Showing 1 - 10 of 14
This dissertation examines the interactions of corporate governance on analyst behavior. Analyst bias is well documented in the previous literature. However, the relationship between managerial entrenchment and analyst bias has not been explored. In my first essay, I hypothesize that while...
Persistent link: https://www.econbiz.de/10009439283
This dissertation analyzes the effects on the stock markets when institutional investors hold their client firms stocks. The first essay examines the trading impact around earnings announcements and the second essay studies the effect on stock liquidity. In the first essay, we find that...
Persistent link: https://www.econbiz.de/10009439330
This dissertation studies on-balance-sheet and off-balance-sheet foreign currency risk management of corporate firms and commercial banks. It is comprised of two essays.The first essay investigates what determines firms foreign currency spot net asset positions, derivatives hedging and synthetic...
Persistent link: https://www.econbiz.de/10009439393
Graham and Harveys (2001) survey evidence and Baker, Greenwood, and Wurgler (2003) indicate that firm managers try to time debt markets based on term spreads or excess bond returns when choosing the maturity of new debt issues. Whether debt market timing increases firm value via a reduced cost...
Persistent link: https://www.econbiz.de/10009439259
In this work, I develop a new volatility measure; the volatility implied by price changes in option contracts and their underlyings. I refer to this as implied price change volatility. First, I examine the time series behavior of implied price change volatility and investigate possible moneyness...
Persistent link: https://www.econbiz.de/10009439267
This dissertation studies whether stock price reactions to quarterly earnings announcements depend on stock liquidity. Baker and Stein (2004) and Scheinkman and Xiong (2003) develop models showing that liquidity can be affected by investor sentiment or speculative trading. With short-sale...
Persistent link: https://www.econbiz.de/10009439273
This dissertation relates the information contained in past trading volume to investor sentiment, and investigates its ability in predicting stock returns. Investor sentiment here refers to the enthusiasm of irrational investors on an asset, relative to that of rational investors. Motivated by...
Persistent link: https://www.econbiz.de/10009439296
This dissertation analyzes a series of issues that surround both the theoretical modeling and theempirical estimation of the forward-futures differential, commonly known as the convexityadjustment. Opposite to theoretical implication, I find that the magnitude of the forward-futuresrate...
Persistent link: https://www.econbiz.de/10009439304
A Special Purpose Acquisition Company (SPAC) is a blank check company with no business operation but management quality. It raises money through unit IPO and put proceeds in a trust account for future business combination. In the post IPO market, the market price would reflect the value of trust...
Persistent link: https://www.econbiz.de/10009439310
This dissertation consists of essays relating to the three important real estate research topics: spatial statistics, mortgages, and real estate investment trusts (REITs). In the first essay, Spatial Distribution of Retail Sales, we apply retail gravity models to examine the spatial distribution...
Persistent link: https://www.econbiz.de/10009439343