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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

An Inquiry into the Inevitability of Prediction Error in Investment Portfolio Models

Description: Many mathematical programming models of the selection of investment portfolios assume that the best portfolio at any given level of risk is the portfolio having the highest level of return. The expected level of return is defined as a linear combination of the expected returns of the individual investments contained within the portfolio,and risk is defined in terms of variance of return. This study uses Monte Carlo simulation to establish that if the estimates of the future returns on potential… more
Date: December 1972
Creator: Valentine, Jerome Lynn
Partner: UNT Libraries
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The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio

Description: The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbit… more
Date: December 2015
Creator: AlShammasi, Naji Mohammad
Partner: UNT Libraries
open access

Single Notch Versus Multi Notch Credit Rating Changes and the Business Cycle

Description: Issuers’ credit ratings change by one or more notches when credit rating agencies provide new ratings. Unique to the literature, I study the influences affecting multi notch versus single notch rating upgrades and downgrades. For Standard & Poors data, I show that rating changes with multiple notches provide more information to the market than single notch rating changes. Consistent with prior literature on the business cycle, I show that investors value good news rating changes (upgrades) more… more
Date: December 2015
Creator: Poudel, Rajeeb
Partner: UNT Libraries
open access

Innovation Output and the Cost of Funds

Description: Do firms with higher levels of innovation output, measured by patent counts and citations, enjoy lower costs of funds? The process to develop and apply for patents involves valuable resources. Thus, applying for a patent is a credible signal that the underlying invention is valuable. This value is validated to some degree when the patent is granted. In addition, patents contain detailed information about the firm's inventions and provide collateral value as they can be sold and licensed. The n… more
Date: December 2016
Creator: Almomen, Adel Abdulkareem
Partner: UNT Libraries
open access

Three Essays on the Effects of Equity Option Introduction

Description: This dissertation is structured as three essays on various aspects of equity option introduction. Topics addressed include the relative predictability of introduction, the relationship between predictability of introduction and the price effect associated with introduction, and a comparison of the price response of optioned versus nonoptioned stocks to changes in dividends. Essay 1 involves use of firm-specific variables in a LOGIT model to allow assignment of a probability of equity option int… more
Date: August 1996
Creator: Ragle, William F.
Partner: UNT Libraries
open access

The Wealth Effect of the Risk-Based Capital Regulation on the Commercial Banking Industry

Description: The purpose of this study is to examine the wealth effect of the Risk-Based Capital (RBC) regulation on the U.S. commercial banking industry. The RBC plan was first proposed in January 1986, and its final form was announced on July 11, 1988. This plan resulted from dissatisfaction with the old capital regulation, which did not account for asset risk and off-balance sheet activities. The present study hypothesizes that the new regulation restricted bank optimal behavior and, therefore, adversely… more
Date: August 1994
Creator: Zoubi, Marwan M. Sharif (Marwan Mohd Sharif)
Partner: UNT Libraries
open access

The Application of Statistical Classification to Business Failure Prediction

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

Three Essays on Real Estate Investment Trusts and Financial Markets

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

A Theory of the Role of Medium of Exchange in Mergers and Acquisitions

Description: An acquisition bid is like any other proposal for risky investment. The difference arises due to additional source of risk arising from two different sources of information asymmetry due to private knowledge held by the bidder and target. We hypothesize that the bidding process evolves in a manner to optimize bidder's investment in the target through a process of joint signalling. Medium of exchange and bid premium are used as the two signal elements simultaneously by the bidder. We develop a m… more
Date: May 1994
Creator: Tiwari, Rajesh Kumar
Partner: UNT Libraries
open access

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

Description: This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the Ne… more
Date: December 1994
Creator: Sangmanee, Amporn
Partner: UNT Libraries
open access

Three Essays in Business Failure

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

An Analysis of Preferred Equity Redemption Cumulative Stock

Description: This dissertation examines whether Percs, Preferred Equity Redemption Cumulative Stocks, are properly priced regarding to the relevant securities, such as the underlying common stock, the long-term call option of the stock, and so on. Test results indicate that Percs were overpriced with respect to the equivalent packages composed of the relevant securities. Further tests on arbitrage restrictions show that transaction costs would prevent arbitrage profits. This dissertation also examines the m… more
Date: May 1994
Creator: Pu, Hansong
Partner: UNT Libraries
open access

Predictability of Credit Watch Placements and the Distribution of Wealth Effects Across the Trigger Event, Placement and Removal Dates

Description: Standard and Poor's began publication of Credit Watch in November of 1981 as an early warning list for firms whose debt is under review for a possible rating change. This dissertation is composed of three essays which address various aspects of Credit Watch and the impact on shareholder wealth. The first essay uses a discriminant analysis model to classify the Credit Watch status of firms which engaged in mergers and acquisitions activity in 1991. The model correctly classifies 69.85% of the in… more
Date: May 1996
Creator: Hudson, William C. (William Carl)
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
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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
open access

An Empirical Investigation of Portfolios with Little Idiosyncratic Risk

Description: The objective of this study is to answer the following research question: How large is a diversified portfolio? Although previous work is abundant, very little progress has been made in answering this question since the seminal work of Evans and Archer (1968). This study proposes two approaches to address the research question. The first approach is to measure the rate of risk reduction as diversification increases. For the first approach, I identify two kinds of risks: (1) risk that portfolio … more
Date: May 2004
Creator: Benjelloun, Hicham
Partner: UNT Libraries
open access

Which version of the equity market timing affects capital structure, perceived mispricing or adverse selection?

Description: Baker and Wurgler (2002) define a new theory of capital structure. In this theory capital structure evolves as the cumulative outcome of past attempts to time the equity market. Baker and Wurgler extend market timing theory to long-term capital structure, but their results do not clearly distinguish between the two versions of market timing: perceived mispricing and adverse selection. The main purpose of this dissertation is to empirically identify the relative importance of these two explanati… more
Date: August 2004
Creator: Chazi, Abdelaziz
Partner: UNT Libraries
open access

Internal Capital Market and Capital Misallocation: Evidence from Corporate Spinoffs

Description: This study investigates the importance of reduced capital misallocation in explaining the gains in corporate spinoffs. The capital misallocation hypothesis asserts that the internal capital market of a diversified firm fails to meet the needs of the relatively low growth divisions for less investment and the needs of the relatively high growth divisions for more investment. Higher differences in growth opportunities imply that more capital is misallocated. This study finds that the higher the … more
Date: August 2001
Creator: Warganegara, Dezie L
Partner: UNT Libraries

Empirical Tests of the Signaling and Monitoring Hypotheses for Initial Public Offerings

Description: The research questions investigated are: 1. Are the expected post-issue fractional holdings of the directors and officers, venture capitalists and institutions signals of firm value? 2. Are the expected post-issue fractional holdings of the directors and officers, venture capitalists and institutions signals of underpricing? and 3. Are the directors and officers, venture capitalists and institutions monitors of IPO investments? The signaling theory developed by Grinblatt and Hwang (1989) (GH) a… more
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Date: May 2006
Creator: Gordon, Sean Anthony Garnet
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

Announcement Effects of Bond Rating Changes on Common Stock Prices

Description: This dissertation examines the reaction of common stock prices to changes in bond ratings by Moody's Bond Service. The question is whether an announcement of a re-rating by Moody's is new information. There are only two studies of stock price reaction to bond changes and the results are conflicting. Pinches and Singleton (1978) [PS] concluded that any reaction comes well before the re-rating. Griffin and Sanvicente (1982) [GS] found that their portfolio test indicated that rating changes do con… more
Date: December 1984
Creator: Glascock, John L. (John Leslie)
Partner: UNT Libraries
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Institutional ownership and dividend policy: A framework based on tax clientele, information signaling and agency costs.

Description: This study is an empirical examination of a new theory that links dividends to institutional ownership in a framework of both information signaling and agency costs. Under this theory put forth by Allen, Bernardo and Welch in 2000, dividends are paid out to attract tax-favored institutional investors, thereby signaling good firm quality and/or more efficient monitoring. This is based on the premise that institutions are considered sophisticated investors with superior ability and stronger incen… more
Date: August 2008
Creator: Zaghloul Bichara, Lina
Partner: UNT Libraries
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