Finance Commons^™

Three Essays On The Economics Of Corporate Governance, Kuochih Huang

Doctoral Dissertations

The Great Recession and the revival attention on inequality have cast doubts on various aspects of the governance of Corporate America. Not only the specific design of corporate governance institutions, but also the very purpose of the firm have became hotly debated issues. The first essay investigates the effect of the CEO's equity-based pay on workers' wages and whether the effect is amplified by product market competition. Since the 1980s, Chief Executive Officers' (CEO) pay has exploded, largely in the form of equity-based incentive compensation such as stock awards and options. Using a two-tiered principal-agent model, we show that aligning …

The Political Economy Of Accumulation In South Africa: Resource Extraction, Financialization, And Capital Flight As Barriers To Investment And Employment Growth, Seeraj Mohamed

Doctoral Dissertations

This dissertation uses a heterodox economics approach to explain poor levels of accumulation in South Africa. This approach to investment theory and models recognizes that many institutions are shaped to help people create stability in a world of fundamental uncertainty and irreversibility. Therefore, this dissertation examines the system of accumulation that developed in South Africa and its evolution. This approach to investment recognizes that beliefs and biases of people running institutions influence investment outcomes and shape ‘path dependence’. The corporations that grew to dominate the South African economy were formed during colonialism and apartheid. They grew around a core of …

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 …

Three Essays On International Economics And Finance, Juan Antonio Montecino

Doctoral Dissertations

This dissertation studies the macroeconomic and social impacts of two increasingly common macroeconomic policies: restrictions on international capital mobility -- capital controls -- and so-called unconventional monetary policy -- often referred to as “quantitative easing.” The consensus view is that capital controls can effectively lengthen the maturity composition of capital inflows and increase the independence of monetary policy but are not generally effective at reducing net inflows and influencing the real exchange rate. The first essay presents empirical evidence that although capital controls may not directly affect the long-run equilibrium level of the real exchange rate, they may enable disequilibria …

Master's Tools And The Master's House: A Historical Analysis Exploring The Myth Of Educating For Democracy In The United States, Timothy Scott

Doctoral Dissertations

Over the past forty-years, neoliberal education reform policies in the U.S. have spurred significant resistance, often galvanized by claims that such policies undermine public education as a vital institution of U.S. democracy. Within this narrative, many activists call to “save our schools” and return them to a time when public schools served the common good. With these narratives in mind, I explore the foundational and persistent power structures that characterize the U.S. as a means to reveal the fundamental purpose of its public education system. The questions that guide my research include: (1) With an understanding that capitalism, white supremacy, …

Three Essays On U.S. Household Debt And The Sources Of Systemic Financial Fragility, Thomas Herndon

Doctoral Dissertations

This dissertation consists of three essays which analyze the role of household debt in the financial crisis of 2007-2009, and weak recovery that followed. In these essays, I pursue the following research topics: 1) Estimation of the effects of mortgage fraud on losses to foreclosure, 2) Estimation of whether loan modifications increased or decreased debt, and 3) Analyzing the historical evolution of housing finance regulation to advance a proposal for reform. While formally independent, these essays share a common theoretical perspective located at the intersection of financial macroeconomics and political economy. These essays analyze how conflicts of interest and inside …

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 …

Microfinance, Household Indebtedness And Gender Inequality, Theresa Mannah-Blankson

Doctoral Dissertations

My dissertation explores the implications of access to microfinance for gender equity and household welfare in Ghana. The study draws on the quantitative and qualitative evidence from a unique dataset generated from a survey of 499 households, with and without access to microfinance, during my field research work in Ghana from May to July 2013. The motivation for the dissertation derives from evidence suggesting that access to finance is an important tool for fighting poverty and reducing inequality. However, for most developing countries access to finance for the poor is mainly through the informal or the semi-formal sector, including microfinance …

Modeling Choice Problems With Heterogeneous User Preferences In The Transportation Network, Mahyar Amirgholy

Doctoral Dissertations

Users of transportation systems need to make a variety of different decisions for their trips in the network, while their objective is to keep the generalized costs of their own trips minimized. In the transportation network, there is a diversity of different factors that can influence the decisions of the users, while the relative importance of these factors varies among the heterogeneous users with different trip purposes. Nonetheless, the cumulative result of the individual decisions of the users seeking to minimize their costs according to their own preferences leads to the user equilibrium condition in which no one can reduce …

Three Essays On Macroeconomic Implications Of Contemporary Financial Intermediation, Hyun Woong Park

Doctoral Dissertations

This dissertation contributes to the growing literature on macroeconomic models with a financial intermediary sector. The first two chapters use the circuit of capital modeling methodology to study the relation between growth and profitability in capitalist economy where credit is essential, and the third uses a more standard macrodynamic model to investigate how securitized banking, which relies on short-term collateralized borrowing, as opposed to traditional commercial banking, generates procyclical bank leverage, which in turn leads to supply-led fluctuation in credits and ultimately to a boom-bust cycle of asset prices. In chapter 1, I extend the baseline model of circuit of …

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 …

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 …

Financialization Of The Commodities Futures Markets And Its Effects On Prices, Manisha Pradhananga

Doctoral Dissertations

After declining for almost three decades, the food price index of the Food and Agricultural Organization (FAO) rose by 90 percent between January 2002 and June 2008. Besides the magnitude, the rise in prices was remarkable for its breadth, affecting a broad range of commodities including agricultural (wheat, corn, soybeans, cocoa, coffee), energy (crude oil, gasoline), and metals (copper, aluminum). According to the US Department of Agriculture, this price spike was responsible for increasing the number of malnourished people by 80 million. These dramatic developments in prices coincided with a rapid inflow of investment into the commodities futures market -- …

The Financial Underpinnings Of The Eu Crisis: Financial Deregulation, Privatization, And Asymmetric State Power, Nina Q. Eichacker

Doctoral Dissertations

This dissertation asks the following questions. How has financial liberalization affected the incidence of financial crisis in Europe? How have power asymmetries within Western Europe facilitated the process of financial liberalization, and distributed the costs and gains from this liberalization? How have these dynamics been demonstrated at the state level? It charts the institutional liberalization and privatization of European finance from the 1960s onward and presents a survey of descriptive statistics that show how different financial stability, financial flow, and macroeconomic variables have changed in Western Europe since the early 1980s, generally increasing financial and economic instability. It also demonstrates …

The Financial Sector And Inclusive Development In Africa: Essays On Access To Finance For Small And Medium-Sized Enterprises In South Sudan And Kenya, James A. Garang

Doctoral Dissertations

This dissertation, consisting of three essays, uses data from field surveys of banks and small and medium enterprises (SMEs) conducted in South Sudan and Kenya from July 2011 through September 2012. The first essay examines the role of financial sector development in expanding access to finance by SMEs in Kenya. We find that while the financial system in general, and the Central Bank of Kenya in particular, have made headway in expanding financial inclusion in Kenya, small firms continue to face more constraints in access to finance compared to larger firms. The policy emphasis on financial inclusion, coupled with the …

The Role Of Individual Investors' Gambling Preference In January Effect, Nan Shao

Doctoral Dissertations

Rozeff and Kinney (1976) were the first to End that stocks in NYSE provide abnormally large returns in January. Following researchers such as Keim (1983), Branch and Chang (1990), and Bhardwaj and Brooks (1992), examine this "January effect" and find that small firms and low price stocks are more prone to this effect. The January effect is so robust that it is not a unique phenomenon in U.S., but also occurs in other countries (e.g., Gultekin and Gultekin, 1983; Kato and Schallheim, 1985; Tong, 1992); In addition, it not only occurs in the stock market, but also in the bond …

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 …

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 …

Essays On Forward Trading, Environmental Quality And Investor Behavior, And The Wta-Wtp Disparity, Jens Schubert

Doctoral Dissertations

This dissertation consists of three essays that study (i) collusion in forward markets, (ii) investor behavior in response to ecological disasters, and (iii) the willingness to accept - willingness to pay disparity in the presence of uncertainty.

Chapter 1 reports the results of a laboratory experiment that examines the strategic effect of forward contracts on market power in infinitely repeated duopolies. Two competing effects motivate the experimental design. Allaz and Vila (1993) argue that forward markets act like additional competitors in that they increase quantity competition among firms. Conversely, Liski and Montero (2006) argue that forward contracting can facilitate collusive …

Two Essays On Ceo Inside Debt Compensation, Nilakshi Borah

Doctoral Dissertations

In the first chapter, I examine the effect CEO inside debt holdings on firm cash holdings, as measured by the ratio of cash and marketable securities to net assets using a sample of EXECUCOMP firms over the period of 2006 to 2008. Following prior literature on CEO inside debt holdings (Cassell et al., 2012), I use the following two measures as proxies for CEO inside debt compensation: (1) the CEO to firm debt/equity ratio, which is calculated as the CEO's debt/equity ratio scaled by the firm's debt to equity ratio and 2) an indicator variable equal to one when the …

Strategic Alliances By Financial Services Firms, Hua Wang

Doctoral Dissertations

The importance of strategic alliances in the financial services industry is increasing; however, research focusing on strategic alliances is limited. In this dissertation, I intend to enhance the existing literature by examining the effect of strategic alliances on the value of financial services firms and the level of cooperation between partner firms involved in strategic alliances. The specific objectives of the dissertation are to examine the market reaction to strategic alliance announcements, to examine the preand post-announcement long-run abnormal stock performance and operating performance for the participants of strategic alliances, and to examine joint ventures and mergers and acquisitions after …

Stochastic Modeling Of Retail Mortgage Loans Based On Past Due, Prepaid, And Default States, Chang Liu

Doctoral Dissertations

Stochastic models were developed that provide important measures related to retail mortgages and credit cards for the management of a bank. Based on Markov theory, two models were developed that predict mortgage portfolio size and expected duration of stay in each of the states, which are defined according to the criteria of Basel Accord II and the Federal Reserve Bank. Also, to facilitate comparisons among different types of credit products and different time periods, a model was developed to generate a health index for a retail mortgage. This model could be easily extended, using multivariate regression or multivariate time series …

The Determinants Of Executive Compensation In The Commercial Banking Industry, David A. Romer

Doctoral Dissertations

The primary purpose of this study is to examine the viability of two basic theories of compensation to explain executive compensation in the banking industry. The two executive compensation motivation theories are sales/sales growth maximization and profit/shareholder wealth maximization. Overall, strong support is found for both theories. This research also seeks to significantly expand, compared to previous research, the number of banks investigated. This study succeeds, with over a four-fold increase in the number of banks analyzed, including over 330 banks not previously used in the literature. This investigation is further motivated by the paucity of banking studies on compensation …

Three Essays On Banking And Corporate Finance, Fang Zhao

Doctoral Dissertations

This dissertation is composed of three essays on banking and corporate finance. The first essay studies the relationship between interest-rate derivative usage and bank lending. Using recent data that cover a full business cycle, this paper documents a direct relationship between interest-rate derivative usage by U.S. banks and growth in their commercial and industrial (C&I) loan portfolios. This positive association holds for interest-rate options contracts, forward contracts, and futures contracts. This result is consistent with the implication of Diamond's model (1984) that predicts that a bank's use of derivatives permits better management of systematic risk exposure, thereby lowering the cost …

Modeling And Simulation Of Value -At -Risk In The Financial Market Area, Xiangyin Zheng

Doctoral Dissertations

Value-at-Risk (VaR) is a statistical approach to measure market risk. It is widely used by banks, securities firms, commodity and energy merchants, and other trading organizations. The main focus of this research is measuring and analyzing market risk by modeling and simulation of Value-at-Risk for portfolios in the financial market area. The objectives are (1) predicting possible future loss for a financial portfolio from VaR measurement, and (2) identifying how the distributions of the risk factors affect the distribution of the portfolio. Results from (1) and (2) provide valuable information for portfolio optimization and risk management.

The model systems chosen …

Two Essays On Corporate Income Tax Rates And Foreign Direct Investment In The United States, Hapuarachilage Albert Wijeweera

Doctoral Dissertations

This dissertation investigates the relationship between corporate income tax rates and inbound foreign direct investment in the United States. In the two essays presented, the first estimates the effect of the corporate income tax rate on FDI inflows, while controlling for other non-tax variables. The study uses time series data over the period 1957-2002 and employs cointegration techniques and error correction models to estimate the long run and the short run tax responses. The corporate income tax rate is found to exert a significant negative effect on total FDI inflows in the long run. A one percent decrease in the …

Can Fundamental Value Predict Stock Returns? An Empirical Assessment Of The Feltham -Ohlson Model, Colin Anthony Pillay

Doctoral Dissertations

In valuation research, two modeling approaches that have become prominent are those based on the Residual Income Model (RIM) and those based on the G. Feltham-James A. Ohlson framework. Ohlson (1995) develops a valuation model which links a firm's fundamental value to the book value of equity, earnings and other relevant information. Feltham and Ohlson (1995) extend the Ohlson (1995) model to incorporate growth and conservative accounting.

This study provides an evaluation of the Feltham-Ohlson (1995) model assuming market inefficiency. Analyst forecast data are obtained from the international I/B/E/S files. Financial information and share prices are obtained from the Compustat …

Testing The Effectiveness Of Deregulation In The Electric Utility Industry: A Market-Based Approach, Manfen Wang

Doctoral Dissertations

In this paper, I investigate one stated purpose of deregulation in the electric utility industry—to make utility operations more responsive to news releases, a proxy for market forces. My premise is that utilities providing electricity to highly deregulated states will be more responsive to market forces than those providing electricity to non-deregulated states. I employ intraday data from April to June 2001, the year after deregulation, and from 1994, the year before deregulation. I also employ the Brown-Forsythe-Modified Levene (BFL) test to determine the volatility differences between days with released news and days without released news. The results of BFL …

The Effect Of School Size, Socioeconomic Status, And Grade -Level Configuration On Academic Achievement In Louisiana Public Schools, Scarlet L. Chopin

Doctoral Dissertations

The national emphasis on continually improving education for all students coupled with accountability requires educators and policymakers to identify and implement effective schooling structures and strategies. In this study, the researcher examined the relationship among school size, socioeconomic status of students, the interaction of school size and socioeconomic status (SES), grade-level configuration, and academic achievement in Louisiana. An extensive data set representing 1362 public PK–12 schools was analyzed at the 4th, 8th, and 10th grade levels. The construct of schooling as a production process was used as a theoretical model wherein the education production function was used to describe the …