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open access

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

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

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

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

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

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

Market Timing, Forecast Ability and Information Flow in Petroleum Futures Markets

Description: Three petroleum futures contracts are examined over a ten-year period from 1986 to 1996. Intertemporal changes in futures prices and the net open interest positions of three trader types are compared to determine what, if any, market timing ability the traders have. Seasonal variation is considered and a simple trading rule is adopted to determine the dollar-return potential for market participation and shed light on issues of market efficiency.
Date: December 1997
Creator: Buchanan, William K.
Partner: UNT Libraries
open access

Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions

Description: When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy (sell) the ind… more
Date: December 2007
Creator: Lin, Cheng-I Eric
Partner: UNT Libraries
open access

Crude Oil and Crude Oil Derivatives Transactions by Oil and Gas Producers.

Description: This study attempts to resolve two important issues. First, it investigates the diversification benefit of crude oil for equities. Second, it examines whether or not crude oil derivatives transactions by oil and gas producers can change shareholders' wealth. With these two major goals in mind, I study the risk and return profile of crude oil, the value effect of crude oil derivatives transactions, and the systematic risk exposure effect of crude oil derivatives transactions. In contrast with pr… more
Date: December 2007
Creator: Xu, He
Partner: UNT Libraries

Bank Loans as a Financial Discipline: A Direct Agency Cost of Equity Perspective

Description: In a 2004 study, Harvey, Lin and Roper argue that debt makers with a commitment to monitoring can create value for outside shareholders whenever information asymmetry and agency costs are pronounced. I investigate Harvey, Lin and Roper's claim for bank loans by empirically testing the effect of information asymmetry and direct agency costs on the abnormal returns of the borrowers' stock around the announcement of bank loans. I divide my study into two main sections. The first section tests whet… more
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Date: December 2006
Creator: Hijazi, Bassem
Partner: UNT Libraries

Reconciling capital structure theories in predicting the firm's decisions.

Description: Past literature attempts to resolve the issue of the motivation behind managers' choice of a given capital structure. Despite several decades of intensive research, there is still no consensus about which theory dominates capital structure decisions. The present study empirically investigates the relative importance of two prominent theories of capital structure- the trade-off and the pecking order theories by exploring the conditions under which each theory can explain the financing choices o… more
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Date: December 2006
Creator: Palkar, Darshana
Partner: UNT Libraries
open access

Does the Method of Financing Stock Repurchases Matter? Examining the Financing of Share Buybacks and Its Effect on Future Firm Investments and Value

Description: Recent increases in stock repurchases among U.S. corporations coupled with a historically low cost of debt since the Global Financial Crisis has created media speculation that firms in recent years are paying for their expanding share buyback programs with debt. Repurchasing stock by increasing leverage, instead of using internal funds, implies that managers may speculate on current low interest rate environments at the expense of shareholders. Recent studies find that stock repurchases are ass… more
Date: December 2018
Creator: Peabody, Stephen Drew
Partner: UNT Libraries
open access

Information Content of Iron Butterfly Arbitrage Bounds

Description: Informed traders trade options on underlying securities to lower transaction costs and increase financial leverage for price trend and variance strategies. Options markets play a significant role in price discovery by incorporating private information about future prices for an underlying security into option prices. I generate a new model-free volatility measure to calculate the "distance from arbitrage bounds" from minute-by-minute option series for the S&P 500 index and 30 individual underly… more
Date: December 2016
Creator: Kochan, Mucahit
Partner: UNT Libraries
open access

Economic Motivation of the Ex-Dividend Day Anomaly: Evidence from an Alternative Tax Environment

Description: Several studies have observed that stocks tend to drop by an amount that is less than the dividend on the ex-dividend day, the so-called ex-dividend day anomaly. However, there still remains a lack of consensus for a single explanation of this anomaly. Different from other studies, this dissertation attempts to answer the primary research question: How can investors make trading profits from the ex-dividend day anomaly and how much can they earn? With this goal, I examine the economic motivatio… more
Date: December 2011
Creator: Anantarak, Sarin
Partner: UNT Libraries
open access

Risk Management And Market Efficiency On The Midwest Independent System Operator Electricity Exchange.

Description: Midwest Independent Transmission System Operator, Inc. (MISO) is a non-profit regional transmission organization (RTO) that oversees electricity production and transmission across thirteen states and one Canadian province. MISO also operates an electronic exchange for buying and selling electricity for each of its five regional hubs. MISO oversees two types of markets. The forward market, which is referred to as the day-ahead (DA) market, allows market participants to place demand bids and su… more
Date: December 2011
Creator: Jones, Kevin
Partner: UNT Libraries
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