Search Results

open access

What insight do market participants gain from dividend increases?

Description: This study examines the reactions of market makers and investors to large dividend increases to identify the motives for dividend increases. Uniquely, this study simultaneously tests the signaling and agency abatement motivations as explanations of the impact of dividend increases on stock prices and bid-ask spreads. The agency abatement hypothesis argues that increased dividends constrict management's future behavior, abating the agency problem with shareholders. The signaling hypothesis asser… more
Date: May 2000
Creator: Ellis, R. Barry
Partner: UNT Libraries

Empirical Evidence of Pricing Efficiency in Niche Markets

Description: Unique and proprietary data of the illiquid, one-year non cancelable for three month Bermudan swaps (1Y NC 3M swaps) and one-year non callable for three months Bermudan CDs (1Y NC 3M CDs), provides evidence of market efficiency. The 1Y NC 3M swap and 1Y NC 3M CD markets efficiently reflected unexpected economic information. The 1Y NC 3M swaption premiums also followed the European one-year into three-month (1Y into 3M) swaption volatilities. Swaption premiums were computed by pricing non-optio… more
Access: Restricted to UNT Community Members. Login required if off-campus.
Date: May 2000
Creator: Koch, Sandra Idelle
Partner: UNT Libraries
open access

Internal Capital Market and Capital Misallocation: Evidence from Corporate Spinoffs

Description: This study investigates the importance of reduced capital misallocation in explaining the gains in corporate spinoffs. The capital misallocation hypothesis asserts that the internal capital market of a diversified firm fails to meet the needs of the relatively low growth divisions for less investment and the needs of the relatively high growth divisions for more investment. Higher differences in growth opportunities imply that more capital is misallocated. This study finds that the higher the … more
Date: August 2001
Creator: Warganegara, Dezie L
Partner: UNT Libraries
open access

An Empirical Investigation of Portfolios with Little Idiosyncratic Risk

Description: The objective of this study is to answer the following research question: How large is a diversified portfolio? Although previous work is abundant, very little progress has been made in answering this question since the seminal work of Evans and Archer (1968). This study proposes two approaches to address the research question. The first approach is to measure the rate of risk reduction as diversification increases. For the first approach, I identify two kinds of risks: (1) risk that portfolio … more
Date: May 2004
Creator: Benjelloun, Hicham
Partner: UNT Libraries
open access

Which version of the equity market timing affects capital structure, perceived mispricing or adverse selection?

Description: Baker and Wurgler (2002) define a new theory of capital structure. In this theory capital structure evolves as the cumulative outcome of past attempts to time the equity market. Baker and Wurgler extend market timing theory to long-term capital structure, but their results do not clearly distinguish between the two versions of market timing: perceived mispricing and adverse selection. The main purpose of this dissertation is to empirically identify the relative importance of these two explanati… more
Date: August 2004
Creator: Chazi, Abdelaziz
Partner: UNT Libraries
open access

Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions

Description: When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy (sell) the ind… more
Date: December 2007
Creator: Lin, Cheng-I Eric
Partner: UNT Libraries
open access

Crude Oil and Crude Oil Derivatives Transactions by Oil and Gas Producers.

Description: This study attempts to resolve two important issues. First, it investigates the diversification benefit of crude oil for equities. Second, it examines whether or not crude oil derivatives transactions by oil and gas producers can change shareholders' wealth. With these two major goals in mind, I study the risk and return profile of crude oil, the value effect of crude oil derivatives transactions, and the systematic risk exposure effect of crude oil derivatives transactions. In contrast with pr… more
Date: December 2007
Creator: Xu, He
Partner: UNT Libraries

Bank Loans as a Financial Discipline: A Direct Agency Cost of Equity Perspective

Description: In a 2004 study, Harvey, Lin and Roper argue that debt makers with a commitment to monitoring can create value for outside shareholders whenever information asymmetry and agency costs are pronounced. I investigate Harvey, Lin and Roper's claim for bank loans by empirically testing the effect of information asymmetry and direct agency costs on the abnormal returns of the borrowers' stock around the announcement of bank loans. I divide my study into two main sections. The first section tests whet… more
Access: Restricted to UNT Community Members. Login required if off-campus.
Date: December 2006
Creator: Hijazi, Bassem
Partner: UNT Libraries

Reconciling capital structure theories in predicting the firm's decisions.

Description: Past literature attempts to resolve the issue of the motivation behind managers' choice of a given capital structure. Despite several decades of intensive research, there is still no consensus about which theory dominates capital structure decisions. The present study empirically investigates the relative importance of two prominent theories of capital structure- the trade-off and the pecking order theories by exploring the conditions under which each theory can explain the financing choices o… more
Access: Restricted to UNT Community Members. Login required if off-campus.
Date: December 2006
Creator: Palkar, Darshana
Partner: UNT Libraries

Empirical Tests of the Signaling and Monitoring Hypotheses for Initial Public Offerings

Description: The research questions investigated are: 1. Are the expected post-issue fractional holdings of the directors and officers, venture capitalists and institutions signals of firm value? 2. Are the expected post-issue fractional holdings of the directors and officers, venture capitalists and institutions signals of underpricing? and 3. Are the directors and officers, venture capitalists and institutions monitors of IPO investments? The signaling theory developed by Grinblatt and Hwang (1989) (GH) a… more
Access: Restricted to the UNT Community Members at a UNT Libraries Location.
Date: May 2006
Creator: Gordon, Sean Anthony Garnet
Partner: UNT Libraries
open access

Institutional ownership and dividend policy: A framework based on tax clientele, information signaling and agency costs.

Description: This study is an empirical examination of a new theory that links dividends to institutional ownership in a framework of both information signaling and agency costs. Under this theory put forth by Allen, Bernardo and Welch in 2000, dividends are paid out to attract tax-favored institutional investors, thereby signaling good firm quality and/or more efficient monitoring. This is based on the premise that institutions are considered sophisticated investors with superior ability and stronger incen… more
Date: August 2008
Creator: Zaghloul Bichara, Lina
Partner: UNT Libraries
open access

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
Partner: UNT Libraries
open access

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
Partner: UNT Libraries
open access

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
Partner: UNT Libraries
open access

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
Partner: UNT Libraries
open access

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
Partner: UNT Libraries
open access

Three Essays on the Effects of Equity Option Introduction

Description: This dissertation is structured as three essays on various aspects of equity option introduction. Topics addressed include the relative predictability of introduction, the relationship between predictability of introduction and the price effect associated with introduction, and a comparison of the price response of optioned versus nonoptioned stocks to changes in dividends. Essay 1 involves use of firm-specific variables in a LOGIT model to allow assignment of a probability of equity option int… more
Date: August 1996
Creator: Ragle, William F.
Partner: UNT Libraries
open access

The Wealth Effect of the Risk-Based Capital Regulation on the Commercial Banking Industry

Description: The purpose of this study is to examine the wealth effect of the Risk-Based Capital (RBC) regulation on the U.S. commercial banking industry. The RBC plan was first proposed in January 1986, and its final form was announced on July 11, 1988. This plan resulted from dissatisfaction with the old capital regulation, which did not account for asset risk and off-balance sheet activities. The present study hypothesizes that the new regulation restricted bank optimal behavior and, therefore, adversely… more
Date: August 1994
Creator: Zoubi, Marwan M. Sharif (Marwan Mohd Sharif)
Partner: UNT Libraries
open access

The Application of Statistical Classification to Business Failure Prediction

Description: Bankruptcy is a costly event. Holders of publicly traded securities can rely on security prices to reflect their risk. Other stakeholders have no such mechanism. Hence, methods for accurately forecasting bankruptcy would be valuable to them. A large body of literature has arisen on bankruptcy forecasting with statistical classification since Beaver (1967) and Altman (1968). Reported total error rates typically are 10%-20%, suggesting that these models reveal information which otherwise is unava… more
Date: December 1994
Creator: Haensly, Paul J.
Partner: UNT Libraries
open access

Three Essays on Real Estate Investment Trusts and Financial Markets

Description: This dissertation is structured as three essays on real estate investment trusts and financial markets. It addresses the financial performance and systematic risk of different REIT types, the information content of REIT bankruptcies, and the effect of recent tax law changes on the REIT industry.
Date: August 1995
Creator: Durr, David W.
Partner: UNT Libraries
open access

A Theory of the Role of Medium of Exchange in Mergers and Acquisitions

Description: An acquisition bid is like any other proposal for risky investment. The difference arises due to additional source of risk arising from two different sources of information asymmetry due to private knowledge held by the bidder and target. We hypothesize that the bidding process evolves in a manner to optimize bidder's investment in the target through a process of joint signalling. Medium of exchange and bid premium are used as the two signal elements simultaneously by the bidder. We develop a m… more
Date: May 1994
Creator: Tiwari, Rajesh Kumar
Partner: UNT Libraries
open access

An Empirical Analysis of Stock Market Anomalies and Spillover Effects: Evidence from the Securities Exchange of Thailand

Description: This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the Ne… more
Date: December 1994
Creator: Sangmanee, Amporn
Partner: UNT Libraries
open access

An Analysis of Preferred Equity Redemption Cumulative Stock

Description: This dissertation examines whether Percs, Preferred Equity Redemption Cumulative Stocks, are properly priced regarding to the relevant securities, such as the underlying common stock, the long-term call option of the stock, and so on. Test results indicate that Percs were overpriced with respect to the equivalent packages composed of the relevant securities. Further tests on arbitrage restrictions show that transaction costs would prevent arbitrage profits. This dissertation also examines the m… more
Date: May 1994
Creator: Pu, Hansong
Partner: UNT Libraries
open access

Predictability of Credit Watch Placements and the Distribution of Wealth Effects Across the Trigger Event, Placement and Removal Dates

Description: Standard and Poor's began publication of Credit Watch in November of 1981 as an early warning list for firms whose debt is under review for a possible rating change. This dissertation is composed of three essays which address various aspects of Credit Watch and the impact on shareholder wealth. The first essay uses a discriminant analysis model to classify the Credit Watch status of firms which engaged in mergers and acquisitions activity in 1991. The model correctly classifies 69.85% of the in… more
Date: May 1996
Creator: Hudson, William C. (William Carl)
Partner: UNT Libraries
Back to Top of Screen