Finance and Financial Management Commons^™

Two Essays On Finance Of Climate Change, Abdullah Al Masum

Theses and Dissertations

This dissertation consists of two essays on the finance of climate change. In the first essay, we find robust empirical evidence that firms in locations with higher exposure to climate change pay significantly higher spreads on their bank loans. To alleviate the concerns related to using firms’ headquarters in determining climate risk exposure, we exploit the economic link between a firm and its customers and find that the exposure of a firm’s customers to climate risk also adversely affects that firm’s cost of borrowing. In the cross-section, we find that the long-term loans of poorly rated firms drive the effect. …

Essays In Workplace Safety Issues In Finance, Md Ruhul Amin

Theses and Dissertations

I examine how firms address workplace safety issues considering their value implication. In my first essay, I investigate the relation between workplace safety and inside debt held by the CEO in form of pension benefits and deferred compensation. To mitigate the endogeneity of CEO inside debt design, I exploit variation generated by the implementation of the Internal Revenue Code Section 409A Final Regulations. Consistent with the long-term orientation hypothesis, I find strong evidence of lower establishment-level work-related injuries and illnesses in firms whose CEOs have higher relative inside debt. I also document that CEOs inside debt holdings are associated with …

Two Essays On Corporate Finance, Md Noman Hossain

Theses and Dissertations

This dissertation consists of two essays on corporate finance. In my first essay, we investigate whether and, if so, how the information disclosure preferences differ systematically between Republican CEOs and Democrat CEOs in the context of management earnings forecasts. We find that Republican CEOs tend to prefer a less asymmetric information environment than Democrat CEOs, and thus make more frequent, timelier, and more accurate disclosures than Democrat CEOs. Results using the propensity score-matched sample and the difference-in-differences analysis show that our results are unlikely to be driven by potential endogeneity. Our results are robust to controlling for various CEO characteristics, …

Essays On Investments And Real Estate Finance, Shahedur Rahaman Chowdhury

Theses and Dissertations

Essay I examines the role of macroeconomic fundamentals in explaining the explosive behavior or price exuberance in the US local housing markets. Using monthly observations between November 1997 and December 2016 we employ the double recursive approach from Philips et al., (2015) to identify the emergence of price exuberance in each of the 291 U.S. Metropolitan Statistical Areas in the sample. Our estimations results show that population and income per capita have a significant positive effect on price exuberance, while unemployment rate and fixed mortgage interest rate have a negative effect. The marginal impacts of these macro fundamentals on housing …

Equity Crowdfunding In The United States: Evolution, Determinants And Performance, Kenny Ozuna

Theses and Dissertations

In recent years, equity crowdfunding has developed into an alternative form of early stage financing for startup firms. The main purpose of this dissertation is to understand the evolution, process and regulation of equity crowdfunding in the United States as well as assess the determinants of a successful campaign and whether this capital market lead to an enduring business.

The first essay examines the evolution, process and regulation surrounding equity crowdfunding. I establish a clear definition of crowdfunding and its restructuring of the music industry to establishing an alternative form of raising capital for nascent firms via equity crowdfunding. I …

Three Essays On Venture Capital Backed Firms And Peer To Peer Lending, Abdelhamid Riani

Theses and Dissertations

This dissertation includes three separate essays related to venture capital backed firms and peer to peer lending. The first essay, presented in Chapter II, studies underpricing and buy and hold abnormal returns in venture capital backed firms.

In this chapter, I conduct an analysis of underpricing and buy-and-hold abnormal returns in venture capitals' portfolio of firms using a sample of 991 venture backed IPOs between 1985 and 2018. I show that the more experienced the venture capital is, the larger the underpricing and the lower the buy-and-hold returns of the whole portfolio. Venture capital investors underprice significantly their portfolio of …

Essays In Corporate Finance, Bina Sharma

Theses and Dissertations

In this dissertation, I explore the effects of exogenous shocks on firms' and managers' behaviors. The first essay examines the effect of shareholder-initiated litigation risk on opportunistic insider trading by exploiting US states' staggered adoption of Universal Demand (UD) laws, which weakened shareholders' ability to file derivative lawsuits against corporate insiders. I find that UD laws lead to significantly more profitable insider trades, specifically insider sales. After the adoption of UD laws, insider sales on average avoid an additional loss of about 2 percent ($24,000) per month in buy-and-hold abnormal returns. The benefit of UD laws is greater for insiders …

Essays On Market Linkages In Nafta And Latin American Countries: Studies Of Cointegration And Contagion, John K. Tarwater

Theses and Dissertations

The globalization of securities in recent years has led to an increase in market linkages. These linkages are strong among countries that have entered into bilateral and multilateral trade agreements. I investigate the linkages of stock markets in NAFTA countries by exploring their cointegrating relationship, and I explore market linkages in Latin America by showing evidence of financial contagion between Brazil and her Latin American neighbors.

In the first essay, I employ a vector error correction model to examine the linkages between price stock indexes of NAFTA countries that have been segregated into tiers based on market capitalization. In each …

Essays On The Role Of Institutional Ownership In Bank Governance, Mohammad Jafarinejad

Theses and Dissertations

This dissertation consists of three chapters, focusing on U.S. bank holding companies from 2007 to 2013 to explore the role of institutional ownership in bank governance. In addition to the impact of ownership proportion, I explore the impact of ownership dispersion among institutional investors on bank safety, profitability and performance.

In Chapter I, I show that the proportion of institutional ownership in banks has increased significantly after the recent financial crisis. Moreover, I examine the impact of institutional ownership proportion and dispersion on bank safety using capital ratios (i.e., Tier 1 and Tier 2 capital ratios) and credit risk (i.e. …

Three Essays On Bailout Banks During 2007-2009 Financial Crisis, Daphne Shu Nu Wang

Theses and Dissertations - UTB/UTPA

In the wake of this financial crisis 2007-2009, the government injected approximately $604 billion into financial sector to increase liquidity and improve capital base for the bailout banks, which in order to restore market confidence and to prevent bank runs and possible contagion effects.

The main purpose of this dissertation is to assess the appropriateness and effects of the bailout program between 2008 and 2009. Chapter 1 introduces the causes and the effects of the recent financial crisis. Chapter 2 explains the bailout program-Capital Purchase Program (CPP) in details and discusses the sample section method used in this dissertation. There …

Essays On Insider Trading, Xu Sun

Theses and Dissertations - UTB/UTPA

Insider trading has always been an area with high priority for the regulation and enforcement of Securities and Exchange Commission (SEC) programs, as insiders are supposed to possess material, non-public corporate information. The main goal of this dissertation is to examine the insider trading behaviors.

In the first essay, I test whether insiders trade on investor optimism and superior firm performance information in a special context – stock splits. Using insider trading data from Thomson Financial Insider Filing Data Files and stock split announcements from the Center for Research in Security Prices (CRSP), this essay shows that, starting as early …

Ethanol Energy Futures: Identifying Hedge Ratios, Cointegration Equations And Price Bubbles, Sergio Garcia

Theses and Dissertations - UTB/UTPA

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. The subsequent increase in the production of ethanol since 2005 has had an effect on the prices of corn, ethanol, and gasoline. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. In addition, Cointegration and Vector Error Models are used to identify relationships in price movements between ethanol futures, spot prices and related …

Underpricing And Buy And Hold Abnormal Returns In Venture Capitals' Portfolio Firm Ipos, Abdelhamid Riani

Theses and Dissertations - UTB/UTPA

I seek to explore in detail the relationship between Venture Capitals (VC) characteristics and the underpricing and long-run performance of their portfolio firms overtime using a sample of 2,052 IPO firm-year observations, corresponding to 669 unique U.S.VCs from 1985-2013. Gompers (1996) and Lee and Wahal (2004) focus on individual portfolio firms and relate the performance of these firms in IPOs to the VCs that back these firms, I focus on the VCs themselves as individual entities and examine how their whole portfolio of IPOs fares. I find that the more experienced the VC is, the larger the underpricing and the …

The Relationship Between Institutional Ownership And Firm Performance, Javeria Farooqi

Theses and Dissertations - UTB/UTPA

In the past three decades, the presence of institutional investors has increased 33% in the equity market. The main goal of this dissertation is to study the relationship between institutional ownership and firm performance. I examine how the level institutional investors' involvement in composing their own portfolio, as oppose to replicating their portfolio, impacts their level of monitoring and disciplining their portfolio firms. Specifically, I investigate the relationship between institutional ownership and firms' operating efficiency, earnings management and cost of debt.

In Chapter II, I explore the relationship between institutional ownership and firms' operating efficiency. I use the data envelopment …

An Examination Of G10 Carry Trade During Non-Crisis And Crisis Period (2007-2009), Charles Kwame Armah Danso

Theses and Dissertations - UTB/UTPA

Carry trading is a form of currency trading in which an investor buys assets in a higher interest yielding currency by borrowing in a low interest yielding currency without hedging for exchange risk. I seek to compare and contrast the performance of carry trade strategy before and after the financial crisis (2007-2009). I also compare and contrast how the carry trade strategy and covered interest rate arbitrage fare in different periods. Carry traders do not hedge their position using forward rates whereas covered interest rate arbitrageurs do hedge their position using forward rates. A comparison of the two trading strategies …

Mispricing, Speculation And Real Activities Manipulation, Cristhian R. Mellado-Cid

Theses and Dissertations - UTB/UTPA

Real activities manipulation involves changes made by firm’s managers to the normal business operations of the firm and consequently should affect the firm cash flows. Real activities manipulation can reduce firm value because actions taken in the current period to increase earnings can have a negative effect on cash flows in future periods. As such, real activities manipulation should deserve more attention from researchers. First, I attempt to explore the causality relationship between real activities manipulation and firm equity mispricing. Results show that firms with high real activities manipulation have lower level of equity mispricing while firms with high levels …

The Impact Of Securitization, Bank Liquidity Shocks, And Government Intervention On Lending And Banks' Asset Composition: Evidence From The U.S. 2007-2009 Financial Crisis, Peter V. Egly

Theses and Dissertations - UTB/UTPA

The 2007- 2009 financial crisis creates a new wave of research opportunities in part due to the transformation of the banking system that led to the development of securitized banking that is supported by short term funding sources provided through the money and capital markets. The near collapse of the financial system ultimately led to the ensuing government intervention by the Federal Reserve and the U.S. Treasury department to revive the frail U.S. economy. This dissertation has two basic research objectives: 1) investigate the impact of securitization and the subprime mortgage collapse on bank lending during the crisis and 2) …

Essays On The Relationship Between Investor Sentiment And Real Estate Investment Trusts, Daniel Huerta

Theses and Dissertations - UTB/UTPA

Real Estate Investment Trusts (REITs) are federal tax-exempt firms originated in 1960 to allow investors participation in professionally managed real estate to attain greater portfolio diversification. Although REITs are often considered transparent and informationally efficient, extant literature suggests that investor behavioral biases impact their prices and returns. This dissertation examines the relationship between investor sentiment and REITs, contributing to the literature in the following distinct ways. First, I examine the contemporaneous and intertemporal impact of changes in sentiment on REIT returns making a distinction between sentiment derived from large institutional investors and small individual investors. Results suggest that sentiment from …

Essays On Ceo Networks And Banking, Fang Fang

Theses and Dissertations - UTB/UTPA

This dissertation includes three essays on CEO networks and banking. I built a social networks matrix among the U.S. bank CEOs based on their biographical information. I investigate how social networks of CEOs impact bank risk-taking, bank performance, and bank acquisitions during financial crisis. Essay one, "CEO networks and bank risk taking", investigates the relevance of bank CEO networks to bank risk during the credit crisis of 2008. If social networks provide a CEO an enhanced flow of information, a better understanding of risk embedded in industry innovation, and more accurate marketing timing and forecast, then the expectation is that …

Investor Return In Reits: Evidence Of Market Timing And Capacity Constraints, Ekaterina Petrova Damianova

Theses and Dissertations - UTB/UTPA

This dissertation studies the returns earned in Real Estate Investment Trusts (REITs) from the point of view of the average investor. Traditional buy-and-hold returns while appropriate as a measure of return for financial asset may not adequately reflect the returns of the average individual investor because they do not take into account the capital flows in and out of an asset. Just as their name suggests, these are the returns one would earn if one buys a financial asset or portfolio at the beginning of a period and holds the investment until the end without making changes to the amount …

Three Essays On Hedge Fund Flows, Regulation, And Economic Geography, Weifang Yang

Theses and Dissertations - UTB/UTPA

Chapter I studies the effect of tax policies (Tax Information Exchange Agreements (TIEAS)) on hedge fund flows and indirectly on hedge fund manager and investor behavior in six tax haven countries. I find that structural changes in both hedge fund dollar flows and net flows occurred in the tax haven countries as a result of TIEAS. I also find that both hedge fund dollar flows and net flows of the countries that signed TIEAS and the countries that did not sign TIEAS increased after their structural break points. Chapter II investigates whether a causal relationship exists between hedge fund flows …

Do U.S. Firms Fly Higher When Bypassing The U.S. Capital Markets? An Investigation Of The Short- And Long-Run Performance Of Foreign Ipos?, Robert N. Killins

Theses and Dissertations - UTB/UTPA

This dissertation studies the performance of U.S. firms that partake in a foreign IPO – bypassing their domestic exchanges and raising their equity in a foreign market. Chapter one provides an introduction and brief review of the main research questions and results. Chapter 2 provides a detailed literature review on initial public offerings-IPOs. This includes relevant studies on the long- and short-run performance of IPOs, theories for IPO underpricing and an international component of the IPO literature. Additional cross-listing literature is also reviewed to provide a more complete and balanced understanding of the international market for equity. Chapter 3 develops …

Executive Compensation, Firm Performance And Liquidity Under Imperfect Corporate Governance, Yongli Luo

Theses and Dissertations - UTB/UTPA

This dissertation examines the relationship between executive compensation, firm performance and liquidity under imperfect corporate governance institution by using a novel Chinese dataset over 2001-2010. The first essay examines the determinants of Chinese executive compensation from the agency-based theoretical framework. I find that there is a positive relationship between Chinese executive compensation and firm performance. The weak corporate governance in China exhibits strong liquidity and control effects after the split-share structure reform. It seems that CEO duality, the establishment of compensation committee, and the involvement of state ownership in Chinese public firms may lead executive compensation to a relation-based rather …

Capm And Irrational Market: Theories And Empirical Studies, Jaehan Koh

Theses and Dissertations - UTB/UTPA

With a new interpretation of the Capital Asset Pricing Model (CAPM), this dissertation explains that the CAPM has an implied assumption of no mispricing. The CAPM should work if mispricing is removed from all assets in the market, leading to the Rational CAPM. The Rational CAPM measures value changes of the market, and then yields value changes of an asset/portfolio by employing value changes of the market in the model. For the Rational CAPM, this dissertation explains that risk, mispricing, irrationality and (investor) sentiment all indicate the same. Using the value changes from the Rational CAPM and historical dividend yields, …

The Impact Of Financial And Trade Openness On Economic Growth And Stock Returns: The Case Of Africa, Tibebe Abebe Assefa

Theses and Dissertations - UTB/UTPA

The debate on whether financial development and stock market help growth is ongoing. In the context of Africa where there exists a strong need and potential for growth, it is important to revisit the topic in order to address the problem of economic underdevelopment. In this dissertation, we focus on seventeen African countries with two main objectives: First, to investigate the relationship between financial and trade openness, and economic growth. Second, we investigate the association of African real stock index returns with financial and trade openness. For all analysis, we use Fixed Effect Models (FEM) and System Generalized Method of …

Three Essays On Cross-Listings From Emerging Markets, Omar Alejandro Esqueda

Theses and Dissertations - UTB/UTPA

During the last two decades, the number of cross-listed firms has been rising steadily. Recently, exchange-traded cross-listings from emerging markets have outnumbered those from developed countries. Chapter I shows an introduction to cross-listings. Chapter II analyzes the implications of ownership structure on the cross-listing premium of emerging-market firms that cross-list on U.S exchanges. Insider ownership is an important determinant of the value of cross-listed firms. The spike and fall in excess-value around the cross-listing year described in the extant cross-listing literature is substantially higher if the firm has insider ownership. In fact, investors are worse-off in the long-run when they …

An Analysis Of The Dynamic Properties Of The American Depositary Receipt Cross Market Premium, Jorge Vidal

Theses and Dissertations - UTB/UTPA

The American Depositary Receipt (ADR) cross-market premium is studied over a 20 year period. The dynamic properties of the cross-market premium are studied for the first time in a nonlinear smooth error correction framework using a smooth transition error correction model (STECM) and compared against a linear model and two other nonlinear model specifications. The results indicate the ADR cross-market premium is more appropriately estimated when the nonlinearity, smooth transition, and cointegration properties present in the premium are estimated simultaneously with a STECM. The estimates of the STECM indicate arbitrage opportunities in the ADR market are rare and dissipate quickly. …

Evidence On Banking Efficiency: An Analysis Of Financial Intermediation In Mexico, Violeta Diaz Avilez

Theses and Dissertations - UTB/UTPA

In the last two decades, financial systems in many developing countries became globalized. Mexico presents a clear example of how globalization can change the financial structure of a country. The banking sector in Mexico, as in many other developing countries, experienced periods of expropriation by the Federal government, privatization of banks without foreign intervention, and liberalization of foreign participation in bank ownership during this period. However, only in a few other cases has the rise in foreign participation been more dramatic than in Mexico.

These changes undoubtedly impacted the banking sector’s development and performance. The purpose of this dissertation is …

Essays On The Dynamics Of Stock Returns In Emerging Markets: Roles Of Volatility And Sentiment In Turkey, Sidika Gülfem Bayram

Theses and Dissertations - UTB/UTPA

Emerging stock markets play an important role in portfolio diversification. Accurate depiction of their status is essential for potential investment assessment. This dissertation focuses on two important aspects of emerging markets using Istanbul Stock Exchange (“ISE”) as an example: modeling stock return volatility as a measure of risk and exploring potential interaction between stock returns and consumer/business sentiments. ISE is selected as it has no entry restrictions and offers great investment potential with 65% foreign participation.

The first essay focuses on stock return volatility. Potential asymmetric behavior is investigated by looking into how the ISE National-100 Index prices evolve over …

Style Investing: International Evidence, Daniel Rafael Perez

Theses and Dissertations - UTB/UTPA

This dissertation studies the impact of investor sentiment on a portfolio formed of sin stocks—publicly traded companies in the alcohol, tobacco, and gaming industries. It also investigates the returns of a new type of sin stock in the UK—online gambling. Chapter 3 first uses a vector autogressive model to study the impact of both rational and irrational investor sentiments on pure sin returns. Next, making use of a variety of sentiments-augmented asset pricing models, this research examines whether investor sentiment is a risk factor for sin stock returns and if the abnormal returns of sin stocks persist after controlling for …