Finance Commons^™

Does Short-Termism Pay? National Short-Termism, Investment, Innovation, And Equity Returns, Andrew H. Cohen

Theses and Dissertations in Business Administration

We examine whether national short-termism, inferred from corporate language, predicts future real activity, equity returns, risk, and risk-adjusted performance. Using large-scale textual analysis of issuer-linked disclosures and earnings transcripts from the largest firms in twenty major equity markets, we construct country-quarter and annual Short-Termism Scores (STS) capturing the relative emphasis on short- versus long-horizon language.

Higher short-termism predicts lower subsequent gross fixed capital formation, lower research and development intensity, and lower multi-year equity index returns across horizons of up to sixteen quarters. In addition, higher short-termism is associated with greater future market volatility and lower Sharpe ratios, indicating a deterioration …

Do Major Customers Affect Firms' Environmental, Social And Governance Activities?, Feng Dong, John A. Doukas, Stephanie Walton, Rongyao Gloria Zhang, Yiyang Zhang

Finance Faculty Publications

We examine the role of major customers in shaping firms' environmental, social and governance (ESG) practices. We find that firms with major customer relationships undertake fewer ESG activities compared to those without such ties. The association is attenuated when institutional ownership is high, firms are less diversified, customers exhibit greater bankruptcy risk and lower switching costs and during periods of elevated equity market sentiment. Taken together, our findings highlight that reliance on a concentrated customer base can weaken firms’ incentives to engage in ESG practices, with important implications for supply chain sustainability.

International Evidence On The Relationship Between Financial Literacy And Corporate Cash Holdings, Kenneth Yung, Reza Kahibavil, Su Li, Arian Amidi

Finance Faculty Publications

This study is the first investigation of the relationship between corporate cash holdings and financial literacy (FL). We find that a one‐standard‐deviation increase in FL is associated with an 8%–27% reduction in corporate cash holdings, depending on the measure of FL used. Moreover, higher FL reduces the market value of excess cash, indicating that financially literate environments discourage value‐destroying cash accumulation. The results remain robust across alternative definitions of FL and cash holdings, estimation methods, and country subsamples. We further rule out the influence of endogeneity, refinancing risk, and variation in cash needs. Additional analyses identify agency costs as the …

How Operational And Disclosure Complexity Shapes The Conglomerate Discount, Feng Dong, John A. Doukas, Son Wilson, Rongyao Zhang

Finance Faculty Publications

This study examines how firm operational diversification and disclosure complexity jointly drive the conglomerate discount. We disentangle disclosure complexity, which is determined by managerially influenced financial transparency, from accounting complexity, which is a direct informational consequence of operational complexity. We find that operational diversification is consistently associated with significant conglomerate discounts, while disclosure complexity independently reduces firm value and amplifies the magnitude of the discount when diversification is high. These findings suggest that transparent disclosures can mitigate valuation costs, offering important implications for managers seeking effective communication, investors assessing complex firms, and policymakers aiming to enhance disclosure quality and market …

Ceo-Employee Pay Ratio Disclosure And Dividend Policy, Rajib Chowdhury, John A. Doukas

Finance Faculty Publications

We examine whether and how the magnitude of the CEO pay ratio affects dividend policy in the context of inequality-averse investors. Our results demonstrate a positive association between the two and remain robust to endogeneity concerns. We find that the CEO pay ratios positively affect dividends irrespective of whether CEO compensation contracts motivate risk-averse or risk-taking policy choices. This non-diverse effect on dividend policy across CEOs with different pay structures contradicts previous studies and highlights the wealth effect resulting from the SEC mandate. Further analyses reveal a negative effect of the pay ratio on cash holdings and investment inefficiency.

Application Paths Of Semantic Modeling In Financial Fraud Detection And Risk Identification, Victor P. Gauthier, Daniel S. Wu

Computer Science Faculty Publications

Financial fraud and risk pose significant threats to economic stability and individual well-being. Traditional detection methods often struggle to keep pace with increasingly sophisticated fraudulent schemes. Semantic modeling, which focuses on understanding the meaning and relationships within data, offers a promising avenue for enhancing fraud detection and risk identification. This review paper explores the application paths of semantic modeling in this domain. We begin with a historical overview of fraud detection techniques, highlighting the limitations of traditional approaches. Subsequently, we delve into core themes, including knowledge graph-based fraud detection and semantic rule-based inference for risk assessment. We then compare and …

Are Csr Incidents Truly Bad News?, Chen Chen, John A. Doukas, Rongyao Gloria Zhang

Finance Faculty Publications

We revisit whether disclosures of negative Corporate Social Responsibility (CSR) incidents adversely affect firms' stock prices. While univariate tests reveal significant negative abnormal returns around incident announcements, the effect disappears once firm characteristics, industry, and time‐fixed effects are controlled for. We find no robust evidence that CSR incidents or firms' Environmental, Social, and Governance (ESG) commitments influence stock price reactions on the event day or across broader windows. These results suggest that previously documented negative market responses may be attributable to endogeneity. Our baseline results are consistent with informed trading behavior: short‐sellers do not increase activity in incident‐related stocks relative …

Renewable Energy Stocks' Performance And Climate Risk: An Empirical Analysis, Lingyu Li, Xianrong Zheng, Shuxi Wang

Information Technology & Decision Sciences Faculty Publications

This article studies the relationship between renewable energy stocks’ performance and climate risk. It shows that publicly held renewable energy stocks underperform as a reaction to climate policy information releases, modeled by feed-in tariff (FIT) legislation announcements. The study examined stock price behaviors 2 days before and 30 days after FIT policy announcements. The stock sample used in the study has 3702 firm-day combinations, which included 180 cleantech firms and 32 events from 2007 to 2017. Based on the residual analysis of the sample’s abnormal return, it indicated that the FIT announcements are associated with significant declines in returns. The …

A Stock Optimization Problem In Finance: Understanding Financial And Economic Indicators Through Analytical Predictive Modeling, Aditya Chakraborty, Chris Tsokos

Epidemiology, Biostatistics, & Environmental Health Faculty Publications

Given the significant impact of healthcare stock changes on the global economy, including its GDP and other financial factors, we endeavored to create an analytical prediction model for forecasting the annual percentage change of these stocks. Our model, which is nonlinear, incorporates five key discoveries. We focused on predicting the average weekly closing price (pWCP) of AbbVie Inc. (North Chicago, IL, USA)'s healthcare stock (ABBV) from 1 August 2017 to 31 December 2019. The stock was chosen based on the low beta risk, high dividend yield, and high yearly percentage return criteria. Alongside predicting the weekly stock price, our model …

Two Essays On Industry Tournament Incentives, Sarah Almisher

Theses and Dissertations in Business Administration

A large body of literature has developed on the disparities in compensation among chief executive officers. Financial media has highlighted the fact that CEOs in the United States receive excessive pay and that the gap among executive compensation is soaring. High compensation creates incentives for CEOs to take higher risk in firm policies to land a more attractive position managing another firm and attaining higher pay which is considered the ultimate prize (Kale, Reis, and Venkateswaran 2009; Coles, Daniel, and Naveen 2006). This creates a tournament in the managerial labor market. We define this tournament as the pay differential between …

When Does Csr Payoff?, John A. Doukas, Rongyao Zhang

Finance Faculty Publications

We investigate whether firms engaging in corporate social responsibility (CSR) can preserve firm value during normal and unprecedented exogenous adverse events. Our evidence shows, in regular times, a negative relation between CSR engagement and firm value, but under adverse economic conditions, CSR protects firm value by decreasing firm risks. We also find that firms with high managerial attributes engage in greater CSR activities that benefit shareholders in both normal and aberrant financial times. Despite the controversy surrounding CSR, our evidence points out that CSR can be viewed as a set of intangible assets that can improve firm value across good …

Electrical Equipment Industry Cluster, Pragati Gautam

2022 REYES Proceedings

The growing collaboration between two or more industries in a specific region in which they work in a symbiotic relationship, providing benefits to each other and contributing in the overall development of the region, is what is popularly known as business clusters. Even though this concept is commonly known and implemented in the West, South Asian economies are unfamiliar with the advantages of this unique business strategy. There are, undeniably, many potential business clusters in these developing countries, which if tapped efficiently, could result into an industrial boom.

This research focuses on investigating the existence of a business cluster in …

Why Do Nonprofits Fail? A Quantitative Study Of Form 990 Information In The Years Preceding Closure, Mackenzie Arbogust

School of Public Service Theses & Dissertations

Nonprofit organizations are an important piece of the community and economy in the United States. Each year, nonprofit organizations close their doors and stop providing services to the community. While there are large amounts of literature around financial health and vulnerability and governance best practices of nonprofit organizations, few of the studies have ever looked specifically at failed organizations. In general, the end stages of the life cycle of nonprofit organizations have not been well studied and are not well understood. This study draws on resource dependency theory and institutional theory to identify financial and governance factors that may serve …

Essays On The Equity Risk Premium, Mohamed Mehdi Rahoui

Finance Theses & Dissertations

The equity risk premium (ERP) is an essential component of any asset pricing model both for academics and practitioners alike. Nevertheless, the financial literature does not accord much attention to the ERP estimation issues (Damodaran, 2015). The first chapter of this dissertation gives a summary of the recent literature review on the subject of the ERP. The second chapter explores four of the most commonly cited models in literature for estimating the ERP: the Historical Mean of Realized Returns Model (HMRRM), the Dividend Discount Model (DDM), the Free Cash Flow Model (FCFM), and the Sharpe Ratio Model (SRM). The results …

Two Essays On Investor Emotions And Their Effects In Financial Markets, Jiancheng Shen

Finance Theses & Dissertations

This dissertation provides empirical evidences on media-based investor emotions in predicting stock return, conditional volatility, and stock and bond return comovements.

We first studied the interaction between US media content and the US stock market returns and volatility. We utilize propriety investor sentiment measures developed by Thompson Reuters MarketPsych. We select four measures of investor sentiment that reflect both pessimism and optimism of small investors. Our objective is two-fold. First, we examine the ability of these sentiment measures to predict market returns. For this purpose, we use dynamic Vector Auto-Regressive models. Second, we are interested in exploring the effects of …

Two Essays On Short Selling, Zhaobo Zhu

Finance Theses & Dissertations

This dissertation provides some new evidence that the information contained in short selling is informative about future returns, confirming the role of short sellers in the price discovery process.

The first essay examines the cross-sectional relation between the change in short interest and expected stock returns. NYSE/AMEX stocks with large decreases (increases) in short interest over past medium-term horizon experience significant and positive (negative) abnormal returns. Moreover, the positive abnormal returns are larger in absolute value and are more persistent than negative abnormal returns. The return spread between bottom and top deciles is economically and statistically significant and persistent. The …

The Impacts Of In-State Procurement Preference Policies On The Economy Of South Carolina, Sawsan A. Abutabenjeh

School of Public Service Theses & Dissertations

This research examined the impact of South Carolina's in-state preference policies on the economy of the state. To achieve this purpose, the research sought to answer the question: what are the impacts of implementing the in-state procurement preference policies on the economy of the state of South Carolina? The question was answered by using seven economic indicators: jobs, personal income, real disposable income, output (sales), Gross State Product (GSP), value added and state's population. The data related to the in-state preference policies were collected from the South Carolina Procurement Services Office. The data was then analyzed using the Regional Economic …

Austerity, Abundance, And The Investor States: The Political Economy Of Sovereign Wealth Funds, Manda Shemirani

Graduate Program in International Studies Theses & Dissertations

Sovereign Wealth Funds (SWFs) are not new, but their foreign investment created concerns among many states in 2005 and 2006. Many policy makers argued that the ownership of foreign governments in specific areas may expose their countries to various risks. The concerns in the United States were from a national security perspective, while Europe was more worried about the lack of reciprocity and established standards. The political economy literature lacks a suitable framework for the study of investor states. The mainstream economic view contends that SWFs are a result of balance of payments surpluses and are used for economic smoothing …

Two Essays On Earnings Quality And Corporate Decisions, Qian Sun

Theses and Dissertations in Business Administration

This dissertation investigates how earnings quality as an information risk may facilitate our understanding of the choice of payment method in mergers and acquisitions and the value and the level of corporate cash holdings. In a world of asymmetric information and agency problem, Poor earnings quality implies the inadequate supply of relevant and reliable information for investors to monitor and discipline the behavior of firm managers to act in shareholder and stakeholder's best interest.

This study contributes to the literature in three folds. First, I add to the literature by postulating that earnings quality has a significant impact on the …

An Empirical Analysis Of Macroeconomic And Political Determinants Of Private Investment In Sub-Saharan Africa, Ralph Cann-Tamakloe

School of Public Service Theses & Dissertations

The general macroeconomic and political difficulties experienced by many Sub-Saharan African countries in the late 1980s has led to economic and political reforms to improve private investment performance. It has been estimated that Sub-Saharan African countries needed to boost private investment in gross domestic product some 25% in the 1990s to achieve sustainable growth and development (Pfefferman and Madarassy, 1989). However, private investment performance has fallen short of the estimated 25%, and remained stagnant between 12.4% and 14.1% per annum from 1993 to 2002.

The purpose of this study therefore is to examine the influence of macroeconomic factors and democracy, …

Do Analysts Influence Corporate Financing And Investment?, John A. Doukas, Chansog (Francis) Kim, Christos Pantzalis

Finance Faculty Publications

We examine whether abnormal analyst coverage influences the external financing and investment decisions of the firm. Controlling for self-selection bias in analysts' excessive coverage, we find that firms with high (low) analyst coverage consistently engage in higher (lower) external financing than do their industry peers of similar size. Our evidence also demonstrates that firms with excessive analyst coverage overinvest and realize lower future returns than do firms with low analyst coverage. Our findings are consistent with the hypothesis that analysts favor the coverage of firms that have the potential to engage in profitable investment-banking business.

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …

Financing Strategies Of The R & D Firm, Lawrence Fogelberg, John M, Griffith

Finance Faculty Publications

This paper investigates the financing strategies of the R&D firm. Our hypotheses are based on Cho's (1992) game theory model where the firm develops a product but needs additional financing to bring it to market. The model generates a particularly rich set of hypotheses: 1) to fund the completion of its project and bring its product to market, the firm initiates negotiations with an established firm; 2) the majority of the acquisitions will be partial cash acquisitions through private secondary offerings. Confirming the model's hypotheses, we find that the majority of the acquisitions are partial cash acquisitions by significantly larger …

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 …

Essay I. Intra-Industry Contagion And Competitive Effects Associated With Corporate Liquidation Announcements: Does Shareholder Governance Influence The Results? Essay Ii. Investors' Pricing Of Exchange Rate Risk In U. S. Firms That File For Bankruptcy, J. Terry Ray

Theses and Dissertations in Business Administration

Essay I. Intra-industry contagion and competitive effects associated with corporate liquidation announcements: Does shareholder governance influence the results? This essay extends earlier research by investigating the role shareholder governance may play in the abnormal stock returns of the liquidating firms' competitors. The empirical model used for analyzing the abnormal returns includes variables to capture the influence of: leverage, Tobin's q, the Herfindahl index, Book Equity-to-Market Equity ratio, the level of institutional stock ownership, and the level of stock ownership by insiders.

The conclusion is leverage of the liquidating firm as well as its competitors is the major factor affecting the …

Is Money Growth Still A Useful Indicator Of Inflation?, Levent Camlibel

Economics Theses & Dissertations

This thesis examines the linkages among the monetary aggregates, inflation, and the economy through vector auto regression techniques. Multivariate Granger causality tests, variance decompositions and impulse response functions are utilized to examine causal relationships among key economic variables. In 1987, the Federal open Market Committee (FOMC) decided not to establish a specific target range for M1 growth . Since then, the broader M2 measure of money has been the preeminent variable used in implementing monetary policy; however, the results indicate that M1 can be used in predicting inflation and M2 can be used in predicting real GDP. This suggests that …

A Historical, Theoretical, And Empirical Study Of Ppp Using Traditional And Alternative Methodologies, Kerry E. Clendenon

Economics Theses & Dissertations

No abstract provided.

The Truncated Cauchy Distribution: Estimation Of Parameters And Application To Stock Returns, Paul G. Staneski

Mathematics & Statistics Theses & Dissertations

The problem addressed in this dissertation is the existence and estimation of the parameters of a truncated Cauchy distribution. It is known that when a number of distributions with infinite support are truncated to a finite interval that the maximum likelihood estimator of the scale parameter fails to exist with positive probability. In particular, necessary and sufficient conditions which give rise to instances of non-existence have been found for the exponential (Deemer and Votaw (1955)), gamma (Broeder (1955), Hegde and Dahiya (1989)), Weibull (Mittal and Dahiya (1989)) and normal distribution (Barndorff-Nielsen (1978), Mittal and Dahiya (1987), Hegde and Dahiya (1989)). …

Core Size, Pricing, And Cost Structure, William K. Edwards

Economics Theses & Dissertations

This thesis presents a proof of an inverse limit theorem of the core of an economy. The implication of the theorem is that a larger core can be obtained by the formation of coalitions. A large core contains multiple Pareto optimal allocations from which society may select in order to maximize its welfare. Furthermore, this paper places an emphasis on pricing schemes that guarantee a core allocation under increasing returns to scale. Two pricing models are introduced that guarantee a non-empty core under increasing returns to scale.

Conservation According To The Pure Theory Of Exhaustible Resources, George Lymbouris

Economics Theses & Dissertations

The objective of this thesis is to develop a theory for defining optimal conservation and applying definition to the prevailing rate of domestic petroleum production. Optimal conservation is defined as action designed to achieve or to maintain, from the point of view of society as a whole, the maximum present value of natural resources (or of a natural resource). The proper "action" is defined according to the pure theory of exhaustible resources. The literature survey is a chronological series of articles concerning this theory.

Through building a model which shows that optimal conservation occurs when the marginal internal rate of …