Finance and Financial Management Commons^™

Essays On International Risk-Return Trade-Off Relations, Liang Meng

Finance Theses & Dissertations

This dissertation consists of two essays on the international risk-return trade-off relations. The first essay is titled “The Role of the US Market on International Risk-Return Trade-Off Relations” and the second essay is titled “The Role of Investor Sentiment on International Risk-Return Trade-Off Relations”.

In our first essay, we study the intertemporal risk-return trade-off relations based on returns from 18 international markets. Our main contribution is that we find the US market plays an important role affecting the international risk-return trade-off. We present striking new empirical evidence that the inclusion of US market variables significantly changes the estimated risk-return trade-off …

Three Essays On Dividend Policy, Mehmet Deren Caliskan

Finance Theses & Dissertations

This dissertation considers paying earnings out as dividends a conservative policy as opposed to investing earnings in to value-increasing projects. Based on this view, this dissertation explores the effect of chief executive officers’ (CEO) risk preferences on dividend policy, market’s reaction to dividend policy changes, and the effect of dividend policy on firm financial distress. The first chapter hypothesizes that risk seeking CEOs will be less likely to pay dividends compared to conservative CEOs. The second chapter hypothesizes that when the market sentiment is high (i.e., when investors are willing to take risk) firms that omit dividends should outperform the …

Two Essays On Investor Attention And Asset Pricing, Nadia Asmaa Nafar

Theses and Dissertations in Business Administration

This dissertation explores the effect of investor attention, as measured by Google Search Volume Index, on security prices. It seeks to answer the following research questions: 1) what is the effect of investor attention on the expected returns of EREITs? And 2) what is the impact of investor attention on the open market repurchases post announcement returns?

Classic theory suggests that information is immediately incorporated into stock prices. However, existing empirical evidence shows that investors are limited in terms of the amount of information they can process. Kahneman (1973) advances that attention is a scarce cognitive resource. Individuals suffer from …

International Venture Capital Firms Syndication And Performance: A Social Network Perspective, Amir Pezeshkan

Theses and Dissertations in Business Administration

Despite a growing body of research on venture capital firms, the process by which venture capital firms invest across borders remains unclear. This three-essay dissertation integrates the literature on venture capital firms, social network theory, and international alliances to examine following research questions: 1) How do network characteristics (i.e., structure and composition) of the international venture capital firms and their potential partners impact their syndication behavior? 2) What configurations of the ventures' and the international venture capital firms' attributes is associated with syndication in emerging markets? and 3) Does the host country influence the international venture capital firms' syndication behavior …

Two Essays On Managerial Horizon, Cash Holdings And Earnings Management, Sanjib Guha

Theses and Dissertations in Business Administration

U.S. corporations are now sitting on an enormous stockpile of cash. Academicians and practitioners alike have tried to understand the reasons why companies are holding on to so much cash. Numerous studies have explored the various motives for holding cash. Many researchers have tried to correlate excess cash holding with particular firm characteristics. This dissertation analyzes the correlations that exist between excess cash holding and some measurable managerial characteristics. This dissertation examines if managerial horizon has any impact on excess cash holding. It also examines if managerial horizon and excess cash has any impact on firm value. Four different measures …

Can Strategic Risk Management Contribute To Enterprise Risk Management? A Strategic Management Perspective, Phil Bromiley, Devaki Rau, Michael K. Mcshane

Finance Faculty Publications

Within the discipline of enterprise risk management (ERM), strategic risk management (SRM) has become a subject of increasing interest to practitioners and academics. To our knowledge, the term “strategic risk management” first appeared in the management literature in 1985 and 1986 (Jammine, 1985; Figenbaum & Thomas, 1986) and in the academic finance literature in 1990 (Rawls and Smithson, 1990), although early usage of the term did not clearly relate to later conceptions. The phrase has been in use even longer than ERM (Bromiley, McShane, Nair, and Rustambekov, 2014). Even with this longevity, the meaning of the term remains unclear, with …

Idiosyncratic Risk And Earnings Noncommonality, Kenneth Yung, Qian Sun, Hamid Rahman

Finance Faculty Publications

The seminal Campbell et al. (2001) paper showing that idiosyncratic risk has increased considerably in recent years has spawned a large number of articles to explain the phenomenon. In this paper, we propose growing earnings noncommonality as a possible source of the increasing idiosyncratic volatility. The empirical results of this research validate this proposition. Our conclusions stand the test of several robustness checks which show that market power and innovativeness previously considered in literature as sources of increased idiosyncratic volatility are not significant in the presence of earnings noncommonality. The findings of this research will be useful for analysts and …

Next Focal Point Of China's Stock Market: Earnings-But Can We Trust The Numbers?, Shaomin Li, Seung Ho Park

Management Faculty Publications

[Introduction] The recent stock market turmoil and the economic slowdown in China have kept analysts busy projecting where the economy is going and what the government will do. The Chinese government has also issued a number of reforms of state-owned enterprises and other aspects of the economy. However, these reforms and increased scrutiny by both regulators and investors will be futile unless larger problems with market fundamentals in Chinese companies are addressed.

While the world's attention has been fixed on what the Chinese government is going to do next, there has been a tendency to neglect market fundamentals and to …

How To Strike The Wealth Balance, Shaomin Li, Seung Ho Park

Management Faculty Publications

The underlying attitude towards wealth within a country can have a big impact on a company's decision to invest there. Shaomin Li and Seung Ho Park look at ways in which 'wealth tolerance' can be measured.

The State Of The Region: Hampton Roads 2014, James V. Koch, Vinod Agarwal, Chris Colburn, Vicky Curtis, Steve Daniel, Elizabeth Janik, Feng Lian, Sharon Lomax, Alice Mcadory, Janet Molinaro, Ken Plum, Ayush Toolsidass, Shara Weber, Luke Watson, Gilbert Yochum

Economics Faculty Books

This is Old Dominion University's 15th Annual State of the Region Report. While it represents the work of many people connected in various ways to the university, the report does not constitute an official viewpoint of Old Dominion or it's president, John R. Broderick. The report maintains the goal of stimulating thought and discussion that ultimately will make Hampton Roads an even better place to live. We are proud of our region's many successes, but realize that it is possible to improve our performance. In order to do so, we must have accurate information about "where we are" and a …

Using Tips To Discount To Present Value, Raymond Strangways, Bruce L. Rubin, Michael Zugelder

Finance Faculty Publications

The practice of forensic economics has a long history of trying to identify the correct interest rate to use when valuing economic losses in personal injury and wrongful death cases. We trace the legal history as it relates to the appropriate interest rates and adjustments for inflation. We then discuss the use of Treasury Inflation Protected Securities, TIPS, and an analysis of the combined effect of realized inflation and taxes on the effective return. We come to the unexpected conclusion that the use of TIPS does not lend itself to a simple adjustment to the rate for taxes nor eliminate …

Two Essays On Attracting Foreign Direct Investment: From Both A National And Firm Level Perspective, Ryan Lawrence Mason

Theses and Dissertations in Business Administration

Countless studies with a wide variety of financial and economic indicators have been conducted over the years within the context of international business research, all searching for hints or signals as to what makes the never ending process of globalization progress. Our research follows these efforts while focusing specifically on Foreign Direct Investment (FDI). Our first study sets out to empirically test if nations adopting the inflation targeting (IT) monetary policy are more successful in attracting inbound and outbound FDI cash flows than those nations utilizing alternative monetary policies. IT is a relatively new policy which was first put into …

The Crisis In State Highway Finances: Its Roots, Current Effects, And Some Possible Remedies, Juita-Elena Yusuf, Lenahan O'Connell

School of Public Service Faculty Publications

This paper focuses on the American states and the sources of the expanding structural imbalance between their highway-related revenues on the one hand and expenditures for transportation infrastructure needs on the other. The paper describes the roots of the funding problem over recent decades, looks at some of the responses taken at the state and federal level, and discusses their inherent limitations as solutions to this funding crisis. The paper also presents several policy recommendations for increasing revenues. We demonstrate that a variable rate gas tax indexed to the construction cost index and improvements in automobile fuel efficiency and a …

International Banking Sector Linkages: Did The Global Financial Crisis Strengthen Or Weaken The Linkages?, James Edward Benton

Theses and Dissertations in Business Administration

This dissertation examines the interactions or linkages between the U.S. banking sector and the other eight major banking center countries around the globe. I use the national banking sector index for each country over a ten year period as a proxy for reactions to external shocks and examine whether these shocks spillover from the U.S. to the other major banking center countries as measured through their respective indices. I examine both daily residual returns as well as return volatility to measure these interactions between indices.

This study uses a vector auto-regression moving average (VARMA) as well as Granger-causality Wald test …

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 …

Do Neglected Firms Suffer From An Information Deficit?, Kenneth Yung, Hamid Rahman, Qian Sun

Finance Faculty Publications

We study the presence and distribution of private information in neglected firm stocks using a measure of private information first suggested by Roll (1988). Our results suggest that there is no shortage of information on neglected firms for investors and that this private information forms part of the decision set for managerial decisions. Our results indicate a significant negative correlation between the amount of private information and certain important firm characteristics such as market size, cash flow, sales and return on assets. When the impact of private information is analyzed on the investment and payout policies of the neglected firms, …

The Response Of Commercial Banks To Credit Stimuli, Denise Williams Streeter

Theses and Dissertations in Business Administration

This dissertation calls upon the theory of financial intermediation (Diamond and Dybvig, 1983) and the credit channel theory of monetary policy effectiveness (Bernanke and Gertler, 1995) to show how commercial banks responded to the trillions of dollars of innovations to stimulate the credit markets during the 2008 global financial crisis. Specifically, loan-level data is used to conduct univariate, regression, and event-study analyses to address the research question of, "Did United States- and European Union-based commercial banks respond to credit stimuli with increased commercial lending during the stimulus period of October 1, 2007 through September 30, 2011 when compared to the …

Changing And/Or Funding Opeb Promises: A Typology Of Local Government Responses To Gasb 45 And The Realization Of Opeb Liabilities, Juita-Elena Yusuf, Thomas Musumeci

School of Public Service Faculty Publications

GASB Statement No. 45 addresses how governmental units account for employees' other post-employment benefits (OPEB), requiring government employers to replace OPEB reporting on a pay-as-you-go basis with an accounting of the cost of current and future benefits. This requirement and the resulting OPEB liability may prompt government employers to reconsider key questions regarding their OPEB provision. The size of the OPEB liability depends on both the benefit promises made to employees and the assets to fund these promises. We propose a typology that defines four approaches for governments to respond to GASB 45 and their OPEB liabilities. These approaches represent …

A Study Of Risk-Taking Behavior In Investment Banking, Elzotbek Rustambekov

Theses and Dissertations in Business Administration

This dissertation examines corporate risk-taking behavior by investment banks in the United States. This study was sparked by the collapse of Lehman Brothers, one of the largest bankruptcy filings in U.S. history. This dissertation examines the specific factors that drove investment banks such as Lehman Brothers to take excessive risks, and how the deregulation of the US financial services industry towards the end of the 1990s contributed to risk-taking behavior.

I use four theoretical perspectives to examine corporate risk-taking behavior among investment banks. These perspectives include: institutional theory, behavioral theory of the firm, knowledge based view (KBV) of the firm, …

Essays On Foreign Reverse Mergers And Bond Etf Mispricing, Charles William Duval

Theses and Dissertations in Business Administration

This dissertation examines two topics that have attracted significant attention in the financial media, but have received little academic study.

The first essay examines the characteristics and performance of foreign firms that acquire U.S. exchange listings through a reverse merger (RM). Specifically, this study focuses on Chinese companies which have accounted for over 40% of all RMs taking place on U.S. exchanges. Examination of these firms' characteristics and daily returns from 2004-2010 reveals Chinese firms that engage in RMs are private firms not listed in China, motivated by the ability to offer equity-based compensation (which has been illegal in China), …

Two Essays On Executive Pay And Firm Performance, Thuong Quang Nguyen

Theses and Dissertations in Business Administration

Two essays of this dissertation study the relationship between executive compensation and firm performance. These essays analyze both compensation level and compensation structure, and focus not only on CEO compensation but also on Top Management Team (TMT) compensation as well as Chief Financial Officer (CFO) compensation. Methodologically, these essays use different regression techniques to explore the nature of time series over cross sections of executive compensation data in order to find a reliable relationship between executive compensation and firm performance.

The first essay investigates the TMT compensation - firm performance relationship and finds that the compensation dispersion among TMT members …

Risk Allocation Across The Enterprise: Evidence From The Insurance Industry, Michael K. Mcshane, Tao Zhang, Larry A. Cox

Finance Faculty Publications

Financial researchers initially regarded hedging activities as a means to reduce total firm risk, which often is defined in terms of cash flow volatility. More recently, researchers have focused on the strategic allocation of risk. Direct tests of risk allocation have been problematic, however, because hedging data are rarely available and, when available, are specific only to a single operation of the firm, such as bank lending. In this study, we exploit unique data from the insurance industry that allows us to observe hedging proxies for both investment and insurance underwriting risks and test the risk allocation hypothesis developed in …

Creditor Rights And R&D Expenditures, Bruce Seifert, Halit Gonenc

Finance Faculty Publications

Manuscript Type: Empirical

Research Question?Issue: This study examines the impact of creditor rights on R&D intensity (R&D/total assets). We argue that managers in countries with strong creditor rights have more incentives to reduce cash flow risk and therefore limit expenditures on R&D more than managers located in countries with weak creditor rights.

Research Findings/Insights: Using a sample of over 21,000 firms from 41 countries, our research is one of the first to document that strong creditor rights are indeed associated with reduced R&D intensity. This negative relationship is observed in market‐based countries, but not in bank‐based countries. Moreover, the results …

Club Good Influence On Residential Transaction Prices, J. Andrew Hansz, Darren K. Hayunga

Finance Faculty Publications

We examine residential real estate transactions in a market where an additional property right to a club good may have an influence on prices. We find that for single-family property, the market capitalizes approximately 50% of the full value of the extra property right. For condominiums, the amount reduces to approximately 25%. While these amounts are positive, they clearly are significantly lower than full value.

Risk Allocation Across The Enterprise: Evidence From The Insurance Industry, Michael K. Mcshane, Tao Zhang, Larry A. Cox

Finance Faculty Publications

Financial researchers initially regarded hedging activities as a means to reduce total firm risk, which often is defined in terms of cash flow volatility. More recently, researchers have focused on the strategic allocation of risk. Direct tests of risk allocation have been problematic, however, because hedging data are rarely available and, when available, are specific only to a single operation of the firm, such as bank lending. In this study, we exploit unique data from the insurance industry that allows us to observe hedging proxies for both investment and insurance underwriting risks and test the risk allocation hypothesis developed in …

How Effective Is The International Fuel Tax Agreement As A Multistate Tax Administration Model? A View From The States, Juita-Elena Yusuf, Lenahan O'Connell

School of Public Service Faculty Publications

The International Fuel Tax Agreement (IFTA) was established to reduce the complexities of reporting, allocating, and collecting diesel fuel taxes from interstate commercial carriers operating in multiple jurisdictions. This paper examines IFTA's effectiveness as a multistate tax administration model from the perspective of the states. We identify three criteria of effectiveness and use a survey of IFTA officials in the member states and provinces as well as additional data provided by IFTA, Inc to assess IFTA's effectiveness. We conclude that (1) IFTA promotes inter-jurisdictional cooperation and revenue transfers; (2) carriers do not locate disproportionately in low tax jurisdictions; and (3) …

Trading Volume And Overconfidence With Differential Information And Heterogeneous Investors, Kenneth Yung, Qian Sun, Hamid Rahman

Finance Faculty Publications

This paper adds to the overconfidence literature by specifically considering the differential nature of information and its use by different classes of investors. The literature suggests that overconfidence is a major determinant of stock trading volume. We postulate that private investors are more prone to overconfidence bias as compared to institutional investors. This implies that turnover in firms with low institutional ownership will be driven more by private information while turnover in firms with high institutional ownership will be driven more by public information. This is the essence of the two hypotheses we explore. We find strong evidence in support …

Two Essays On Behavioral Finance, Quang Viet Vu

Theses and Dissertations in Business Administration

The first essay is entitled: "CEO Overconfidence, Corporate Governance Practices and Firm Innovation". In this study, I examine if overconfident CEOs overinvest or underinvest in innovative projects. I also investigate if overconfident CEOs pursue innovative projects to benefit personal interests or the interest of shareholders. By focusing on the effect of corporate governance in monitoring the behavior of overconfident CEOs, my results show that there is a negative relation between CEO overconfidence and firm innovation among firms with poor governance. In these cases, the finding is consistent with the implication that overconfident CEO are entrenched and invest inadequately …

Effective Popular Financial Reports: The Citizen Perspective, Juita-Elena (Wie) Yusuf, Meagan M. Jordan

School of Public Service Faculty Publications

The article presents a study that investigates the views of citizens on the efficiency of financial reports in the U.S. Researchers did a survey to discern the perspectives of respondents about the effectiveness of the said reports in informing other individuals about government finances. Moreover, results reveal that 80% of respondents believed that the reports are effective. [Associates Programs Source, EbscoHost database]

Three Essays On Individual Currency Traders, Boris Sebastian Abbey

Theses and Dissertations in Business Administration

This dissertation examines the performance, skill and trading characteristics of individual currency traders by examining daily returns and transaction data for 428 individual currency traders from 2005 to 2009. Additionally, we examine whether technical trading strategies are profitable for individual currency traders.

The first essay examines the performance and trading characteristics of individual currency traders. Examination of daily returns for 428 accounts from March 2004 to September 2009 shows traders are able to earn positive excess returns, even after accounting for transaction costs. Additionally, the results reveal that day traders not only trade more frequently than non-day traders, but also …