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1
Ohnsorge, Franziska. "Self-selection, labour markets and capital markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ63648.pdf.
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Rahman, Nafis. "Essays on capital markets." Thesis, University of British Columbia, 2016. http://hdl.handle.net/2429/59049.
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This thesis is a collection of three essays on capital markets. The first essay examines how signals of reputation with non-equity stakeholders affect the market reaction to accounting restatements. Using Corporate Social Responsibility (CSR) rating as a proxy for reputation with non-equity stakeholders, I find significantly less negative market reaction to restatements for firms with better reputation. I also find that high-CSR firms experience smaller earnings-decreases and need to engage in fewer reputation restoration activities. The results suggest that a significant portion of the market value loss triggered by restatements reflects an expectation that the restating firms will face a ‘worsening of terms’ in their future transactions with the non-equity stakeholders, and CSR reputation can dampen this effect.
The second essay examines the impact of accounting restatements on the information content of analyst forecast revisions (FRIC). I find that following material restatements that are perceived to be intentional, FRIC increases significantly compared to the pre-restatement period level. The results suggest that investors increase their reliance on analysts when there is uncertainty about the firm and the credibility of management disclosure is compromised. Additional tests reveal that the effect is greater for analysts who are less likely to have close ties with the management.
The third essay studies how misaligned language between the investor and the firm contributes to the foreign investor bias. In particular, we document a significant US institutional investor bias against firms located in Quebec relative to firms located in the Rest of Canada (ROC). The differential bias is surprising given that Quebec and the ROC share the same country, federal law, stock exchange, accounting standards, and regulatory filings are prepared in both English and French; and given that US institutional investors are sophisticated investors at close geographic proximity to both Quebec and the ROC. We also contrast the bias against Quebec firms with different levels of French versus English online presence, and we contrast the bias of institutional investors located in the UK versus France, to bolster our conclusion that incongruent languages are a major source of bias.Business, Sauder School of
Accounting, Division of
Graduate
3
Yu, Wayne Weifeng. "Essays on capital markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq23098.pdf.
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Mamaysky, Harry. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9180.
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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2000.Includes bibliographical references.
The first two chapters of this dissertation study financial asset markets which are not "frictionless." The first chapter focuses on the effects of transaction costs. The second chapter focuses on the interaction between asymmetric information and strategic behavior. The third chapter empirically assesses the informativeness of certain types of price indicators based on technical analysis. In Chapter 1 ( co-authored with Andrew Lo and Jiang Wang) we propose a dynamic equilibrium model of asset pricing and trading volume with heterogeneous investors facing fixed transactions costs. We show that even small fixed costs can give rise to large "notrade" regions for each investor's optimal trading policy and a significant illiquidity discount in asset prices. We perform a calibration exercise to illustrate the empirical relevance of our model for aggregate data. Our model also has implications for the dynamics of order flow, bid/ask spreads, market depth, the allocation of trading costs between buyer and seller, and other aspects of market microstructure, including a square-root power law between trading volume and fixed costs which we confirm using historical US stock market data from 1993 to 1997. Chapter 2 develops an equilibrium model of a dynamic asymmetric information economy. The model is solved under two circumstances: where the informed and uninformed sectors are both competitive, and where the informed sector is competitive and the uninformed sector consists of a single, strategic agent. The strategic uninformed agent, when facing the same signals as the uninformed competitive sector, manages to extract different information abo~t the state of the economy. I find that expected returns, return variability, and unexpected trading volume differ between the competitive and the strategic economies. Furthermore, this difference depends on the degree of informational asymmetry between the two sectors. In the strategic economy, less surplus is lost due to informational arbitrage by the informed sector. Interestingly, the presence of asymmetric information allows even the competitive uninformed agents to gain surplus from allocational trade. Finally, I examine the incentives of agents to become better informed, and find that sometimes both competitive and strategic agents are better off under worse information. Technical analysis, also known as "charting," has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis-the presence of geometric shapes in historical price charts is often in the eyes of the, beholder. In Chapter 3 ( co-authored with Andrew Lo and Jiang Wang), we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution-conditioned on specific technical indicators such as head-and shoulders or double-bottoms-we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value.
by Harry Mamaysky.
Ph.D.
5
Papanikolaou, Dimitris Ph D. Massachusetts Institute of Technology. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/42335.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.Includes bibliographical references (p. 153-161).
In the first chapter, I provide evidence that investment-specific technological change is a source of systematic risk. In contrast to neutral productivity shocks, the economy needs to invest to realize the benefits of innovations in investment technology. A positive shock to investment technology is followed by a reallocation of resources from consumption to investment, leading to a negative price of risk. A portfolio of stocks that produce investment goods minus stocks that produce consumption goods (IMC) proxies for the shock and is a priced risk factor. The value of assets in place minus growth opportunities falls after positive shocks to investment technology, which suggests an explanation for the value puzzle. I formalize these insights in a dynamic general equilibrium model with two sectors of production. The model's implications are supported by the data. The IMC portfolio earns a negative premium, predicts investment and consumption in a manner consistent with the theory, and helps price the value cross section. In the second chapter, based on joint work with Igor Makarov, we use heteroscedasticity of stock returns as an identification tool to isolate four robust factors in the U.S. industry returns. The first factor can be viewed as a proxy for economy wide demand shocks. The second factor is a portfolio of stocks producing investment goods minus stocks producing consumption goods (IMC). The third factor differentiates between cyclical vs. non-cyclical stocks. Finally, the fourth factor is consistent with a proxy for shocks to input good prices. The extracted factors are shown to be important in explaining the cross-section of expected returns. Unlike the CAPM or the Fama and French three factor model, they successfully price the cross-section of 48 industry portfolios and do a good job at explaining the 25 Fama and French size and book-to-market portfolios.
(cont.) The fourth ("input") factor is found to be a robust predictor of the value-weighted market portfolio. In the third chapter, based on joint work with Jiro Kondo, we propose a new foundation for the limits to arbitrage based on financial relationships between arbitrageurs and banks. Financially constrained arbitrageurs may choose to seek additional financing from banks who can understand their strategies. However, a hold-up problem arises because banks cannot commit to provide capital and have the financial technology to profit from the strategies themselves. Wary of this, arbitrageurs will choose to stay constrained and limit their correction of mispricing unless banks have sufficient reputational capital. Using the framework of stochastic repeated games, we show that this form of limited arbitrage arises when mispricing is largest and becomes more substantial as the degree of competition between banks intensifies and arbitrageur wealth increases.
by Dimitris Papanikolaou.
Ph.D.
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Makarov, Igor 1976. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/36288.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2006.Includes bibliographical references.
This thesis consists of three essays in capital markets. The first essay presents a dynamic asset pricing model with heterogeneously informed agents. Unlike previous research, the general case where differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations is studied. In particular, it is proved that the model does not admit a finite number of state variables. A comparison of equilibria characterized by identical fundamentals but different information structure shows that the distribution of information has substantial impact on equilibrium prices and returns. In the second essay we explore several sources of serial correlation in returns of hedge funds and other alternative investments. We show that the most likely explanation is illiquidity exposure, i.e., investments in securities that are not actively traded and for which market prices are not always readily available. For portfolios of illiquid securities, reported returns will tend to be smoother than true economic returns, which will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an econometric model of illiquidity exposure and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio.
(cont.) For a sample of 908 hedge funds drawn from the TASS database, we show that our estimated smoothing coefficients vary considerably across hedge-fund style categories and may be a useful proxy for quantifying illiquidity exposure. In the third essay our objective is to study analytically the effect of borrowing constraints on asset returns. We explicitly characterize the equilibrium for an exchange economy with two agents who differ in their risk aversion and are prohibited from borrowing. In a representative-agenlt economly with CR.RA preferences, the Sharpe ratio of equity returns and the risk-free rate are linked by the risk aversion parameter. We show that allowing for preference hetterogeneity an(l imposing borrowing constraints breaks this link. We find that anll economy with borrowing constraints exhibits simultaneously a relatively high Sharpe ratio of stock returns and a relatively low risk-free interest rate, compared to both representative-agent and unconstrained heterogeneous-agent economies.
by Igor Makarov.
Ph.D.
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Chan, Wesley S. (Wesley Sherwin) 1974. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2002. http://hdl.handle.net/1721.1/28248.
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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2002.Includes bibliographical references (p. 136-141).
(cont.) Slow information diffusion can cause return momentum. Institutions are thought to be more informed than individuals, and should eliminate return predictability. However, higher institutional ownership is associated with more momentum. Therefore, institutions either herd on returns or can have information before individuals. I find evidence of the latter. However, the effects are economically small, suggesting that aggregate data obscures differences between institutions. I divide institutions by trading aggressiveness. Aggressive institutions are more responsive to recent returns, and a strategy mimicking their trades generates even better performance. This confirms that some investors are more informed than others, but do not eliminate return predictability.
This thesis consists of three chapters, each about a separate aspect of how investors respond to information in equity markets. The first chapter concerns news and stock returns. Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to react slowly to this information. I also find reversal after extreme price movements unaccompanied by public news. The separate patterns appear even after adjustments for risk exposure and other effects. They are, however, mainly seen in smaller, more illiquid stocks. These findings support some integrated theories of investor over- and underreaction. The second chapter is joint work with Richard Frankel and S. P. Kothari. Models based on psychology can explain momentum and reversal in stock returns, but may be overfitted to data. We examine a typical basis for these models, representativeness, in which individuals predict the future based on how closely past outcomes fit certain categories. We use accounting performance to mimic possible investor-defined categories for firm performance. We test the idea that investors predictably bias their expectations about future operations by using these categories. We find little evidence that the sequence or trend of past accounting performance is related to future returns, and is therefore unlikely to bias investor expectations. The third chapter concerns how informational advantage differs between institutional investors.
by Wesley S. Chan.
Ph.D.
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Sodini, Paolo 1968. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/35489.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2001.Includes bibliographical references.
The thesis is composed of three chapters. The first chapter proposes that financial innovation induces endogenous changes in the composition of market participants, which can both increase the interest rate and reduce the risk premia earned on pre-existing assets. We consider an exchange economy with endogenous participation. Competitive investors can freely borrow and lend, but must pay a fixed entry cost to invest in risky assets. Security prices and the participation structure are jointly determined in equilibrium. We show existence and constrained optimality of equilibrium under general conditions, and then specialize to a CARA-normal framework with finitely many risk factors. The model reconciles a number of features that have characterized financial markets in the past three decades: substantial financial innovation; a sharp increase in investor participation; improved risk management practices; an increase in interest rates; and a reduction in the risk premium. In the second chapter, we study the effect of margin constraints on volatility and welfare in an intertemporal financial economy. We find that margin requirements do not necessarily reduce market volatility and can generate non-monotonic redistributive effects. The setup allows for full flexibility in setting margin requirements and is well suited to address regulatory issues. We study in detail two types of margin rules. The uniform rule, in which margin constraints are constant over time and states, and the practitioners' rule of tightening margin constraints in bear markets and relaxing them in bull market.
(cont.) The results are compared with the first best rule in which margin requirements are chosen just to prevent default. In the third chapter, we consider a framework with mean-variance investors that face margin and no short-selling constraints and can default on their pre-existing leveraged positions. Margin calls and portfolio rebalancing create spillover-contagion effects across markets. A negative shock in one specific asset can reduce prices of even uncorrelated assets with unchanged fundamentals. We test this result across different forms of margin contracts typically used in practice. Margin constraints can also generate a self-reinforcing mechanism that amplifies price movements and create discontinuity in the price schedule.
by Paolo Sodini.
Ph.D.
9
Kogan, Leonid 1974. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 1999. http://hdl.handle.net/1721.1/28212.
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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 1999.Includes bibliographical references (p. 231-237).
This thesis consists of three essays in capital markets. In the first essay, given a European derivative security with an arbitrary payoff function and a corresponding set of underlying securities on which the derivative security is based, we solve the optimal-replication problem: find a self-financing dynamic portfolio strategy-involving only the underlying securities-that most closely approximates the payoff function at maturity. By applying stochastic dynamic programming to the minimization of a mean-squared- error loss function under Markov state-dynamics, we derive recursive expressions for the optimal-replication strategy that are readily implemented in practice. The approximation error or ... of the optimal-replication strategy is also given recursively and may be used to quantify the "degree" of market incompleteness. To investigate the practical significance of these c-arbitrage strategies, we consider several numerical examples including path-dependent options and options on assets with stochastic volatility and jumps. In the second essay we study the tracking error, resulting from the discrete-time application of continuous-time delta-hedging procedures for European options. We characterize the asymptotic distribution of the tracking error as the number of discrete time periods increases, and its joint distribution with other assets. We introduce the notion of temporal granularity of the continuous time stochastic model that enables us to characterize the degree to which discrete time approximations of continuous time models track the payoff of the option. We derive closed form expressions for the granularity for a put or call option on a stock that follows a geometric Brownian motion and a mean-reverting process. These expressions offer insight into the tracking error involved in applying continuous-time delta hedging in discrete time. We also introduce alternative measures of the tracking error and analyze their properties. The third essay presents a general equilibrium model of financial asset prices with irreversible real investment. The focus is on the effects of the irreversibility of real investment on financial asset prices. The model shows how this irreversibility leads to time variation in volatility and systematic risk of stock returns. Changes in these variables are driven by real economic activity, in particular, by firms' investment decisions. Thus, systematic risk of stock returns and their volatility are affected by economy-wide and industry-specific shocks. Firm-specific variables, particularly market-to-book ratios, are linked to real activity and contain information about the dynamic behavior of stock returns. The model of this paper also provides a framework for analyzing futures prices. A comparison between the economy with irreversible investment and an identical economy without the irreversibility shows that all of these results should be attributed to the irreversibility of real investment.
by Leonid Kogan.
Ph.D.
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Schmidt, David E. "Capital markets and the market structure of foreign investments." Thesis, Aston University, 2010. http://publications.aston.ac.uk/15787/.
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Contrary to the long-received theory of FDI, interest rates or rates of return can motivate foreign direct investment (FDI) in concert with the benefits of direct ownership. Thus, access to investor capital and capital markets is a vital component of the multinational’s competitive market structure. Moreover, multinationals can use their superior financial capacity as a competitive advantage in exploiting FDI opportunities in dynamic markets. They can also mitigate higher levels of foreign business risks under dynamic conditions by shifting more financial risk to creditors in the host economy. Furthermore, the investor’s expectation of foreign business risk necessarily commands a risk premium for exposing their equity to foreign market risk. Multinationals can modify the profit maximization strategy of their foreign subsidiaries to maximize growth or profits to generate this risk premium. In this context, we investigate how foreign subsidiaries manage their capital funding, business risk, and profit strategies with a diverse sample of 8,000 matched parents and foreign subsidiary accounts from multiple industries in 38 countries.We find that interest rates, asset prices, and expectations in capital markets have a significant effect on the capital movements of foreign subsidiaries. We also find that foreign subsidiaries mitigate their exposure to foreign business risk by modifying their capital structure and debt maturity. Further, we show how the operating strategy of foreign subsidiaries affects their preference for growth or profit maximization. We further show that superior shareholder value, which is a vital link for access to capital for funding foreign expansion in open market economies, is achieved through maintaining stability in the rate of growth and good asset utilization.
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Lee, Jinsoo. "Convergence in Global Capital Markets." Diss., Georgia Institute of Technology, 2006. http://hdl.handle.net/1853/11490.
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In chapter 1, we show (i) that the risk-return characteristics of our sample of 17 developed stock markets of the world have converged significantly toward each other during our study period 1974 2004, and (ii) that this international convergence in risk-return characteristics is driven mainly by the declining country effect, rather than the rising industry effect, suggesting that the convergence is associated with international market integration. Specifically, we first compute the risk-return distance among international stock markets based on the Euclidean distance and find that the distance thus computed has been deceasing significantly over time, implying a mean-variance convergence. In particular, the average risk-return distance has decreased by about 43% over our sample period. The speed of convergence, however, varies greatly across individual markets, largely reflecting the initial distance of each individual market from the international average risk-return characteristic. Lastly, we document that the risk-return characteristics of our sample of 14 emerging markets have been converging rapidly toward those of developed markets in recent years. This development notwithstanding, emerging markets still remain as a distinct asset class.
In chapter 2, we examine the historical evolution of international earnings-to-price ratios for a sample of 17 markets over the period 1980 2004. We introduce a distance measure of earnings-to-price ratios among international stock markets and find that earnings-to-price ratios of 17 markets have significantly converged toward each other during the period. The average distance measure for 17 markets has decreased by about 80 percent during the period. The speed of convergence for individual markets varies and mainly reflects the initial distance of individual markets from the international average. We also find that although both country and industry effects account for convergence in earnings-to-price ratios among the sample markets, country effect dominates industry effect in terms of the magnitude. We further examine what could explain the declining country effect and document that the time trend of dividend-yield distance measure closely follows that of earnings-to-price distance measure. This result suggests that convergence in earnings-to-price ratio is mainly due to convergence in economic factors such as growth opportunities or discount rates rather than due to convergence in accounting practices.
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Lee, Kyuseok. "Essays in international capital markets." Diss., Georgia Institute of Technology, 2011. http://hdl.handle.net/1853/42861.
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My dissertation consists of three essays in international capital markets. In Chapter I, we
examine the herd trading behavior of institutional investors trading around the world. Using
a new transaction-level trades database of 531 U.S. institutional investors trading across
37 countries for the period 2002-2009, we find robust evidence of intra- and inter-period
herdings at the monthly frequency. We find no evidence that trades by institutions in our
sample destabilize local stock markets. Further analysis shows that: (i) in the buy side, both
intra- and inter-period herdings are more pronounced in countries with weaker information
environments; and (ii) in the sell side, intra-period herding is more pronounced in countries
with stronger information environments, whereas inter-period herding is not significantly
related to information environments.
In Chapter II, we document that the degree of co-movement between bilateral USD ex-
change rates has increased substantially since the introduction of the euro in 1999 and
investigate what drives the increased co-movement. For each of our 33 sampled bilateral
USD exchange rates, we measure the degree of co-movement using the R-square from re-
gressing weekly exchange rate changes on the weekly world exchange rate factor. Our results
show that, for the majority of sample exchange rates, the R-square has increased substan-
tially over the period 1999-2010. Specifically, the average R-square was 0.15 in 1999, but
it increased to 0.47 by more than 200% in 2010. Further analysis reveals that the rising
influence of the euro relative to USD over a third currency can explain most of the increase
in the measured co-movement over time.
In Chapter III, we examine the level and trend of U.S. domestic market integration. For
each of our sample states, we construct the state (market) portfolio comprising public firms
headquartered within the state and compute R-square, our measure of integration, from
regressing state portfolio returns on national stock market factors. Using weekly returns,
we estimate the regression for each year of our sample period 1963-2008. The key findings
are: (i) For the majority of sample states, the R-square exhibits a statistically significant
upward trend, implying that U.S. domestic stock markets were not fully integrated and
have been integrating during the sample period; (ii) consistent with the previous result, the
explanatory power of the state factor over individual stock returns has been decreasing for
the majority of states; and (iii) the increasing integration of U.S. domestic stock markets is
associated with the decreasing home state bias, suggesting that investors' pursuit of nation-
wide investment opportunities may be a significant driver of domestic financial integration.
13
Biggs, M. "Credit markets and international capital." Thesis, University of Cambridge, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.596633.
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The first essay examines the problem of adverse selection when borrowers have private information about uncertain investment opportunities and are afforded the protection of limited liability. In particular, it considers how screening devices such as leverage ratios and interest rates can be used to assist in the transfer of information from borrowers to lenders. Both the supply and demand for credit is modelled. In a partial equilibrium setting, an increase in leverage ratios can enhance investment quality in a closed economy. If a country chooses to liberalise its capital account, an inflow of foreign capital can lead to a fall in GNP unless leverage ratios increase. In the second essay, the model is extended to include the risk of leverage into the investment decision. Again, multiple equilibria arise. In a close economy, the leverage ratio that maximises interest rates is higher than the leverage ratio that maximises output. In addition, the economy tends towards a Rothschild Stiglitz equilibrium that maximises nether interest rates nor output. This provides a justification for government intervention. In an open economy, the interests of government, savers and borrowers are aligned. However, liberalising the capital account does not ensure an increase in GNP. Opening the capital account gives the domestic economy access to foreign capital, but it loses control over the risk free interest rate. If capital flows are small, the costs of the latter may exceed the benefits of the former. In the third essay, empirical support for the theoretical insights of the first two essays is obtained. An hypotheses gleaned from the first two papers is that foreign capital should be less effectively allocated by the domestic banking sector, and consequently capital inflows should be associated with a fall in total factor productivity growth. Using a variety of methods, evidence is found to support this claim.
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Huang, Yao, and 黄垚. "Two essays on capital markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44893140.
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Okamura, Hideo. "Capital Markets and Corporate Finance." Kyoto University, 2002. http://hdl.handle.net/2433/149401.
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Lin, Pei-Ta. "Strategic uncertainty in capital markets." Thesis, Queensland University of Technology, 2017. https://eprints.qut.edu.au/104122/1/Pei-Ta_Lin_Thesis.pdf.
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This thesis advances our understanding of financial markets from a game-theoretical perspective. Using tools from auction theory (mechanism design), I show how financial market anomalies arise from the strategic interactions between market speculators in the IPO and short selling markets. In doing so, I highlight how seemingly irrational market phenomena have rational microeconomic foundations and highlight how market designs can inadvertently promote speculative trading behaviours.
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Han, Seung. "INTERNAL CAPITAL MARKETS AND BANK RELATIONSHIP - EVIDENCE FROM JAPANESE CORPORATE SPIN-OFFS.INTERNAL CAPITAL MARKETS, INVESTMENT." Doctoral diss., University of Central Florida, 2005. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/3306.
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This dissertation consists of two studies related to internal capital markets and bank relationship using Japanese corporate spin-offs. The first study analyzes the relation between internal capital markets and banks by examining 137 Japanese corporate spin-offs created between the years 2001 and 2003 (since the establishment of new spin-offs law in 2001). In a univariate analysis, we find significant positive average cumulative abnormal returns around the announcements, market-adjusted excess returns after the spin-offs, an increase of the Herfindahl index, and a reduction in the diversification discount after the spin-offs. In a cross-sectional analysis, we find that bank-related governance variables such as the keiretsu-affiliation indicator, bank loan to total asset ratio, main bank ownership, and indicator variable of the existence of a bank-appointed director on the board indicator variables are significantly positively related to cumulative average abnormal returns around the announcements, market-adjusted excess returns after the spin-offs, an increase in focus of firms in terms of the Herfindahl index, and a reduction in the diversification discount. Therefore, we conclude that there is a significant relationship between internal capital markets and banks in Japan; after the internal capital market reorganization through spin-offs the closer relationship with banks creates shareholder wealth and increases the focus of firms. This paper is now co-authored with Professor Yoon K. Choi. The second study analyzes the investment policy changes in internal capital markets and the effect of banks' monitoring on the investment changes using Japanese corporate spin-offs, including merger-facilitated spin-offs within conglomerates. We find that investment sensitivity increases significantly after internal restructuring through spin-offs, consistent with Gertner et al. (2002). Furthermore, our results show that bank-related spin-offs' investments are more sensitive to investment opportunities, Tobin's Q, after being spun off. This suggests that the efficiency of Japanese internal capital markets has increased through spin-offs after the financial deregulation in 2001. We conclude that banks seem to play significant monitoring roles in internal capital markets to increase the investment efficiency after spin-offs. This paper is now co-authored with Professor Yoon K. Choi.Ph.D.
Department of Finance
Business Administration
Business Administration: Ph.D.
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Whelan, Shane F. "Actuarial investigations in Irish capital markets." Thesis, Heriot-Watt University, 2003. http://hdl.handle.net/10399/281.
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Chondrogianni, Anthi. "Career concerns in venture capital markets." Thesis, University of Bristol, 2016. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.707725.
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Serra, Ana Paula de Sousa Freitas Madureira. "Tests of international capital market integration : evidence from emerging stock markets." Thesis, London Business School (University of London), 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312308.
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Ågren, Martin. "Essays on prospect theory and the statistical modeling of financial returns /." Uppsala : Department of Economics, Uppsala University, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7331.
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Alam, Md Ashraful. "R&D investment and capital markets : evidence from emerging markets." Thesis, University of York, 2015. http://etheses.whiterose.ac.uk/13790/.
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This thesis deals with the firm-, macro-and institutional-level determinants of research and development (R&D) investment, assessing the impact of R&D spending on firm performance and the financing of R&D investment in emerging markets. The recent financial crisis has had adverse effects worldwide. This study finds that the financial crisis had a significant negative impact on firms’ R&D investment in emerging markets. It also finds that the R&D investments of both local firms and multinational enterprises (MNEs) were affected, and that the latter was affected 1.63 times more than the former. However, when the firms were split between innovative and non-innovative, it was observed that innovative firms continued to invest in R&D during the recession, while non-innovative firms cut down their R&D investment. In addition, it is found that, during a financial crisis, the firm-level determinants of R&D are firm age, firm size, export orientation, debt ratio and foreign ownership. This implies that the assumptions of the resource based view (RBV) hold true, even during a financial crisis. The results suggest that affected and less-/unaffected countries’ R&D determinants behave differently during a financial crisis. They also show that the probability of a decrease in R&D investment in affected countries is 60 percent higher than in less-/unaffected countries. Similarly to firm-level factors, macroeconomic factors also influence R&D expenditure. GDP growth, exports, trade openness, patents and financial crisis are the main macroeconomic determinants of a country’s R&D expenditure. Moreover, analysis suggests that macroeconomic determinants of R&D investment behave differently in advanced and emerging countries, owing to their different nature and purpose, and the countries’ levels of economic development. In addition to firm and macroeconomic factors, the institutional environment plays an important role in R&D investment in emerging countries. The results show that government effectiveness and rule of law have significant positive impacts, while corruption and political instability have significant negative impacts on R&D investment in emerging countries. However, opponents of country-level factors have claimed that these factors influence the innovative activities and firm performance of emerging countries indirectly. This study finds that investor protection (safeguards) tends to have a greater moderating effect on the relationship between R&D and firm performance than country-level governance (systems). The results indicate that safeguards promote firm-level innovation in emerging markets, while systems are substituted by firm-level corporate governance in emerging countries. Moreover, in the case of risky and uncertain investments such as R&D, investors seek protection from possible losses. It is also observed that R&D financing behaves differently according to different levels of multi-nationality and financial systems. Local firms do not use external funding, while MNEs use both internal and external funding for R&D investments due to the availability of organisational slack. A country’s financial systems may restrict firms from choosing particular sources of finance. Firms within bank-based systems tend to rely on external funding and firms within market-based systems depend more on internal funding for R&D investment. The results indicate that market-based firms follow pecking order theory. Secondary data for the analysis were collected from various sources, including DataStream, annual financial reports, LexisNexis, the World Bank’s Development Indicators, Worldwide Governance Indicators and Protecting Minority Shareholder data, and the International Country Risk Guide database. Both static and dynamic panel data techniques, including generalised methods of moment (GMM) estimation, were used for the analysis. Dynamic GMM panel estimation was used to control for endogeneity and unobserved heterogeneity, and to provide efficient and consistent estimation even in the presence of heteroscedasticity. The study also adopted an instrumental variable (IV) approach with OLS and Granger causality tests for the analysis. This study will be helpful to various stakeholders, including investors and managers, lenders and policy makers in emerging markets.
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Arand, Daniel [Verfasser]. "Analyst reports and capital markets / Daniel Arand." Gießen : Universitätsbibliothek, 2013. http://d-nb.info/1065463154/34.
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Sivakumar, Ranjini M. "Essays on asset pricing and capital markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ34833.pdf.
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Lee, Sunglyong. "Firm access to capital markets in Europe." Diss., Columbia, Mo. : University of Missouri-Columbia, 2007. http://hdl.handle.net/10355/4711.
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Thesis (Ph. D.)--University of Missouri-Columbia, 2007.The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on September 27, 2007) Vita. Includes bibliographical references.
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Cardenas, Ruben Ojeda. "Optimal intertemporal decisions in imperfect capital markets." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/77874.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Economics, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references.
Optimal intertemporal investment solution paths are derived for both, firms operating in perfect financial markets and those facing credit constraints, due to imperfect capital markets. However, as in these markets, saving and investment decision may not be separable, we obtain the optimal dynamic path of these decisions for agents that own capital but do not have any access to credit and extend the analysis when these agents have some access to credit but yet face credit constraints from financial intermediaries. We next consider agents without physical capital and who derived their income from wages and/or financial assets. We study their optimal intertemporal decisions, among, consumption, financial assets and durable goods, first under perfect capital markets and then when credit constraints are present. The above results may be useful for both, the comparative dynamic analysis of agents with different type of endowments and immersed in imperfect financial markets and also to derive, from micro foundations, the aggregate demand and supply functions of intertemporal macro models for developing economies. The distinction between different types of agents according to their endowment may also help to assess the wealth and income distribution implications of economic policy.
by Ruben Ojeda Cardenas.
S.M.
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Harwood, Catherine F. (Catherine Freda). "An analysis of Russian equity capital markets." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/72865.
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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references (p. [49]-[57]).
This paper begins with the assumption that stock market development has a positive and causal relationship with long run economic growth. It thus takes the view that developing the equity market is an important policy objective for the Russian government. Through a series of interviews, data collection and a review of the literature, it is found that the Russian equity market is rather underdeveloped as measured by its liquidity, free float capitalization and industry concentration. In order to stimulate the development of the market, the paper focuses on the attraction of long term capital to sustainably increase the size and liquidity of the market and reduce volatility. A set of viable reforms are suggested to achieve this goal including: 1) the upgrade of market infrastructure primarily through the creation of a Central Settlement Depository and relaxation of prefunding requirements, 2) corporate governance improvements through a reduced government participation, increased board independence and the introduction of a minimum free float requirement and 3) Incentives for the pooling of long term domestic capital, in particular through the diversification of risk using cross-country swaps.
by Catherine F. Harwood.
S.M.
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Rueangsuwan, Sarayut. "Essays on earnings strings in capital markets." Thesis, University of Exeter, 2016. http://hdl.handle.net/10871/27362.
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This study is motivated by the observed valuation premiums given to firms that meet or beat earnings thresholds. The extensive literature on meeting or beating earnings benchmarks documents that firms tend to report profits, earnings increases, and positive earnings surprises relative to analysts’ earnings forecasts. Evidence indicates that firms who achieve earnings targets economically enjoy higher price-earnings multiples, higher abnormal returns, and lower cost of debt. However, it still leaves several important issues open to investigation. Therefore, this thesis mainly investigates why valuation premiums exist in the presence of consecutively meeting or beating prior period’s earnings (earnings strings). The results strongly suggest that valuation premiums are driven by firm fundamentals, growth, risk, and combinations of these factors.
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Choi, Euikyu. "Essays on Human Capital and Financial Markets." Diss., Temple University Libraries, 2016. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/384606.
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Business Administration/FinancePh.D.
This dissertation examines various aspects of human capital and their linkage to the financial markets. The first chapter empirically shows that the cost of debt is systematically higher for firms that operate in mobile labor markets. We posit two channels through which labor mobility could positively affect firms’ cost of debt. First, relates to greater default risk arising from potential loss of key personnel and a corresponding reduction in future cash flows, while the second relates to lower liquidation value (collateral) given that the firms’ human capital is more transient, which reduces pledgeable assets. Using across state, cross-sectional variations in the degree of enforceability of non-compete agreements which restrict employee mobility as a proxy for anticipated labor mobility, and state-level reforms to non-compete laws to capture exogenous shocks to labor mobility, we find that labor mobility (inverse of the strength of non-compete enforceability) has a significantly positive effect on the credit spreads of public corporate bonds (our measure of the cost of debt) issued from 1990 – 2014 for large, U.S. industrial firms. Moreover, the analysis reveals that the effect of labor mobility is greater for firms that are located in states which have a higher concentration of industry rivals or for firms that are comprised primarily of professional, knowledge workers, which corroborates the main results. Overall, these findings suggest that creditors price financial contracts by taking into account the risk that arises from labor mobility. The second chapter examines the effect of shareholder monitoring on the relation between human capital and firm value. The extant literature suggests that influential, concentrated ownership facilitates close shareholder monitoring and reduces information asymmetries between shareholders and the firm (Demsetz, 1985; Anderson and Reeb, 2003). Yet, intense monitoring by shareholders can impede employees’ initiatives and effort (Shleifer and Vishny, 1988; Burkart, Gromb, and Panunzi, 1997). We argue that such a cost can be significant when firm output relies on specialized – rather than more generic – human capital, which require self-motivation and autonomy to be productive. Consistent with our argument, the empirical evidence indicates that firm value suffers in the presence of highly influential ownership, but only when firm productivity depends on specialized human capital. We do not find such an effect when human capital is more generalized. Specifically, we observe that an equity portfolio that is long on firms with influential ownership and short on firms without influential ownership earns a significantly negative abnormal return from 2002 to 2010, but again, only for firms with specialized human capital. Overall, our results delineate the importance of considering the linkages between human capital and financial markets, which could impact the allocation of capital in the economy, and moreover, on economic growth.
Temple University--Theses
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Painter, Marcus. "ESSAYS ON EXTERNAL FORCES IN CAPITAL MARKETS." UKnowledge, 2019. https://uknowledge.uky.edu/finance_etds/10.
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In the first chapter, I find counties more likely to be affected by climate change pay more in underwriting fees and initial yields to issue long-term municipal bonds compared to counties unlikely to be affected by climate change. This difference disappears when comparing short-term municipal bonds, implying the market prices climate change risks for long-term securities only. Higher issuance costs for climate risk counties are driven by bonds with lower credit ratings. Investor attention is a driving factor, as the difference in issuance costs on bonds issued by climate and non-climate affected counties increases after the release of the 2006 Stern Review on climate change. In the second chapter, I document the investment value of alternative data and examine how market participants react to the data's dissemination. Using satellite images of parking lots of US retailers, I find a long-short trading strategy based on growth in car count earns an alpha of 1.6% per month. I then show that, after the release of satellite data, hedge fund trades are more sensitive to growth in car count and are more profitable in affected stocks. Conversely, individual investor demand becomes less sensitive to growth in car count and less profitable in affected stocks. Further, the increase in information asymmetry between investors due to the availability of alternative data leads to a decrease in the liquidity of affected firms.
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Leinyuy, Jibirila. "Markets, family firms and human capital investment." Paris, EHESS, 2008. http://www.theses.fr/2008EHES0015.
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Les politiques fondamentales pour le développement économique sont l'amélioration du secteur des affaires, le développement des marchés et l'accumulation du capital humain. Mais les structures des entreprises et des marchés dans les pays pauvres peuvent créer un conflit entre ces différents objectifs tel que les conditions qui améliorent les perspectives de développement des entreprises vont diminuer les incitations à investir en capital humain. Dans cette thèse, j'utilise la théorie microéconomique pour démontrer par quel mécanismes l'évolution des marchés (du crédit, du travail et des produits) affecte les incitations à l'accumulation du capital humain (éducation et travail des jeunes). Je teste ensuite par des méthodes économétriques cette théorie, en utilisant les données recueillies lors d'une enquête auprès des entreprises familiales du Nord-Ouest CamerounImproving the business sector and developing markets are fundamental policies for economic growth, so is human capital accumulation. But business conditions and market structures in poor economies can create conflict between these objectives such that conditions that improve business prospects will decrease the incentives to invest in human capital. In this thesis, l use microeconomic theory to demonstrate the mechanisms through which market evolution (credit, labour and product markets) affects human capital accumulation incentives (children' s education and child labour). L econometrically test the theory using data from a survey of business households in North West Cameroon
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Mäki-Uuro, Hannes. "Nordic Capital Markets' Response to Terrorism : Focus on the Swedish Stock Market." Thesis, Uppsala University, Department of Business Studies, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7983.
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This study examines the economic impacts of three large-scale terrorist attacks on the Nordic capital markets. Past research has shown evidence of the increasing resilience of the US capital markets towards terrorist attacks. Hereby the Nordic regions capital markets were studied and compared with the US's capital markets, in an intention to find evidence whether or not the same development can be observed in the Nordic countries. The results implied that the Nordic markets did not absorb the shocks as well as the US markets. The analysis was taken into an industry level on the Swedish stock market to get a deeper insight of the impacts of such events. The results indicated the Energy sectors good ability to absorb terrorist attacks in terms of negative abnormal returns and time of recovery. The Financing sector seemed to be the most sensitive sector, since its performance was the weakest in terms of market recovery.
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Bell, R. Greg, Igor Filatotchev, and Abdul A. Rasheed. "Beyond product markets: new insight on liability of foreignness from capital markets." Palgrave Macmillan, 2012. http://epub.wu.ac.at/3485/1/JIBS_1st_submission_M.pdf.
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We expand the Liability of Foreignness (LOF) construct beyond the product market domain to
include liabilities faced by firms attempting to secure resources in host capital markets. Drawing
from institutional theory and research in finance, we identify institutional distance, information
asymmetry, unfamiliarity, and cultural differences as the main sources of capital market LOF
(CMLOF). We then propose that the impact of these antecedent factors can be moderated
through bonding, signaling, organizational isomorphism, and reputational endorsements.
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Fredholm, Johan, and Benjamin Taghavi-Awal. "Capital markets in developing countries : A model for capital market diagnostics, with a field study implementation in Georgia." Thesis, Stockholm University, School of Business, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6430.
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This thesis starts with a research overview of the relationship between financial system development, capital markets and economic growth. The general consensus among economists is that financial system development contributes to economic growth and that both banks and capital markets are important in that development. These findings justify the interest that aid agencies and international organisations show for assisting financial development in developing countries. The authors go on to create a model for Capital Market Diagnostics (CMD) that could be used by such organisations to evaluate the level of development of the capital market in a developing country. The model consists of three steps. Step one determines whether necessary conditions, such as security and rule of law, exist in the country. Step two lists factors that can improve or impede the development of the capital market, focusing on the availability of capital, the availability of investment opportunities and macro environment factors that affect these two. The third step consists of an evaluation of the financial institutions in the country, providing checklists for interviews and site visits. To test the model it was implemented during a field study in Georgia. The conclusions from the test were that the final model, having been improved during the field study, meets the requirements for accuracy and usability and can be utilised as intended. The evaluation also resulted in conclusions on the development of the Georgian capital market. The level of development is low, mainly due to a lack of investment opportunities. There are few companies using the capital market in Georgia, and the ongoing privatisation process is not changing this but instead creates privately held companies with few owners. Another cause for the low level of development is a lack of capital, due to low interest and level of knowledge from domestic investors and a pension system that does not channel investments to the capital market. However, the institutions of the capital market are sufficiently developed for the current level of market activity and do not limit capital market development at this stage.
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Chowdhury, Jaideep. "Three Essays on Product Market Capital Market Interactions." Diss., Virginia Tech, 2008. http://hdl.handle.net/10919/29636.
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The Industrial Organization literature investigates the product market decisions of a firm while the corporate finance literature explores the financing decisions of the firm. But the truth is both the financing decisions and the product market decisions are interdependent and should be modeled together to develop a better understanding of a firm's decisions. This thesis takes a step in that direction.
The manager of a firm caters to the equity holders of the firm who are protected by limited liability. Ex-ante debt is issued and at the time of product market decision, debt is exogenous. The traditional product market capital market interaction literature has argued that debt financing leads to more aggressive product market strategies. If debt is treated as endogenous and/or the switching state of nature is endogenous, it can be shown that debt financing may lead to less aggressive product market strategies. Further, if external financing consists of both debt and equity financing, it is shown that a financially constrained firm shall produce less than what it would have produced if it was not financially constrained. Finally, managerial compensation is reported to be one of the reasons for product market aggressiveness of a firm in the context of product market capital market interaction.Ph. D.
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Violaris, Antonis M. "Tests of capital market integration/segmentation : the case of the European equity markets." Thesis, Durham University, 1999. http://etheses.dur.ac.uk/1439/.
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Kobold, Klaus. "Interest rate futures markets and capital market theory : theorical concepts and empirical evidence /." Berlin ; New York : W. de Gruyter, 1986. http://catalogue.bnf.fr/ark:/12148/cb37354747f.
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Xu, Xia. "Four Essays on Capital Markets and Asset Allocation." Thesis, Lyon, 2018. http://www.theses.fr/2018LYSE2059/document.
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Les événements extrêmes ont un impact important sur les distributions de rendement et les décisions d’investissement. Cependant, le rôle des risques d’événement est sous-estimé dans les approches populaires de prise de décision financière. Cette thèse inclut les risques d’événements dans les décisions d’investissement pour améliorer l’optimalité globale des investissements. Nous examinons les risques d’événements dans deux contextes financiers différents mais cohérents: la sélection de portefeuilles et le financement d’entreprise. Dans le cadre de la sélection de portefeuilles, nous nous concentrons sur l’incorporation d’informations d’ordre supérieur pour capturer l’impact des risques d’événements sur la construction du portefeuille. Des extensions d’ordre supérieur sont implémentées sur deux méthodes principales d’optimisation de portefeuille: le cadre classique de l’optimisation de la variance moyenne et du CAPM, et l’approche de la dominance stochastique. Nous trouvons que l’inclusion d’informations d’ordre supérieur améliore l’optimalité globale du portefeuille compte tenu de la présence de risques d’événement. Dans un cas particulier, nous combinons les applications traditionnelles de l’optimisation de la moyenne variance et de l’analyse de dominance stochastique pour examiner l’efficacité de l’indice de DJIA. Nous trouvons que DJIA est efficace en tant que référence de performance. Dans le domaine des finances d’entreprise, nous avons principalement identifié les changements de dénomination sociale de M&A parmi l’indice S&P 500 et examiné comment les événements de changement de nom affectent les modèles de rendement pour les acquéreurs et les cibles. Dans le cadre de cette étude d’entreprise, nous montrons que les changements de nom affectent sensiblement la dynamique du rendement et que la différence de rendement anormale entre les événements de changement de nom et les événements sans changementde nom est économiquement et statistiquement significative. En général, nos études montrent que l’inclusion des risques d’événements dans les processus décisionnels apporte des avantages importants à l’optimisation de l’allocation des actifsExtreme events have a material impact on return distributions and investment decisions. However, the role of event risks is understated in popular financial decision making approaches. This thesis includes event risks into investment decisions to improve global investment optimality. We examine event risks in two different but coherent financial settings: portfolio selection and corporate finance. In the portfolio selection setting, we focus on the incorporation of higher order information to capture the impact of event risks on portfolio construction. Higher order extensions are implemented on two main portfolio optimization methods: the classic framework of mean variance optimization and CAPM, and the stochastic dominance approach. We find that the inclusion of higher order information improves global portfolio optimality given the presence of event risks. As a special case, we combine the traditional applications of mean variance optimization and stochastic dominance analysis to examine the index efficiency of DJIA. We find that DJIA is efficient as a performance benchmark. In the corporate finance setting, we principally identified corporate name changes of M&As among the S&P 500 index, and examined how the name change events impact the return patterns for the acquirers and the targets. Conducting this corporate event study, we show that name changeevents substantially affect return dynamics, and that the abnormal return difference between name change events and non name change events is economically and statistically significant. Generally, our studies illustrate that the inclusion of event risks in decision processes brings important benefits to the asset allocation optimization
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Compton, Ryan A. "Transition and the development of Baltic capital markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/mq24819.pdf.
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Galpin, Neal. "Three essays on the wisdom of capital markets." [Bloomington, Ind.] : Indiana University, 2006. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3229587.
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Thesis (Ph.D.)--Indiana University, Kelley School of Business, 2006."Title from dissertation home page (viewed July 5, 2007)." Source: Dissertation Abstracts International, Volume: 67-08, Section: A, page: 3101. Adviser: Utpal Bhattacharya.
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Ajayi, Olukonyinsola. "Regulatory techniques and internationalisation and emerging capital markets." Thesis, University of Cambridge, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.358419.
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Anagnostopoulos, Alexios. "Essays on dynamic macroeconomics with imperfect capital markets." Thesis, London Business School (University of London), 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.428584.
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Amorosi, Gabriele. "Three essays on distribution, capital and labour markets." Thesis, University of Kent, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633520.
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This thesis provides an empirical analysis of the following three economic issues: (i) the relationship between financial markets deepening and income inequality; (ii) the . association of consumption insurance with the distribution of income and consumption; and (iii) the effects of women's education on husbands' income and labour market participation. The first issue is addressed in chapter two, where I employ a cross-sectional empirical analysis of a number of countries. The peculiarity here is the use of "new" financial market variables that proxy for access to financial services and for credit constraints. Estimation results show negative and significant regression coefficients for both variables. If this outcome is expected for the indicator of access, it is not for th~ other one. I speculate this is due the fact that the underlying indicator affects only the richer. The second issue is analysed in chapter three. Here a mixture of normal distributions to is used to model UK's household income data in a semi-parametric way; the model's fitting looks reasonably good. This approach is also used to simulate the distribution of consumption under the extreme hypotheses of full smoothing and no smoothing, which are, in turn, compared with actual consumption. Results show a sizable degree of smoothing across household.
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Norton, Simon Dominic. "Application of capital markets instruments in ship finance." Thesis, Cardiff University, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.310180.
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Stefanakis, Vion. "Role of capital markets in global infrastructure finance." Thesis, Massachusetts Institute of Technology, 1996. http://hdl.handle.net/1721.1/40157.
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Cao, Yi. "Computational approaches for detecting manipulations in capital markets." Thesis, Ulster University, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.675472.
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Alfonso, Pérez Gerardo. "The South East Asia Capital Markets: 1995-2015." Doctoral thesis, Universitat de Barcelona, 2022. http://hdl.handle.net/10803/673889.
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The South-East Asia region is an increasingly economically important region due to its large population and development potential. The region has however experienced phases of substantial economic turmoil such as for instance the South-East Asia financial crisis of the 90’s. This dissertation analyses the short-term and long-term impacts of the financial crisis from a stock market point of view. This dissertation adds to the existing literature by focusing on the equity market rather than on the foreign exchange market which is the area covered in most of the existing literature. The results shows that the South-East Asia crisis was a rather complex event with quantitatively distinct phases. Granger causality and adjusted volatility analysis were also carried out. In both cases controlling for preexisting relations. The analysis shows that the South-East Asia financial crisis was a rather complex event, perhaps more complex than it is normally assumed, with dynamic interactions among the equity markets of the countries/jurisdictions analyzed. It will be shown that there was no country/jurisdiction that consistently drove the performance of the other countries/jurisdictions in the region. It will be also shown that the importance of some equity markets in the region shifted with for instance the equity market of Thailand becoming less regionally important and other countries, such as South Korea, becoming more important compared to the pre-crisis period.
It was also analyzed the impact of the legal system in the performance of the equity markets in the region. Most of the analyzed countries/jurisdictions analyzed, with the noticeable exception of Thailand, were colonized and the colonizing country tended to impose their own legal system. Three groups of major legal systems were analyzed including the English, French and German legal systems. Typically in the existing literature there is a four group usually called the Scandinavian system. However, this group was not included because Scandinavian countries did not colonize South-East Asia. The results suggest that the type of legal system has a statistically significant impact on equity performance. The results also suggest, but with less statistical robustness, that the English system appears to have an advantage, from an equity market performance point of view, compared to the French and German. The analysis was carried out using classical econometric models, controlling for several drivers of the stock market performance, as well as using a more systematic approach for model factor selection, using a Lasso algorithm. The Lasso regression automatically choses which drivers to use (from a pool of drivers) for a model. In this way the driver selection is more objective.
Finally, it was proposed an approach to try to detect Black Swan events such as financial crisis. The algorithm automatically selects the parameters of the forecasting algorithm used. For example, the length of the training data and the number of neurons in a neural network but can be extended to other forecasting techniques. This automated approach presents two advantages. First, it avoids the risk of biased model selection. After a financial crisis has happened it is tempting to find a quantitative model that (a posteriori) is able to detect the crisis, such as for instance changing the length of the training dataset until the model fits the data. Second, it is also allows for comparison among techniques that might require different parameter selections, such as the above mentioned length of the training data.
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Bonizzi, Bruno. "Institutional investors and capital flows to emerging markets." Thesis, SOAS, University of London, 2016. http://eprints.soas.ac.uk/23797/.
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This dissertation represents an investigation into the determinants of capital flows to emerging markets. It argues that the existing literature can be enriched by explicitly recognising the monetary nature of capital flows, which can be effectively drawn out on the basis of post- Keynesian monetary theory, and recognising the importance of institutional investors as key actors in today's financial markets. As such, the current cycle of capital flows to emerging markets can be understood as the demand for emerging markets assets by institutional investors. The determinants of such a demand are therefore the key focus of this dissertation. Two factors, alongside many others already considered by the literature, stand out. Firstly, in line with post-Keyensian theories of exchange rates, currency liquidity plays an important role. Emerging markets currencies are structurally less liquid and thus subordinated to advanced countries currencies, but the extent of their subordination is mitigated by context-specific 'fundamentals'. This dissertation argues that the accumulation of foreign exchange reserves is a primary factor in these respects. Secondly, this dissertation points out that liabilities play a key role in the institutional investors' portfolio choice mechanism. Rather than mechanically optimising over the risk/return tradeoff, the asset allocation of institutional investors is primarily driven by the goal of achieving sufficient returns to face their obligations. In the post-crisis environment, institutional investors' balance sheet condititions have deteriorated, and - due to low interest rates and low financial market returns on safe assets - traditional asset classes cannot be relied upon to generate sufficient returns to cover liabilities. Institutional investors are therefore induced to look for alternative assets that can promise higher returns and allocate a growing part of their assets to emerging markets assets as part of this strategy. This dissertation uses both qualitative and quantitative methods to support these arguments. It uses advanced macro-panel econometrics techniques to estimate assets demand equations for emerging markets equities and bonds. The econometric results confirm the macro-level significance of the hypothesised relationships, suggesting that higher level of foreign exchange reserves and weaker balance sheet conditions - proxied by lower pension funding ratios - increase allocations to emerging markets. Qualitative methods, in the form of semi-structured interviews, shed further light on the processes that lead to such results. In particular they highlight the complexity of the relationship between the 'fundamentals' and their effect on asset allocation, and the interaction between regulation and the way through which liabilities affect investors' behaviour. Finally the macroeconomics implications of these findings are analysed through a Stock- Flow Consistent model. It is shown that institutional investors may have a pro-cyclical or counter-cyclical impact on the system. Crucially, this is determined by how the dynamics of the model affect institutional investors' balance sheet conditions. Overall, this dissertation warrants caution about the present situation of emerging markets. Institutional investors may be less panic-prone, but ultimately their interest in emerging markets seems to be caused more by their weaker balance sheets, as low returns make it impossible for assets to match their growing liabilities, rather than 'fundamentals'.
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Gokcen, Umut. "Two Essays on Valuation in Imperfect Capital Markets:." Thesis, Boston College, 2010. http://hdl.handle.net/2345/bc-ir:108961.
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Shi, Xucheng. "Three Essays on Information Intermediaries in Capital Markets." Thesis, Jouy-en Josas, HEC, 2021. http://www.theses.fr/2021EHEC0003.
Full textAbstract:
Cette thèse se compose de trois chapitres qui étudient empiriquement le rôle des intermédiaires d'information. La première partie analyse si la société mère d’une société de conseil en vote, a un intérêt direct dans les votes par procuration. La deuxième partie présente un travail conjoint réalisé avec Han Wu. Cette étude analyse si les conseillers en vote exercent un rôle actif en influençant la rémunération des dirigeants ou simplement un rôle passif en tant qu'intermédiaires de l'information. Le troisième chapitre, en collaboration avec Zhang Zhang, s’applique à déterminer si les rapports des agences de notation payées par les investisseurs transmettent des informations supplémentaires sur le risque des émetteurs de titres de créanceThis dissertation consists of three chapters that empirically investigate the economics of information intermediaries. The first chapter investigates whether a proxy advisory firm’s parent company has a vested interest in proxy votes. The second chapter presents a joint work with Han Wu, examining whether proxy advisors exert an active role in influencing executive compensation or merely a passive role as information intermediaries. The third chapter, joint with Zhang Zhang, explores whether credit reports from investor-paid rating agencies provide incremental information of corporate debt issuers’ credit risk