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 Department: Department of Finance, Insurance, Real Estate and Law
 Degree Level: Doctoral
An Analysis of Preferred Equity Redemption Cumulative Stock

An Analysis of Preferred Equity Redemption Cumulative Stock

Date: May 1994
Creator: Pu, Hansong
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 market reactions to Percs offerings. Test results reveal that the market reactions to the announcement of Percs offering and the actual issuance are both significantly negative. Compared to the market reaction on common stock offering announcement, the market reaction on Percs offering announcement is weaker. The overpricing of Percs and the weaker reaction of the market suggest that Percs may have advantages in transaction costs, taxes and some corporate finance issues.
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Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market

Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market

Date: May 1988
Creator: Jordan-Wagner, James M. (James Michael)
Description: Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market. The excess returns were also examined using stochastic dominance. Arbitrage pricing theory never dominated the capital asset pricing model using first-order criteria, but consistently dominated using second-order criteria. The results were discussed in terms of the implications for investors and portfolio managers.
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Corporate Sale-and-Leaseback Transactions: An Examination of Corporate Incentives, Wealth Effects and Dealer Spreads

Corporate Sale-and-Leaseback Transactions: An Examination of Corporate Incentives, Wealth Effects and Dealer Spreads

Date: August 1993
Creator: Gordon, Bruce L. (Bruce Lee)
Description: There is a limited amount of research dealing with the wealth effects of sale-and-leaseback transactions, but previous research has focused predominantly on the tax effects of these transactions. The results of these studies have often been in conflict with one another. This dissertation shows that tax effects do play a role in determining the wealth effect of sale-and-leasebacks on stockholders, but there exists a framework of finance research that suggests several other factors could play a determining role as well.
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Determinants of Outbound Cross-border Mergers and Acquisitions by Emerging Asian Acquirers

Determinants of Outbound Cross-border Mergers and Acquisitions by Emerging Asian Acquirers

Date: August 2014
Creator: Punurai, Somrat
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 those countries where their targets are located. Furthermore, the negative impact of an international double tax burden is significantly larger than that found in previous studies. While country governance differences and geographical and cultural differences are important determinants of international M&As, relative valuation effects are muted. Coefficients of these determinants vary substantially, depending on whether targets are located in developing or advanced nations. Also, determinants differ considerably between active and non-active players in cross-border M&As. Moreover, comparisons of empirical models illustrate that estimating a non-linear model and taking into account both the bounded nature and non-normal distributions of fractional response variables lead to different inferences from those drawn from a linear model estimated by the ordinary least squares method. Overall, emerging Asian acquirers approach the deals differently from patterns documented in developed markets. So, ...
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The Effects of Stock Delistings on Firm Value, Risk, Market Liquidity and Market Integration: With Evidence on Wealth Effects from the Stock Exchanges of Malaysia and Singapore, Using GARCH

The Effects of Stock Delistings on Firm Value, Risk, Market Liquidity and Market Integration: With Evidence on Wealth Effects from the Stock Exchanges of Malaysia and Singapore, Using GARCH

Date: May 1996
Creator: Meera, Ahamed Kameel
Description: This study examines the effects of delisting on firm value, risk and market liquidity. In a world where markets are becoming increasingly integrated, delistings may prove counter productive. We use the unique event, free from company specifics, that occurred on January 2, 1990 in the stock exchanges of Singapore and Malaysia to test for the above effects. On that day, dual listed companies were required to delist from the foreign stock exchange. We also use this event to test if the Singapore and Malaysia markets are globally integrated. Since financial data is found to show persistence in volatility, we model the return generating process in a generalized autoregressive conditionally heteroskedastic (GARCH) framework that takes into consideration changing volatility. For comparison purposes, OLS and Time-Deformation models are included. The study found delistings to decrease firm value, the size of which is related to how actively the stocks were previously traded on the foreign stock exchange. Risk levels increased following delistings. Nevertheless, thinly traded stocks showed significant changes in neither firm value nor riskiness. Further evidence of new listings to increase firm value was noted. Consistent with the political motive hypothesis, delisted stocks showed an increase in post-event volume, but however, lost ...
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The Information Content of Pension Fund Asset Reversion

The Information Content of Pension Fund Asset Reversion

Date: August 1992
Creator: Shetty, Shekar T.
Description: Prior studies on the impact of the termination of overfunded defined benefit pension plans on shareholders' wealth have produced conflicting findings. The first study on the stock market reaction to pension plan termination was conducted by Alderson and Chen (1986); this study claimed that shareholders realize significant positive abnormal returns around the termination announcement date. A more recent study, by Moore and Pruitt (1990), disclaimed the findings of Alderson and Chen. Reexamination of these two studies with additional evidence and the use of the appropriate announcement date suggests that termination of pension plans is associated with significant wealth gain to shareholders. This study also analyzes samples from periods prior to and after the imposition in 1986 of a 10 percent excise tax on recaptured excess pension assets. The empirical results suggest that shareholders experience significant positive wealth effects for the pre-tax (1980-85) period and no wealth effects for the post-tax (1986-88) period. The primary purpose of this study is to determine the impact of stock market reaction upon shareholders' wealth under the partial anticipation hypothesis. The pre-tax sample is analyzed by isolating the expected terminators using the multiple discriminant analysis model. This study finds significant positive abnormal returns only for ...
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Locational Determinants of Real Estate Valuation: an Analysis of Spatial Autocorrelation in the Hedonic Pricing of Real Estate

Locational Determinants of Real Estate Valuation: an Analysis of Spatial Autocorrelation in the Hedonic Pricing of Real Estate

Date: May 1992
Creator: Shampton, John F.
Description: Recent studies of the valuation of real estate have concentrated on the use of hedonic pricing techniques in which the implicit prices of the component characteristics of an asset are inferred from the observed sale price using regression analysis. All of these studies include as explanatory variables one or more locational factors, such as distance to the central business district, as proxies for the effect that location has on the utility of land. In this research, the explicit consideration of the location of real estate in terms of the geographic or Cartesian coordinates (spatial attributes) of observed sales is shown to be a potential substitute for such proxies, either wholly or in part. Such use of spatial attributes could improve the usefulness of the hedonic methodology while at the same time significantly reducing cost and eliminating sources of error.
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Predictability of Credit Watch Placements and the Distribution of Wealth Effects Across the Trigger Event, Placement and Removal Dates

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

Date: May 1996
Creator: Hudson, William C. (William Carl)
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-sample firms and 65.83% of the out of sample firms. The second essay examines whether the stock market reacts more strongly to trigger events which cause Credit Watch placements than to the actual placement. Significantly larger negative abnormal return are found around the trigger event than the placement. No evidence is found for the differential reaction evolving over time. The third essay examines firm specific and economy-wide factors which may be related to the strength of the abnormal stock return around the Credit Watch removal date. The removal return is found to be positively related to the number of trading days a firm remains on Credit Watch, negatively related to the number of updates regarding the firm released by ...
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The Reasons for the Divergence of IPO Lockup Agreements

The Reasons for the Divergence of IPO Lockup Agreements

Date: August 2010
Creator: Gao, Fei
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 investigates are the signaling hypothesis based on information asymmetry, and the commitment hypothesis based on agency theory. This study uses methods that have not been applied by previous studies in the literature relating to IPO lockups. First, I directly use IPO firms operating performance as a proxy for firm quality. The results show neither a negative nor a strong positive relationship between lockup length and firm operating performance. Thus, based on operating performance, the evidence does not support the agency hypothesis while showing weak support for the signaling hypothesis. I then examine the long-run returns for IPO firms with different lockup lengths. I find that firms with short lockup lengths have much better long-run returns than firms with long lockup ...
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Risk Management And Market Efficiency On The Midwest Independent System Operator Electricity Exchange.

Risk Management And Market Efficiency On The Midwest Independent System Operator Electricity Exchange.

Date: December 2011
Creator: Jones, Kevin
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 supply offers on electricity to be delivered at a specified hour the following day. The equilibrium price, known as the locational marginal price (LMP), is determined by MISO after receiving sale offers and purchase bids from market participants. MISO also coordinates a spot market, which is known as the real-time (RT) market. Traders in the real-time market must submit bids and offers by thirty minutes prior to the hour for which the trade will be executed. After receiving purchase and sale offers for a given hour in the real time market, MISO then determines the LMP for that particular hour. The existence of the DA and RT markets allows producers and retailers to hedge against the large fluctuations that are common in electricity prices. Hedge ratios on the MISO ...
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