents a group of firms where politicians yield the most power. Results suggest that Federal …

The Performance Of Institutional Investor Trades Across The Supply Chain, Dallin Max Alldredge

Doctoral Dissertations

In this paper I investigate institutional ownership and trading across the supply chain. I find that institutions are more likely to own stock in a supplier firm, if they own stock in an economically linked customer firm. Institutions with stock in a pair of customer-supplier linked firms (i.e. joint owners) experience abnormal trading profits in supplier stocks. The magnitude of trading profits increases when institutions own a larger stake in the customer and when the supplier relies upon a concentrated customer base for sales revenue. Furthermore, I document that joint owner trading predicts unexpected earnings news, consistent with these institutional …

Theory And Experiments Exploring Behavioral, Financial, And Public Economics, Matthew John Mcmahon

Doctoral Dissertations

I study three questions which relate to one another only in that each explores facets of economics. First, I theoretically examine the conditions under which introducing an impure public good decreases total public provision. I introduce a central planner who can tax the private good to correct this and identify the market characteristics that typify this scenario. Second, I test the two standard competing dividend puzzle hypotheses using a laboratory experiment. Evidence from the lab, including variables unobservable in the field, reinforces empirical work supporting the outcome model over the substitute. Last, I obscure from dictators information regarding recipients' income …

Anchoring Bias, Idiosyncratic Volatility And The Cross-Section Of Stock Returns, Cedric Tresor Luma Mbanga

Doctoral Dissertations

Ang, Hodrick, Xing and Zhang (2006) document an anomaly in the cross-section of stock returns. They show that high idiosyncratic volatility (IVOL) firms earn lower returns in the following month. Specifically, they find after sorting stocks in quintile portfolios based on the previous month's IVOL that a zero-investment portfolio long the most volatile quintile of stocks and short the least yields about -1% during the subsequent month. The evidence reported in Ang, Hodrick, Xing and Zhang (2006) is primarily puzzling because traditional asset pricing theories suggest that (i) only systematic risk should be priced, (ii) to the extent that markets …

Three Essays On Hedge Funds, Liping Qiu

Doctoral Dissertations

In Essay 1, we find that, on average, hedge funds decrease leverage prior to the beginning of the financial crisis, with leverage remaining below the pre-crisis levels. We also find that younger funds with lower current leverage and stricter fund governance are more likely to increase leverage following favorable performance; funds exposed to higher risk, higher management fee and higher current leverage tend to delever. Managers increase leverage in order to enhance future performance following superior returns only to be disappointed. We find mixed evidence on the performance difference between levered and unlevered funds, but levered funds do survive longer. …

The Roles Boards Play In Ceo Succession Planning, Yi Li Rivolta

Doctoral Dissertations

A lack of CEO succession planning increases business risk as disruption is more likely during a CEO transition. One difficulty of examining the importance of CEO succession planning is that the planning process is difficult to observe and evaluate. The main purposes of this dissertation are two-fold. First is to investigate whether CEO succession planning matters by comparing disruption costs in firms with planned departure and those with unexpected CEO departures due to death and illness. The second purpose is to investigate whether inside or outside directors improve organizational resiliency using the context of sudden CEO departures when CEO succession …

The Importance Of Executive Effort, Lee Edward Biggerstaff

Doctoral Dissertations

Agency theory stipulates that managerial effort is important to shareholders and costly for managers to provide. Executives may provide sub-optimal levels of effort because shareholders cannot easily observe the day-to-day actions of managers and therefore have difficulties properly monitoring the effort provided by firm management. Researchers also face the challenge of measuring executive effort. In this dissertation, I use an observable measure of leisure consumption to proxy for the effort provided by executives to study the impact of executive effort on firm outcomes.

In the first essay, I focus on Chief Executive Officers (“CEOs”) and the impact of their effort …

Indefinite Knapsack Separable Quadratic Programming: Methods And Applications, Jaehwan Jeong

Doctoral Dissertations

Quadratic programming (QP) has received significant consideration due to an extensive list of applications. Although polynomial time algorithms for the convex case have been developed, the solution of large scale QPs is challenging due to the computer memory and speed limitations. Moreover, if the QP is nonconvex or includes integer variables, the problem is NP-hard. Therefore, no known algorithm can solve such QPs efficiently. Alternatively, row-aggregation and diagonalization techniques have been developed to solve QP by a sub-problem, knapsack separable QP (KSQP), which has a separable objective function and is constrained by a single knapsack linear constraint and box constraints. …

Two Essays On Insider Trading And Option Grants Around The Filing Of Influential Patents, Liu Pan

Doctoral Dissertations

Research documents that insiders, who have access to private information, appear to trade with profits before major corporate events like mergers, bankruptcy, dividend announcements, and future cash flow news (see, e.g., Seyhun, 1990; Seyhun and Bradley, 1997; John and Lang, 1991; Jiang and Zaman, 2010). Another recent stream of studies find that the size and quality of a firm's patent portfolio are positively related to the firm's future stock returns (Hirshleifer, Hsu, and Li, 2012; Pandit, Wasley, and Zach, 2011). However, there is little systematic evidence on whether insiders act opportunistically when they possess private information about the firm's patent …