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Analysis Of The Impact Of Contagion Flow On Firm Value And Application To High Yield Bond Portfolio Optimization, Wendy Ann-Swenson Roth
Analysis Of The Impact Of Contagion Flow On Firm Value And Application To High Yield Bond Portfolio Optimization, Wendy Ann-Swenson Roth
Doctoral Dissertations
Portfolios of financial instruments are designed to increase returns and manage risk. In high-risk investment strategies, central measures of risk must be complemented with controls on tail measures of risk. An unanticipated event that impacts securities of one firm can contagiously effect those of other firms through a contagion flow process that may occur via a set of network connections. Such connections among firms arise due to a variety of factors, such as a shared supply chain member or auditing firm. These connections spread the contagion, potentially impacting numerous other firms in the network. This can adversely affect the level …
Liquidity In The 144a Debt Market, Karen Ann Craig
Liquidity In The 144a Debt Market, Karen Ann Craig
Doctoral Dissertations
This dissertation presents my research analyzing the liquidity component of corporate bond spreads for bonds issued privately under Rule 144A during the period 2003 – 2011. Rule 144A bonds are limited to trading among qualified institutional investors and therefore are inherently less liquid than registered corporate bonds. I assess an amendment to Rule 144 modifying the restrictions on public resale of Rule 144A bonds intended to increase the liquidity of 144A bonds and decrease the cost of capital to firms issuing these securities. This amendment provides an ideal exogenous shock to evaluate 144A bonds. Assessing the liquidity premiums and yield …
Board Of Directors Monitoring Of Ceo Insider Trading: Before And After The Sarbanes-Oxley Act, Alireza Ebrahim
Board Of Directors Monitoring Of Ceo Insider Trading: Before And After The Sarbanes-Oxley Act, Alireza Ebrahim
Doctoral Dissertations
This study investigates the impact monitoring by the board of directors had on the incidence of insider trading by firm chief executive officers (CEO) and on the abnormal returns they realized from 1996 to 2008. The study also analyzes the impact the Sarbanes-Oxley Act of 2002 (SOX) had on this relationship. The results show that CEOs earned significant abnormal returns on their buy and sell trades during this period. Furthermore, the results show that internal governance mechanisms such as board independence and CEO/Chairman duality reduce abnormal return and the intensity of CEOs' insider trades. The results are particularly significant for …