Business Commons^™

Lehman Brothers Bankruptcy: Reasons, Effects, And Outcome, Christian J. Reller

Finance Undergraduate Honors Theses

Lehman Brothers’ bankruptcy was a major turning point during the 2008 Financial Crisis, and Lehman Brothers itself has become a prime example of regulatory failure since its closing. The demise of Lehman stemmed from the repeal of the Glass-Steagall Act of 1933. The deregulation of investment banking in the 1990s forged the way for new investment practices on Wall Street. The relaxation of rules allowed investment banks to be heavily invested in volatile assets. Lehman’s issues were an extremely high leverage ratio, illiquid assets, and poor corporate governance. An extremely high leverage ratio left Lehman susceptible to large movements in …

Commonality In Two-Dimensions: An Empirical Investigation, Zhaoque Zhou

Dissertations - ALL

In this thesis, I follow Hasbrouck and Seppi (2001)’s work and use reduced-rank regression to model the commonality in Chapter Two. The literature on the study of return commonality generally attributes its source to the order flow. But I find that return and order flows are endogenous and use the new exogenous Twitter sentiment dataset to show that return commonality may be due to sentiment and attention. Furthermore, I observe the non-linear (linear) relationship between sentiment (attention) and return commonality. Finally, I may export the non-linear relationship using the same reduced-rank regression framework in future research.

I also follow Korajczyk …

The Relative Industry Specific Effects Of Covid-19 On Market Volatility And Liquidity, Callin Christensen

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Understanding how historical events affect market volatility and liquidity can provide crucial information to financial analysts, investment professionals, and managers in the event that similar circumstances resurface. In this study, I look at how a global pandemic (COVID-19) can introduce frictions into the market and cause disrupt the generation or flow of available information, this could cause prices to deviate significantly from their equilibrium values. I also hypothesize that these inefficiencies may have a greater effect on some industries than others. My analysis seems to confirm this hypothesis. I observe that the global COVID-19 pandemic leads to statistically significant increases …

Examining Liquidity, Growth Strategy, Capital Structure, And Earnings Growth, Steven R. Posey

Walden Dissertations and Doctoral Studies

Many businesses experience financial deterioration after a growth period. Business leaders of firms with market capitalization value between $50 million and $300 million, known as microcap companies, might have an incomplete understanding of growth drivers. Grounded in the firm growth theory, the purpose of this quantitative, correlational study was to examine the relationship between liquidity, growth strategy, capital structure, and earnings growth. The population consisted of the more than 1,400 constituent firms from the 2019 Russell Microcap Index. Archival data from the Securities and Exchange Commission EDGAR database were collected, organized, and analyzed for 119 randomly selected firms. Multiple regression …

Essays On External Forces In Capital Markets, Marcus Painter

Theses and Dissertations--Finance and Quantitative Methods

In the first chapter, I find counties more likely to be affected by climate change pay more in underwriting fees and initial yields to issue long-term municipal bonds compared to counties unlikely to be affected by climate change. This difference disappears when comparing short-term municipal bonds, implying the market prices climate change risks for long-term securities only. Higher issuance costs for climate risk counties are driven by bonds with lower credit ratings. Investor attention is a driving factor, as the difference in issuance costs on bonds issued by climate and non-climate affected counties increases after the release of the 2006 …

Essays On Investments, Michael Farrell

Theses and Dissertations--Finance and Quantitative Methods

The first chapter studies mutual funds. I model intraquarter trading and use a genetic algorithm to estimate the trade pattern that is most consistent with the fund's daily reported returns. I validate the model empirically on a sample of institutional trades from Ancerno and I confirm that the method more accurately predicts daily holdings when compared to existing naive assumptions. Further, my method is substantially more accurate in classifying a fund's tendency to supply liquidity, and this increased precision has important implications for identifying superior performing funds. Specifically, a long-short strategy based on the model's liquidity provision measures earns significant …

Two Essays In Economics And Finance, Phuvadon Wuthisatian

University of New Orleans Theses and Dissertations

This dissertation contains two essays. The first essay investigates the measure of FX liquidity and determinants of the change in FX liquidity. Using 20 cross currency exchange rates over spanning period of 1999 to 2016, funding constraints and global risks are responsible for the main drivers of changing in FX liquidity. The magnitudes of both G7 and emerging volatility index are offsetting each other in all the regression models indicating that FX investors take diversification trading strategies to diversify their portfolios. The financial crisis provides an evidence that the more financial constraint issues contribute to the change in FX market …

Two Essays On Liquidity Endogeneity And Effects Of Political Connections, Chengcheng Li

Theses and Dissertations

The two essays in my dissertation explore separately the issues related to stock market liquidity and corporate financial distress. My first essay examines the effects of widespread liquidity demand on the stock liquidity. My second essay explores the effect of political connections on the corporate financial distress.

In the first essay, I explore several questions related to the effect of liquidity demand on the individual stock liquidity level. I find that domestic actively managed equity funds in general hold less liquidity than their corresponding benchmarks. This leads them to rely more on the small fraction of liquid assets for immediacy …

Relationship Between Liquidity, Asset Quality, And Profitability Of Mortgage Banks In Nigeria, Olabanjo Johnson Obaleye

Walden Dissertations and Doctoral Studies

Liquidity (LQ) and asset quality (AQ) management present significant challenges to mortgage bankers in their efforts to improve profitability (PR). When liquidity increases, there is no positive impact on mortgage asset growth; however, this trend indicates that asset management and liquidity positions are not well managed. To run a viable mortgage business, mortgage bankers need to have a good grasp of the association between LQ, AQ, and PR. Anchored in the profit theory paradigm, the purpose of this multiple regression study was to examine the relationship between LQ, AQ, and PR of mortgage banks (MBs) in Nigeria. Archival financial data …

Effects Of The Basel Iii Liquidity Risk Metrics On U.S. Bank Performance And Stability, Cecelia Mundt

Doctoral Dissertations (DBA)

This paper investigates the effects of Basel III’s liquidity metrics on profitability and stability on a subset of U.S banks from 2002 to 2014. The profitability and stability of each of these banks were calculated under the scenario of shifting 1% of its overall assets from illiquid to liquid. The empirical findings demonstrate a negative relationship between holding higher liquidity and bank profitability. It finds that this negative relationship is disproportionate across the bank classes with savings banks losing profitability at almost twice the rate as national banks. Additionally, stability of savings banks is more adversely affected than of national …

The Efficiency Of Liquidity Resiliency, Nathan Burton

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Using a VECM to estimate the dynamics of liquidity, in this case bid-ask spread, I run simulations for stocks of varying market capitalizations and find that lower market cap stocks require more orders to return to equilibrium spread following a shock, suggesting less efficiency of price discovery in lower cap stocks. Despite the greater number of order necessary for lower cap stocks, the return to equilibrium spread is still very fast, suggesting a relatively efficient market for NYSE and NASDAQ stocks in the upper three market cap quartiles.

Three Essays On Liquidity In Modern Markets, Konstantin Sokolov

Theses and Dissertations (Comprehensive)

Recent technological advancements have challenged financial markets. Academic researchers, regulators and market participants voice concerns that modern markets bear the negative externalities of such advancements. Specifically, they are concerned that today’s markets are becoming more fragile and unfair to less sophisticated traders. This work employs empirical methodology to test whether these concerns are justified. This thesis contains three essays:

The first essay studies whether modern markets become less liquid during intraday extreme price movements (EPMs). When a price moves in a certain direction, liquidity providers face two opposing incentives. The first incentive is to stay in the market to accumulate …

Strategies For Maximizing Revenue Collection In Public Water Utility Companies, Nicholas Gracious Namaliya

Walden Dissertations and Doctoral Studies

Africa has a high rate of revenue under-collection in public water utility companies. This rate currently averages 20-50%, and the rate is 18% for Malawi alone. The purpose of this single-case study was to explore credible business strategies senior managers of water utilities use to address inefficiencies in collecting water fee revenues. The conceptual framework for this study was revenue management, which includes strategic constructs for increasing amounts of revenue collection. The target population for this study was 5 senior managers of a public water utility in Malawi, which is located in the southeastern part of Africa. Data collection included …

Essays On Institutional Investor Trading, Karolina Krystyniak

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that examine the role of institutional investors in stock market efficiency. Institutions are important and influential market participants. This study aims to analyze whether institutional investor trading is consistent with higher attention and better skill, what is the impact of institutional trading on future asset prices and how does institutional trading relate to the liquidity in the market.

The first chapter of the dissertation analyzes institutional investors’ response to stock level liquidity shocks. I find that institutions, especially the transient ones, buy stocks that experience positive liquidity shocks and sell those that experience negative …

High Frequency Trading: Perceptions Regarding Volatility And Regulation, Daniel A. Beck

Honors Theses

Although high frequency trading (HFT) makes up a large portion of day to day trading activity in US and global markets, Khashanah and colleagues (2014) found that nearly half of academic and business industry professionals feel that HFT provides an unfair advantage relative to other market participants, and that a majority of industry professionals share concerns that HFT increases volatility in markets. This creates an environment wherein there are increasing calls by various groups for increased regulation of HFT, and the same study by Khashanah et al (2014) finds that 59% of academics and 46% of industry professionals are of …

Should I Invest In Art?, Alexandra Eldridge

MA Projects

One of the more interesting ways to consider the perennial is art a good investment? question is by looking at the various ways that the art market does or does not behave like other markets. When comparing art as an asset class to more traditional assets, we first need to ask ourselves – are the two even comparable? This article explores the idiosyncrasies of the art world, compares the claims people make regarding art's investment potential to the available research studies, discusses some non-monetary motives for buying, and may even have an answer for the nagging art-as-investment question.

Incentives And Firm Behaviors, Thu Hien Thi Nguyen

Graduate Theses and Dissertations

My research interests focus on the economic behavior, choices, and actions of organizations as well as individuals given their incentives, and analyze the consequences of such decisions to the financial health of firms and the macro economy. A firm is incentivized by the value investors place on its operations; while employees, particularly the management team, is incentivized by the private benefits the firm gives them. Understanding the impact of such incentives will help alleviate the classic agency costs in modern organizations.

Stock illiquidity raises the cost of share ownership to outside investors. The sizable adverse price impact of trading increases …

The Impact Of Securitization, Bank Liquidity Shocks, And Government Intervention On Lending And Banks' Asset Composition: Evidence From The U.S. 2007-2009 Financial Crisis, Peter V. Egly

Theses and Dissertations - UTB/UTPA

The 2007- 2009 financial crisis creates a new wave of research opportunities in part due to the transformation of the banking system that led to the development of securitized banking that is supported by short term funding sources provided through the money and capital markets. The near collapse of the financial system ultimately led to the ensuing government intervention by the Federal Reserve and the U.S. Treasury department to revive the frail U.S. economy. This dissertation has two basic research objectives: 1) investigate the impact of securitization and the subprime mortgage collapse on bank lending during the crisis and 2) …

Three Essays On Corporate Liquidity, Financial Crisis, And Real Estate, Kimberly Fowler Luchtenberg

Theses and Dissertations in Business Administration

The first essay examines why firms with access to lines of credit (LOC) have different drawdowns and their implications for asset pricing, investment and profitability. Utilizing a hand-collected LOC dataset that extends the sample of Sufi (2009) to 2010, our principal finding is that firms with greater LOC usage are more financially constrained than firms with lower LOC usage. We also document that high users of credit lines have higher risk-adjusted returns, less investment in capital expenditures and employment, and lower profitability than low LOC users. An interesting implication of our evidence is that high LOC drawdowns could serve as …

Executive Compensation, Firm Performance And Liquidity Under Imperfect Corporate Governance, Yongli Luo

Theses and Dissertations - UTB/UTPA

This dissertation examines the relationship between executive compensation, firm performance and liquidity under imperfect corporate governance institution by using a novel Chinese dataset over 2001-2010. The first essay examines the determinants of Chinese executive compensation from the agency-based theoretical framework. I find that there is a positive relationship between Chinese executive compensation and firm performance. The weak corporate governance in China exhibits strong liquidity and control effects after the split-share structure reform. It seems that CEO duality, the establishment of compensation committee, and the involvement of state ownership in Chinese public firms may lead executive compensation to a relation-based rather …

Analyzing Earnings Management For Cross-Listed Firms And Interaction Between Two Futures Exchanges, Chia-Sheng Chen

University of New Orleans Theses and Dissertations

The first essay examines the impact of investor protection, market monitoring, and liquidity on the firm-level and country-level earnings management using a sample of 432 firms from 34 countries cross-listed in the U.S. The major findings are as follows: First, cross-listed firms from countries with strong legal system, strong outside investor rights, more institutional investors, and higher financial transparency are less likely to engage in earnings management. In addition, in countries with strong investor protection or market monitoring, the level of earnings management is more pronounced for illiquid firms as compared to liquid firms. Second, cross-listed firms following IFRS have …

Institutional Investors And Corporate Financial Policies, Ricky William Scott

USF Tampa Graduate Theses and Dissertations

Institutional investors influence corporate payout and research and development (R&D) investment policies. Higher payouts are encouraged by institutional investors, especially in firms with high free cash flow and poor investment opportunities. They also positively influence stock repurchases, particularly in firms with high information asymmetry. The substitution of stock repurchases for dividends as a percentage of total payout is encouraged by institutional investors. Institutional owners persuade firm management to increase research and development (R&D) investment overall and specifically in firms with higher stock liquidity, higher information asymmetry, lower free cash flow, and better investment opportunities. Institutional investors decrease agency costs in …

Credit Default Swaps - Essays On Model And Market Efficiency, Muhammad F. Farooqi

Electronic Thesis and Dissertation Repository

Essay 1 tests the ability of a commercial structural credit default swap pricing model to predict market spreads. Consistent with several previous studies testing other models, we find our model unable to price credit risk precisely and observe an illiquidity premium reflecting a credit risk component which should be incorporated into future pricing models. We also identify macroeconomic and stock market factors that help explain movements in CDS spreads beyond the levels suggested by the model.

Essay 2 looks at bid and ask spreads to find evidence of quote shading where dealers manipulate their quotes in order to attract sell …

Liquidity And Speculative Trading: Evidence From Stock Price Adjustments To Quarterly Earnings Announcements, Hsiao-Fen Yang

LSU Doctoral Dissertations

This dissertation studies whether stock price reactions to quarterly earnings announcements depend on stock liquidity. Baker and Stein (2004) and Scheinkman and Xiong (2003) develop models showing that liquidity can be affected by investor sentiment or speculative trading. With short-sale constraints, liquid stocks have more trading from optimistic, overconfident investors and tend to be overvalued. In this study, we hypothesize that if a liquid stock is overpriced due to intensive speculative trading, the overpricing should be corrected partially or fully after quarterly earnings announcements which convey the information about the fundamental value of stocks and synchronize investors' adjustment to mispricing. …

Three Essays On Corporate Acquisitions, Bidders' Liquidity, And Monitoring, Huihua Li

LSU Doctoral Dissertations

This dissertation consists of three essays on corporate acquisitions, bidders’ liquidity and monitoring. In the first essay, “Acquisitions and Bidders’ Liquidity: Evidence from Successful and Unsuccessful Takeovers”, I examine the impact of corporate acquisitions on bidders’ liquidity. I find that liquidity improves for bidders that complete the takeovers but remains unchanged or decreases for unsuccessful bidders. Takeovers of public firms result in similar liquidity improvements as do takeovers of private firms. Takeovers that use stock as the method of payment have significantly more improvement in liquidity than takeovers that use cash as the payment method. These results suggest that changes …

The Interrelations Between Investor Beliefs, Information And Market Liquidity, Stephanie Yates Rauterkus

LSU Doctoral Dissertations

I use two datasets to test the relation between trading volume, the heterogeneity of beliefs and the heterogeneity of belief revisions. The first dataset allows me to construct two groups that proxy for ‘holders’ and ‘non-holders’ of a traded asset. This construct allows me to test the relation between changes in trading volume and changes in the dispersion of beliefs both within and across these two groups. I examine changes in within- and across-group dispersion separately and simultaneously. The second dataset allows me to examine belief revisions more closely by analyzing only those prior and posterior beliefs surrounding an information …