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Articles 1 - 30 of 47
Full-Text Articles in Business
Essays On Performance Evaluation Of Portfolio Managers Of Mutual And Hedge Funds, Yuekun Liu
Essays On Performance Evaluation Of Portfolio Managers Of Mutual And Hedge Funds, Yuekun Liu
Graduate Theses and Dissertations
This dissertation consists of three essays focusing on the performance evaluation of portfolio managers of mutual and hedge funds. The first essay shows the performance of corporate bond mutual funds tends to be estimated using models with limited empirical validation. I test several models and find considerable variation in quality. That variation leads to meaningful differences with respect to the stylized facts of corporate bond fund performance. Using my preferred BENCH4 model—a novel model based on funds’ common benchmarks—I find average underperformance, substantial relative performance persistence, a small number of funds with positive alphas unattributable to luck, and positive alphas …
Three Essays On Political Contributions And Firm Performance, Ankita Damani
Three Essays On Political Contributions And Firm Performance, Ankita Damani
Finance and Real Estate Dissertations
The interaction of politics with financial markets and the macroeconomy has received increasing attention in recent years. Extant literature identifies the significant impact of political connections on firm value. However, several questions in this area remain unanswered. My dissertation consists of three essays. In the first essay, I examine the impact of economic policy uncertainty (EPU) on total campaign contributions and the relative contributions to Republicans and Democrats. I find that the total Political Action Committee (PAC) contributions by firms increase following an increase in EPU. This is also true for the contributions to each major political party, i.e., Republicans …
Three Essays On International Mutual Fund Flows, Anh Tuan Nguyen
Three Essays On International Mutual Fund Flows, Anh Tuan Nguyen
Finance and Real Estate Dissertations
In this dissertation, I investigate the comprehensive relationship of international mutual fund flows among markets. While my first essay presents the unprecedent findings of commonality in mutual fund flows and global market integration, my second essay focuses on answering the classic question in financial market: is there any contagion in the market for asset management? In the third essay, I examine the intransitivity puzzle presented in the first essay. In the first essay, I examine global integration in the market for asset management, as indicated by the correlation of mutual fund flows across domiciles. I observe no leading role for …
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, …
The Impact Of Fresh Eyes: How A Change In The Engagement Team Impacts The Reporting Of Internal Control Material Weaknesses, Hannah Elizabeth Richards
The Impact Of Fresh Eyes: How A Change In The Engagement Team Impacts The Reporting Of Internal Control Material Weaknesses, Hannah Elizabeth Richards
Finance and Real Estate Dissertations
Regulators have repeatedly debated mandatory auditor rotation. Proponents emphasize the benefits that a new auditor brings, specifically, improved independence and a fresh perspective, leading to higher quality audits. However, opponents argue that changing auditors is costly and impedes audit quality. The United States currently requires audit partner rotation, but it is not clear that partner change alone significantly impacts audit outcomes. In this dissertation, I provide evidence that the fresh perspective brought about by changes in the engagement team improves the detection and reporting of internal control material weaknesses (ICMW) after controlling for the likelihood of the existence of ICMW. …
International Evidence On The Effect Of Economic Policy Uncertainty On Stock Market Liquidity, Fnu Pratima
International Evidence On The Effect Of Economic Policy Uncertainty On Stock Market Liquidity, Fnu Pratima
Finance and Real Estate Dissertations
In this dissertation, I investigate the impact of economic policy uncertainty on stock market liquidity across a broad cross-section of countries. My dissertation is composed of three distinct yet related essays. My first essay examines the impact of economic policy uncertainty on stock liquidity and various firm-level cross-sectional variables explaining the uncertainty-liquidity relationship. The focus of the second essay, using a sample for non-U.S. stocks cross-listed in the U.S., is to examine the role of cross-listing in moderating the above impact. In the third essay, I examine the market liquidity and country-level factors that explain the relationship between economic policy …
Corporate Cash Holdings, Firm Performance, And Ceo Compensation, Dhruba Banjade
Corporate Cash Holdings, Firm Performance, And Ceo Compensation, Dhruba Banjade
Finance and Real Estate Dissertations
The dissertation consists of three essays. The first essay investigates the relationship between corporate cash holdings and firm performance in new and old economy firms. Results show that firm performance increases when they maintain cash balances at or slightly above a certain level (optimum level). However, their performance degrades if they hold cash at levels beyond the optimum. Furthermore, I find that new economy firms hold more cash relative to their old economy counterparts. Corporate governance and balanced board structure also impact cash holdings and firm performance. I find that as institutional ownership increases, firm performance increases due to better …
The Effect Of Investor Sentiment On Earnings Management, Lin Chen
The Effect Of Investor Sentiment On Earnings Management, Lin Chen
Finance and Real Estate Dissertations
The association between investor sentiment and corporate reporting decisions/outcomes has been recently examined in the accounting and finance literature. As an important outcome of corporate reporting decisions, earnings management (EM) may be affected by investor sentiment. In this dissertation, I examine two research questions. The first is whether investor sentiment is associated with the propensity of firms’ engaging in the two primary forms of EM: accrual earnings management (AEM) and real earnings management (REM). The second question is whether firms’ internal governance strength and external audit quality would moderate the association between investor sentiment and AEM as well as REM. …
Mutual Funds: Governance And Holdings, Jason Morrison
Mutual Funds: Governance And Holdings, Jason Morrison
Finance and Real Estate Dissertations
In this dissertation I examine the role of governance and holdings within the mutual funds industry to determine if active managed fund strategies are affecting fund flows and increasing returns. My first two essays focus on dividend juicing and the results of this strategy and the types of boards of directors that would allow this strategy to be implemented. My third essay focuses on the concentration of holdings and the effect on the overall fund performance. I use hand collected data on the governance characteristics of the board of directors as well as the economic data and holdings of the …
Rational Expectations Or Behaviorally Inefficient Markets, Arati Devendra Kale
Rational Expectations Or Behaviorally Inefficient Markets, Arati Devendra Kale
Finance and Real Estate Dissertations
In this dissertation, I examine the rational investment hypothesis, postulated by classical theories, in mutual fund and portfolio management settings. My first two essays focus on mutual fund investors. I study whether mutual fund investors display racial or ethnic prejudices, which can be observed by mutual fund flows. I hand-collect data on characteristics of mutual fund managers in addition to their names and photographs. I use machine learning algorithms from computer science literature to calculate the probabilistic race from photographs and the probabilistic ethnicity from names. In my third essay, I construct a portfolio comprising of the small growth firms …
Behavioral Explanations Of Investors’ Trading In Financial Markets, Mohammed Saad H Alhashim
Behavioral Explanations Of Investors’ Trading In Financial Markets, Mohammed Saad H Alhashim
Finance and Real Estate Dissertations
In the first essay, I examine the effect of social media sentiment on the trading behavior of individual investors. I document a positive association between sentiment and retail order imbalances (i.e., individual investors tend to buy more than they sell as they become more optimistic about stocks). The association between retail investor activity and sentiment is stronger for hard-to-value stocks (small cap, low institutional ownership, and low analyst coverage firms). Finally, the association between retail order imbalances and stock returns exists only in conjunction with investor sentiment. In the second essay, I consider the effect of firm-level sentiment extracted from …
The Impact We Can Make Through Investment: Securing Financial Freedom By Serving Others, Miles A. Flett
The Impact We Can Make Through Investment: Securing Financial Freedom By Serving Others, Miles A. Flett
Honors Projects
Wage disparity is a major political issue in the United States, but it has far more to do with the health of the economy as a whole. Statistically speaking, it is very difficult for women to participate equally in an economy where they are systematically marginalized. This hurts businesses, it hurts global markets and it damages overall GDP. Statistical data drawn primarily from the Bureau of Labor Statistics underline the differences that women face from various standpoints. Race is a primary influencer, but across the board all women make significantly less than men of the same background for the same …
Institutional Investors And Cross-Border Mergers And Acquisitions: The 2000-2012 Period, Jinsuk Yang
Institutional Investors And Cross-Border Mergers And Acquisitions: The 2000-2012 Period, Jinsuk Yang
Finance and Real Estate Dissertations
Using mergers and acquisitions (M&As) from 26 countries between 2000 and 2012, I examine the role of foreign and domestic institutional investors in cross-border M&As. I have several findings. First, both foreign and domestic institutional ownerships increase significantly during the period 2000-2012.Meanwhile, the volume of the cross-border M&As does not increase during the same time period. Second, domestic institutional investors facilitate both domestic and cross-border M&As. However, this seems to be inconsistent with the negative impact of domestic institutional ownership on the intensity of cross-border M&A activity, as reported in Ferreira et al. (2010). I discover that domestic institutional investors …
Three Essays On Leverage, Informative Trading, And Option Implied Information, Adam C. Harper
Three Essays On Leverage, Informative Trading, And Option Implied Information, Adam C. Harper
Finance and Real Estate Dissertations
This study will take a three-prong approach to examine the role high-leveraged option trades have in determining the informational content of options market trading. First, I closely observe the structure of the volatility spread ahead of firm-level corporate earnings events to strengthen the well documented lead-lag relationship between the option and stock markets. I find that volatility spreads driven by deep, out-of-the-money options exceed the predictability of equivalent volatility spreads that are more uniform in distribution. I then explore the differential behavioral responses of leveraged trades and earnings, such the role of the disposition effect and overconfidence. I find that …
Cognitive Biases, Style Investing, And Stock Return Predictability, Samar Mohamed M. Ashour
Cognitive Biases, Style Investing, And Stock Return Predictability, Samar Mohamed M. Ashour
Finance and Real Estate Dissertations
This dissertation consists of three distinct essays. In the first essay, “Does Credit risk explain market’s participants ‘cognitive biases - Evidence from Anchoring Bias in Analysts’ Earnings Forecasts”, using anchoring bias in analysts’ earnings forecasts, I examine the relation between credit risk and market participants’ cognitive biases. Recent findings indicate that analysts suffer from anchoring bias as they anchor their earnings per share (EPS) forecasts on the industry median without making sufficient adjustment. I show that the profitability of anchoring bias based trading strategies concentrates in the worst-rated stocks, especially around credit rating downgrades, suggesting that analysts exhibit stronger cognitive …
Essays On Product Market Dynamics And Corporate Cash Holdings Across Countries, Trang Thuy Thai
Essays On Product Market Dynamics And Corporate Cash Holdings Across Countries, Trang Thuy Thai
Finance and Real Estate Dissertations
My dissertation is composed of two essays that investigate two related yet distinct dynamics of product market and their influence on corporate cash holdings, and both are concerned with these dynamics being determinants of cash policy for international samples over the period of 1999-2015. The samples for the first and second essays respectively cover fourteen and ten countries that span not only developed countries but also emerging economies. The first essay focuses on the impact of product market competition risk on corporate cash level. I construct a composite score of competition that captures three horizontal dimensions of product pricing competition …
Fear And The Housing Market, Sergiy Saydometov
Fear And The Housing Market, Sergiy Saydometov
Finance and Real Estate Dissertations
In this dissertation, I use Google search frequency to construct a new measure of housing market-level sentiment and analyze its relation with housing prices. I term this measure as the Home Price Fear Index, or Fear Index or Fear for short. The Fear Index is based on Google Search volume for certain real estate and economic terms, such as foreclosure, recession, and market value. In the first essay, I examine the relation between the Fear Index at the national level and the Case/Shiller National Home Price Index. I find this relation to be inverse, with an increase in Fear predicting …
Merger Means Of Payment And Analyst Biases Around Merger Announcement Date, Yiling Zhang
Merger Means Of Payment And Analyst Biases Around Merger Announcement Date, Yiling Zhang
Finance and Real Estate Dissertations
I find strong evidence that analysts report downward-biased earnings estimates on acquiring firms when the earnings announcement date is within a 60-day window prior to the merger and acquisition (M&A) announcement date. Acquiring firm stocks have a greater positive realized forecast error in cash only transactions on the earnings announcement date compared to acquirers involved in pure stock transactions. In addition, analysts are more likely to upgrade their recommendations of acquirer stocks in cash only transactions compared to pure stock transactions within a 90 day window of the M&A announcement date. Finally, an increase in the market-to-book ratio leads to …
In Times Of Financial Distress: Perspectives From Valuation, Information Asymmetry And Returns, Ramya Rajajagadeesan Aroul
In Times Of Financial Distress: Perspectives From Valuation, Information Asymmetry And Returns, Ramya Rajajagadeesan Aroul
Finance and Real Estate Dissertations
The dissertation addresses unanswered questions in asset valuation through the lens of financial distress in three different asset markets namely equity market, residential property market and REITs market. The first two essays explore the valuation impact of financial distress in equity and residential property markets while the third essay examines the role of information asymmetry in REITs market around credit rating announcements. In the first essay, I investigate why highly distressed firms earn low returns. By employing a direct misvaluation measure, I find that distressed firms with substantial overvaluation earn negative returns. I also further study the characteristics of the …
Reassessing Anomalies And Puzzles, Keming Li
Reassessing Anomalies And Puzzles, Keming Li
Finance and Real Estate Dissertations
While standard asset pricing models assume a frictionless environment and investors are risk-averse individuals who maximize their utility based on all the available information in real time. The asset pricing literature has empirically documented numerous anomalies and puzzles, which cannot be explained by the traditional finance theory. Investors are exposed to these entire abnormal phenomenons, but at the same time investors do not fully understand them. This problem motives numbers of recent publications and also my dissertation.My dissertation is consisting of three essays. The first essay looks at the components of information uncertainty. Specically, I decompose information uncertainty into fundamental …
Cointegration, Causality And Price Discovery In The Nafta Markets: A Study Of Sector Indices And Trade Flow Data From The Perspective Of Us Markets, Aamir Khan
Finance and Real Estate Dissertations
This dissertation examines the long-run linkage among the equity markets and sectors of the NAFTA economies by employing Cointegration and Vector Error Correction Model (VECM) framework. In addition, I also seek to identify the short-run & long-run causality and the direction of adjustment factor among the sectors of the US, Canadian and Mexican markets. Furthermore, I develop a multivariate model to examine the long-run impact of exchange rates on the linkage among the NAFTA markets & sectors. In addition, I also investigate the impact of US trade flow on the causal relationship it has with that of the Canadian & …
Solar Technology In Our World- A Business Approach, Luke Ingalls Liska
Solar Technology In Our World- A Business Approach, Luke Ingalls Liska
Chancellor’s Honors Program Projects
No abstract provided.
Investor Overconfidence And Option Trading, Han-Sheng Chen
Investor Overconfidence And Option Trading, Han-Sheng Chen
Finance and Real Estate Dissertations
This study examines investor overconfidence theory in the options market. The theory suggests that investors who experience high returns become overconfident in their security valuation and trading skills, and therefore trade more often, even when the high returns are market wide. Given stock investors often trade in both stock and options market, I hypothesize similar patterns could be found in the options market as well. Controlling for market volatility and stock idiosyncratic risk, past market return is positively correlated with option trading turnover. In addition, past positive market return leads to higher call option turnover ratio and higher call-to-put ratio. …
Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets, Arun Prasath Narayanasamy
Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets, Arun Prasath Narayanasamy
Finance and Real Estate Dissertations
Most research on volatility spillovers across countries and various asset class returns model volatility as conditional variance and assume a linear relationship in spillovers. The risk measured as conditional variance is modeled as a function of own past innovations and own past conditional variances and fails to include lagged conditional variances from other assets. In this dissertation, for a bivariate set up, I estimate the conditional variance of the second country either as a GARCH (1, 1) or DCC (1, 1) type process. Using the estimated conditional variances, the non-linear or threshold parameter is computed by maximizing the log likelihood …
Penny Stocks, Market Microstructure, And Analyst Forecasts, Julio AndréS Rivas-Aguilar
Penny Stocks, Market Microstructure, And Analyst Forecasts, Julio AndréS Rivas-Aguilar
Finance and Real Estate Dissertations
The first essay of this dissertation deals with the relationship between previous earnings, earnings forecasts, and future returns. I found that stocks with the worst previous earnings and the worst earnings forecasts outperform the ones with more optimistic outlooks. Value stocks also tend to outperform glamour stocks. I also found that previous earnings are the dominating factor in determining subsequent returns. The second essay deals with the Bid-Ask Spread (BAS) behavior of penny stocks throughout trading sessions. I ran the analysis by using different days of the week, months of the year, and analyst coverage. Finally, I regressed the minute-to-minute …
Three Essays On Market Anomalies And Efficient Market Hypothesis, Ehab Yamani
Three Essays On Market Anomalies And Efficient Market Hypothesis, Ehab Yamani
Finance and Real Estate Dissertations
This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. I use VAR to break the investment beta into fundamental beta reflecting news about the future marginal productivity of investment, and financial beta reflecting news about discount rates. Overall, the results show that financial factors are the dominant driver of investment returns and they control the negative relation between investment and stock return. In the second essay, I examine the impact of financial contagion resulting from four global financial crises based on …
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration, Yongho Seo
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration, Yongho Seo
Finance and Real Estate Dissertations
It has been observed that the value of an asset's beta varies with the frequency of the data used to generate the value, a phenomenon hereafter referred to as "time scale", or simply "scale". If the scale effect is strong enough, then ignoring this phenomenon calls into question studies that rely on comparing beta values. The most notable of these studies is the classification of stocks as "aggressive" or "defensive". I show that such a categorization varies substantially when comparing betas estimated using monthly data versus annual data. Contrary to other studies, betas do not vary monotonically as data scale …
Essays On International Corporate Dividend Policy, Bobby Alexander
Essays On International Corporate Dividend Policy, Bobby Alexander
Finance and Real Estate Dissertations
This dissertation is comprised of two essays on dividend policy. In the first part of the first essay, I ascertain whether the outcome, the substitution, or the predation model explains the relationship between dividend payouts and product market competition in each of the Group of Seven (G7) countries for the period from 1995 through 2010. I find that the substitution model explains dividend policy in Canada, France, Germany, the United Kingdom, and the United States, and the outcome model describes it in Japan, while in Italy, the results are inconclusive. In the second part of the same essay, I pool …
Comparing Market-Based And Financial Statement-Based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods, Jacqualyn Ann Fouse
Comparing Market-Based And Financial Statement-Based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods, Jacqualyn Ann Fouse
Finance and Real Estate Dissertations
The value of a share of common stock in a publicly-listed company should be equal to the present value of the future cash flows the company is forecast to produce, andultimately pay out to its stockholders. Expectations for these flows may incorporate information that goes beyond current earnings discounted into perpetuity as per the Dividend Discount Model (DDM). By comparing a market-based valuation model with a financial statement-based valuation model this paper seeks to find evidence of information embedded in market valuations that may not be captured in financial statement-based valuations. The analysis endeavors first to identify a component of …
Essays On Option Market Information Content, Market Segmentation And Fear, Mishuk Anwar Chowdhury
Essays On Option Market Information Content, Market Segmentation And Fear, Mishuk Anwar Chowdhury
Finance and Real Estate Dissertations
This dissertation consists of three essays. The first essay tests whether stock returns can be predicted using divergence from put-call parity. Using a robust methodology that controls for the early exercise premium of American put and call options, the study shows that stocks with upside divergence from put-call parity outperform stocks with downside divergence from put-call parity. Predictability is persistent over multiple holding periods and divergence is also predictive of tail events. The second essay examines segmentation of equity and option markets in the presence of information asymmetry. The study uses the slope of the implied volatility skew as a …