UNT Theses and Dissertations - 4 Matching Results

Search Results

Note: All results matching your query require you to be a member of the UNT Community (you must be on campus or login with university credentials for access).

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 Equity Firms (HNBEF) from relatively more distressed negative book equity firms. The results show that HNBEF have much higher net income and interest coverage ratio, they survive longer, and pay more dividends. More interestingly, these firms are often actively increase share repurchases and debt issuance. These facts, combined with their strong profitability, indicate that managers of these firms are actively increasing their leverage and choose to be negative book equity firms. To explain the existence of HNBEF, in essay 2, I investigate several possible reasons that may contribute to the extreme leverage of these firms. I find that HNBEF are substantially undervalued by their book assets as stated on the balance sheet. In addition, the value of intangible assets, especially those off-balance sheet intangible assets, is positively related to the probability of becoming HNBEF. Moreover, I find that characteristics of intangible assets and firms also play important role on existence of HNBEF. Specifically, I find that both liquidity and redeployability of intangible assets are positively related with the probability of becoming HNBEF. Also, firms associated with closer borrower-lender relationship are more likely to become HNBEF. To investigate if the aggressive capital structure adopted by HNBEF is optimal, in essay 3, I performed several tests to analyze how these firms differ from other firms in terms of operating performance, ...
Date: August 2016
Creator: Luo, Haowen
Partner: UNT Libraries

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 NYMEX light sweet crude oil futures market and tests stationarity of the spot-futures differential. It is demonstrated that the primary cause of the "cointegration paradox" is the model misspecifications resulting in omitted variable bias.
Date: August 2016
Creator: Nishi, Hirofumi
Partner: UNT Libraries

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 underlying stocks. These iron butterfly arbitrage bounds (IBBs) use intraday call and put option prices from the Bloomberg database. Narrow and wide IBBs are expected to reveal the options market valuation of volatility by market participants. Data series is gathered by using successive one-minute intervals from the Bloomberg database. The data comprise the most recent bid and ask option prices and volumes. I collect S&P 500 index values and index options and use 30 underlying stock prices and option prices for the contracts that have the largest option trading volume during the sampling interval. These bid and ask prices reflect the information generated by intraday price pressures implied by S&P 500 index options or stock options. Consistent with the option micro-structure literature, I find that the IBB measure for actively traded stock options attains its highest level immediately after the open of the market, declines steadily throughout the first trading hour and remains relatively stable until market close. However, index IBBs behave differently. S&P 500 index option IBB attains its lowest level during the first hour of the trading day, then increases and remains relatively stable until market close. I present new evidence regarding the dynamic relation between stock returns and innovations in expected volatility by using the minute-by-minute change in implied volatility (IV) as a proxy. Unlike the relationship between individual stock returns and their respective changes in implied ...
Date: December 2016
Creator: Kochan, Mucahit
Partner: UNT Libraries

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 certain level, increase in pay gap is associated with increase in firm risk taking (e.g., higher leverage, lower cash holding balance and higher R&D intensity). However, after reaching a certain level, the CEO-CFO pay gap negatively impacts risk-taking, as increase in pay gap is associated with lower leverage, higher cash holding balance and lower R&D intensity. With the CFO's pay-performance sensitivity as the proxy for the CFO's equity incentives, I find that the CFO's equity incentives negatively impact firm's R&D intensity, but have no significant impact on broader financial decisions such as capital structure and cash policy. Collectively, my findings indicate that CFO incentives play an important role in firm's risk-taking behaviors, and the effect of the CFO's tournament incentives is more pronounced. The second essay studies the impact of tournament incentives and equity incentives for CFOs on firms' earnings management, including accrual-based earnings management (e.g., total accruals, abnormal accruals) and real activities manipulation (e.g., abnormal discretionary expenditures, abnormal production costs). Measuring the CFO's tournament incentives as the pay gap between the CEO and the CFO, I show that the CFO's tournament incentives positively influence total accruals and abnormal accruals. Meanwhile, the CFO's equity incentives, measured as the CFO's pay-performance sensitivity, are found positively related to real activities manipulation proxies and total accruals. My findings show a consistent pattern before and after the passage of SOX ...
Date: May 2017
Creator: Han, Feng
Partner: UNT Libraries