Economics Commons^™

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 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 …

When Does Csr Payoff?, John A. Doukas, Rongyao Zhang

Finance Faculty Publications

We investigate whether firms engaging in corporate social responsibility (CSR) can preserve firm value during normal and unprecedented exogenous adverse events. Our evidence shows, in regular times, a negative relation between CSR engagement and firm value, but under adverse economic conditions, CSR protects firm value by decreasing firm risks. We also find that firms with high managerial attributes engage in greater CSR activities that benefit shareholders in both normal and aberrant financial times. Despite the controversy surrounding CSR, our evidence points out that CSR can be viewed as a set of intangible assets that can improve firm value across good …

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 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 …

What Citizens Want To Know About Their Government’S Finances: Closing The Information Gap, Meagan Jordan, Juita-Elena (Wie) Yusuf, Martin Mayer, Kaitrin Mahar

School of Public Service Faculty Publications

There is an information gap between citizens and their governments when it comes to government finances. The inherent complexity of fiscal policy makes it exceedingly difficult for effective public participation. Effective public participation in fiscal decision making must address informing or educating the citizenry with accurate and meaningful government financial data. Better understanding citizen wants and perceptions is critical to closing the information gap between users and providers of financial information. This study uses information gathered from focus groups with residents of Norfolk, Virginia that asks what government financial information they want and how to make that information useful. Results …

Two Essays On Short Selling, Zhaobo Zhu

Finance Theses & Dissertations

This dissertation provides some new evidence that the information contained in short selling is informative about future returns, confirming the role of short sellers in the price discovery process.

The first essay examines the cross-sectional relation between the change in short interest and expected stock returns. NYSE/AMEX stocks with large decreases (increases) in short interest over past medium-term horizon experience significant and positive (negative) abnormal returns. Moreover, the positive abnormal returns are larger in absolute value and are more persistent than negative abnormal returns. The return spread between bottom and top deciles is economically and statistically significant and persistent. The …

Two Essays On Investor Emotions And Their Effects In Financial Markets, Jiancheng Shen

Finance Theses & Dissertations

This dissertation provides empirical evidences on media-based investor emotions in predicting stock return, conditional volatility, and stock and bond return comovements.

We first studied the interaction between US media content and the US stock market returns and volatility. We utilize propriety investor sentiment measures developed by Thompson Reuters MarketPsych. We select four measures of investor sentiment that reflect both pessimism and optimism of small investors. Our objective is two-fold. First, we examine the ability of these sentiment measures to predict market returns. For this purpose, we use dynamic Vector Auto-Regressive models. Second, we are interested in exploring the effects of …

Essays On The Equity Risk Premium, Mohamed Mehdi Rahoui

Finance Theses & Dissertations

The equity risk premium (ERP) is an essential component of any asset pricing model both for academics and practitioners alike. Nevertheless, the financial literature does not accord much attention to the ERP estimation issues (Damodaran, 2015). The first chapter of this dissertation gives a summary of the recent literature review on the subject of the ERP. The second chapter explores four of the most commonly cited models in literature for estimating the ERP: the Historical Mean of Realized Returns Model (HMRRM), the Dividend Discount Model (DDM), the Free Cash Flow Model (FCFM), and the Sharpe Ratio Model (SRM). The results …

Essays On International Risk-Return Trade-Off Relations, Liang Meng

Finance Theses & Dissertations

This dissertation consists of two essays on the international risk-return trade-off relations. The first essay is titled “The Role of the US Market on International Risk-Return Trade-Off Relations” and the second essay is titled “The Role of Investor Sentiment on International Risk-Return Trade-Off Relations”.

In our first essay, we study the intertemporal risk-return trade-off relations based on returns from 18 international markets. Our main contribution is that we find the US market plays an important role affecting the international risk-return trade-off. We present striking new empirical evidence that the inclusion of US market variables significantly changes the estimated risk-return trade-off …

Three Essays On Dividend Policy, Mehmet Deren Caliskan

Finance Theses & Dissertations

This dissertation considers paying earnings out as dividends a conservative policy as opposed to investing earnings in to value-increasing projects. Based on this view, this dissertation explores the effect of chief executive officers’ (CEO) risk preferences on dividend policy, market’s reaction to dividend policy changes, and the effect of dividend policy on firm financial distress. The first chapter hypothesizes that risk seeking CEOs will be less likely to pay dividends compared to conservative CEOs. The second chapter hypothesizes that when the market sentiment is high (i.e., when investors are willing to take risk) firms that omit dividends should outperform the …

The State Of The Region: Hampton Roads 2014, James V. Koch, Vinod Agarwal, Chris Colburn, Vicky Curtis, Steve Daniel, Elizabeth Janik, Feng Lian, Sharon Lomax, Alice Mcadory, Janet Molinaro, Ken Plum, Ayush Toolsidass, Shara Weber, Luke Watson, Gilbert Yochum

Economics Faculty Books

This is Old Dominion University's 15th Annual State of the Region Report. While it represents the work of many people connected in various ways to the university, the report does not constitute an official viewpoint of Old Dominion or it's president, John R. Broderick. The report maintains the goal of stimulating thought and discussion that ultimately will make Hampton Roads an even better place to live. We are proud of our region's many successes, but realize that it is possible to improve our performance. In order to do so, we must have accurate information about "where we are" and a …

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 …

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 …

Effective Popular Financial Reports: The Citizen Perspective, Juita-Elena (Wie) Yusuf, Meagan M. Jordan

School of Public Service Faculty Publications

The article presents a study that investigates the views of citizens on the efficiency of financial reports in the U.S. Researchers did a survey to discern the perspectives of respondents about the effectiveness of the said reports in informing other individuals about government finances. Moreover, results reveal that 80% of respondents believed that the reports are effective. [Associates Programs Source, EbscoHost database]

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 …

The Behavior And Choices Of Serial Bidders In M&A Transactions: A Prospect Theory Approach, Ahmed Essam El-Din El-Bakry

Theses and Dissertations in Business Administration

This paper investigates the impact of previous losses incurred by U.S serial bidders on their M&A strategic choices and premiums paid to acquire targets. The Hubris and Overconfidence theories suggest that managers tend to overpay as a result of exaggerating their ability to extract value and manage post-acquisition integration process between the acquiring firm and its target. Managerial overconfidence, which is signaled by conducting several acquisitions within a short time period or by other manager-specific investment attributes, has been shown to contribute to increasing premiums in M&A transactions and subsequent poor post-acquisition performance.

Experimental findings in the area of psychology …

Two Essays On Ipo Earnings Management, Yong Sun

Theses and Dissertations in Business Administration

This dissertation includes two essays that study initial public offerings (IPO) earnings management. The first essay examines the underwriter's certification and monitoring roles in IPO earnings management; the second essay explores the relation between IPO earnings management and post-IPO institutional ownership.

In the first essay, we investigate the certification role played by underwriters. We hypothesize that there is a negative relation between IPO earnings management and underwriter reputation and that there is a positive relation between underwriter reputation and firm operating performance. In addition, underwriters continue providing monitoring to the firms they take public. Using a sample of IPOs, we …

Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu

Theses and Dissertations in Business Administration

This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan's (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China's B share …

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …

Divergent Opinions And Value Stock Performance, John A. Doukas

Finance Faculty Publications

Those who believe that capital markets—that is, markets for stocks and bonds—operate efficiently and asset prices fully reflect all publicly available information are engaged in an ongoing debate about the exact interpretation of the “value premium” with those who reject this view. Value premium refers to the superior returns generated by the purchase of value stocks relative to growth, or glamour, stocks. Rationalists, the group believing in market efficiency, argue that because value stocks are fundamentally riskier than growth stocks, the value premium is compensation for bearing risk. Behavioralists, the group arguing that market asset prices don’t reflect all publicly …

The Effects Of Local And Global Risk Factors On Industry Stock Returns: Across Country Analysis, Mahdy Farag Elhossiny

Theses and Dissertations in Business Administration

This dissertation studies the local and global sources of risk and industries stock returns across national equity markets. We examine several local and global economic risk factors and ask whether and to what extent these risk factors can explain the variation in the industries' stock returns of five countries, namely Canada, Germany, Japan, the U.K., and the U.S. Specifically, the main objective of this dissertation is to find answers for three main questions: First, whether and to what extent do returns on local industries respond to changes in local macroeconomic risk factors? Second, whether and to what extent do returns …

Three Essays On Real Estate Investment Trusts, Yan Lin

Theses and Dissertations in Business Administration

This dissertation includes three essays that study on Real Estate Investment Trusts (REITs). The first essay examines the shape of market demand curve by employing REIT equity fund flows as a proxy for REIT aggregate demand. An empirical framework is introduced to disentangle the price-pressure effect and the information effect. We do not find evidence for the price-pressure effect, which states that REIT equity fund flows directly affect REIT market prices. Instead, we find that the performance of REIT market prices does influence REIT equity fund flows. The results indicate that investors adjust their demand for REITs by investigating and …

Market Reaction To Seasoned Equity Offerings: The Relevance Of Leverage, Growth Opportunities, And Corporate Structure, Mojib U. Ahmed

Theses and Dissertations in Business Administration

Empirical work on the market's reaction to seasoned equity offerings has rarely considered the impact of the issuing firm's leverage level or its corporate structure. This work is an attempt to include these parameters in order to better understand the market's reaction to such issue announcements.

The current finance literature recognizes the fact that leverage plays an important role in assessing the value of the firm. Leverage has both negative and positive impacts on the value of a firm (McConnell and Servaes, 1995), and thus, has both negative and positive impacts on the market's reaction to seasoned equity offerings. This …