UNT Libraries - 54 Matching Results

Search Results

Results: 1 - 24 next
open access

Innovation Output and the Cost of Funds

Description: Do firms with higher levels of innovation output, measured by patent counts and citations, enjoy lower costs of funds? The process to develop and apply for patents involves valuable resources. Thus, applying for a patent is a credible signal that the underlying invention is valuable. This value is validated to some degree when the patent is granted. In addition, patents contain detailed information about the firm's inventions and provide collateral value as they can be sold and licensed. The n… more
Date: December 2016
Creator: Almomen, Adel Abdulkareem
open access

The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio

Description: The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbit… more
Date: December 2015
Creator: AlShammasi, Naji Mohammad
open access

Single Notch Versus Multi Notch Credit Rating Changes and the Business Cycle

Description: Issuers’ credit ratings change by one or more notches when credit rating agencies provide new ratings. Unique to the literature, I study the influences affecting multi notch versus single notch rating upgrades and downgrades. For Standard & Poors data, I show that rating changes with multiple notches provide more information to the market than single notch rating changes. Consistent with prior literature on the business cycle, I show that investors value good news rating changes (upgrades) more… more
Date: December 2015
Creator: Poudel, Rajeeb
open access

An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis

Description: This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominat… more
Date: May 2015
Creator: Ren, Peter
open access

Three Essays on Insurers’ Performance and Best’s Ratings

Description: This dissertation consists of three essays: essay 1, Underwriting Use of Credit Information and Firm Performance ‐ An Empirical Study of Texas Property‐Liability Insurers, essay 2, Prediction of Ratings in Property‐Liability Industry when The Organizational Form Is Endogenous, and essay 3, A Discussion of Parsimonious Methods Predicting Insurance Companies Ratings. The purpose of the first essay is to investigate the influence of underwriting use of credit information on variation in insurers’ … more
Date: May 2015
Creator: Huang, Jing‐Hui
open access

Significant Alphas in Real Estate Funds

Description: This study provide empirical evidence whether bias in the standard errors of Jensen’s alpha explains conflicting results in the extant literature in real estate funds. Significant alphas in real estate mutual funds and REITs are compared with heteroskedasticity consistent covariance matrix estimators (HC1, HC2 and HC3), Newey-West standard errors, a robust regression tempering the effect of high leverage points, a GARCH model, and a HC3 adjusted wild bootstrap. In the analysis of real estate mu… more
Date: August 2014
Creator: Rogers, Nina
open access

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

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 thos… more
Date: August 2014
Creator: Punurai, Somrat
open access

Bank Capital, Efficient Market Hypothesis, and Bank Borrowing During the Financial Crisis of 2007 and 2008

Description: During the Great Recession of 2007 and 2008, liquidity and credit dried up, threatening the stability of financial institutions, particularly the banking firms. Traditional source of funds from the last resort, the Discount Window of the Federal Reserve System, failed to remedy the liquidity problem. To assuage the liquidity and credit problem, the Federal Reserve System established several emergency lending facilities and provided unprecedented amount of loans to the banking industry. Using a … more
Date: December 2014
Creator: Zia, Mujtaba
open access

Project Redeployment: A Financial Innovation, a Case Study of LTV

Description: The purpose of this study was to examine the aspects of redeployment in general terms, and then to present a case study of a specific redeployment program to analyze its effectiveness as a corporate financial tool. The first four chapters discuss the general and financial definitions of redeployment, as well as the objectives, benefits, and alternate methods of the operational asset form of redeployment. The specific redeployment program analyzed is the case study of Ling-Temco-Vought's use of … more
Date: December 1976
Creator: Ling, Robert Van
open access

An Inquiry into the Inevitability of Prediction Error in Investment Portfolio Models

Description: Many mathematical programming models of the selection of investment portfolios assume that the best portfolio at any given level of risk is the portfolio having the highest level of return. The expected level of return is defined as a linear combination of the expected returns of the individual investments contained within the portfolio,and risk is defined in terms of variance of return. This study uses Monte Carlo simulation to establish that if the estimates of the future returns on potential… more
Date: December 1972
Creator: Valentine, Jerome Lynn
open access

Does Underwriter Size Matter? Only Within the Right Context

Description: The initial matching relationships between underwriters and bonds/issuing firms and the certification quality of underwriters, as determined by changes in the issuing firm’s financial strength post issue, are the two primary research topics in this dissertation. Based on total underwriter syndicate market share, two distinct categories, low market power (LMP) syndicates and high market power (HMP) syndicates were defined. Firm financial strength is examined based on a new factor developed in … more
Date: May 2014
Creator: Kendall, Lynn K.
open access

The Effect of Stock Splits on Small, Medium, and Large-sized Firms Before and After Decimalization

Description: This study examines the impact of reducing tick size and, in particular decimalization on stock splits. Based on previous studies, this study examines hypotheses in the following three areas: first, market reaction around stock split announcement and ex-dates, second, the effect of tick size on liquidity after stock split ex-dates, and third, the effect of tick size on return volatility after stock split ex-dates. The impact of tick size on market reaction around split announcement and ex-dates… more
Date: December 2013
Creator: Jang, Seon Deog
open access

The Prediction of Bank Certificates of Deposit Ratings

Description: The purpose of the study was to find the best prediction models of short-term bank CD ratings using financial variables. This study used short-term bank CD ratings assigned by Moody's and Standard and Poor's.
Date: May 1991
Creator: Kim, Mi-hyung
open access

An Analysis of the Information Content of Bond-Rating Changes: A Case of Differential Information

Description: This dissertation examines the reaction of common stock prices to the announcement of changes in bond ratings by Moody's Bond Service, while having a control for differential information availability. The Institutional Brokers Estimate System (I/B/E/S) number of security analysts and coefficient of variation of earning per share (EPS) estimates are used as a proxy for information availability of the firms. Past studies differs in their conclusions as to whether the market has responded to annou… more
Date: May 1991
Creator: Pongspaibool, Nantaphol
open access

Purchasing Power Parity and the Efficient Markets: the Recent Empirical Evidence

Description: The purpose of the study is to empirically determine the relevance of PPP theory under the traditional arbitrage and the efficient markets (EPPP) frameworks during the recent floating period of the 1980s. Monthly data was collected for fifteen industrial nations from January 1980 to December 1986. The models tested included the short-run PPP, the long-run PPP, the EPPP, the EPPP with deviations from expectations, the forward rates as unbiased estimators of future spot rates, the EPPP and the fo… more
Date: December 1988
Creator: Yuyuenyongwatana, Robert P. (Robert Privat)
open access

Information Content of Managerial Decisions, Change in Risk, and Complimentary Signals: Evidence on New Bond Issue, Exchange Offer, and Dividend Payments

Description: The effect of a change in capital structure on the risk and return of common stockholders is investigated. Also, the information content of dividends when a firm goes for new outside financing is examined. Data used in the study are collected from the Moody's Bond Survey, the Prentice Hall's Capital Adjustments, the Wall Street Journal Index, and the Center for Research in Security Prices Tape. The study uses an event study methodology. The risk (beta) of common stock before an issuance of debt… more
Date: August 1988
Creator: Iqbal, Zahid
open access

A Weak-Form Efficient Markets Test of the Dallas-Fort Worth Office Properties Real Estate Market

Description: Few areas of research in the finance literature have received greater attention than the efficient market hypothesis. Much of the research has been directed toward the securities market while very little research has been done in the real estate markets. The existing research on real estate market efficiency has been either descriptive or illustrative with very little empirical testing being performed. The major reason for the lack of empirical testing has been the inability to develop an adequ… more
Date: May 1987
Creator: McIntosh, Willard
open access

The Determinants of Off-Balance-Sheet Hedging in the Value-Maximizing Firm: an Empirical Analysis

Description: The observed use (and indeed tremendous growth in volume) of forward contracts, futures, options, and swaps as hedges against interest rate risk, foreign exchange risk, and commodity price risk indicates that hedging does add value to the firm. The purpose this research was to empirically examine the value of off-balance-sheet hedging. The benefits of off-balance-sheet hedging were found to accrue from reducing (1) taxes, (2) expected financial distress costs, and (3) agency costs. Taxes. Hedgi… more
Date: December 1988
Creator: Nance, Deana R. (Deana Reneé)
open access

An Empirical Study of Financial Analysts' Valuations Using Proposed Disclosures About Oil and Gas Producing Activities

Description: This empirical study is concerned with the usefulness of proposed supplementary disclosures for oil and gas producers to financial analysts in valuing a company. It is concerned with what supplementary information is being used, to what extent it is being used and which type of information is used most. Three main research procedures are employed. In the first procedure, the Mann-Whitney U Test is applied to determine any significant difference between valuing an oil and gas producing company u… more
Date: December 1983
Creator: Avard, Stephen L. (Stephen Lewis)
open access

A Test of Catastrophe Theory Applied to Corporate Failure

Description: Catastrophe theory (CT) is a relatively new mathematical theory that comprehensively describes a system exhibiting discontinuous behavior when subjected to continuous stimuli. This study tests the theory using capital-market data. The data is a time series of stock returns on firms that filed for Chapter 11 reorganization during 1980-1985. The CT model used is based on a corporate failure model suggested by Francis, Hastings and Fabozzi (1983). The model predicts 1) as the filing date approache… more
Date: August 1987
Creator: Gregory-Allen, Russell B. (Russell Brian)
open access

Futures-Forward Price Differences and Efficiency in the Treasury Bill Futures Market

Description: This study addressed two issues. First, it examined the ability of two models, developed by Cox, Ingersoll and Ross (CIR), to explain the differences between futures and implicit forward prices in the thirteen-week T-bill market. The models imply that if future interest rates are stochastic, futures and forward prices differ; the structural difference is due to the daily settlement process required in futures trading. Second, the study determined the efficiency of the thirteen-week T-bill futur… more
Date: May 1986
Creator: Wong, Alan, 1954-
open access

Texas Energy Banks: Problems and Prospects

Description: The forces that shaped banking practices in the late 1970s and which fostered attempts by the banks to rapidly expand their markets are examined. Why, and to what extent, the Texas energy banks committed themselves to the oil industry in those years, as well as the effects of the oil industry's four-and-one-half year decline on the banks' financial strength is detailed. How banks structured loans to various energy borrowers and why these borrowers lost their ability to service their debts is … more
Date: August 1987
Creator: Seley, Joan Bonness
open access

A Comparison of Money Demand in Four Industrialized Countries Using Seemingly Unrelated Regressions

Description: In this study, the possibility that money demand of one country might be affected by macroeconomic activities of other countries is investigated. We use the seemingly unrelated regression (SUR) technique, which takes into account all covariances between residuals of country-specific money demand equations. Efficiency of estimates using the SUR technique is enhanced because it uses information contained in the contemporaneous correlation of the error terms. The hypothesis of economic interdepend… more
Date: August 1987
Creator: Dheeriya, P. L. (Prakash Lachmandas)
open access

Intra-Industry Effects of the Ten Largest United States Bank Failures: Evidence from the Capital Markets

Description: This study examines the differential effect of each of the ten largest bank failures on shareholders' wealth of non-failed banks over the period from 1973 through 1984. It examines how contagion and information effects of major bank failures have changed over time. FDIC policy for settling failures has important implications for system stability, and has changed over time. This study's purpose is to provide empirical evidence on the effects of FDIC policy. The FDIC's handling of the Penn Square… more
Date: December 1987
Creator: Choi, In Suk
Back to Top of Screen