Business Commons^™

The Impact Of National Culture On Cost Of Equity Capital In Cross-Listed Firms, Kathy F. Otero

Open Access Theses & Dissertations

This study examines the GLOBE cultural dimensions of institutional collectivism, in-group collectivism, uncertainty avoidance, and power distance to evaluate the impact of national culture on cost of equity capital for firms cross-listing on two stock exchanges. In addition to evaluating the direct effect of culture on cost of equity capital, the study examines the moderating effect of national culture on impact of the political/regulatory environment and disclosure on cost of equity capital. Limited support was found for both the direct effect and the moderating effect of national culture on cost of equity capital.

Three Essays On Share Price Misvaluation, Mohammad Aminul Karim

Open Access Theses & Dissertations

This doctoral dissertation examines the measurement and identification of share price misvaluation using two prominent models. It also examines the role of equity misvaluation in the context of a number of corporate events. The first essay examines abnormal returns surrounding the announcement of stock splits and how this return is related to equity misvaluation and/or growth options of the firm. I find that overvalued firms have lower abnormal returns than undervalued firms and high-growth firms have higher abnormal returns than low-growth firms. Moreover, undervalued firms perform better than overvalued firms in the long run. I conclude that in the short …

Arma-Garch Model Applied To Exchange-Traded Funds, Rebecca Davis

Open Access Theses & Dissertations

In this paper, time-varying volatility of some of the leading exchange-traded funds are studied. The ARMA mean equation with GARCH errors is used to model the series correlations and the conditional heteroscadesticity in the asset

returns. The conditional distributions of the standardized residuals are assumed to be skew-generalized error distribution. The high kurtosis and fat tail of the returns, were captured in all the data by fitting an ARMA-GARCH model with the conditional distribution of, skew-generalized error distribution.

Furthermore, the sample cross-correlations of these significant exchange-traded funds and the corresponding financial indices they mimic were computed. The empirical conclusion was …

Study Of Volatility Structures In Geophysics And Finance Using Garch Models, Francis Biney

Open Access Theses & Dissertations

This work investigates the underlying volatility processes in earthquake series, explosive series, high frequency (tick) data and financial indices. Furthermore it examines the applicability of a range of GARCH specifications for modeling volatility of these series in order to identify similarities and differences in the volatility structures. The GARCH

variants considered include the basic GARCH, IGARCH, ARFIMA (0,d,0)-GARCH and FIGARCH specifications. In all the applications the methodology provides insight into features of these series volatility.

Analysis Of Intermittence And Log-Periodicity Of Foreign Exchange Rates Near A Crash, Arturo Casillas

Open Access Theses & Dissertations

Many believe that financial indices near a crash exhibit a type of critical point characterized by log-periodic signatures. Models have been developed based on these ideas in an attempt to mathematically characterize financial data about to crash. Few of these models consider the property of intermittency. Intermittency is a concept borrowed from fluid dynamics that essentially implies that a system alternates between a stable, or predictable, state and unstable state. One model that attempts to characterize crashes incorporates intermittency in the form of log-stationary intervals. It models the asset price as a step function that follows an underlying power law. …