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open access

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
open access

How is the Volatility Priced by the Stock Market?

Description: Traditional portfolio theory suggests that, in equilibrium, only the market risk is priced in the cross-section of expected stock returns. However, if the market is not perfect and investors are constantly changing investing behaviors based on their perceptions about future market outlook, then non-traditional risk factors could potentially provide significant power of describing the expected stock returns. This dissertation has two essays on the pricing of volatility, in which the market is no… more
Date: August 2020
Creator: Yu, Huaibing
open access

The Two Sides of Value Premium: Decomposing the Value Premium

Description: Scholars and investors have studied the value premium for several decades. However, the debate over whether risk factors or biased market participants cause the value premium has never been settled. The risk explanation argues that value firms are fundamentally riskier than growth firms. At the same time, the behavioral explanation argues that biased market participants systematically misprice value and growth stocks. In this paper, I use the implied cost of equity capital to capture all risks … more
Date: August 2020
Creator: Xu, Hanzhi
open access

Enterprise Risk Management and Firm Operations: Evidence from Inventory Management

Description: Enterprise Risk Management (ERM) is a program that manages all firm risks in an integrated framework to control and coordinate offsetting risks. In this study, I provide the first archival evidence on how ERM affects firms' day-to-day, routine operations. Using hand-collected ERM adoption data and inventory information, I examine whether firms with an ERM program experience an improvement in their inventory management. My findings suggest that ERM adoption is associated with greater inventory t… more
Date: August 2021
Creator: Shadaei, Mehdi

Determinants of Portfolio Manager Ownership

Description: This paper investigates the determinants of mutual fund portfolio manager ownership and its association with fund performance. Using hand-collected data of 1,420 U.S. equity funds from 32 fund families, we find that variations in fund manager holdings are broadly consistent with optimal contracting theory instead of the result of managers' personal investment consideration. Portfolio manager ownership is positively and significantly correlated with variables that proxy for intensity of agency c… more
This item is restricted from view until June 1, 2024.
Date: May 2022
Creator: Sun, Liang

The Informational Effects of Non-Deal Roadshows

Description: Non-deal roadshows (NDR) are privately held one-on-one meetings between the buy-side of financial institutions and firm management. Using a novel dataset of these meetings, I examine the effects that NDR meetings have on the outcomes of two important corporate events: seasoned equity offerings (SEOs) and mergers and acquisitions (M&As). I also study the potential implications of the information content in NDRs on the behavior of stock returns following earnings announcements, which has been th… more
Date: August 2022
Creator: Howell, Dylan A.

Three Essays on Size Premium Puzzle

Description: Size premium puzzle, also known as the size effect, is one of the most studied anomalies in asset pricing literature. It refers to the observation that, on average, smaller firms have higher risk-adjusted returns than larger firms over a long period of time. While many studies have debated the existence of the size effect, the question of why it exists has become a subject of heated debate. Thus, this dissertation aims to examine if previously overlooked factors can, at least partially, explain… more
This item is restricted from view until September 1, 2027.
Date: August 2022
Creator: Ghimire, Ashish

Corporate Environmental Litigations: Peer Effects and Its Relationship to Firm Environmental, Social and Governance (ESG) Performance

Description: The dissertation analyzes three issues related to corporate environmental performance. In the first essay, I analyze the stock price reactions of the defendant firms and their peer firms to environmental lawsuits. Empirical evidence finds that the defendant and their peer firms experience negative and significant cumulative abnormal returns to the announcement of environmental lawsuits. Additionally, cross-sectional analyses find certain firm characteristics, such as profitability, growth oppor… more
This item is restricted from view until June 1, 2028.
Date: May 2023
Creator: Farjana, Ashupta
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