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Three Essays in Corporate Governance

Description: Corporate governance issues have become increasingly important to financial managers and shareholders. Firms that are plagued by poor performance, incompetent managers, or excess agency costs have become the subject of a dramatic increase in shareholder activism. Dissident shareholders, who are unable to launch costly takeover bids or proxy contests, have initiated a process of governance reform through the use of shareholder sponsored proposals. Shareholder proposals are a direct attempt to re… more
Date: December 1993
Creator: Forjan, James M. (James Martin)
Partner: UNT Libraries
open access

The Effects of Stock Delistings on Firm Value, Risk, Market Liquidity and Market Integration: With Evidence on Wealth Effects from the Stock Exchanges of Malaysia and Singapore, Using GARCH

Description: This study examines the effects of delisting on firm value, risk and market liquidity. In a world where markets are becoming increasingly integrated, delistings may prove counter productive. We use the unique event, free from company specifics, that occurred on January 2, 1990 in the stock exchanges of Singapore and Malaysia to test for the above effects. On that day, dual listed companies were required to delist from the foreign stock exchange. We also use this event to test if the Singapore a… more
Date: May 1996
Creator: Meera, Ahamed Kameel
Partner: UNT Libraries
open access

Studies in Bank Contagion: Three Regulatory Events

Description: This research describes an analysis, using event-study methodology, of the reaction of the stock returns of a sample, drawn from the one-hundred largest bank holding companies, to certain actions of regulatory agencies. The first part of the analysis examines the reaction of the bank stocks to the closure of the Bank of New England, using cross-sectional variables not previously examined by other investigators. The second event considers the invalidation of interest-rate swap contracts by the B… more
Date: May 1998
Creator: Springstube, Woodard R. (Woodard Rex)
Partner: UNT Libraries
open access

Corporate Sale-and-Leaseback Transactions: An Examination of Corporate Incentives, Wealth Effects and Dealer Spreads

Description: There is a limited amount of research dealing with the wealth effects of sale-and-leaseback transactions, but previous research has focused predominantly on the tax effects of these transactions. The results of these studies have often been in conflict with one another. This dissertation shows that tax effects do play a role in determining the wealth effect of sale-and-leasebacks on stockholders, but there exists a framework of finance research that suggests several other factors could play a d… more
Date: August 1993
Creator: Gordon, Bruce L. (Bruce Lee)
Partner: UNT Libraries
open access

The Information Content of Pension Fund Asset Reversion

Description: Prior studies on the impact of the termination of overfunded defined benefit pension plans on shareholders' wealth have produced conflicting findings. The first study on the stock market reaction to pension plan termination was conducted by Alderson and Chen (1986); this study claimed that shareholders realize significant positive abnormal returns around the termination announcement date. A more recent study, by Moore and Pruitt (1990), disclaimed the findings of Alderson and Chen. Reexaminatio… more
Date: August 1992
Creator: Shetty, Shekar T.
Partner: UNT Libraries
open access

Federal Funds Target Rate Surprise and Equity Duration

Description: In this paper I use an equity duration framework to develop and empirically test the hypothesis that returns on growth stock portfolios react more strongly to Federal Funds target rate change announcements, as compared to value stock portfolios. When I decompose the Federal Funds rate change, I find that portfolio returns are only sensitive to rate shocks, as opposed to the predictable component of rate change. Since growth stocks are expected to have higher duration than value stocks, I furthe… more
Date: May 2013
Creator: Tee, Kienpin
Partner: UNT Libraries
open access

Time Series Analysis of Going Private Transactions: Before and after the Sarbanes-Oxley Act

Description: Using 1,473 going private transactions completed between 1985 and 2007, I assess whether the increase in going private transactions that occurred after the passage of the Sarbanes-Oxley Act of 2002 (SOX) was driven by SOX, or whether this phenomenon continues an ongoing historical trend. To examine this issue, I initially used structural break tests and intervention analysis. From the initial techniques, I find support that the passage of SOX increased going private transactions for these categ… more
Date: August 2010
Creator: Kim, Jaehoon
Partner: UNT Libraries
open access

The Reasons for the Divergence of IPO Lockup Agreements

Description: Most initial public offerings (IPOs) feature share lockup agreements, which prohibit insiders from selling their shares for a specified period of time following the IPO. However, some IPO firms agree to have a much longer lockup period than other IPO firms, and some are willing to lockup a much larger proportion of shares. Thus, the primary research question for this study is: "What are the reasons for the divergence of the lockup agreements?" The two main hypotheses that this dissertation inve… more
Date: August 2010
Creator: Gao, Fei
Partner: UNT Libraries
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)
Partner: UNT Libraries
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
Partner: UNT Libraries
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)
Partner: UNT Libraries
open access

Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market

Description: Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and… more
Date: May 1988
Creator: Jordan-Wagner, James M. (James Michael)
Partner: UNT Libraries

Empirical Evidence of Pricing Efficiency in Niche Markets

Description: Unique and proprietary data of the illiquid, one-year non cancelable for three month Bermudan swaps (1Y NC 3M swaps) and one-year non callable for three months Bermudan CDs (1Y NC 3M CDs), provides evidence of market efficiency. The 1Y NC 3M swap and 1Y NC 3M CD markets efficiently reflected unexpected economic information. The 1Y NC 3M swaption premiums also followed the European one-year into three-month (1Y into 3M) swaption volatilities. Swaption premiums were computed by pricing non-optio… more
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Date: May 2000
Creator: Koch, Sandra Idelle
Partner: UNT Libraries
open access

What insight do market participants gain from dividend increases?

Description: This study examines the reactions of market makers and investors to large dividend increases to identify the motives for dividend increases. Uniquely, this study simultaneously tests the signaling and agency abatement motivations as explanations of the impact of dividend increases on stock prices and bid-ask spreads. The agency abatement hypothesis argues that increased dividends constrict management's future behavior, abating the agency problem with shareholders. The signaling hypothesis asser… more
Date: May 2000
Creator: Ellis, R. Barry
Partner: UNT Libraries
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
Partner: UNT Libraries
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
Partner: UNT Libraries
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
Partner: UNT Libraries
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
Partner: UNT Libraries
open access

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 int… more
Date: August 1996
Creator: Ragle, William F.
Partner: UNT Libraries
open access

Locational Determinants of Real Estate Valuation: an Analysis of Spatial Autocorrelation in the Hedonic Pricing of Real Estate

Description: Recent studies of the valuation of real estate have concentrated on the use of hedonic pricing techniques in which the implicit prices of the component characteristics of an asset are inferred from the observed sale price using regression analysis. All of these studies include as explanatory variables one or more locational factors, such as distance to the central business district, as proxies for the effect that location has on the utility of land. In this research, the explicit consideration … more
Date: May 1992
Creator: Shampton, John F.
Partner: UNT Libraries
open access

The Application of Statistical Classification to Business Failure Prediction

Description: Bankruptcy is a costly event. Holders of publicly traded securities can rely on security prices to reflect their risk. Other stakeholders have no such mechanism. Hence, methods for accurately forecasting bankruptcy would be valuable to them. A large body of literature has arisen on bankruptcy forecasting with statistical classification since Beaver (1967) and Altman (1968). Reported total error rates typically are 10%-20%, suggesting that these models reveal information which otherwise is unava… more
Date: December 1994
Creator: Haensly, Paul J.
Partner: UNT Libraries
open access

Three Essays on Real Estate Investment Trusts and Financial Markets

Description: This dissertation is structured as three essays on real estate investment trusts and financial markets. It addresses the financial performance and systematic risk of different REIT types, the information content of REIT bankruptcies, and the effect of recent tax law changes on the REIT industry.
Date: August 1995
Creator: Durr, David W.
Partner: UNT Libraries
open access

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 Ne… more
Date: December 1994
Creator: Sangmanee, Amporn
Partner: UNT Libraries
open access

Three Essays in Business Failure

Description: This dissertation consists of three essays exploring market reactions to business failure. In the first essay, the filing strategies are divided into three basic types, voluntary, involuntary and prepackaged. The second essay provides insight into industry wide factors impacting assimilation of information by the market. The third essay provides a view of the GARCH-M model in measuring a risk premium as a firm approaches bankruptcy.
Date: May 1997
Creator: Theis, John D. (John Dennis)
Partner: UNT Libraries
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