Three Essays In Finance
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Three Essays In Finance
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Author : Edward Glidewell
language : en
Publisher:
Release Date : 2004
Three Essays In Finance written by Edward Glidewell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Three Essays In Finance
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Author : Ghada Gaber Ismail
language : en
Publisher:
Release Date : 2017
Three Essays In Finance written by Ghada Gaber Ismail and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This dissertation research comprises three essays in finance. The first and second essays study the effect of religion on corporate decision making and financial reporting. The first essay shows that contingent payment in mergers and acquisitions not only violates Islamic law but also results in several agency issues by creating an incentive for managers to participate in long-term value-destroying behavior during earnout periods. Our empirical results, using regression as well as difference-in-difference estimation, show that target managers significantly manage earnings upward by cutting discretionary expenses during earnout periods. As compared to a sample of matched non-earnout M&A, acquisitions with earnout clauses are followed by significantly lower long-term abnormal returns. Our arguments and results have significant economic and legal consequences on cross-border M&A and could be used to facilitate worldwide economic integration. The second essay argues that financial statement analytical tools could violate several commands of the Islamic law. Specifically, traditional liquidity ratios imply undervaluation, uncertainty, and interest bearing aspects that are strictly prohibited in the Islamic law. We propose an Islamic-compliant measure of corporate liquidity. In order to validate our proposed ratio as a measure of corporate liquidity, we incorporate it in the traditional corporate bankruptcy prediction models. Our measure significantly improves the accuracy of the corporate bankruptcy prediction models of Altman (1968) Z-score and Ohlson (1980). The third essay conjectures that strong brands reduce the propensity of firms to engage in activities that lead to earnings restatements and accounting fraud. Our empirical results show that firms with valuable brands are less likely to announce (1) accounting restatements, (2) income-decreasing restatements, and (3) restatements that involve an SEC investigation. Our findings establish another channel through which valuable brands enhance firm value.
Three Essays On Empirical Finance
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Author : Tse-Chun Lin
language : en
Publisher: Rozenberg Publishers
Release Date : 2009
Three Essays On Empirical Finance written by Tse-Chun Lin and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Three Essays On Financial Relationships In Credit Markets With Adverse Selection
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Author : Charl Kengchon
language : en
Publisher:
Release Date : 1989
Three Essays On Financial Relationships In Credit Markets With Adverse Selection written by Charl Kengchon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
Three Essays On Financial Innovation
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Author : Peter Tufano
language : en
Publisher:
Release Date : 1993
Three Essays On Financial Innovation written by Peter Tufano and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Finance categories.
Three Essays In Finance
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Author : Ziwei Zhao (Researcher in economics)
language : en
Publisher:
Release Date : 2020
Three Essays In Finance written by Ziwei Zhao (Researcher in economics) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with Exchange traded funds categories.
The three essays of my dissertation are in the asset pricing area. The first essay is on the topic of how the popularity of ETFs affects active mutual funds. The second essay is about individuals' risk preferences and how early childhood experience can shape one's risk preference. The third essay is on whether active managers' education can affect their skills. Recently, the media frequently quotes active managers who claim that ETFs impede their ability of generating prots. They argue that ETFs are draining liquidity from the market and making it harder for them to generate alphas. However, a recent paper by Ben-David et al.(2018) argues that ETFs generate new inefficiencies into the underlying stocks in ETFs. Thus the popularity of ETFs should provide more opportunities for active managers to generate alpha. My first essay find that the popularity of ETFs prompts active mutual fund managers to conduct more informed trades that generate alphas. Specifically, the trades of skilled active managers better predict the future performance of stocks after the passive ownership in those stocks increase. This paper directly addresses the question of whether ETF ownership affects market efficiency by considering new inefficiencies caused by passive ETFs and whether those inefficiencies create arbitrage opportunities for active mutual funds. The second essay (co-authored) studies how our early childhood interactions with parents shape our risk preferences. Specifically, recent literature argues that only the more recent macro-economic experiences matters in shaping our risk-taking behaviors (Malmendier and Nagel, 2011), which indicates that one's earlier childhood experience is not important. Using an IV setting, we find that parents' risk-taking positively affects children's risk-taking. More importantly, exploiting a finding that parents spend more quality time with their first child, we find that this effect we identified comes mainly from one's childhood interaction with her parents, confirming a nurturing channel. This parental effect doesn't fade away with time/when children move away from parents. The third essay looks at how a mutual fund manager's early personal experience, education, affects her skills to generate performance. By showing active mutual fund managers perform better in industries that are related to their education major, this paper provides evidence that active managers have skills in those industries that they have expertise in. The first essay focuses on the institutional investors; the second essay focuses on individual investors and their early experience; while the third essay links the first two by looking at one's early experience and how it affects institutional investors such as active fund managers.
Three Essays In Finance
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Author : Haimanot Kassa
language : en
Publisher:
Release Date : 2013
Three Essays In Finance written by Haimanot Kassa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This dissertation consists of three loosely related essays. In Essay I, I study the relationship between firm specific risk and return. In Essay II, I study the managerial and investor short-termism. And in Essay III, I study investors heterogeneous preference for skewness and its effect on the idiosyncratic volatility puzzle. Essay I: A spurious positive relation between EGARCH estimates of expected month t idiosyncratic volatility and month t stock returns arises when the month t return is included in estimation of model parameters. We illustrate via simulations that this look-ahead bias is problematic for empirically observed degrees of stock return skewness and typical monthly return time series lengths. Moreover, the empirical idiosyncratic risk-return relation becomes negligible when expected month t idiosyncratic volatility is estimated using returns only up to month t - 1. Essay II: The paper considers a model in which (1) managers allocate effort to both short and long-term projects, and (2) there is feedback between the managerial incentive contract and the number of speculators collecting information on each type of project. More weight placed on near-term price results in more speculation based on information about the short-term project, which induces further increases in the weight placed on near-term price. This feedback effect can result in short-term speculation crowding out the collection of long-term information, which in turn results in the withdrawal of incentives aimed at inducing effort in more profitable long-term projects. The paper shows that the equilibrium that obtains depends upon adjustment costs and initial conditions and is, in general, not efficient. Such outcomes are consistent with concerns about managerial and investor short-termism recently expressed by policy makers and market participants (e.g., the Aspen Institute). The paper considers the efficacy of various corporate and public policy remedies. Essay III: Consistent with models that incorporate investors heterogeneous preference for skewness, I show that (1) high skewness stocks are primarily held by investors with the strongest affinity for lottery-like payoff, (2) the negative skewness-return relation is the strongest for those stocks primarily held by agents with the strongest affinity for lottery-like payoff, (3) the idiosyncratic volatility-return relation is the strongest for those stocks held by agents with the strongest affinity for lottery-like payoff, and (4) investors heterogeneous preference for skewness help explain the idiosyncratic volatility puzzle. Taken together, the results provide evidence for the importance of investors heterogeneous preference for skewness in asset pricing and its implication on the idiosyncratic volatility puzzle.
Intervention Interest Rates And Charts
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-11-01
Intervention Interest Rates And Charts written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-11-01 with Business & Economics categories.
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Three Essays In Corporate Finance
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Author : Hoontaek Seo
language : en
Publisher:
Release Date : 2009
Three Essays In Corporate Finance written by Hoontaek Seo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Boards of directors categories.
Three Essays In Finance
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Author : Vivek Sharma
language : en
Publisher:
Release Date : 2018
Three Essays In Finance written by Vivek Sharma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This dissertation research comprises three essays in finance. The first essay shows how dynamic institutional trading constraints related to capital, diversification, and short- selling asymmetrically affect the incorporation of new information as reflected in the Permanent price impact of their trades. The sign of the permanent price impact asymmetry between institutional buys versus sells is positive at the initial stage of a price run-up and reverses due to changing constraints with a prolonged price run-up in a stock. Idiosyncratic volatility, analyst forecast dispersion, trading intensity, price dispersion, and bullish market conditions further sharpen the initial asymmetry, as well as its reversal after a price run-up. The second essay we provide a new explanation for the post-earnings announcement drift (PEAD). We hypothesize that the PEAD results from information production and the drift observed is a movement towards the changes in expectations and not an under-reaction or delayed response to the earnings announcement. We create a new measure that captures the changes in expectations over and above the earnings surprise. Our proxy is based on annual EPS forecasts by equity research analysts and takes into consideration both the responsiveness and the magnitude of the net changes in EPS forecasts. A long-short trading strategy based on portfolios formed using our new measure generates higher returns compared to portfolios formed based on the earnings surprise measure. Most importantly, the earnings surprise based portfolio rankings lose its significance in explaining the PEAD when considered together with our new measure based portfolio ranking. In the third essay, we study trading by institutional investors around delayed disclosures. A disclosure is said to be delayed if there is a gap between the event date and the actual announcement of the event. We show that connected institutional trading can predict the information contained in these events, prior to it being disclosed.