Finance and Financial Management Commons^™

Two Essays On How Do Investors Perceive The Optimal Capital Structure And An Essay On Mutual Fund Volatility Decomposition And Manager Skill, Nima Vafai

Finance and Real Estate Dissertations

This dissertation explores the rational investment hypothesis proposed by classical theories at the stock and portfolio (mutual fund) level. My first two essays focus on the risk associated with the composition of debt and equity at the firm level. The third essay studies the total risk at the portfolio level in the mutual fund setting. In the first essay, we examine the association between deviations from the optimal capital structure and firm-level stock returns by comparing different proxies for optimal capital structure from the literature and constructing improved industry-specific optimal capital structure measures. After comparing the performance of each measure, …

Is The Accruals Anomaly More Persistent In Firms With Weak Internal Controls?, Kanishk Kapur

CMC Senior Theses

In 1996, Sloan identified the accruals anomaly, in which the negative relationship between the accruals component of current earnings and subsequent stock returns can be exploited to generate excess returns. One would expect the accruals anomaly to dissipate and ultimately disappear as investors take advantage of the now-public information. However, nearly two decades later, it persists as one of the most prominent and contentious anomalies; its magnitude of current and future excess returns still remain controversial. The main reason for its persistence is that extreme accrual firms possess characteristics that are unappealing to most investors. These characteristics, which include insufficient …

Two Essays On The Low Volatility Anomaly, Timothy B. Riley

Theses and Dissertations--Finance and Quantitative Methods

I find the low volatility anomaly is present in all but the smallest of stocks. Portfolios can be formed on either total or idiosyncratic volatility to take advantage of this anomaly, but I show measures of idiosyncratic volatility are key. Standard risk-adjusted returns suggest that there is no low volatility anomaly from 1996 through 2011, but I find this result arises from model misspecification. Caution must be taken when analyzing high volatility stocks because their returns have a nonlinear relationship with momentum during market bubbles.

I then find that mutual funds with low return volatility in the prior year outperform …

Two Essays On Stock Repurchases-The Post Repurchase Announcement Drift: An Anomaly In Disguise? And Intra Industry Effects Of Ipos On Stock Repurchase Decisions, Thanh Thiet Nguyen

USF Tampa Graduate Theses and Dissertations

We reexamine the stock price drifts following open-market stock repurchase announcements by differentiating actual repurchases from repurchase announcements and by controlling for the repurchasing firms' earnings improvement in the announcement year relative to the prior year. Our results show that only firms that actually repurchase their shares exhibit a positive post-announcement drift. More importantly, we find that these repurchasing firms have the same post-announcement drift as their matching firms that have similar size and earnings performance but do not repurchase. Further analysis indicates that the post-repurchase announcement drift is not a distinct anomaly but the well-documented post-earnings announcement drift in …

The Trading Volume Trend, Investor Sentiment, And Stock Returns, Yung-Chou Lei

LSU Doctoral Dissertations

This dissertation relates the information contained in past trading volume to investor sentiment, and investigates its ability in predicting stock returns. Investor sentiment here refers to the enthusiasm of irrational investors on an asset, relative to that of rational investors. Motivated by Baker and Stein (2004) that an increase in trading volume reflects a rise in investor sentiment, I use the change in trading volume per unit of time, referring it as the trading volume trend, as a measure of investor sentiment on individual stocks. I document a negative and significant cross-sectional relation between the trading volume trend and stock …