UNT Theses and Dissertations - 19 Matching Results

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An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis

Description: This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominat… more
Date: May 2015
Creator: Ren, Peter
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Determinants of Outbound Cross-border Mergers and Acquisitions by Emerging Asian Acquirers

Description: This dissertation identifies key determinants of outbound cross-border mergers and acquisitions (M&As) by emerging Asian acquirers during 2001-2012. Using a zero-inflated model that takes into account different mechanisms governing country pairs that never engage in cross-border M&As and country pairs that actively participate in cross-border M&As, I uncover unique patterns for emerging Asian acquirers. Emerging Asian acquirers originate from countries with lower corporate tax rates than thos… more
Date: August 2014
Creator: Punurai, Somrat
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Does the Method of Financing Stock Repurchases Matter? Examining the Financing of Share Buybacks and Its Effect on Future Firm Investments and Value

Description: Recent increases in stock repurchases among U.S. corporations coupled with a historically low cost of debt since the Global Financial Crisis has created media speculation that firms in recent years are paying for their expanding share buyback programs with debt. Repurchasing stock by increasing leverage, instead of using internal funds, implies that managers may speculate on current low interest rate environments at the expense of shareholders. Recent studies find that stock repurchases are ass… more
Date: December 2018
Creator: Peabody, Stephen Drew
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Does Underwriter Size Matter? Only Within the Right Context

Description: The initial matching relationships between underwriters and bonds/issuing firms and the certification quality of underwriters, as determined by changes in the issuing firm’s financial strength post issue, are the two primary research topics in this dissertation. Based on total underwriter syndicate market share, two distinct categories, low market power (LMP) syndicates and high market power (HMP) syndicates were defined. Firm financial strength is examined based on a new factor developed in … more
Date: May 2014
Creator: Kendall, Lynn K.
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Economic Motivation of the Ex-Dividend Day Anomaly: Evidence from an Alternative Tax Environment

Description: Several studies have observed that stocks tend to drop by an amount that is less than the dividend on the ex-dividend day, the so-called ex-dividend day anomaly. However, there still remains a lack of consensus for a single explanation of this anomaly. Different from other studies, this dissertation attempts to answer the primary research question: How can investors make trading profits from the ex-dividend day anomaly and how much can they earn? With this goal, I examine the economic motivatio… more
Date: December 2011
Creator: Anantarak, Sarin
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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The Effect of Stock Splits on Small, Medium, and Large-sized Firms Before and After Decimalization

Description: This study examines the impact of reducing tick size and, in particular decimalization on stock splits. Based on previous studies, this study examines hypotheses in the following three areas: first, market reaction around stock split announcement and ex-dates, second, the effect of tick size on liquidity after stock split ex-dates, and third, the effect of tick size on return volatility after stock split ex-dates. The impact of tick size on market reaction around split announcement and ex-dates… more
Date: December 2013
Creator: Jang, Seon Deog
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Federal Funds Target Rate Surprise and Equity Duration

Description: In this paper I use an equity duration framework to develop and empirically test the hypothesis that returns on growth stock portfolios react more strongly to Federal Funds target rate change announcements, as compared to value stock portfolios. When I decompose the Federal Funds rate change, I find that portfolio returns are only sensitive to rate shocks, as opposed to the predictable component of rate change. Since growth stocks are expected to have higher duration than value stocks, I furthe… more
Date: May 2013
Creator: Tee, Kienpin
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Information Content of Iron Butterfly Arbitrage Bounds

Description: Informed traders trade options on underlying securities to lower transaction costs and increase financial leverage for price trend and variance strategies. Options markets play a significant role in price discovery by incorporating private information about future prices for an underlying security into option prices. I generate a new model-free volatility measure to calculate the "distance from arbitrage bounds" from minute-by-minute option series for the S&P 500 index and 30 individual underly… more
Date: December 2016
Creator: Kochan, Mucahit
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Innovation Output and the Cost of Funds

Description: Do firms with higher levels of innovation output, measured by patent counts and citations, enjoy lower costs of funds? The process to develop and apply for patents involves valuable resources. Thus, applying for a patent is a credible signal that the underlying invention is valuable. This value is validated to some degree when the patent is granted. In addition, patents contain detailed information about the firm's inventions and provide collateral value as they can be sold and licensed. The n… more
Date: December 2016
Creator: Almomen, Adel Abdulkareem
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Is 100 Percent Debt Optimal? Three Essays on Aggressive Capital Structure and Myth of Negative Book Equity Firms

Description: This dissertation comprises of three related essays in regard of puzzling negative book equity phenomenon among U.S. public firms. In essay 1, I present the evidence that there is an increasing trend of negative book equity firms over the past 50 years, from 0.3% up to over 5% among publicly traded firms in US. In contrast to previous research which generally classify these firms as distressed firms with highly likelihood of bankruptcy, I propose a new method to separate Healthy Negative Book E… more
Date: August 2016
Creator: Luo, Haowen
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio

Description: The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbit… more
Date: December 2015
Creator: AlShammasi, Naji Mohammad
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Market Efficiency, Arbitrage and the NYMEX Crude Oil Futures Market

Description: Since Engle and Granger formulated the concept of cointegration in 1987, the literature has extensively examined the unbiasedness of the commodity futures prices using the cointegration-based technique. Despite intense attention, many of the previous studies suffer from the contradicting empirical results. That is, the cointegration test and the stationarity test on the differential contradict each other. In marked contrast, my dissertation develops the no-arbitrage cost-of-carry model in the N… more
Date: August 2016
Creator: Nishi, Hirofumi
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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The Reasons for the Divergence of IPO Lockup Agreements

Description: Most initial public offerings (IPOs) feature share lockup agreements, which prohibit insiders from selling their shares for a specified period of time following the IPO. However, some IPO firms agree to have a much longer lockup period than other IPO firms, and some are willing to lockup a much larger proportion of shares. Thus, the primary research question for this study is: "What are the reasons for the divergence of the lockup agreements?" The two main hypotheses that this dissertation inve… more
Date: August 2010
Creator: Gao, Fei
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Risk Management And Market Efficiency On The Midwest Independent System Operator Electricity Exchange.

Description: Midwest Independent Transmission System Operator, Inc. (MISO) is a non-profit regional transmission organization (RTO) that oversees electricity production and transmission across thirteen states and one Canadian province. MISO also operates an electronic exchange for buying and selling electricity for each of its five regional hubs. MISO oversees two types of markets. The forward market, which is referred to as the day-ahead (DA) market, allows market participants to place demand bids and su… more
Date: December 2011
Creator: Jones, Kevin
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Significant Alphas in Real Estate Funds

Description: This study provide empirical evidence whether bias in the standard errors of Jensen’s alpha explains conflicting results in the extant literature in real estate funds. Significant alphas in real estate mutual funds and REITs are compared with heteroskedasticity consistent covariance matrix estimators (HC1, HC2 and HC3), Newey-West standard errors, a robust regression tempering the effect of high leverage points, a GARCH model, and a HC3 adjusted wild bootstrap. In the analysis of real estate mu… more
Date: August 2014
Creator: Rogers, Nina
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Single Notch Versus Multi Notch Credit Rating Changes and the Business Cycle

Description: Issuers’ credit ratings change by one or more notches when credit rating agencies provide new ratings. Unique to the literature, I study the influences affecting multi notch versus single notch rating upgrades and downgrades. For Standard & Poors data, I show that rating changes with multiple notches provide more information to the market than single notch rating changes. Consistent with prior literature on the business cycle, I show that investors value good news rating changes (upgrades) more… more
Date: December 2015
Creator: Poudel, Rajeeb
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Three Essays on Insurers’ Performance and Best’s Ratings

Description: This dissertation consists of three essays: essay 1, Underwriting Use of Credit Information and Firm Performance ‐ An Empirical Study of Texas Property‐Liability Insurers, essay 2, Prediction of Ratings in Property‐Liability Industry when The Organizational Form Is Endogenous, and essay 3, A Discussion of Parsimonious Methods Predicting Insurance Companies Ratings. The purpose of the first essay is to investigate the influence of underwriting use of credit information on variation in insurers’ … more
Date: May 2015
Creator: Huang, Jing‐Hui
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Time Series Analysis of Going Private Transactions: Before and after the Sarbanes-Oxley Act

Description: Using 1,473 going private transactions completed between 1985 and 2007, I assess whether the increase in going private transactions that occurred after the passage of the Sarbanes-Oxley Act of 2002 (SOX) was driven by SOX, or whether this phenomenon continues an ongoing historical trend. To examine this issue, I initially used structural break tests and intervention analysis. From the initial techniques, I find support that the passage of SOX increased going private transactions for these categ… more
Date: August 2010
Creator: Kim, Jaehoon
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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Tournament Incentives vs. Equity Incentives of CFOs: The Effect on Firms' Risk Taking and Earnings Management

Description: My dissertation consists of two essays on CFOs' promotion-based tournament incentives and performance-based equity incentives. The first essay examines the joint implications of CFOs' tournament incentives and equity incentives for firms' risk-taking. With the pay gap between the CEO and the CFO as the proxy for the CFO's tournament incentives, I find that the relationship between a firm's risk taking and the CFO's tournament incentives is non-monotonic. In particular, I show that below a certa… more
Date: May 2017
Creator: Han, Feng
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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