Finance and Financial Management Commons^™

Operating Measures, Ipo Valuation, And After Market Performance-Perspective From Internet Bubble Period, Yuhong Fan

Theses and Dissertations in Business Administration

Internet related firms experienced an extremely high degree of underpricing in the year 1999 and 2000; 40 percent more than underpricing of Non-Internet firms. Two explanations for this phenomenon are examined: the changing-risk composition hypothesis and overreaction hypothesis. Empirical tests are conducted in three stages: first trading day, short-term, and long-term performances. The results are consistent with both hypotheses, and the high initial returns for Internet firms are explainable by investors' overreaction and the firm's high uncertainties.

Legal Online Marketing Issues: The Opportunities And Challenges, Michael T. Zugelder

Finance Faculty Publications

This chapter will review several emerging issues associated with e-marketing from the perspective of Web sites including intellectual property, information management, and contracting. E-marketers in the years to come should not only consider the growing e-marketing opportunities but also be cognizant of the growing body of law governing marketing online. While the future may be bright and uniformity and fairness may prevail, current domestic and global law facing e-marketers is varied and the potential basis for liability. The law must be considered wherever e-marketers direct their efforts.

Three Essays On Real Estate Investment Trusts, Yan Lin

Theses and Dissertations in Business Administration

This dissertation includes three essays that study on Real Estate Investment Trusts (REITs). The first essay examines the shape of market demand curve by employing REIT equity fund flows as a proxy for REIT aggregate demand. An empirical framework is introduced to disentangle the price-pressure effect and the information effect. We do not find evidence for the price-pressure effect, which states that REIT equity fund flows directly affect REIT market prices. Instead, we find that the performance of REIT market prices does influence REIT equity fund flows. The results indicate that investors adjust their demand for REITs by investigating and …

Short Interests In Real Estate Investment Trusts, Deqing Diane Li, Kenneth Yung

Finance Faculty Publications

We examine short interests in equity real estate investment trusts (REITs) between 1994 and 2001. Our results show that only high levels (the 90th percentile) of short interest are associated with significant negative REIT returns as the bearish content of short interest may have been mitigated by the favorable risk characteristics of real estate securities. In addition, the significant negative relationship between short interest and REIT returns applies only to REITs with poor performance. The result implies that the bearish sentiment of short interest could aslo be mitigated by good REIT managers in a real estate market that is informationally …

Divergent Opinions And The Performance Of Value Stocks, John A. Doukas, Chansog Francis Kim, Christos Pantzalis

Finance Faculty Publications

Divergence of opinions among investors, manifested in the dispersion of analysts' earnings forecasts, may play an important role in asset pricing. This article reports tests of whether disagreement can explain the cross-sectional return difference between value and growth (or "glamour") stocks in the U.S. market over the 1983-2001 period. Consistent with the theoretical proposition that stocks subject to greater investor disagreement earn higher returns, the tests found value stocks to be exposed to greater investor disagreement than growth stocks. This finding suggests that the return advantage of value strategies is a reward for the greater disagreement about their future growth …

Corporate Diversification And Stock Returns, Tatiana Isakovski

Theses and Dissertations in Business Administration

There are considerable empirical evidences in favor of and against the corporate diversification. A number of previous studies have found that industrial and geographic diversification have a negative effect on the value of the firm and the stock returns. In contrast, a growing stream of literature provides evidence in support of the diversification premium. There is no consensus on whether the documented discount can be attributed to corporate diversification per se or to the firms' characteristics other than diversification. In this study, we re-examine the impact of industrial and/or geographic diversification on the stock returns.

The investigation of the comprehensive …

Market Valuation Of Corporate Diversification In The Presence Of Internal Capital Markets In Emerging Countries, Supannee Buasook

Theses and Dissertations in Business Administration

This study examines the valuation of corporate diversification in three emerging countries: Thailand, Indonesia and the Philippines. Over the period of study (1992–2001 for Thailand and 1994–2001 for Indonesia and the Philippines), it is found that there is evidence of diversification discount in all three countries. The largest amount of discount exists in the Philippines (60.1%), followed by Indonesia (25.5%) and Thailand (15.1%).

Then, the sample is divided into two sub-periods: before the crisis (1992–1996) and after the crisis (1997–2001). Before the crisis, the diversification discount existed only in the Philippines, with the average of 49%. There is not enough …

Overreaction, Heteroscedasticity, And Spillovers In Stock Returns: Evidence From The Kuwait Stock Exchange, Mohammad Yousef Al-Hashel

Theses and Dissertations in Business Administration

This research examines stocks' returns and volatility in the Kuwait Stock Exchange (KSE). The research is organized in five chapters. The first chapter provides an introduction of the research, its importance, and its main goals. The second chapter presents a historical background of the KSE and the stages it experienced to reach its current situation. The main goal of this chapter is to pave the road for the subsequent chapters. Then, the third chapter tests the overreaction hypothesis using monthly data for stocks listed on the Kuwait Stock Exchange over the 1993–2002 period. Similar to the findings of De Bondt …

Institutional Investors And Adrs: Three Essays, Deqing Li

Theses and Dissertations in Business Administration

The three essays which constitute this research study the effects of institutional investors in the ADRs' market.

Essay one studies the herding and feedback trading by institutional investors in the ADRs market. The empirical results find that there is a strong positive relation between changes in the ADRs institutional ownership and returns measured over the same period—the herding year (t = month 0 to 11). The ADR portfolios experiencing the largest increase in institutional ownership outperform those experiencing the largest decrease by 15.33 percent per year over the herding year. In addition, return continuation exists for the two years following …

A Study Of Financial Analysis Expectations And Practices In The Engineering Management Workplace, Paul Kauffmann, Resit Unal, Andres Sousa-Poza, William Peterson

Engineering Management & Systems Engineering Faculty Publications

This paper describes an on-going study of Master of Engineering Management (MEM) students and the financial analysis related job expectations and environment they face. The objective of this effort is to provide enhanced understanding of these requirements so that instructional content in the related courses can be focused to meet these needs. To achieve this goal, the study segments findings based on a range of organizational and job level characteristics to identify critical differences in the financial work environment and the financial tools that are employed. Preliminary findings are discussed in this paper and contrasts between public and private sector …

Investigating The Effect Of The International Stock Indexes On The United States Stock Index Futures, Zehlha Illhan Ertuna

Theses and Dissertations in Business Administration

The futures market is used extensively for price discovery, arbitrage, and hedging. Since their introduction in the 1980's, the stock index futures have also become an active market and a very important research area. Any additional knowledge to understand the underlying effects on the index will help both investors and researchers. In this study, I examine the role of informational flow from the world's major stock markets (British, French, German, Japanese) to the U.S. futures market in terms of forming expectations, and offer new insights regarding the informational efficiency of the futures markets in an intenational perspective. State space modeling …

Regulation S: Offshore Equity Offerings, Marla Sue Howard

Theses and Dissertations in Business Administration

Raising capital in foreign capital markets is common in today's business environment. Investors are aware of the advantages of a globally diversified portfolio and seek overseas investments. The Securities & Exchange Commission (SEC) adopted Regulation S in the United States to clarify the extra-territorial application of the registration provisions of the 1933 Securities Act. The regulation allows companies listed on U.S. stock exchanges to expedite issuance of securities offshore by avoiding the lengthy registration process if the securities are intended to “rest abroad.” Characteristics of equity securities issued under Regulation S from November 18, 1996, the first date that disclosure …

Market Reaction To Seasoned Equity Offerings: The Relevance Of Leverage, Growth Opportunities, And Corporate Structure, Mojib U. Ahmed

Theses and Dissertations in Business Administration

Empirical work on the market's reaction to seasoned equity offerings has rarely considered the impact of the issuing firm's leverage level or its corporate structure. This work is an attempt to include these parameters in order to better understand the market's reaction to such issue announcements.

The current finance literature recognizes the fact that leverage plays an important role in assessing the value of the firm. Leverage has both negative and positive impacts on the value of a firm (McConnell and Servaes, 1995), and thus, has both negative and positive impacts on the market's reaction to seasoned equity offerings. This …

Measuring And Evaluating Sales Force Training Effectiveness: A Proposed And An Empirically Tested Model, Ashraf Magdy Attia

Theses and Dissertations in Business Administration

Recent reports show that 95% of organizations conduct some form of sales training and organizations spend more than $30 billion dollars annually on sales training programs. According to {\it Sales \& Marketing Management\/} (1993), the average estimated field training costs for a sales trainee is \$37,000. Due to the accelerating investments in sales training, Honeycutt, Ford, and Rao (1995) found that 57% of sales training executives said that the major area in greatest need of additional research is determining sales training effectiveness.

The research contained herein addresses a gap in the marketing literature by: (1) proposing and testing a model …

Three Essays On European Union Advances Toward A Single Currency And Its Implications For Business And Investors, Charlotte Anne Bond

Theses and Dissertations in Business Administration

The first chapter examines the changes in various European currencies' exchange rates through the time period 1980 through 1997. Specifically, we are interested to determine if there is any affect to the volatility of these exchange rates and specific events related to the advancement of European Unification. In order to move to a single currency it is imperative that the separate currencies become less volatile to facilitate the move to a single currency. In this study, we examine whether this is the case and discuss which currencies appear to display this behavior. It is observed that of the 14 currencies …

The Pricing Behaviors Of Stock Index Futures: Some Preliminary Evidence In The Korean Market, Jaehoon Min

Theses and Dissertations in Business Administration

This research examines the pricing behaviors of futures contract in the Korean market in its early inception period. This research is mainly organized into three parts. The first chapter investigates the mispricing of futures contract relative to its theoretical value. Consistent with earlier studies regarding futures markets in other countries, futures have been persistently underpriced in the Korean market. Even after accounting for 10 minute execution lag in the arbitrage trading, arbitrage opportunities have been largely unexploited. Market inertia caused by institutional investors' unfamiliarity is presumed to be largely responsible for underpricing of futures. Unfavorable spot market condition also hinders …

Reverse Lbo Underpricing: Information Asymmetry Or Price Support, Gregory Noronha, Kenneth Yung

Finance Faculty Publications

Most studies attribute the underpricing of initial public offerings of equity securities to the ex ante uncertainty resulting from the information differential between the firm going public and the market. Ruud (1991, 1993), however, proposes that underpricing could result from underwriter price support in the early after-market. A paper examines firms that were once public, went private via leveraged buyout, and then went public again. It is reasonable to expect that since these reverse LBOs (RLBO) were once publicly traded, they should have less of an information differential with the market than firms going public for the 1st time. Tests …

The Corporate Effects Of R&D And Patent-Grants: Evidence From Intra-Industry Analysis, Steven Alan Lifland

Theses and Dissertations in Business Administration

This study examines the intra-industry effect of announcements of technological advancement on the market valuation of both the announcing firm and the announcing firm's relative industry competitors. This paper consists of two parts. Essay I discusses firm specific and intra-industry valuation effects of a firm's Research and Development (R&D) expenditures, while Essay II concentrates on the firm-specific and intra-industry valuation effects of a firm's patent-grant announcement. Specifically, this study examines the validity of the competitive and free-rider hypotheses to explain the market response to announcements of R&D spending and the granting of patents.

While the evidence shows that the market …

The Valuation Effects Of Corporate Investment Decisions: Evidence From Domestic And Foreign Plant Announcements, Bum Suk Kim

Theses and Dissertations in Business Administration

This study examines the effects of corporate investment decisions--announcements of plants--on the value of the firm, using event-study methodology. This paper consists of two parts. Essay I discusses the valuation effects of domestic investments, while Essay II analyses the valuation effects of foreign investments undertaken by U.S. firms and compares the valuation effects between the two investments. Specifically, this study examines the validity of the overinvestment hypothesis and whether focus-increasing investments enhance the value of the firm.

First, the evidence shows that the valuation effects of the investment decision depend on the firm's investment opportunities, proxied by Tobin's q. That …

Volatility Risk Premiums In Futures Markets: Investment Prices And Commercial Bank Performance, Richard P. Gregory

Theses and Dissertations in Business Administration

This dissertation is an in depth study of the measurement of pricing biases in futures options, and whether this bias is due to volatility risk premia, market overreaction to public information or information asymmetry. Futures options for thirteen different contracts are used. Additionally, the contracts are from three different marketplaces.

Six hypotheses are tested. The first is whether implied option volatilities from the Black (1976) futures option model is the only significant determinant of the volatility processes of the underlying futures contracts. For this estimation, we use both a GARCH (1,1) model and the Partially Non-parametric model of Engle and …

Non-United States Firms' Exchange Rate Exposure And The Pricing Of Exchange Rate Risk In Foreign Stock Markets, Patricia Hill Hamlin Hall

Theses and Dissertations in Business Administration

This two part dissertation is an in depth study of the measurement of foreign currency economic exposure faced by foreign firms and whether or not this exposure is associated with significant risk premia within these firms' national equity markets. Firms from four foreign countries; Germany, the United Kingdom, Japan and Canada are classified as purely domestic firms, exporters with low (20%-39%) percentages of foreign sales to total sales, exporters with high (over 40%) percentages of foreign sales to total sales, or multinational corporations.

Essay I focuses on the economic exposure of these non-US firms. Foreign exchange rate volatility can impact …

New Paradigms For Evaluating Performance And Performance Persistency Of Domestic And Globally Diversified Portfolios, Larry Joseph Prather

Theses and Dissertations in Business Administration

This manuscript reexamines performance evaluation of managed portfolios. Past measures of portfolio evaluation such as the Sharpe, Treynor, and Jensen measures are subject either to the inability to rank performance based on statistical significance, or are dependent on both a single factor CAPM return generating process and the selected market portfolio. Recent studies show performance ranking is sensitive to the selection of the market proxy when the security market line is used to evaluate performance. Additionally, CAPM based measures that appeared to work well in the 1960's no longer appear to function effectively. Many anomalies to CAPM have been documented …

Taxes And Dividend Policies: An International Study, Chinwe Edna Nweke

Theses and Dissertations in Business Administration

The tax effects hypothesis states that dividends have a negative impact on the value of a firm due to the preferential treatment given to capital gains over dividend income in some countries. This study tests the tax effects hypothesis in five countries: Australia, France, Germany, Japan and United States. The countries are selected because each had a significant tax law change within the period of study (1983-1991) and therefore provides an excellent opportunity for validation of this hypothesis.

The tax effects hypothesis is tested by first examining the effects of tax law changes on dividend payout ratios and then by …