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- Asset Pricing (1)
- CAPM, DCF, Investor sentiment, high growth (1)
- CEO Overconfidence (1)
- Capital structure, Investment opportunities, stocks illiquidity, bonds illiquidity (1)
- Compliance (1)
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- Diversity (1)
- Equity screens (1)
- Financial Constraint, Capital Structure (1)
- Financial Institutions and Services, Financial Crisis, Banks and Depository Institutions, Banking Regulation, Islamic Economic System, Sovereign Debt Issuance (1)
- Financial constraints (1)
- Firm Performance (1)
- Idiosyncratic Risk (1)
- Intangible Capital (1)
- Intermediary Asset Pricing Model (1)
- Leverage (1)
- State ownership (1)
- Static volatility interruption, dynamic volatility interruption, conditional idiosyncratic volatility, volatility spill-over, stock return, market capitalization (1)
- Total Cashflow (1)
- Volatility, Government Ownership, Momentum (1)
- Zero leverage (1)
Articles 1 - 9 of 9
Full-Text Articles in Business
State Ownership, Financial Constraints, And The Determinants Of Capital Structure, Sultan Alshuwaier
State Ownership, Financial Constraints, And The Determinants Of Capital Structure, Sultan Alshuwaier
University of New Orleans Theses and Dissertations
The aim of this study is to investigate the influence of state ownership in Saudi firms listed in the stock market. The first chapter studies the influence of state ownership on financial constraint on investment. Some scholars believe state ownership has a negative effect on the firm value. However, by using two measures of financial constraint, the investment cash flow sensitivity and the Kaplan and Zingales financial constraints index, the finding indicates that the existent of government ownership decreases financial constraint in firms. Also, the results show that the higher government ownership percentage the less financial constraint in firms. The …
Corporate Leverage, Constraints, And Compliance, Abdullah Khaled Alnamlah
Corporate Leverage, Constraints, And Compliance, Abdullah Khaled Alnamlah
University of New Orleans Theses and Dissertations
The first chapter evaluates the zero-leverage effect on firms' financial constraints. Moreover, using investment- and cash-to-cash-flow sensitivities as financial constraint indicators, the results suggest that unleveraged firms are expected to face lower constraints relative to leveraged firms. Lastly, the results indicate that the zero-leverage effect on firms’ financial constraints is more likely stronger for smaller firms, zero-dividend firms, firms with lower proportions of tangible assets, and growth firms. The second chapter develops a new quantitative measure that reflects the extent to which a firm complies to Shariah relative to the other firms located in a certain region at a certain …
The Impact Of Intangible Capital And Diversity Reputation On Firm Performance, Makeen Huda
The Impact Of Intangible Capital And Diversity Reputation On Firm Performance, Makeen Huda
University of New Orleans Theses and Dissertations
This dissertation examines the effects that intangible capital and diversity reputation have on firm performance. In Chapter 1, entitled “CEO Overconfidence and Intangible Corporate Investments,” we extend the corporate investment and CEO overconfidence literature by examining how CEO overconfidence affects investment-cashflow sensitivity using a new measure of Tobin’s q and cashflow. Specifically, we incorporate intangible capital, which neo-classical investment theory mostly ignores, in the empirical analysis. We develop three overconfidence measures and their interaction with the respective standard and new cashflow settings to capture the investment-cashflow sensitivity effect of CEO overconfidence. We use three investment measures (physical, intangible, and total …
Pricing Of Idiosyncratic Risk In An Intermediary Asset Pricing Model, Hasib Ahmed
Pricing Of Idiosyncratic Risk In An Intermediary Asset Pricing Model, Hasib Ahmed
University of New Orleans Theses and Dissertations
Standard asset pricing theories suggest that only systematic risk is priced. Empirical studies report a relationship between idiosyncratic volatility or risk (IVOL) and asset price. The most common explanation for this anomaly is that households under-diversify creating a Bad Model problem. This paper uses an Intermediary Asset Pricing Model (IAPM) as a way to control for under-diversification in evaluating the relationship between IVOL and asset price. We find that IVOL premia is lower in an IAPM. Our findings indicate that under-diversification can explain the anomaly partially.
Impact Of Relative Liquidity Of Stocks And Bonds On The Financing And Investment Decisions Of A Firm, Sohale Altamimi
Impact Of Relative Liquidity Of Stocks And Bonds On The Financing And Investment Decisions Of A Firm, Sohale Altamimi
University of New Orleans Theses and Dissertations
The dissertation consists of two essays. The first essay investigates if market illiquidity is a significant determinant of capital structure decisions. We hypothesize that firms would likely compare the illiquidity of two sources of external funding at a given point in time and issue the one with lower illiquidity. Therefore, if the level of illiquidity is a key driver of firms’ capital structure decisions in that year, the higher the level of stocks illiquidity, the more of its financing needs are satisfied by the issuance of debt, and the higher the level of bonds illiquidity, the less of its financing …
Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul
Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul
University of New Orleans Theses and Dissertations
The objective of this paper is to examine the impact of implementing the static and dynamic volatility interruption rule on idiosyncratic volatility and stock returns in Nasdaq Stockholm. Using EGARCH and GARCH models to estimate the conditional idiosyncratic volatility, we find that the conditional idiosyncratic volatility and stock returns increase as stock prices hit the upper static or dynamic volatility interruption limits. Conversely, we find that the conditional idiosyncratic volatility and stock returns decrease as stock prices hit the lower static or dynamic volatility interruption limit. We also find that the conditional idiosyncratic volatility is higher when stock prices reach …
State Ownership, Firm Specific Risk And Momentum Trading, Saeed Nassir Algahtani
State Ownership, Firm Specific Risk And Momentum Trading, Saeed Nassir Algahtani
University of New Orleans Theses and Dissertations
The dissertation consists of two essays. In the first essay, we investigate the relation of government ownership to the idiosyncratic volatility of Saudi Arabian firms that traded in the Saudi stock exchange between 2010 and 2016. The results show that publicly traded firms with an increase in government ownership have less idiosyncratic volatility. Furthermore, we investigate market leverage ratio, dividend payout ratio, and illiquidity ratio as potential roles in which government ownership influences the idiosyncratic volatility. The results prove the negative relationship between government ownership and idiosyncratic volatility. In the second essay, we investigate the association between government ownership and …
Financial Regulation, Banking, And Sovereign Debt, Rhada Boujlil
Financial Regulation, Banking, And Sovereign Debt, Rhada Boujlil
University of New Orleans Theses and Dissertations
The dissertation consists of two essays. In the first essay we study the efficiency of banks during the period of (2000-2017) that witnessed a fierce financial crisis in the light of the regulatory acts enacted in response to the crisis (Basel III 2010). We investigate the combined impact of compliance with Tier 1 and Tier 2 capital, common equity Tier 1, and leverage requirements on bank operating efficiency. We measure operational efficiency of 68 insured, U.S. federally and state-chartered, commercial banks, with consolidated assets of $15 billion or more, over a sampling period of 18 years. We seek to identify …
Differential Impact Of Investor Sentiment On The Capital Asset Pricing Model And Discounted Cash Flows Model Estimates Of The Rate Of Return On Equity, Vinh Tran
Senior Honors Theses
Traditional asset pricing models such as Capital Asset Pricing Model (CAPM) and Discounted Cash Flow (DCF) have been used widely in academics and practice due to their simplicity and popularity. The CAPM is a prescriptive model that describes the relationship between a stock’s required return and risk relative to the movements in the market, while the DCF is a descriptive model that measures the realized rate of return on a stock based on the market price of the stock, which in turn incorporates investor perceptions about the stock and the market. In an ideal, efficient market where investors behave rationally, …