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An Empirical Analysis of Stock Market Anomalies and Spillover Effects: Evidence from the Securities Exchange of Thailand

Description: This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the New York Stock Exchange (NYSE) to the SET. The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average stock returns. The adjustment of estimated beta for the effect of thin trading does not change the implications of the results. Of the three anomalies investigated, the size effect has the most prominent and consistent role in explaining average returns. For the earnings-price ratio, the results indicate that the significance of the E/P ratio variable persists only if the nonfinancial firms are considered. In contrast to the previous empirical results for the U.S. and Japanese stock markets, the book-to-market ratio fails to explain the SET equity returns. The second essay employs a generalized autoregressive conditionally heteroskedastic (GARCH) model with conditional t-distributed errors to investigate the spillover effects. No evidence of price spillover effects is found for the full sample period. However, the spillover effects are significant during the period in which the Federal Reserve Board raised interest rates. Further examinations reveal that information inferred from price changes in the U.S. market influences only the opening price in the SET, not the open-to-close Thai stock market returns. This implies that price in the SET is informationally efficient with respect to the price determined in the U.S. stock market. The evidence is generally supportive of international financial integration and informational efficiency in ...
Date: December 1994
Creator: Sangmanee, Amporn
Partner: UNT Libraries

An Analysis of Preferred Equity Redemption Cumulative Stock

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.
Date: May 1994
Creator: Pu, Hansong
Partner: UNT Libraries

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. Hedging reduces the firm's tax liability by reducing the variability in taxable income. The value of hedging to the firm is a positive function of the convexity of the tax function and the variability of taxable income. Expected Financial Distress Costs. The value of hedging is a positive function of the degree to which hedging reduces the probability of financial distress and the costs of financial distress. Agency Cost. Due to the fact that bondholders and some managers hold fixed claims while shareholders hold variable claims, shareholders desire more risky projects than do bondholders or managers. Hedging reduces this conflict by allowing shareholders to undertake higher risk projects while protecting the holders of fixed claims. Firms can achieve the same benefits of hedging by using alternative strategies. Among the various alternatives to hedging are modifying the firm's capital structure, purchasing insurance, and modifying dividend policy. The amount of off-balance-sheet hedging activity undertaken by a specific firm is therefore a function of the value of hedging to the firm and the degree to which the firm has used alternatives to hedging. Using a regression analysis, this paper provides empirical evidence on the preceding relations. This study provides (1) the first empirical evidence into the reasons for a value-maximizing firm using off-balance-sheet hedging instruments, and (2) empirical insights into the way in which the firm's hedging decision interrelates ...
Date: December 1988
Creator: Nance, Deana R. (Deana Reneé)
Partner: UNT Libraries

Gladstone and the Bank of England: A Study in Mid-Victorian Finance, 1833-1866

Description: The topic of this thesis is the confrontations between William Gladstone and the Bank of England. These confrontations have remained a mystery to authors who noted them, but have generally been ignored by others. This thesis demonstrates that Gladstone's measures taken against the Bank were reasonable, intelligent, and important for the development of nineteenth-century British government finance. To accomplish this task, this thesis refutes the opinions of three twentieth-century authors who have claimed that many of Gladstone's measures, as well as his reading, were irrational, ridiculous, and impolitic. My primary sources include the Gladstone Diaries, with special attention to a little-used source, Volume 14, the indexes to the Diaries. The day-to-day Diaries and the indexes show how much Gladstone read about financial matters, and suggest that his actions were based to a large extent upon his reading. In addition, I have used Hansard's Parliamentary Debates and nineteenth-century periodicals and books on banking and finance to understand the political and economic debates of the time.
Date: May 2007
Creator: Caernarven-Smith, Patricia
Partner: UNT Libraries

Three Essays on the Effects of Equity Option Introduction

Description: This dissertation is structured as three essays on various aspects of equity option introduction. Topics addressed include the relative predictability of introduction, the relationship between predictability of introduction and the price effect associated with introduction, and a comparison of the price response of optioned versus nonoptioned stocks to changes in dividends. Essay 1 involves use of firm-specific variables in a LOGIT model to allow assignment of a probability of equity option introduction. Two samples were developed: one of firms that were optioned, the other of firms which met the objective standards but were not optioned. A LOGIT model is used to assign a probability of optioning to each firm. A holdout sample is used to test the out-of-sample predictive power of the model. Firms were correctly classified as optioned or nonoptioned in about 85 percent of cases. Various researchers have detected abnormal positive returns associated with stock option introduction. In an efficient market context, this would indicate that option introduction is "good" news to financial markets. If optioning is predictable, stocks with a higher probability of optioning would be expected to show less price response when options are introduced. In Essay 2, the relationship between the probability of optioning and abnormal returns is tested using a standard event methodology. Utilizing nonparametric statistics, no significant differences were detected among abnormal returns of portfolios formed on the basis of probability of option introduction. Essay 3 compares abnormal returns of optioned and nonoptioned stocks around announced dividend changes. Two samples were obtained. Firms in the first (second) sample had significant dividend changes while options were (were not) available on their stocks. Standard event methodology is used to compare price responses of the two samples. If the price response of optioned stocks is less pronounced than the price response of nonoptioned stocks, this may ...
Date: August 1996
Creator: Ragle, William F.
Partner: UNT Libraries

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 forward rates, and the EPPP with forward rates and lagged values. A generalized regression method called Seemingly Unrelated Regression (SUR) was employed to test the models. The results support the efficient markets approach to PPP but fail to support the traditional PPP in both the short term and the long term. Moreover, the forward rates are poor and biased predictors of the future spot rates. The random walk hypothesis is generally supported.
Date: December 1988
Creator: Yuyuenyongwatana, Robert P. (Robert Privat)
Partner: UNT Libraries

U.S. Direct Investment Abroad: Trends and Current Issues

Description: The United States is the largest investor abroad and the largest recipient of direct investment in the world. Some observers believe U.S. firms invest abroad to avoid U.S. labor unions or high U.S. wages, however, 70% of U.S. foreign direct investment is concentrated in high income developed countries. Even more striking is the fact that the share of investment going to developing countries has fallen in recent years. Most economists conclude that direct investment abroad does not lead to fewer jobs or lower incomes overall for Americans and that the majority of jobs lost among U.S. manufacturing firms over the past decade reflect a broad restructuring of U.S. manufacturing industries.
Date: February 1, 2011
Creator: Jackson, James K.
Partner: UNT Libraries Government Documents Department

The Value of Ties: Impact of Director Interlocks on Acquisition Premium and Post-acquisition Performance

Description: Mergers and acquisitions (M&A) evolved as alternative governance structures for firms seeking to combine resources with other firms, access larger markets, or acquire strategic assets. In spite of managers’ enthusiasm about the practice, studies show mixed results regarding post-acquisition performance of acquiring firms. The impact of acquisitions on the performance of acquiring firms has therefore remained inconclusive. A few reasons for this have been suggested and recent meta-analytic research efforts indicate that studies in M&A may have ignored variables that have significant effects on post-acquisition performance. In a bid to extend the literature on M&A and identify cogent variables that impact on acquisition performance, this dissertation draws on social network theory to advance a proposition for the value-of-ties. This was done by examining the impact of directorate interlocks on acquisitions specifically and organizational strategy in general. A non-experimental cross-sectional study of 98 interlocked directorate companies simultaneously involved in acquisitions was conducted. Several multiple regression analyses were conducted and the results obtained suggest that there is a positive linear relationship between director interlocks and post-acquisition performance and that to some extent this relationship is moderated by acquisition experience. The study also showed that director interlocks have a negative linear relationship with acquisition premium. This study complements the body of knowledge on acquisitions and network theory. It also successfully combined a multi-level approach to research on organizations and strategic management.
Date: May 2014
Creator: Lawani, Uyi
Partner: UNT Libraries

Data Envelopment Analysis: Measurement of Educational Efficiency in Texas

Description: The purpose of this study was to examine the efficiency of Texas public school districts through Data Envelopment Analysis. The Data Envelopment Analysis estimation method calculated and assigned efficiency scores to each of the 931 school districts considered in the study. The efficiency scores were utilized in two phases. First, the school district efficiency scores were combined with school district student achievement to evaluate effectiveness with efficiency. A framework was constructed to graph the scores on an x-axis of student achievement scores and a y-axis of efficiency scores to further illustrate the data. The framework was evaluated with the full statewide sample and with school districts categorized into similar peer groups. Then, using variables selected from related scholarly literature, a regression analysis identified which factors impacted school district efficiency statewide. The non-discretionary variables included in the study were total student enrollment, the percentage of non-white students and the percentage of economically disadvantaged students. The discretionary variables selected included the teacher-to-student ratio, teachers’ average years of experience, the percentage of teachers with master’s degrees and the average teacher base salary. Amongst the seven factors selected for regression analysis, five statistically significant variables were identified as impacting statewide school district efficiency. All three non-discretionary variables were identified as statistically significant on efficiency and included total student enrollment, the percentage of non-white students and the percentage of economically disadvantaged students. Two discretionary factors showed statistically significant effects on efficiency which included teachers’ average years of experience and the percentage of teachers with master’s degrees. The teacher-to-student ratio and the average teacher base salary were ineffective in predicting efficiency. This study contributed to the understanding on educational efficiency. Data Envelopment Analysis has been employed mainly in the private sector to analyze efficiency in economics and business organizations. This study added to the educational research ...
Date: August 2012
Creator: Carter, Lacy
Partner: UNT Libraries

Cardinal Giovanni Battista De Luca: Nepotism in the Seventeenth-century Catholic Church and De Luca's Efforts to Prohibit the Practice

Description: This dissertation examines the role of Cardinal Giovanni Battista de Luca in the reform of nepotism in the seventeenth-century Catholic Church. Popes gave very large amounts of money to their relatives and the burden of nepotism on the Catholic Church was very onerous. The Catholic Church was crippled by nepotism and unable to carry out its traditional functions. Although Cardinal de Luca and Pope Innocent XI worked tirelessly to end nepotism, they were thwarted in their attempts by apprehension among the Cardinals concerning conciliarism and concerning the use of reform measures from the Council of Trent; by Gallicanism and the attempts of the French King to exercise power over the French Church; and by the entrenchment of nepotism and its long acceptance within the Church. Cardinal de Luca and Innocent XI were not able to push through reforms during their lifetimes but Pope Innocent XII was able to complete this reform and pass a reform Bull. This dissertation has two complementary themes. First, a confluence of circumstances allowed for the unfettered growth of nepotism in the seventeenth-century Church to the point of threatening the well-being of the Catholic Church. Reform was not undertaken until the threat to Church finances was severe. Secondly, two upstanding and honest reformers arose in the Catholic Church to correct the problem, de Luca and Innocent XI. The achievements of Cardinal de Luca, also an important reformer of the Canon Law, are almost unknown to an English-speaking audience.
Date: August 2012
Creator: Cowan, H. Lee
Partner: UNT Libraries

Adequacy and Equity: How the Texas Supreme Court's Perceptions Have Changed Over the Past 50 Years

Description: The purpose of this study identifies state court cases involving public school finance specifically related to adequacy and equity in funding. Results address how state court cases have challenged the constitutionality of school finance in the United States, including Texas, over the last 50 years. The study further shows how the decisions from previous cases have influenced the Supreme Court of Texas decision in the Texas Taxpayer & Student Fairness litigation.
Date: May 2017
Creator: Ford, Daniel William
Partner: UNT Libraries

Additional evidence on informational asymmetry at acquisition announcement

Description: This dissertation examines the partial anticipation hypothesis by employing the bid-ask spread approach in market microstructure theory. Selecting the OTC bidding firms with a careful research design, this dissertation divides sample firms into firms with acquisition programs and firms without acquisition programs.
Date: August 1991
Creator: Kim, Young Kook
Partner: UNT Libraries