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An Empirical Investigation into the Value of Credit Lines

Description: Access to adequate liquidity to finance future investments is an essential element of financial management. The two main questions that this dissertation attempts to answer are (i) what is the net valuation effect of LoC? and (ii) if LoC create value, what are the sources of this value? To answer these questions, I constructed a sample of 85,232 firm-years spanning from 1993 to 2016, with credit line data obtained from Capital IQ and Bloomberg. I investigated the valuation effects of LoC with a… more
Date: December 2019
Creator: Al-Ghamdi, Saleh A.
open access

Impact of Market State on Momentum Portfolio Risk and Performance: A Risk-Based Explanation

Description: The momentum puzzle, i.e., stocks that have performed better in the past tend to perform better in the future, has been a constant challenge to classic finance theory. Prior research has failed to provide valid risk-based explanations because winner portfolios do not exhibit higher risk characteristics. Without a convincing risk explanation, the persistence of momentum profit is a violation of the efficient market hypothesis. Today, the momentum puzzle remains one of the very few major anomalie… more
Date: December 2019
Creator: Ren, He
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