Finance and Financial Management Commons^™

Two Essays On Investor Sentiment, Amin Amoulashkarian

Theses and Dissertations in Business Administration

The body of literature on investor sentiment underlines its impact on future stock returns, with general consensus that investor sentiments and future returns are negatively correlated (Baker and Wurgler, 2006; Brown and Cliff, 2004). This extends to the notion that a bullish investor would expect returns to be above average, while a bearish investor anticipates below-average returns (Brown and Cliff, 2004).

The first essay proposes a model to examine the influence of unexpected volatility of investor sentiment on the equity risk premium. Assumptions underpinning the model include risk-averse investors, homogeneous expectations regarding asset returns and price changes, and sentiment-influenced expectations …

Two Essays On Retail Trading, Qiqi Liang

Theses and Dissertations in Business Administration

Essay 1: Retail investors from the discount broker Robinhood swarm into stocks with pending earnings announcements and stay away from them immediately after the announcements. We study four competing explanations for this phenomenon: liquidity provision, informed trading, lottery preference, and attention-induced herding by noise traders. We find strong evidence that, immediately around earnings announcements, Robinhood investors’ behavior is primarily driven by attention-induced noise trading. Our results offer new insights into retail traders’ motivation for trading when they face heightened uncertainty from earnings announcements. Our study also goes beyond Barber et al.’s (2022) limited focus on the top 0.5% of the …

Two Essays In Real Estate Dynamics, Navid Safari

Theses and Dissertations in Business Administration

Real estate dynamics encompass a multifaceted interplay of various factors that shape the market. This dissertation presents two distinct essays that delve into critical aspects of real estate dynamics.

In the first essay, we investigate the influence of short-term rentals, specifically Airbnb activity, on neighboring house prices in Hampton Roads, Virginia. By employing robust measures such as active listings, reservations, and their cumulative impact over different periods, we uncover a positive association between prior Airbnb rental activity and housing sales prices. Moreover, we observe a spatial decay effect, where the localized impact diminishes with increasing geographic distance, particularly beyond 500 …

Two Essays On Industry Tournament Incentives, Sarah Almisher

Theses and Dissertations in Business Administration

A large body of literature has developed on the disparities in compensation among chief executive officers. Financial media has highlighted the fact that CEOs in the United States receive excessive pay and that the gap among executive compensation is soaring. High compensation creates incentives for CEOs to take higher risk in firm policies to land a more attractive position managing another firm and attaining higher pay which is considered the ultimate prize (Kale, Reis, and Venkateswaran 2009; Coles, Daniel, and Naveen 2006). This creates a tournament in the managerial labor market. We define this tournament as the pay differential between …

Three Essays On Stock Price Informativeness, Stock Price Momentum, And Firm Investment Efficiency, Chen Chen

Theses and Dissertations in Business Administration

Scholarly studies documented that stock price informativeness plays a critical role in market efficiency. In this dissertation, we participate this stream of literature by investigating the effects of stock price informativeness on the magnitudes of stock price momentum and the outcomes of corporate merger and acquisition decisions.

Essay 1 explores the effect of stock price synchronicity on momentum. The momentum anomaly is widely attributed to investor cognitive biases, but the trigger of cognitive biases is largely unexplored. In this study, inspired by psychology studies linking cognitive biases to the noisiness of information, we examine whether momentum returns are associated with …

Three Essays On Ceo Traits, Corporate Investment Decisions, And Firm Value, Rongyao Zhang

Theses and Dissertations in Business Administration

More and more research has shown that the characteristics of top executives, especially CEOs, affect organizational decisions and behaviors. This dissertation primarily focuses on the role of executives’ managerial ability played in firm investment decisions, such as mergers and acquisitions (M&As) and corporate social responsibility (CSR) investment, and firm value.

Essay 1 examines whether high-ability managers’ earnings smoothing is motivated by the need to mitigate the adverse effects of heightened information asymmetry triggered by M&As on managers’ reputation capital and firm value. I document that acquirers with high-ability managers engage in more pre-acquisition earnings smoothing and experience more significant announcement …

Application Of Optimization Techniques In Corporate Cash Management, Venkateswara Reddy Dondeti

Theses and Dissertations in Business Administration

For any individual person or firm, there is a trade-off between carrying too much or too little cash on hand to meet the day-to-day transactions demand for cash. The BAT model, named after three eminent economists, Baumol, Allais, and Tobin, is the foundation for almost all cash management models in use today. The goal of the BAT model is to minimize the total costs involving the brokerage fees and the opportunity cost of interest lost on the cash held on hand. The brokerage fees are incurred in connection with the transactions for liquidating securities and converting them into cash. The …

Two Essays On The Information Embedded In Flow Of Exchange-Traded Funds (Etfs), Hamed Yousefi

Theses and Dissertations in Business Administration

An exchange-traded fund (ETF) is a pooled investment vehicle with shares similar to common equities, and it can be bought or sold on the stock exchanges. As more money flow into an ETF, its assets increase as do the number of shares outstanding. The demand for ETFs, especially after the 2008 crisis, has grown remarkably in the United States. Features such as intraday tradability, tax efficiency, low fees, and transparency have contributed to the ETFs’ appeal to investors. According to Bloomberg terminal data, as of January 2021, there were 2584 U.S.-registered ETFs, with over $5.5 trillion assets under management. Recent …

The Effects Of Ceo Dismissal Risk And Skills On Risky Corporate Decisions And Ceo Compensation, Son T. Dang

Theses and Dissertations in Business Administration

This dissertation consists of three distinct essays on the effects of CEO dismissal risk on M&A megadeal decisions, the association between CEO compensation and generalist managerial ability in the presence of CEO dismissal risk, and the alignment of the initial compensation of new CEOs following CEO dismissals with their managerial ability.

In Essay 1, I study the link between CEO dismissal risk and risky M&A decisions and find that higher-dismissal-risk CEOs engage in more M&A megadeals than their counterparts. Such megadeal transactions lead to lower acquirer post-M&A abnormal returns, suggesting that risky investment decisions are driven by CEOs’ career concerns. …

Two Essays On Ceo Overconfidence In Relation To Speed Of Adjustment Of Firm Financial Policy And Ceo Inside Debt, Xiang Long

Theses and Dissertations in Business Administration

This dissertation is a thorough examination of CEO overconfidence, and consists of two essays. The first essay focuses on the relationship between CEO overconfidence and the adjustment speed of firm financial policy. No research has examined the relationship between CEO overconfidence and firm financial policies adjustment speed. Previous studies focus solely on the adjustment speed of leverage, we are motivated to examine the adjustment of firm leverage and the adjustment of cash holdings together because there is evidence that firm leverage and firm liquidity are related. We find that CEO overconfidence places an important role in adjusting firm leverage and …

Three Essays On Ceo Characteristics And Corporate Bankruptcy, Rajib Chowdhury

Theses and Dissertations in Business Administration

Scholarly studies have focused on the impact of managerial characteristics on various corporate activities. Following this stream of literature, this dissertation empirically examines the potential effects of three major Chief Executive Officer (CEO) characteristics, i.e., CEO ability, CEO risk taking behavior induced by compensation structure, and CEO overconfidence on corporate bankruptcies. Essay 1 examines whether chief executive officers (CEOs) are to be blamed for corporate failure. Using alternative measures of CEO ability, we document that high-ability CEOs are less likely to be associated bankruptcy. Bankruptcy-related high-ability CEOs manage to salvage their post-bankruptcy careers either with the reorganized firms or with …

Two Essays On The Microstructure Of The Housing Market: Agents' Diffused Effort And Sellers' Behavior Bias, Zhaohui Li

Theses and Dissertations in Business Administration

For the first essay, we generalize the classic Williams [1998 RFS] brokerage model by introducing the diffused effort. That is, the agent can cross-utilize effort spending on one listing to another one. Besides, the agent can manage heterogeneous housing assets. One counterintuitive finding in Williams’ paper is the absence of the agency problem. As a special case in our model, we recover the agency problem. We examine the positive externality due to the diffused effort and show that it depends on the agent’s inventory size. Hence there exists a trade-off between agents’ effort spending on existing listings and on finding …

Two Essays On The Effects Of Organization Capital On Firm Behavior, Andrew Root

Theses and Dissertations in Business Administration

A growing stream of finance literature involves measuring the effects of organization capital (“OC”) on investment decisions, financial policy, and firm value. Li, Qui & Shen (2018) use the exogenous event of a merger or acquisition to determine whether high OC acquirers perform better. We extend the OC literature by considering economic policy uncertainty (“PU”)(Baker, Bloom & Davis, 2016), which is also exogenous to the firm, to determine the effect of OC on firms in the face of PU. Univariate tests show that high OC firms take more investment risk, have lower leverage, higher cash, lower total shareholder payouts, and …

Two Essays On Investor Attention, Investor Sentiment, And Earnings Pricing, Qiuye Cai

Theses and Dissertations in Business Administration

This dissertation proposes novel direct measures for both firm-level and market-level investor attention and investor sentiment and provides new empirical evidence on the effects of investor attention and investor sentiment on earnings pricing.

The first essay proposes novel direct measures for both market-level and firm-level attention using user activity data from StockTwits.com. To the best of my knowledge, this is the first direct measure of market-level attention. By measuring market-level and firm-level attention separately, I am be able to not only distinguish between attention allocated on market level and firm level but also detach attention from equilibrium outcomes. I document …

Two Essays On Bitcoin Price And Volume, Mohammad Bayani Khaknejad

Theses and Dissertations in Business Administration

Bitcoin is a decentralized peer to peer digital transactions system that was introduced in 2009 in the aftermath of the financial crisis. Since its introduction, it has had a volatile journey, being adopted by computer programmers, cyber punk enthusiasts, criminals, and financial investors. While the future of bitcoin is still not clear, it has been widely adopted by many, not necessarily as a new method of transactions, but rather as a new investment vehicle. Being a new asset class, there are many unknown financial characteristics to be investigated about bitcoin and in this dissertation, we try to explore two of …

Three Essays On Ceo Characteristics And Corporate Decisions, Trung Nguyen

Theses and Dissertations in Business Administration

Recent studies have stressed the importance of managerial fixed effects on firm investment decisions. Following this stream of research, this dissertation empirically investigates the potential effects of two major Chief Executive Officer (CEO) characteristics, i.e. risk preferences and potential mobility, on corporate decisions such as merger and acquisition (M&A) and corporate social responsibility (CSR) investments.

Essay 1 examines whether the variation of M&A stock returns around the 2008 financial crisis is associated with shareholders’ increased loss aversion as a result of undergoing financial losses. The results show that acquisitions carried out by CEOs with risk-averse inducing compensation (inside debt) before …

International Venture Capital Firms Syndication And Performance: A Social Network Perspective, Amir Pezeshkan

Theses and Dissertations in Business Administration

Despite a growing body of research on venture capital firms, the process by which venture capital firms invest across borders remains unclear. This three-essay dissertation integrates the literature on venture capital firms, social network theory, and international alliances to examine following research questions: 1) How do network characteristics (i.e., structure and composition) of the international venture capital firms and their potential partners impact their syndication behavior? 2) What configurations of the ventures' and the international venture capital firms' attributes is associated with syndication in emerging markets? and 3) Does the host country influence the international venture capital firms' syndication behavior …

Two Essays On Managerial Horizon, Cash Holdings And Earnings Management, Sanjib Guha

Theses and Dissertations in Business Administration

U.S. corporations are now sitting on an enormous stockpile of cash. Academicians and practitioners alike have tried to understand the reasons why companies are holding on to so much cash. Numerous studies have explored the various motives for holding cash. Many researchers have tried to correlate excess cash holding with particular firm characteristics. This dissertation analyzes the correlations that exist between excess cash holding and some measurable managerial characteristics. This dissertation examines if managerial horizon has any impact on excess cash holding. It also examines if managerial horizon and excess cash has any impact on firm value. Four different measures …

Two Essays On Investor Attention And Asset Pricing, Nadia Asmaa Nafar

Theses and Dissertations in Business Administration

This dissertation explores the effect of investor attention, as measured by Google Search Volume Index, on security prices. It seeks to answer the following research questions: 1) what is the effect of investor attention on the expected returns of EREITs? And 2) what is the impact of investor attention on the open market repurchases post announcement returns?

Classic theory suggests that information is immediately incorporated into stock prices. However, existing empirical evidence shows that investors are limited in terms of the amount of information they can process. Kahneman (1973) advances that attention is a scarce cognitive resource. Individuals suffer from …

Two Essays On Attracting Foreign Direct Investment: From Both A National And Firm Level Perspective, Ryan Lawrence Mason

Theses and Dissertations in Business Administration

Countless studies with a wide variety of financial and economic indicators have been conducted over the years within the context of international business research, all searching for hints or signals as to what makes the never ending process of globalization progress. Our research follows these efforts while focusing specifically on Foreign Direct Investment (FDI). Our first study sets out to empirically test if nations adopting the inflation targeting (IT) monetary policy are more successful in attracting inbound and outbound FDI cash flows than those nations utilizing alternative monetary policies. IT is a relatively new policy which was first put into …

International Banking Sector Linkages: Did The Global Financial Crisis Strengthen Or Weaken The Linkages?, James Edward Benton

Theses and Dissertations in Business Administration

This dissertation examines the interactions or linkages between the U.S. banking sector and the other eight major banking center countries around the globe. I use the national banking sector index for each country over a ten year period as a proxy for reactions to external shocks and examine whether these shocks spillover from the U.S. to the other major banking center countries as measured through their respective indices. I examine both daily residual returns as well as return volatility to measure these interactions between indices.

This study uses a vector auto-regression moving average (VARMA) as well as Granger-causality Wald test …

Three Essays On Corporate Liquidity, Financial Crisis, And Real Estate, Kimberly Fowler Luchtenberg

Theses and Dissertations in Business Administration

The first essay examines why firms with access to lines of credit (LOC) have different drawdowns and their implications for asset pricing, investment and profitability. Utilizing a hand-collected LOC dataset that extends the sample of Sufi (2009) to 2010, our principal finding is that firms with greater LOC usage are more financially constrained than firms with lower LOC usage. We also document that high users of credit lines have higher risk-adjusted returns, less investment in capital expenditures and employment, and lower profitability than low LOC users. An interesting implication of our evidence is that high LOC drawdowns could serve as …

The Response Of Commercial Banks To Credit Stimuli, Denise Williams Streeter

Theses and Dissertations in Business Administration

This dissertation calls upon the theory of financial intermediation (Diamond and Dybvig, 1983) and the credit channel theory of monetary policy effectiveness (Bernanke and Gertler, 1995) to show how commercial banks responded to the trillions of dollars of innovations to stimulate the credit markets during the 2008 global financial crisis. Specifically, loan-level data is used to conduct univariate, regression, and event-study analyses to address the research question of, "Did United States- and European Union-based commercial banks respond to credit stimuli with increased commercial lending during the stimulus period of October 1, 2007 through September 30, 2011 when compared to the …

A Study Of Risk-Taking Behavior In Investment Banking, Elzotbek Rustambekov

Theses and Dissertations in Business Administration

This dissertation examines corporate risk-taking behavior by investment banks in the United States. This study was sparked by the collapse of Lehman Brothers, one of the largest bankruptcy filings in U.S. history. This dissertation examines the specific factors that drove investment banks such as Lehman Brothers to take excessive risks, and how the deregulation of the US financial services industry towards the end of the 1990s contributed to risk-taking behavior.

I use four theoretical perspectives to examine corporate risk-taking behavior among investment banks. These perspectives include: institutional theory, behavioral theory of the firm, knowledge based view (KBV) of the firm, …

Essays On Foreign Reverse Mergers And Bond Etf Mispricing, Charles William Duval

Theses and Dissertations in Business Administration

This dissertation examines two topics that have attracted significant attention in the financial media, but have received little academic study.

The first essay examines the characteristics and performance of foreign firms that acquire U.S. exchange listings through a reverse merger (RM). Specifically, this study focuses on Chinese companies which have accounted for over 40% of all RMs taking place on U.S. exchanges. Examination of these firms' characteristics and daily returns from 2004-2010 reveals Chinese firms that engage in RMs are private firms not listed in China, motivated by the ability to offer equity-based compensation (which has been illegal in China), …

Two Essays On Executive Pay And Firm Performance, Thuong Quang Nguyen

Theses and Dissertations in Business Administration

Two essays of this dissertation study the relationship between executive compensation and firm performance. These essays analyze both compensation level and compensation structure, and focus not only on CEO compensation but also on Top Management Team (TMT) compensation as well as Chief Financial Officer (CFO) compensation. Methodologically, these essays use different regression techniques to explore the nature of time series over cross sections of executive compensation data in order to find a reliable relationship between executive compensation and firm performance.

The first essay investigates the TMT compensation - firm performance relationship and finds that the compensation dispersion among TMT members …

Two Essays On Behavioral Finance, Quang Viet Vu

Theses and Dissertations in Business Administration

The first essay is entitled: "CEO Overconfidence, Corporate Governance Practices and Firm Innovation". In this study, I examine if overconfident CEOs overinvest or underinvest in innovative projects. I also investigate if overconfident CEOs pursue innovative projects to benefit personal interests or the interest of shareholders. By focusing on the effect of corporate governance in monitoring the behavior of overconfident CEOs, my results show that there is a negative relation between CEO overconfidence and firm innovation among firms with poor governance. In these cases, the finding is consistent with the implication that overconfident CEO are entrenched and invest inadequately …

Three Essays On Individual Currency Traders, Boris Sebastian Abbey

Theses and Dissertations in Business Administration

This dissertation examines the performance, skill and trading characteristics of individual currency traders by examining daily returns and transaction data for 428 individual currency traders from 2005 to 2009. Additionally, we examine whether technical trading strategies are profitable for individual currency traders.

The first essay examines the performance and trading characteristics of individual currency traders. Examination of daily returns for 428 accounts from March 2004 to September 2009 shows traders are able to earn positive excess returns, even after accounting for transaction costs. Additionally, the results reveal that day traders not only trade more frequently than non-day traders, but also …

What Drives U.S. Banking Mergers: Misvaluation, Gambling Or Envy?, Wenjia Zhang

Theses and Dissertations in Business Administration

The thesis consists of three essays that examine whether U.S. bank mergers are motivated by market inefficiency and managerial psychology biases. Essay I investigates equity misvaluation as a possible driver for United States banking mergers from the perspective of market inefficiency, and finds that bidders tend to use overvalued equity to buy undervalued targets. Essay II, motivated by the cumulative prospect theory of Tversky and Kahneman (1992), tests whether managerial gambling attitudes are linked with lottery characteristics of target banks (i.e., high skewness, high volatility, and low price). The evidence shows that banking acquisitions are influenced by gambling attitudes rooted …

Two Essays On The Effect Of Macroeconomic News On The Stock Market, Ajay Kongera

Theses and Dissertations in Business Administration

This dissertation uses macroeconomic variables. In the first essay I use macroeconomic variables to determine if these variables affect the market's returns and volatilities, and in the second essay I examine whether the 11-month returns can be explained by these variables.

Using macroeconomic variables and forecasts of these variables on a quarterly basis from the Survey of Professional Forecasters, I first develop macroeconomic surprise variables. The macroeconomic surprise variables are then modified by dispersion of forecasts to adjust for surprises from uncertainty. Dispersion adjusted forecast surprises have not been used extensively in the literature. I also use a monetary shock …