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Temple University
1.
Zhang, Chi.
ESSAYS IN EMPIRICAL FINANCE.
Degree: PhD, 2017, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,470143 
► Business Administration/Finance
In the first chapter, I investigate how CEO’s risk incentive (vega) affects firm innovation. To establish causality, I exploit compensation changes instigated by…
(more)
▼ Business Administration/Finance
In the first chapter, I investigate how CEO’s risk incentive (vega) affects firm innovation. To establish causality, I exploit compensation changes instigated by the FAS 123R accounting regulation in 2005 that mandated stock option expensing at fair values. My identification tests indicate a positive and causal effect of CEOs’ vega on innovation activities. Furthermore, dampened managerial risk-taking incentive after the implementation of FAS 123R leads to a significant reduction in innovation related to firm’s core business and explorative inventions. It implies that managers diversify their innovation portfolios and decrease explorative inventions to curtail business risk when their risk-taking incentive is reduced. In the second chapter, I document that IPO underwriters implicitly collude on their price targets to support the stock post-IPO. While it is well known that underwriters are biased and have higher average price target (first moment), my evidence of implicit collusion is based on the dispersion in price target (second moment), with lower dispersion implying stronger implicit collusion. I find that, at initiation following expiry of quiet period, the dispersion in price target among underwriters of a firm is only 65% of that for non-underwriters. In 24.5% of the cases, at least two underwriters forecast the exact same price target. Such implicit collusion is also prevalent around lockup expiry. My results are robust to alternative, more direct, proxies for implicit collusion such as the proportion of underwriters that come out with exact same forecasts of price target. Refuting the alternative explanation that lower dispersion in price target among underwriters is due to common information that underwriters possess because of their involvement in the IPO, I find no such pattern in dispersion of Sales or EPS. In the last chapter, I study the security lending market. Stock lending markets are unique due to connections with stock markets: stock buyers become potential stock lenders. However, I show that equity loan supply is effectively fixed over time scales relevant to short sellers because short-term investors (less than three month holding period) do not lend shares. Transitions to stock specials are characterized by demand spikes, and slow-moving supply contributes to boom-and-bust cycles among stock specials. Consistent with my findings, I show stronger results among higher turnover stocks as well as around news events and earnings announcements.
Temple University – Theses
Advisors/Committee Members: Mao, Connie X.;, Anderson, Ronald, Daniel, Naveen, John, Kose, Naveen, Lalitha, Basu, Sudipta;.
Subjects/Keywords: Finance
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APA (6th Edition):
Zhang, C. (2017). ESSAYS IN EMPIRICAL FINANCE. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,470143
Chicago Manual of Style (16th Edition):
Zhang, Chi. “ESSAYS IN EMPIRICAL FINANCE.” 2017. Doctoral Dissertation, Temple University. Accessed February 27, 2021.
http://digital.library.temple.edu/u?/p245801coll10,470143.
MLA Handbook (7th Edition):
Zhang, Chi. “ESSAYS IN EMPIRICAL FINANCE.” 2017. Web. 27 Feb 2021.
Vancouver:
Zhang C. ESSAYS IN EMPIRICAL FINANCE. [Internet] [Doctoral dissertation]. Temple University; 2017. [cited 2021 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,470143.
Council of Science Editors:
Zhang C. ESSAYS IN EMPIRICAL FINANCE. [Doctoral Dissertation]. Temple University; 2017. Available from: http://digital.library.temple.edu/u?/p245801coll10,470143
University of California – Irvine
2.
Yin, Chengdong.
The Optimal Size of Hedge Funds: Conflict between Investors and Fund Managers.
Degree: Management, 2014, University of California – Irvine
URL: http://www.escholarship.org/uc/item/0n8714k5
► This study examines whether the standard compensation contract in the hedge fund industry aligns managers' incentives with the interests of investors. We demonstrate empirically that…
(more)
▼ This study examines whether the standard compensation contract in the hedge fund industry aligns managers' incentives with the interests of investors. We demonstrate empirically that managers' compensation increases when fund assets grow, even when there are diseconomies of scale in fund performance. Under the current fee structure, managers' compensation is maximized at a much larger size than is optimal for fund performance. Therefore, hedge fund managers have strong incentives to increase their assets under management. However, to avoid capital outflows and retain fund assets, managers are also motivated to restrict fund growth to maintain style-average performance, which explains why funds sometimes close themselves to new investment.
Subjects/Keywords: Finance
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APA (6th Edition):
Yin, C. (2014). The Optimal Size of Hedge Funds: Conflict between Investors and Fund Managers. (Thesis). University of California – Irvine. Retrieved from http://www.escholarship.org/uc/item/0n8714k5
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Yin, Chengdong. “The Optimal Size of Hedge Funds: Conflict between Investors and Fund Managers.” 2014. Thesis, University of California – Irvine. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/0n8714k5.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Yin, Chengdong. “The Optimal Size of Hedge Funds: Conflict between Investors and Fund Managers.” 2014. Web. 27 Feb 2021.
Vancouver:
Yin C. The Optimal Size of Hedge Funds: Conflict between Investors and Fund Managers. [Internet] [Thesis]. University of California – Irvine; 2014. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/0n8714k5.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Yin C. The Optimal Size of Hedge Funds: Conflict between Investors and Fund Managers. [Thesis]. University of California – Irvine; 2014. Available from: http://www.escholarship.org/uc/item/0n8714k5
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of California – Berkeley
3.
Ayash, Brian.
Essays on leveraged buyouts and distressed asset pricing.
Degree: Business Administration, Ph, 2014, University of California – Berkeley
URL: http://www.escholarship.org/uc/item/95t5286g
► This dissertation consists of three chapters that concern leveraged buyouts and the risk- return relationship of distressed stocks. The first chapter uses hand collected cash…
(more)
▼ This dissertation consists of three chapters that concern leveraged buyouts and the risk- return relationship of distressed stocks. The first chapter uses hand collected cash flow statements to present the origin, ownership and use of cash in leveraged buyouts of large publicly traded U.S. firms by private equity funds between 1980 and 2006. I find suggestive evidence that target firms exhibit inefficient investment in the form of empire building pre-acquisition. Once controlled by private equity funds, firms exhibit a significant decline in investment, sales and asset growth, and employment growth as debt is used to motivate managers and forces the release of excess free cash flows. I do not find evidence of value creation, as the profitability of the underlying assets does not increase under private equity control. There is evidence of an increase in cash flows from financial management expertise. This form of excess cash generation contributes to the funding of dividends but the majority of the funding is from asset sales and reduced investment prior to exit. Cash flow statements are also used to evaluate returns. I find that the IRR generated by underlying assets is insufficient to cover the cost of financing debt, adversely affecting the IRR to equity holders.The second chapter, co-authored with Harm Schu ̈tt, tests whether leveraged buyouts improve targets operating performance? We hand collect complete, comprehensive financial statements for a sample of 138 large public U.S. firms that were acquired by private equity funds in leveraged buyouts between 1980 and 2006, and we examine the operating performance of these companies. Because of our comparatively large dataset with comprehensive financial statements we can better scrutinize operating performance and the technical accounting issues associated with leveraged buyouts. We find that the acquired firms do not exhibit post-buyout improvements compared to industry peers. In addition to operations, we evaluate outcomes for the acquired firms. In an expanded sample of 531 large public to private leveraged buyouts we find that 109 (21%) subsequently declare bankruptcy or were restructured outside the bankruptcy court while held by private equity funds. Our results suggest that while private equity managers might be savvy investors, they are not better operators of the target companies.The third chapter explores the breakdown in the risk-return relationship of financially distressed stocks. I model firms in financial distress using an endogenous default model and demonstrate that distressed firms have nonsymmetric return distributions and are systematically mispriced under the CAPM. I propose the use of a CRRA utility model to correct for the mispricing of positive skewness in the return distribution of distressed stocks. I create portfolios using four distress measures and compare the risk-return relationship under both models. I find that the anomalously low return delivered by portfolios of the most distressed stocks is driven by the inclusion of OTC…
Subjects/Keywords: Finance
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APA ·
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Manager
APA (6th Edition):
Ayash, B. (2014). Essays on leveraged buyouts and distressed asset pricing. (Thesis). University of California – Berkeley. Retrieved from http://www.escholarship.org/uc/item/95t5286g
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Ayash, Brian. “Essays on leveraged buyouts and distressed asset pricing.” 2014. Thesis, University of California – Berkeley. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/95t5286g.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Ayash, Brian. “Essays on leveraged buyouts and distressed asset pricing.” 2014. Web. 27 Feb 2021.
Vancouver:
Ayash B. Essays on leveraged buyouts and distressed asset pricing. [Internet] [Thesis]. University of California – Berkeley; 2014. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/95t5286g.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Ayash B. Essays on leveraged buyouts and distressed asset pricing. [Thesis]. University of California – Berkeley; 2014. Available from: http://www.escholarship.org/uc/item/95t5286g
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of California – Berkeley
4.
Weber, Michael.
Nominal Rigidities and Finance.
Degree: Business Administration, Ph, 2014, University of California – Berkeley
URL: http://www.escholarship.org/uc/item/8cf7b1mj
► Are prices sticky? This simple question has been at the cornerstone of heated discussions in macroeconomics for several decades. Price rigidities can potentially be an…
(more)
▼ Are prices sticky? This simple question has been at the cornerstone of heated discussions in macroeconomics for several decades. Price rigidities can potentially be an amplifying force for business cycle fluctuations and are the leading explanation for the effectiveness of monetary policy to stimulate the real side of the economy. Large-scale micro pricing datasets unambiguously show that prices at the micro level indeed adjust infrequently. This finding has moved the discussion about the existence of price stickiness to the question of whether or not they matter for the real economy. In my dissertation, I first address this question using information in the stock market valuation of firms. I then use information on the price stickiness of individual firms to better understand firms' exposure to systematic risk and the cross section of stock returns.In the first chapter of my dissertation which is co-authored with Yuriy Gorodnichenko, I investigate whether sticky prices are costly and burden firms. A central tenet of New Keynesian models is that firms face costs of price adjustments or other rigidities that hinder them from adjusting output prices once hit by nominal or real shocks. Models in the tradition of the New Monetarist search literature instead suggest that sticky prices are an equilibrium outcome. These models generate sticky prices at the micro level even though firms could adjust prices at each instant in time without any costs. Both classes of models have vastly different implications for policy and business cycles. The key insight of this chapter is that sticky price firms should have a larger responsiveness of profits, returns, and volatilities to nominal or real shocks compared to flexible price firms in New Keynesian models, while New Monetarist search models predict an equal reaction across firms with different price stickiness. I show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large as well as strikingly robust to a broad array of checks. These results suggest that menu costs – broadly defined to include physical costs of price adjustment, informational frictions, etc. – are an important factor for nominal price rigidity. I also show that my empirical results are qualitatively and, under plausible calibrations, quantitatively consistent with New Keynesian macroeconomic models in which firms have heterogeneous price stickiness. Since the framework is valid for a wide variety of theoretical models and frictions preventing firms from price adjustment, I provide "model-free" evidence that sticky prices are indeed costly for firms. My findings provide support for workhorse models with sticky prices at policy institutions and imply that nominal rigidities are a central force for the real effects of monetary policy.The second chapter examines the asset-pricing implications of nominal rigidities. I find that firms that adjust…
Subjects/Keywords: Finance
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APA ·
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APA (6th Edition):
Weber, M. (2014). Nominal Rigidities and Finance. (Thesis). University of California – Berkeley. Retrieved from http://www.escholarship.org/uc/item/8cf7b1mj
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Weber, Michael. “Nominal Rigidities and Finance.” 2014. Thesis, University of California – Berkeley. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/8cf7b1mj.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Weber, Michael. “Nominal Rigidities and Finance.” 2014. Web. 27 Feb 2021.
Vancouver:
Weber M. Nominal Rigidities and Finance. [Internet] [Thesis]. University of California – Berkeley; 2014. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/8cf7b1mj.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Weber M. Nominal Rigidities and Finance. [Thesis]. University of California – Berkeley; 2014. Available from: http://www.escholarship.org/uc/item/8cf7b1mj
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of California – San Diego
5.
Sabbatucci, Riccardo.
Essays in Empirical Asset Pricing.
Degree: Management, 2016, University of California – San Diego
URL: http://www.escholarship.org/uc/item/36f6j5q9
► The focus of my dissertation is the study of stock market predictability. More precisely, I use econometric tools to understand, explain, and predict aggregate and…
(more)
▼ The focus of my dissertation is the study of stock market predictability. More precisely, I use econometric tools to understand, explain, and predict aggregate and cross-sectional patterns in stock prices. Predictability of aggregate stock market returns and dividend growth is a widely studied topic, of great interest to both academics and practitioners. It is related to theories of market efficiency and information diffusion, both rational and behavioral. It also allows us to determine which types of information generate the movements in stock prices that we observe. Understanding why stock prices move and what factors drive their variation is critical from theoretical and policy-making perspectives. Chapter 1 of my dissertation revisits one of the main findings of the predictability literature, namely that all variation in aggregate stock prices is explained by changes in aggregate risk through discount rates and none by news about firms' expected cash flows. I propose a more comprehensive measure of dividends that includes M&A cash flows and show that dividend growth is predictable and that cash flow news explains around 60% of the observed variation in prices, while the remaining 40% is accounted for by discount rate news. Chapter 2 shows that information about fundamentals of the aggregate economy derived from closely held firms help predict stock returns of public firms. A common feature of most stock market predictors is that they are constructed using financial data of public firms. I construct a new economy-wide dividend-price ratio that takes into account dividends and market capitalization of both listed (public) and non-listed (private) U.S. companies and show that it strongly predicts stock returns both in-sample and out-of-sample. I also find that changes in dividends of private firms lead those of public firms and that the economy-wide dividend-price ratio subsumes the standard dividend-price ratio in predictive regressions. Chapter 3, co-authored with Christopher A. Parsons and Sheridan Titman, explores geographic momentum: a positive lead-lag stock return relation between neighboring firms operating in different sectors. It shows that a portfolio of firms headquartered in the same area, but operating in different sectors, strongly forecasts individual stock returns up to one year ahead. The economic significance of a city-momentum trading strategy is of similar magnitude to that observed with industry momentum. However, while industry momentum is strongest among thinly traded, small firms, and/or those with scant analyst following, geographic momentum is unrelated to these proxies for information processing. We propose an explanation linking this to the structure of the investment analyst business, which is organized by sector, rather than by geographic region.
Subjects/Keywords: Finance
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APA (6th Edition):
Sabbatucci, R. (2016). Essays in Empirical Asset Pricing. (Thesis). University of California – San Diego. Retrieved from http://www.escholarship.org/uc/item/36f6j5q9
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Sabbatucci, Riccardo. “Essays in Empirical Asset Pricing.” 2016. Thesis, University of California – San Diego. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/36f6j5q9.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Sabbatucci, Riccardo. “Essays in Empirical Asset Pricing.” 2016. Web. 27 Feb 2021.
Vancouver:
Sabbatucci R. Essays in Empirical Asset Pricing. [Internet] [Thesis]. University of California – San Diego; 2016. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/36f6j5q9.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Sabbatucci R. Essays in Empirical Asset Pricing. [Thesis]. University of California – San Diego; 2016. Available from: http://www.escholarship.org/uc/item/36f6j5q9
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of California – Berkeley
6.
Leung, Raymond Chi Wai.
Essays on Delegated Portfolio Management and Optimal Contracting.
Degree: Business Administration, Ph, 2016, University of California – Berkeley
URL: http://www.escholarship.org/uc/item/9th5f577
► This dissertation is a compilation of three papers that investigate the role of optimal contracting in a delegated portfolio management setting. While the study of…
(more)
▼ This dissertation is a compilation of three papers that investigate the role of optimal contracting in a delegated portfolio management setting. While the study of optimal contracts in classical principal-agent setup has been extensively studied, relatively few have been studied in the context of delegated portfolio management in finance. And even delegated portfolio management papers in finance, there are still several open questions and unresolved issues that are beyond the scope of a standard principal-agent problem. In Chapter 1, I study a continuous-time principal-agent problem with drift and stochastic volatility control. While the problem with drift-only control by an agent has been extensively studied recently, very few existing papers allow an agent to endogenously influence volatility. Endogenous volatility control is particularly important in delegated portfolio management settings as volatility is one of the defining aspects of modern financial portfolio management. In Chapter 2, I study a model that encompasses dynamic agency, delegated portfolio management and asset pricing. Traditionally, the fields of ``asset pricing'' and ``corporate finance'' are studied independently of each other. However, as the modern portfolio management industry blooms in size and influence, the role of the portfolio manager and the contracts that are extended to them arguably has a role in the securities that they invest in, and hence in equilibrium, the asset pricing implications of the market overall. This paper is an attempt to bridge ``asset pricing'' and ``corporate finance'' (specifically interpreted to mean delegated portfolio management contracting) into one. In Chapter 3, I study whether a principal investor is better off delegating most of his money to a single portfolio manager (centralized delegation), as opposed to multiple portfolio managers (decentralized delegation), especially when there is the possible presence of moral hazard. With the size of the hedge fund industry and growing empirical support that moral hazard is a growing risk among hedge fund managers, it becomes imperative to understand when an investor decides to delegate his money, should it be delegated in a more centralized or decentralized fashion.
Subjects/Keywords: Finance
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APA ·
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Manager
APA (6th Edition):
Leung, R. C. W. (2016). Essays on Delegated Portfolio Management and Optimal Contracting. (Thesis). University of California – Berkeley. Retrieved from http://www.escholarship.org/uc/item/9th5f577
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Leung, Raymond Chi Wai. “Essays on Delegated Portfolio Management and Optimal Contracting.” 2016. Thesis, University of California – Berkeley. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/9th5f577.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Leung, Raymond Chi Wai. “Essays on Delegated Portfolio Management and Optimal Contracting.” 2016. Web. 27 Feb 2021.
Vancouver:
Leung RCW. Essays on Delegated Portfolio Management and Optimal Contracting. [Internet] [Thesis]. University of California – Berkeley; 2016. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/9th5f577.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Leung RCW. Essays on Delegated Portfolio Management and Optimal Contracting. [Thesis]. University of California – Berkeley; 2016. Available from: http://www.escholarship.org/uc/item/9th5f577
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of California – Irvine
7.
SUN, LIN.
A Test of the Role of Behavioral Factors for Asset Pricing.
Degree: Management, 2015, University of California – Irvine
URL: http://www.escholarship.org/uc/item/8n06h53q
► Theories suggest that both risk and mispricing are associated with commonality in returns, and information associated with this commonality can be used to predict future…
(more)
▼ Theories suggest that both risk and mispricing are associated with commonality in returns, and information associated with this commonality can be used to predict future returns. However, empirically implemented factor pricing models rarely incorporate psychological factors. I propose to augment standard factor models with behavioral factors to capture commonality in mispricing caused by psychological biases. Specifically, I form risk-and-behavioral composite models and examine whether considering jointly both sources of return predictability better explains known return anomalies. I propose two behavioral factors motivated by overconfidence and limited attention, respectively, and show that behavioral factors differ from standard risk factors in several important respects. I find that the risk-and-behavioral composite models outperform both standard models and other recent models and fully explain a number of well-known anomalies, particularly growth-related anomalies. The evidence suggests that behavioral factors play a prominent role in capturing commonality in mispricing and should be incorporated into asset pricing models.
Subjects/Keywords: Finance
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APA ·
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to Zotero / EndNote / Reference
Manager
APA (6th Edition):
SUN, L. (2015). A Test of the Role of Behavioral Factors for Asset Pricing. (Thesis). University of California – Irvine. Retrieved from http://www.escholarship.org/uc/item/8n06h53q
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
SUN, LIN. “A Test of the Role of Behavioral Factors for Asset Pricing.” 2015. Thesis, University of California – Irvine. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/8n06h53q.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
SUN, LIN. “A Test of the Role of Behavioral Factors for Asset Pricing.” 2015. Web. 27 Feb 2021.
Vancouver:
SUN L. A Test of the Role of Behavioral Factors for Asset Pricing. [Internet] [Thesis]. University of California – Irvine; 2015. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/8n06h53q.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
SUN L. A Test of the Role of Behavioral Factors for Asset Pricing. [Thesis]. University of California – Irvine; 2015. Available from: http://www.escholarship.org/uc/item/8n06h53q
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
UCLA
8.
Patel, Nimesh.
Essays in Empirical Finance.
Degree: Management (MS/PHD), 2017, UCLA
URL: http://www.escholarship.org/uc/item/8888r937
► This dissertation consists of three chapters. In the first chapter, I investigate how political spending by corporations responds to regulatory concerns and if it is…
(more)
▼ This dissertation consists of three chapters. In the first chapter, I investigate how political spending by corporations responds to regulatory concerns and if it is associated with improved firm value. Using the 2010 Deepwater Horizon disaster as an exogenous shock to the difficulty of obtaining offshore oil drilling permits, I show that offshore oil firms spent more money hiring lobbyists in order to influence the permitting process. In contrast, the evidence of a response through campaign contributions is weak. The lobbying spending was associated with both a higher probability of permit approval and faster time to approval. Permit approvals had a five-day cumulative abnormal return of 0.69% after the disaster. In particular, offshore firms hired more lobbyists with prior-employment connections to Congressmen or Federal agencies with oil industry oversight. My results show that corporate governance issues may be second-order in this setting and that lobbying may have a real impact on regulator decisions and a positive effect on firm value.In the second chapter, I establish a previously unknown fact about the value of firms engaging in lobbying. Despite evidence that firms respond to specific opportunities or concerns through lobbying spending, most corporations lobby persistently. I show that firms engaging in lobbying spending earn higher returns relative to non-lobbying firms in response to elections that result in a unified government (White House and Congress controlled by the same political party). In contrast, lobbying firms earn lower returns relative to non-lobbying firms in response to elections that result in a divided government (White House and Congress controlled by different political parties, or Congressional division). The results show that the balance of power within the government has an effect on the cross-section of stock returns. Disentangling expected return and abnormal return explanations for these results is an interesting area for future research.In the third chapter (with Ivo Welch), we investigate extended abnormal rates of return for S&P 500 index changes in a comprehensive 1979-2013 sample. The evidence suggests that the short-window portfolio announcement returns that did not revert in the 1980s have fully reverted in the 2000s. The reversion was a portfolio effect, not an individual stock effect.
Subjects/Keywords: Finance
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Record Details
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APA ·
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to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Patel, N. (2017). Essays in Empirical Finance. (Thesis). UCLA. Retrieved from http://www.escholarship.org/uc/item/8888r937
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Patel, Nimesh. “Essays in Empirical Finance.” 2017. Thesis, UCLA. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/8888r937.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Patel, Nimesh. “Essays in Empirical Finance.” 2017. Web. 27 Feb 2021.
Vancouver:
Patel N. Essays in Empirical Finance. [Internet] [Thesis]. UCLA; 2017. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/8888r937.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Patel N. Essays in Empirical Finance. [Thesis]. UCLA; 2017. Available from: http://www.escholarship.org/uc/item/8888r937
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of California – Berkeley
9.
Li, Sheng.
Essays in Behavioral Economics.
Degree: Economics, 2015, University of California – Berkeley
URL: http://www.escholarship.org/uc/item/3z2514pm
► This dissertation consists of two chapters on behavioral economics.Chapter one analyzes mutual fund flows from 1999 to 2012 to provide evidence that financial advisers exploit…
(more)
▼ This dissertation consists of two chapters on behavioral economics.Chapter one analyzes mutual fund flows from 1999 to 2012 to provide evidence that financial advisers exploit their clients' extrapolative beliefs to sell funds that pay high commissions. Utilizing comparisons between twin retail mutual fund share classes that differ only in commissions, I find a strong positive correlation between commission levels and return chasing. Fund flows from high commission shares show increased purchases of past winners, but no increased redemptions of past losers. This pattern is consistent with the incentives from 12b-1 commissions, which pay advisers to keep clients invested in high commission funds, but is hard to reconcile with alternative explanations such as advisers reducing search costs for quality funds, or return chasers self-selecting into high commission advisers. My findings support the SEC's recent efforts at restructuring 12b-1 commissions, as well as the White House's recent push to require fiduciary duty from all retirement advisers. Chapter two attempts to isolate the effects of violent video game sales on crime using a novel data set of state-level game sales from 2006 to 2010. The panel database, constructed using NPD group publications and state-level sales weights computed from Google Trends search data, overcomes the time-series data restrictions faced by previous works. However, the state-level variation in this panel data was not enough to disentangle the impact of game sales from time trends because video game sales are highly correlated across states. I document the methodology used to reconstruct the panel data using Google Trends, as this could prove useful in other situations where panel data is difficult or expensive to obtain.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Li, S. (2015). Essays in Behavioral Economics. (Thesis). University of California – Berkeley. Retrieved from http://www.escholarship.org/uc/item/3z2514pm
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Li, Sheng. “Essays in Behavioral Economics.” 2015. Thesis, University of California – Berkeley. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/3z2514pm.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Li, Sheng. “Essays in Behavioral Economics.” 2015. Web. 27 Feb 2021.
Vancouver:
Li S. Essays in Behavioral Economics. [Internet] [Thesis]. University of California – Berkeley; 2015. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/3z2514pm.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Li S. Essays in Behavioral Economics. [Thesis]. University of California – Berkeley; 2015. Available from: http://www.escholarship.org/uc/item/3z2514pm
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of California – Berkeley
10.
Syron, Erin Elizabeth.
Essays in Corporate Finance.
Degree: Economics, 2010, University of California – Berkeley
URL: http://www.escholarship.org/uc/item/7j61v3dp
► This dissertation examines the incentives of executives to distort firm earnings and the resulting economic costs of earnings distortion. I first investigate the effect of…
(more)
▼ This dissertation examines the incentives of executives to distort firm earnings and the resulting economic costs of earnings distortion. I first investigate the effect of improvements in the detection of earnings distortion on CEO incentives in the presence of career concerns and endogenous contracting. The theoretical model incorporates both the short-term and career concern incentives of executives to increase earnings. Then I allow the signal of earnings distortion to exogenously change. The model leads to prediction that early in the career, there is less of an incentive to increase earnings through earnings distortion. The model is evaluated empirically using firms' restatements of earnings. I consider how the change in the earnings distortion detection ratio due to the implementation of Sarbanes Oxley Act of 2002 (SOX) affects these short and long-term incentives to manipulate earnings. I unexpectedly find that both executives and boards of directors act as predicted if a restatement is a weaker signal of earnings distortion after SOX. The next chapter also considers the effect of the Sarbanes Oxley Act. I look at how the additional costs and benefits of being a public company after SOX affect the likelihood of a firm going public or private. I use the fact that firms which have publicly available debt at the start of the implementation of the Sarbanes Oxley Act of 2002 must comply with many aspects of the law. I take a difference in differences approach to see the effect of Sarbanes Oxley on the decision to list or delist from an exchange. I find that fewer firms listed after the implementation of the act. Therefore, the costs of SOX may be larger than the benefits for the marginal public firm. I also find that marginally fewer firms are choosing to delist after SOX. The costs of choosing to delist seem to be higher for the marginal public firm. The difference may be due to additional reputational costs for the firm choosing to delist to avoid complying with SOX. The final chapter examines if the market use signals from other firms in the same industry to evaluate the information risk of a given firm. In particular, if one firm in the industry has to restate their financial statements, does the information risk at other firms in the industry increase? I consider how the market responds to an earnings announcement for firms who have not had a restatement. Overall, I find that the market reacts less positively to positive earnings announcements if other firms in the industry have restated their accounting statements within the last year. In addition, I find that this change in the reaction is especially true for high growth industries.
Subjects/Keywords: Finance
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APA (6th Edition):
Syron, E. E. (2010). Essays in Corporate Finance. (Thesis). University of California – Berkeley. Retrieved from http://www.escholarship.org/uc/item/7j61v3dp
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Syron, Erin Elizabeth. “Essays in Corporate Finance.” 2010. Thesis, University of California – Berkeley. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/7j61v3dp.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Syron, Erin Elizabeth. “Essays in Corporate Finance.” 2010. Web. 27 Feb 2021.
Vancouver:
Syron EE. Essays in Corporate Finance. [Internet] [Thesis]. University of California – Berkeley; 2010. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/7j61v3dp.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Syron EE. Essays in Corporate Finance. [Thesis]. University of California – Berkeley; 2010. Available from: http://www.escholarship.org/uc/item/7j61v3dp
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of California – Irvine
11.
Bae, Jongwan.
Two Essays on the Behavior of Mutual Fund Managers.
Degree: Management, 2014, University of California – Irvine
URL: http://www.escholarship.org/uc/item/5m52j8n6
► I conduct two studies that investigate the behavioral characteristics of mutual fund managers. First study, The Performance of Mutual Funds on Private Information, looks at…
(more)
▼ I conduct two studies that investigate the behavioral characteristics of mutual fund managers. First study, The Performance of Mutual Funds on Private Information, looks at the dimension of investment skills of fund managers. The investment skills of mutual fund managers can be assessed by their ability to generate private information. In this study, by investigating the simultaneous actions of fund managers and corporate managers, we estimate how much the actions of fund managers can be attributed to private information. Using the information of insiders' transactions as a proxy for the managers' private information, our performance measure, PS (Private Shares), captures variations in skills among fund managers, suggesting that the funds with higher PS outperform the funds with lower PS. The finding that PS is positively related to future fund performance is consistent with our conjecture that fund managers who actively trade on private information have better managerial skills than the ones that do not trade on private information. In the second study, Impact of Religious Belief on Asset Management Industry, we investigate the effects of religion on the investing behavior of fund managers. We propose a measure of corporate social responsibility propensity (CSRP) by fund managers that captures the level of a manager's tendency to invest in firms that engage in socially responsible activities. Grounded in the basis of ethics and morality, religious belief is shown to have a positive impact on a fund manager's investment in firms with good corporate social responsibility (CSR) performance. The positive association between religiosity and CSRP is particularly strong in the sample of non-institutional funds. On the performance aspect, we find that funds in the highly religious region with a higher propensity to invest in socially responsible firms tend to exhibit future performance deterioration. Our results suggest that local religiosity has a significant impact on the investing behavior of fund managers.
Subjects/Keywords: Finance
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APA (6th Edition):
Bae, J. (2014). Two Essays on the Behavior of Mutual Fund Managers. (Thesis). University of California – Irvine. Retrieved from http://www.escholarship.org/uc/item/5m52j8n6
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Bae, Jongwan. “Two Essays on the Behavior of Mutual Fund Managers.” 2014. Thesis, University of California – Irvine. Accessed February 27, 2021.
http://www.escholarship.org/uc/item/5m52j8n6.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Bae, Jongwan. “Two Essays on the Behavior of Mutual Fund Managers.” 2014. Web. 27 Feb 2021.
Vancouver:
Bae J. Two Essays on the Behavior of Mutual Fund Managers. [Internet] [Thesis]. University of California – Irvine; 2014. [cited 2021 Feb 27].
Available from: http://www.escholarship.org/uc/item/5m52j8n6.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Bae J. Two Essays on the Behavior of Mutual Fund Managers. [Thesis]. University of California – Irvine; 2014. Available from: http://www.escholarship.org/uc/item/5m52j8n6
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Oulu
12.
Mukherjee, S. (Shreya).
The efficiency of foreign exchange markets in emerging economies:evidence in BRICS countries.
Degree: 2018, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201811283117
► This thesis investigates whether the foreign exchange markets are efficient in the emerging economies. The emerging economies include Brazil, China, India, Russia, and South Africa.…
(more)
▼ This thesis investigates whether the foreign exchange markets are efficient in the emerging economies. The emerging economies include Brazil, China, India, Russia, and South Africa. The motivation behind this research is to provide an insight to the investor whether it is a worthwhile decision to invest in the foreign exchange markets. In order to prove the efficiency of the foreign exchange markets, three hypotheses were tested — the uncovered interest rate parity (UIP) condition, the unbiased forward rate hypothesis (UFH)/rational expectations hypothesis (REH) and the efficient market hypothesis (EMH).
The examination is performed using various econometric tools. These include the OLS, VAR, VECM and the Johansen cointegration test. The time-series data used for this research was obtained from the Thompson Reuters Datastream, the website of Federal Reserve Bank of St. Louis (FRED) and the website of the Organization for Economic Co-operation and Development (OECD). The time period for this research was from 31st March 2004 to 30th April 2018.
We find that the UIP condition does not hold for any of the BRICS countries. The forward rates are not the unbiased predictors of the spot rate for any of the BRICS countries. The spot and forward rates were cointegrated for the Brazilian real, the Chinese yuan and the Russian ruble. Whereas, the spot and forward rates were not cointegrated for the Indian rupee and the South African rand. The rate of depreciation and the forward rate premium for India and South Africa are cointegrated but the same for the Chinese yuan are not cointegrated.
Subjects/Keywords: Finance
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APA (6th Edition):
Mukherjee, S. (. (2018). The efficiency of foreign exchange markets in emerging economies:evidence in BRICS countries. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201811283117
Chicago Manual of Style (16th Edition):
Mukherjee, S (Shreya). “The efficiency of foreign exchange markets in emerging economies:evidence in BRICS countries.” 2018. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201811283117.
MLA Handbook (7th Edition):
Mukherjee, S (Shreya). “The efficiency of foreign exchange markets in emerging economies:evidence in BRICS countries.” 2018. Web. 27 Feb 2021.
Vancouver:
Mukherjee S(. The efficiency of foreign exchange markets in emerging economies:evidence in BRICS countries. [Internet] [Masters thesis]. University of Oulu; 2018. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201811283117.
Council of Science Editors:
Mukherjee S(. The efficiency of foreign exchange markets in emerging economies:evidence in BRICS countries. [Masters Thesis]. University of Oulu; 2018. Available from: http://urn.fi/URN:NBN:fi:oulu-201811283117
University of Oulu
13.
Mansnérus, B. (Ben).
Factor investing using risk parity optimization.
Degree: 2018, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201811283113
► Investor’s dilemma is: “How to earn the highest possible return with the lowest possible risk.” Yet, if we understood better what is driving the returns…
(more)
▼ Investor’s dilemma is: “How to earn the highest possible return with the lowest possible risk.” Yet, if we understood better what is driving the returns and risks, our portfolios could become better performing and diversified. We would also potentially encounter less unpleasant surprises during economic downturns. This seemingly easy question has become a challenging one since investors have failed to diversify portfolios well enough especially during bad times.
Factors are currently a popular topic in the financial industry. Yet, majority of the literature focuses on the significance of certain factors and less on how to apply factors in practice. Risk parity optimization serves an attractive alternative for optimizing portfolio weights.
The aim of this study is to analyze whether our attention should be directed from asset classes to factors and what benefits such drift could possibly entail. Therefore, the research questions are organized as follows:
1. How chosen factors perform during different periods?
2. What factors seems to be the most persistent out of the six chosen factors?
3. How optimized portfolios perform with respect to the control portfolios?
4. How the chosen portfolio optimization methods work in terms of returns and risks?
5. What is the risk distribution of each constructed portfolio?
6. What do factors reveal from the MSCI World index?
We focus on the practical part of portfolio management and aim at outperforming a global equity fund. We use index performance data from the Morgan Stanley Capital International (MSCI) and our broad sample period is 30th Nov 1998 – 31st May 2018. The study is conducted by using long only factor exposures and static weights. As we do not need constant rebalancing and also because currently there are existing low cost ETFs to all used indices, trading costs are not included. This study shows how an attractive risk return based portfolio is constructed using Value, Momentum, Size, Quality, Low Volatility and Dividend factors. We optimize six static portfolios using different risk parity optimized methods and compare their performance to two benchmark portfolios; Equal Weighted (EW) or often called 1/N along with Restricted Minimum Variance.
First contribution of this study is that by combing the factors together investors ensure that they are exposing portfolio to the best performing factors. In addition to that, this study verifies that risk optimized portfolios lead win the horse race with EW. Yet, Restricted Minimum Variance portfolio is able to achieve the most attractive risk return tradeoff and wins the competition, but Beta Risk Parity offers better solution from the diversification point of view. Unlike than MVR that chooses only two factors; BRP uses all the six of them. Furthermore, this study confirms that it is generally advisable to shift attention from an asset class-based allocation towards the risk-based allocation. This is due to the fact that the performance of each sample portfolio seems to beat the performance of…
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Mansnérus, B. (. (2018). Factor investing using risk parity optimization. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201811283113
Chicago Manual of Style (16th Edition):
Mansnérus, B (Ben). “Factor investing using risk parity optimization.” 2018. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201811283113.
MLA Handbook (7th Edition):
Mansnérus, B (Ben). “Factor investing using risk parity optimization.” 2018. Web. 27 Feb 2021.
Vancouver:
Mansnérus B(. Factor investing using risk parity optimization. [Internet] [Masters thesis]. University of Oulu; 2018. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201811283113.
Council of Science Editors:
Mansnérus B(. Factor investing using risk parity optimization. [Masters Thesis]. University of Oulu; 2018. Available from: http://urn.fi/URN:NBN:fi:oulu-201811283113
Temple University
14.
Folkinshteyn, Daniel.
Inter-Creditor Conflicts: Evidence from the Bond Markets.
Degree: PhD, 2011, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,201614
► Business Administration/Finance
In the first chapter, I investigate the relationship between the number of outstanding public debt contracts of a firm, the firm's credit quality,…
(more)
▼ Business Administration/Finance
In the first chapter, I investigate the relationship between the number of outstanding public debt contracts of a firm, the firm's credit quality, and cost of debt. I find that firms with higher credit quality tend to use fewer public issues, as well as that firms with more issues tend to have a lower cost of debt, controlling for credit quality. My results are consistent with the idea that there are both costs and benefits to increasing the number of public debt contracts. Higher credit quality firms, starting out with a lower cost of debt, find the benefits insufficient to make up for the costs, and thus choose to have fewer debt issues than lower credit quality ones. I further find that information asymmetry is a significant moderating factor of the effect of number of debt issues on the cost of debt, with higher asymmetry decreasing the cost of debt benefit of a greater number of issues. In the second chapter, I investigate the impact of firm-level competitive intelligence on the firm's cost of debt. I find that competitive intelligence is not fully incorporated into debt credit ratings, and further that the effect of increased competitive intelligence varies with firm credit quality. For high credit quality firms, I find that higher CI is associated with higher yield spreads, while the opposite is true for the lower credit quality firms. This suggests that the bondholders of a firm with generally low distress probability view CI expenditure as irrelevant or wasteful, whereas those of a firm for which financial distress is a more significant risk, view it as a valuable activity which reduces default probability. In the third chapter, I examine the occurrence of informed trading in public debt issued by financial institutions. The sample is chosen from the set of firms subject to the FDIC call report regulations, and focuses on companies without publicly traded equity. I find that unexpected earnings are positively associated with price changes in debt instruments as a result of trading within the time period after report filing and before the release of report data to the public. Additionally, I find that the magnitude of the effect is greater for firms without public equity. Evidence further indicates an increase in the incidence of bond trading during this blackout window for firms with a greater magnitude of earnings surprise. These results suggest that there is information leakage taking place during the blackout window, leading to informed trading in public debt instruments of financial institutions.
Temple University – Theses
Advisors/Committee Members: Reeb, David, Elyasiani, Elyas, Mao, Connie X., Mudambi, Ram.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Folkinshteyn, D. (2011). Inter-Creditor Conflicts: Evidence from the Bond Markets. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,201614
Chicago Manual of Style (16th Edition):
Folkinshteyn, Daniel. “Inter-Creditor Conflicts: Evidence from the Bond Markets.” 2011. Doctoral Dissertation, Temple University. Accessed February 27, 2021.
http://digital.library.temple.edu/u?/p245801coll10,201614.
MLA Handbook (7th Edition):
Folkinshteyn, Daniel. “Inter-Creditor Conflicts: Evidence from the Bond Markets.” 2011. Web. 27 Feb 2021.
Vancouver:
Folkinshteyn D. Inter-Creditor Conflicts: Evidence from the Bond Markets. [Internet] [Doctoral dissertation]. Temple University; 2011. [cited 2021 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,201614.
Council of Science Editors:
Folkinshteyn D. Inter-Creditor Conflicts: Evidence from the Bond Markets. [Doctoral Dissertation]. Temple University; 2011. Available from: http://digital.library.temple.edu/u?/p245801coll10,201614
Temple University
15.
Zhang, Ling.
Essays on Corporate Governance of Financial and Non-Financial Firms.
Degree: PhD, 2013, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,216531
► Business Administration/Finance
Corporate governance of financial and non-financial firms is critical in modern corporations with diffuse stock ownership, which deals with the agency conflicts between…
(more)
▼ Business Administration/Finance
Corporate governance of financial and non-financial firms is critical in modern corporations with diffuse stock ownership, which deals with the agency conflicts between managers and shareholders. Corporate governance has a profound impact on various corporate policy, and firm value in the end. This study examines the importance of corporate governance and its influences on various corporate policy and firm value and risks for both financial and non-financial firms. Chapter 1 investigates the association between the firm's liquidity level and liquidity mix on the one hand and CEO entrenchment on the other. CEO entrenchment may distort the firms' liquidity policy because managers and shareholders may have conflicting preferences between cash and lines of credit. Using lines of credit data from 1996 to 2008, we find five main results. First, entrenched CEOs hold more liquidity as measured by the sum of cash and lines of credit. Second, entrenched managers have a preference for cash over lines of credit because while cash gives them flexibility, lines of credit are accompanied with bank restrictions and monitoring. Third, entrenched CEOs also use more lines of credit because of the extra liquidity it provides, despite the associated bank monitoring. Fourth, entrenched CEOs in smaller and opaque firms tend to hold more liquidity. Five, entrenched CEO's preference for cash versus lines of credit is stronger for large and transparent firms, compared to small and opaque firms. These findings imply that firms should better align the interests of the entrenched managers with those of the shareholders in order to limit the excessive liquidity holding of firms when CEOs are entrenched and to thereby increase firms' profitability. Chapter 2 examines the relationship between bank holding company (BHC) performance, risk and "busy" board of directors, an overlooked dimension of corporate governance in the banking literature. Busy directors are defined as directors with three or more directorships. The sample covers the 2001-2010 period. We employ a simultaneous equation framework and estimate the models employing the three stage least square (3SLS) technique in order to account for endogeneity. Several interesting results are obtained. First, BHC performance, as measured by return on assets (ROA), Tobin's Q and earnings before interest and taxes (EBIT) over total assets is positively associated with busy directors. Second, BHC total risk (standard deviation of stock returns), market risk (market beta), idiosyncratic risk (standard errors of the CAPM model) credit risk (percentage of non-performing assets over total assets) and default risk (HigherZ-Score) are inversely related to it. Third, busy directors are not more likely to become problem directors, in the sense of failing the meeting-attendance-criterion (75% attendance). Fourth, the benefits of having busy directors in terms of performance improvement strengthened but the benefits of risk reduction declined during the recent…
Advisors/Committee Members: Elyasiani, Elyas, Anderson, Ronald;, Mao, Connie X., Naveen, Lalitha, Li, Yuanzhi, Pfingsten, Andreas;.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Zhang, L. (2013). Essays on Corporate Governance of Financial and Non-Financial Firms. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,216531
Chicago Manual of Style (16th Edition):
Zhang, Ling. “Essays on Corporate Governance of Financial and Non-Financial Firms.” 2013. Doctoral Dissertation, Temple University. Accessed February 27, 2021.
http://digital.library.temple.edu/u?/p245801coll10,216531.
MLA Handbook (7th Edition):
Zhang, Ling. “Essays on Corporate Governance of Financial and Non-Financial Firms.” 2013. Web. 27 Feb 2021.
Vancouver:
Zhang L. Essays on Corporate Governance of Financial and Non-Financial Firms. [Internet] [Doctoral dissertation]. Temple University; 2013. [cited 2021 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,216531.
Council of Science Editors:
Zhang L. Essays on Corporate Governance of Financial and Non-Financial Firms. [Doctoral Dissertation]. Temple University; 2013. Available from: http://digital.library.temple.edu/u?/p245801coll10,216531
Temple University
16.
Gu, Yuqi.
CREDITOR CONTROL AND CORPORATE GOVERNANCE.
Degree: PhD, 2013, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,216593
► Business Administration/Finance
Agency theory suggests that conflicts of interest between managers and the suppliers of finance (shareholders and debt-holders) can cause considerable costs on the…
(more)
▼ Business Administration/Finance
Agency theory suggests that conflicts of interest between managers and the suppliers of finance (shareholders and debt-holders) can cause considerable costs on the firm. This study investigates the role of financial contracts and corporate governance in mitigating agency conflicts. Chapter 1 examines the effect of creditor control on CEO compensation. We present evidence that creditor control has significant impact on CEO compensation. CEOs experience a sharp cut of 17% of excessive pay following financial covenant violations. Differences-in-differences test shows that the reduction in abnormal CEO compensations is only associated with violation firms, not with their matched non-violation peers during the same time period. Furthermore, we find that the cut in excessive pay upon violations is greater in firms facing stronger creditor control, i.e., firms borrowed from banks with which they have a stronger prior lending relationship or high reputation banks. Despite the fact that the prior literature has documented greater CEO compensations in firms with weaker shareholder governance, we find that shareholder governance has little significant impact on the reduction of abnormal CEO compensations following debt covenant violations. In addition, we find that managerial pay-risk sensitivity (vega) is significantly reduced after covenant violation, particularly in the presence of greater creditor control power. In contrast, covenant violations are not associated with any significant change in managerial pay-performance sensitivity (delta). Chapter 2 investigates the impact of creditor control on corporate innovation via the lens of corporate events - debt covenant violation, where control right is shifted from equity-holders to creditors. By employing differences-in-differences tests, we document that firms experience a significant cut in corporate innovation following financial covenant breaches, especially in innovation intensive industries. Furthermore, we show that creditor control plays a direct role in curbing corporate innovative activities upon covenant violations. We find that in the presence of stronger bank control, violation firms experience a significantly larger reduction in both the quantity (as measured by number of patents) and quality (as measured by non-self citations received) of innovations. Interestingly, we find that banks' expertise in certain innovative industry can moderate the adverse effect of creditor control on innovations in those industries. These results are consistent with the argument that banks are less tolerant of failures and debt covenants restrict manager flexibilities. Our findings also suggest that banks' experience, knowledge, and expertise in certain innovative industries allow them to have a better assessment about borrowers' innovative projects, and thereby mitigating the agency conflict. Chapter 3 examines the association between managerial time horizon and corporate hedging. We document that CEO's managerial time horizon has a significant…
Advisors/Committee Members: Mao, Connie X.;, Anderson, Ronald, Choi, Jongmoo Jay, Naveen, Lalitha, Li, Yuanzhi, Krishnan, Jayanthi;.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Gu, Y. (2013). CREDITOR CONTROL AND CORPORATE GOVERNANCE. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,216593
Chicago Manual of Style (16th Edition):
Gu, Yuqi. “CREDITOR CONTROL AND CORPORATE GOVERNANCE.” 2013. Doctoral Dissertation, Temple University. Accessed February 27, 2021.
http://digital.library.temple.edu/u?/p245801coll10,216593.
MLA Handbook (7th Edition):
Gu, Yuqi. “CREDITOR CONTROL AND CORPORATE GOVERNANCE.” 2013. Web. 27 Feb 2021.
Vancouver:
Gu Y. CREDITOR CONTROL AND CORPORATE GOVERNANCE. [Internet] [Doctoral dissertation]. Temple University; 2013. [cited 2021 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,216593.
Council of Science Editors:
Gu Y. CREDITOR CONTROL AND CORPORATE GOVERNANCE. [Doctoral Dissertation]. Temple University; 2013. Available from: http://digital.library.temple.edu/u?/p245801coll10,216593
Temple University
17.
Zhang, Jian.
ESSAYS ON CORPORATE FRAUD AND GOVERNANCE.
Degree: PhD, 2013, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,221494
► Business Administration/Finance
A series of high-profile corporate fraud scandals in the early 2000s have drawn the attention from the public, regulators, and academia. These cases…
(more)
▼ Business Administration/Finance
A series of high-profile corporate fraud scandals in the early 2000s have drawn the attention from the public, regulators, and academia. These cases of the high-profile corporate fraud imply that the existing institutions are lack of incentives and monitoring. Therefore, this study aims to investigate the effectiveness of different governance mechanisms in limiting the fraud propensity. Chapter 1 investigates whether monitoring by non-CEO executives can effectively reduce the likelihood of CEOs committing corporate fraud. Controlling for other traditional governance mechanisms, we find that firms with stronger non-CEO executives monitoring have a lower probability of committing fraud. Monitoring by non-CEO executives appears to be a substitute for traditional governance channels, as it is more effective when traditional governance mechanisms are weak. Moreover, we argue that monitoring by non-CEO executives fails to prevent corporate fraud if both CEO and subordinate executives involve in the fraud event. Finally, the strength of such monitoring is larger in more heterogeneous industries, where the human capital of non-CEO executives is less replaceable. Chapter 2 examines the association between employee relation and the firm's incentive of committing fraud. We find that firms treating their employees fairly (as measured by employee relation ratings) have less incentive in committing fraud. Better employee relation facilitates interest alignment between shareholders and the management. Moreover, we find that the CEO duality weaken the negative association between employee relation and the likelihood of fraud commitment. Furthermore, we find that the negative association is more pronounced in R&D-intensive industries, where human capital is more valuable to firm performance. The results are robust to alternative models and measures. Chapter 3 examines the association between corporate political connection and corporate fraud, and its detection, in China for 2003-2009. Using the enforcement action data from the Chinese Securities Regulatory Commission (CSRC), we find that corporate political connection is an important determinant of corporate fraud, while the type of ultimate owner is also relevant. Politically connected firms are 27% less likely to be detected by the CSRC conditional on their fraud commitment. Low detection rate in turn implies that politically connected firms have 23% more probability to commit fraud than non-connected firms. Government controlled firms are 21% less likely to be investigated by the CSRC. However, due to the irrelative tie between firm performance and management team's compensation and promotion, government controlled firms are 12% less likely to commit fraud. Furthermore, we find that our results are mostly driven by the local political connection rather than the central political connection. Finally, our results provide information that can inform policy debates among the regulation policy makers.
Temple University – Theses
Advisors/Committee Members: Choi, Jongmoo Jay, Anderson, Ronald, Mao, Connie X., Li, Yuanzhi, Feinberg, Susan;.
Subjects/Keywords: Finance
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APA (6th Edition):
Zhang, J. (2013). ESSAYS ON CORPORATE FRAUD AND GOVERNANCE. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,221494
Chicago Manual of Style (16th Edition):
Zhang, Jian. “ESSAYS ON CORPORATE FRAUD AND GOVERNANCE.” 2013. Doctoral Dissertation, Temple University. Accessed February 27, 2021.
http://digital.library.temple.edu/u?/p245801coll10,221494.
MLA Handbook (7th Edition):
Zhang, Jian. “ESSAYS ON CORPORATE FRAUD AND GOVERNANCE.” 2013. Web. 27 Feb 2021.
Vancouver:
Zhang J. ESSAYS ON CORPORATE FRAUD AND GOVERNANCE. [Internet] [Doctoral dissertation]. Temple University; 2013. [cited 2021 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,221494.
Council of Science Editors:
Zhang J. ESSAYS ON CORPORATE FRAUD AND GOVERNANCE. [Doctoral Dissertation]. Temple University; 2013. Available from: http://digital.library.temple.edu/u?/p245801coll10,221494
Temple University
18.
Choi, Euikyu.
Essays on Human Capital and Financial Markets.
Degree: PhD, 2016, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,384606
► Business Administration/Finance
This dissertation examines various aspects of human capital and their linkage to the financial markets. The first chapter empirically shows that the cost…
(more)
▼ Business Administration/Finance
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…
Advisors/Committee Members: Anderson, Ronald, John, Kose;, English, Philip, Balsam, Steven;.
Subjects/Keywords: Finance
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APA ·
Chicago ·
MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Choi, E. (2016). Essays on Human Capital and Financial Markets. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,384606
Chicago Manual of Style (16th Edition):
Choi, Euikyu. “Essays on Human Capital and Financial Markets.” 2016. Doctoral Dissertation, Temple University. Accessed February 27, 2021.
http://digital.library.temple.edu/u?/p245801coll10,384606.
MLA Handbook (7th Edition):
Choi, Euikyu. “Essays on Human Capital and Financial Markets.” 2016. Web. 27 Feb 2021.
Vancouver:
Choi E. Essays on Human Capital and Financial Markets. [Internet] [Doctoral dissertation]. Temple University; 2016. [cited 2021 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,384606.
Council of Science Editors:
Choi E. Essays on Human Capital and Financial Markets. [Doctoral Dissertation]. Temple University; 2016. Available from: http://digital.library.temple.edu/u?/p245801coll10,384606
Temple University
19.
Shoham Bazel, Ofra.
GENDER EFFECTS ON FIRM CAPITAL STRUCTURE.
Degree: PhD, 2017, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,445929
► Business Administration/Finance
The literature of sociobiology and culture recognize that, statistically, females often make different choices than males across a wide range of issues. Scholars…
(more)
▼ Business Administration/Finance
The literature of sociobiology and culture recognize that, statistically, females often make different choices than males across a wide range of issues. Scholars of business, economics, and finance find that females react differently than males to diverse financial and business situations. Moreover, extant research indicates that females on boards of directors exert a positive impact on monitoring, value, and performance. This dissertation extends the gender literature by empirically testing the hypothesis that female board representation limits the use of debt in firms’ capital structures because of females’ greater risk aversion, lower overconfidence, and less competitive nature compared with males. The empirical results indicate that influential female representation, such as a female chair of the board, has a causal negative and significant impact on the leverage of the company.
Temple University – Theses
Advisors/Committee Members: Anderson, Ronald;, Chitturi, Pallavi, John, Kose;.
Subjects/Keywords: Finance
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APA ·
Chicago ·
MLA ·
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CSE |
Export
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Manager
APA (6th Edition):
Shoham Bazel, O. (2017). GENDER EFFECTS ON FIRM CAPITAL STRUCTURE. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,445929
Chicago Manual of Style (16th Edition):
Shoham Bazel, Ofra. “GENDER EFFECTS ON FIRM CAPITAL STRUCTURE.” 2017. Doctoral Dissertation, Temple University. Accessed February 27, 2021.
http://digital.library.temple.edu/u?/p245801coll10,445929.
MLA Handbook (7th Edition):
Shoham Bazel, Ofra. “GENDER EFFECTS ON FIRM CAPITAL STRUCTURE.” 2017. Web. 27 Feb 2021.
Vancouver:
Shoham Bazel O. GENDER EFFECTS ON FIRM CAPITAL STRUCTURE. [Internet] [Doctoral dissertation]. Temple University; 2017. [cited 2021 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,445929.
Council of Science Editors:
Shoham Bazel O. GENDER EFFECTS ON FIRM CAPITAL STRUCTURE. [Doctoral Dissertation]. Temple University; 2017. Available from: http://digital.library.temple.edu/u?/p245801coll10,445929
Temple University
20.
Wang, Shuai.
Essays on Corporate Governance.
Degree: PhD, 2017, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,447982
► Business Administration/Finance
Recent literature provide widespread and robust evidence on the impact of corporate governance. Ownership structure and management characteristics are among the center of…
(more)
▼ Business Administration/Finance
Recent literature provide widespread and robust evidence on the impact of corporate governance. Ownership structure and management characteristics are among the center of the debate. Empirical studies report conflicting evidence regarding the information environment of public family-controlled firms. We use staggered exogenous shocks to the information environment to test whether family control influences corporate disclosure. After an exogenous decrease in the information environment, we find that family firms provide greater, more informative, and more rapidly produced disclosures than their nonfamily peer firms. Family control increases the likelihood of voluntary disclosure by 190% relative to nonfamily firms after a negative information shock. These disclosure increases occur across founder-, descendant-, and externally- led family firms, suggesting families possess strong incentives to protect the firm’s information environment. Beyond ownership structure, I examine the relation of CEO overconfidence on compensation incentive. My findings suggest that the cost-reduction hypothesis applies when firms offer higher incentive to overconfident CEOs to exploit their positively biased views of firm performance; risk-reduction hypothesis dominates when CEOs are extremely overconfident, where firms offer reduced compensation convexity to lower CEO’s excessive risk-taking incentive. Extremely overconfident CEOs receive less convex compensation than moderately overconfident CEOs and this relation amplifies with history of value-destroying acquisition and better corporate governance.
Temple University – Theses
Advisors/Committee Members: Anderson, Ronald;, Naveen, Lalitha, Mao, Connie X., Li, Yuanzhi, Balsam, Steven;.
Subjects/Keywords: Finance
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Record Details
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Wang, S. (2017). Essays on Corporate Governance. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,447982
Chicago Manual of Style (16th Edition):
Wang, Shuai. “Essays on Corporate Governance.” 2017. Doctoral Dissertation, Temple University. Accessed February 27, 2021.
http://digital.library.temple.edu/u?/p245801coll10,447982.
MLA Handbook (7th Edition):
Wang, Shuai. “Essays on Corporate Governance.” 2017. Web. 27 Feb 2021.
Vancouver:
Wang S. Essays on Corporate Governance. [Internet] [Doctoral dissertation]. Temple University; 2017. [cited 2021 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,447982.
Council of Science Editors:
Wang S. Essays on Corporate Governance. [Doctoral Dissertation]. Temple University; 2017. Available from: http://digital.library.temple.edu/u?/p245801coll10,447982
21.
Zambotti, Michael J.
An Analysis of Data Security Standards at Hedge Funds.
Degree: 2017, Utica College
URL: http://pqdtopen.proquest.com/#viewpdf?dispub=10283770
► The purpose of this research project was to analyze the current state of data security practices in the financial services industry, particularly hedge funds.…
(more)
▼ The purpose of this research project was to analyze the current state of data security practices in the financial services industry, particularly hedge funds. It investigated how firms are regulated as well as the effectiveness of the means of regulation. Finally, it recommended specific processes and procedures that hedge funds can put into practice to protect their critical information. This is an important area to research because the financial services industry makes up a large section of the global economy. Any distress this segment encounters due to security breaches could lead to systemic risk as well as the loss of confidence in capital markets. The study found that presently government regulations are not enough to protect the financial services sector and instill participant confidence. Furthermore, it determined that cyber readiness within the hedge fund industry differs by size of the fund and that smaller firms are not as far along in information security procedures as larger firms. The research concluded that although current government regulations are not proper to protect the hedge fund sector, a public/private partnership between regulators and industry groups could provide prescriptive solutions for improving data security. Finally, it concluded that individual firms need to put in place their own data security framework in order to protect the industry from large scale breaches as well as future costly governmental regulations.
Subjects/Keywords: Finance
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APA ·
Chicago ·
MLA ·
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CSE |
Export
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Manager
APA (6th Edition):
Zambotti, M. J. (2017). An Analysis of Data Security Standards at Hedge Funds. (Thesis). Utica College. Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=10283770
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Zambotti, Michael J. “An Analysis of Data Security Standards at Hedge Funds.” 2017. Thesis, Utica College. Accessed February 27, 2021.
http://pqdtopen.proquest.com/#viewpdf?dispub=10283770.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Zambotti, Michael J. “An Analysis of Data Security Standards at Hedge Funds.” 2017. Web. 27 Feb 2021.
Vancouver:
Zambotti MJ. An Analysis of Data Security Standards at Hedge Funds. [Internet] [Thesis]. Utica College; 2017. [cited 2021 Feb 27].
Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=10283770.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Zambotti MJ. An Analysis of Data Security Standards at Hedge Funds. [Thesis]. Utica College; 2017. Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=10283770
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
22.
Parikh, Harsh.
Two essays in empirical finance.
Degree: 2016, EDHEC Business School (France)
URL: http://pqdtopen.proquest.com/#viewpdf?dispub=10294580
► This paper reexamines the inflation-hedging properties of individual equities. When determining inflation betas for individual equities we use multivariate regressions, which utilize all available…
(more)
▼ This paper reexamines the inflation-hedging properties of individual equities. When determining inflation betas for individual equities we use multivariate regressions, which utilize all available data and account for equity market factor and reporting lags in inflation indices. We show how such an approach can even be used to create inflation-sensitive strategies for customized inflation indices. The facet of customization is necessary since different kinds of inflation impact different investors. For example, in retirement an investor is more concerned about medical expenses. We illustrate strategies for the US headline CPI, Forbes Cost of Living Extremely Well Index (CLEWI), and the US Medical Care Price Index. When constructing inflation-sensitive portfolios, besides using equal weighting scheme, we show how alternative weighting schemes can be used alongside the choice of inflation sensitive equities to accentuate inflation sensitivity, by using maximum beta optimization or to manage equity risk exposure—low volatility and low equity beta as result of using minimum volatility optimization.
Subjects/Keywords: Finance
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APA ·
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MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Parikh, H. (2016). Two essays in empirical finance. (Thesis). EDHEC Business School (France). Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=10294580
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Parikh, Harsh. “Two essays in empirical finance.” 2016. Thesis, EDHEC Business School (France). Accessed February 27, 2021.
http://pqdtopen.proquest.com/#viewpdf?dispub=10294580.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Parikh, Harsh. “Two essays in empirical finance.” 2016. Web. 27 Feb 2021.
Vancouver:
Parikh H. Two essays in empirical finance. [Internet] [Thesis]. EDHEC Business School (France); 2016. [cited 2021 Feb 27].
Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=10294580.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Parikh H. Two essays in empirical finance. [Thesis]. EDHEC Business School (France); 2016. Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=10294580
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Oulu
23.
Sriausadawutkul, S. (Sirikwan).
Transfer pricing and its implementation in Thailand.
Degree: 2013, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201309251718
► This paper studies how transfer pricing practice is actually taken in Thailand. Though there has been researched on transfer pricing in Thailand, we have found…
(more)
▼ This paper studies how transfer pricing practice is actually taken in Thailand. Though there has been researched on transfer pricing in Thailand, we have found that such research are focused on related law and regulation not on its practice, itself. Therefore, this research aims to focus on the practice of transfer pricing and its related facts. Our research finds that many taxpayers are still unaware of transfer pricing as the result of no legal enforcement on such practice. Furthermore, we find that businesses with persistent loss and profit margin lower than industry average, assuming there is substantial related-party transaction, will catch the tax officers’ attention. Similar to other researches, we find that TNMM is mainly used to test the arm’s length price when it comes to transfer pricing audit. Not surprisingly, we find that compliance risk is biggest concern when implementing transfer pricing as the result of stiff penalty imposed by tax authorities. Such penalty can be greatly affect shareholders’ value; therefore, to mitigate such risk, it is recommended that MNEs shall have a good transfer pricing documentation on hand or enter APA program when necessary.
Subjects/Keywords: Finance
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APA ·
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Export
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APA (6th Edition):
Sriausadawutkul, S. (. (2013). Transfer pricing and its implementation in Thailand. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201309251718
Chicago Manual of Style (16th Edition):
Sriausadawutkul, S (Sirikwan). “Transfer pricing and its implementation in Thailand.” 2013. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201309251718.
MLA Handbook (7th Edition):
Sriausadawutkul, S (Sirikwan). “Transfer pricing and its implementation in Thailand.” 2013. Web. 27 Feb 2021.
Vancouver:
Sriausadawutkul S(. Transfer pricing and its implementation in Thailand. [Internet] [Masters thesis]. University of Oulu; 2013. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201309251718.
Council of Science Editors:
Sriausadawutkul S(. Transfer pricing and its implementation in Thailand. [Masters Thesis]. University of Oulu; 2013. Available from: http://urn.fi/URN:NBN:fi:oulu-201309251718
University of Oulu
24.
Salehi, H. (Hamed).
A mean-variance portfolio optimization based on firm characteristics and its performance evaluation.
Degree: 2013, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201305201300
► A flexible and financially sensible methodology that takes quantifiable firm’s characteristics into account when constructing a portfolio inspired by Brandt et al. (2009) and Hjalmarsson…
(more)
▼ A flexible and financially sensible methodology that takes quantifiable firm’s characteristics into account when constructing a portfolio inspired by Brandt et al. (2009) and Hjalmarsson and Manchev (2010) is described. The method imposes the weights to be a linear function of characteristics for investor that maximizes return and penalizes for amount of volatility and solves the optimization model with a statistical method suggested by Britten-Jones (1999). It is designed in a way to be dollar-and beta-neutral.
In order to exploit the information of some of the return-predictive factors with the described method, we form various single- and combined-factor strategies on a portfolio of 76 stocks out of FTSE100 in the period of January 2000 to October 2011 both in-sample and 60-rolling window out-of-sample. The results show that the designed strategies based on abnormal return, Jenson’s alpha and bootstrapped Sharpe-ratio lead to better performance in most of the designed strategies. Holding-based and expectation-based evaluation methods also support our results.
Subjects/Keywords: Finance
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APA ·
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Manager
APA (6th Edition):
Salehi, H. (. (2013). A mean-variance portfolio optimization based on firm characteristics and its performance evaluation. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201305201300
Chicago Manual of Style (16th Edition):
Salehi, H (Hamed). “A mean-variance portfolio optimization based on firm characteristics and its performance evaluation.” 2013. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201305201300.
MLA Handbook (7th Edition):
Salehi, H (Hamed). “A mean-variance portfolio optimization based on firm characteristics and its performance evaluation.” 2013. Web. 27 Feb 2021.
Vancouver:
Salehi H(. A mean-variance portfolio optimization based on firm characteristics and its performance evaluation. [Internet] [Masters thesis]. University of Oulu; 2013. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201305201300.
Council of Science Editors:
Salehi H(. A mean-variance portfolio optimization based on firm characteristics and its performance evaluation. [Masters Thesis]. University of Oulu; 2013. Available from: http://urn.fi/URN:NBN:fi:oulu-201305201300
University of Oulu
25.
Halonen, H. (Hanna).
Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla.
Degree: 2013, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201306061524
► Yritysten kaikki taloudelliset päätökset kiteytyvät oman pääoman sijoittajien tuoton maksimoinnin ympärille. Jotta kaikki yrityksen tekemät päätökset edesauttavat tätä tavoitetta, on yrityksessä jatkuvasti tehtävä tutkimusta yrityksen…
(more)
▼ Yritysten kaikki taloudelliset päätökset kiteytyvät oman pääoman sijoittajien tuoton maksimoinnin ympärille. Jotta kaikki yrityksen tekemät päätökset edesauttavat tätä tavoitetta, on yrityksessä jatkuvasti tehtävä tutkimusta yrityksen taloudellisesta tilasta. Tämä onnistuu keräämällä aineistoa yrityksen sisäisistä ja ulkoisista tekijöistä, ja soveltamalla näitä tietoja sopiviin analyysimenetelmiin. Tutkimuksen avulla voidaan tehdä päätelmiä yrityksen nykyisestä taloudellisesta tilasta ja tulevaisuuden arvosta. Yksi analyysimenetelmä yrityksen tulevan menestyksen arvioimiseen on arvonmääritys. Yrityksen arvon määrittäminen on yksi mahdollisuus koota tietoja kokonaisuudeksi, jonka avulla yrityksen oman pääoman sijoittajien tuotto saadaan maksimoitua.
Tämän pro gradu -tutkielman tarkoituksena on suorittaa arvonmääritysprosessi kokonaisuudessaan yksittäiselle listaamattomalle pk-yritykselle. Arvonmäärityksen vaiheisiin kuuluvat strateginen analyysi, tilinpäätösanalyysi, tulevan kehityksen arviointi, yrityksen riskisyyden määrittäminen ja yrityksen lopullinen arvon määrittäminen arvonmääritysmallien avulla. Käytettäviksi malleiksi on valittu vapaan kassavirran malli ja lisäarvomalli. Nämä kaksi mallia ovat usein käytettyjä arvonmääritysmalleja ja ne ovat listaamattomalle osakeyhtiölle soveltuvia malleja. Tutkielman tavoitteena on selvittää arvonmäärityksen vaiheet kohdeyrityksen tapauksessa, analysoida kahden valitun mallin soveltuvuutta listaamattoman osakeyhtiön arvon määrittämiseen ja pohtia arvonmääritysprosessin vaiheisiin liittyviä ongelmakohtia.
Yrityksen taloudellista kehittymistä ja tulevan kehityksen arvioita on tarkasteltu strategisen analyysin ja tilinpäätösanalyysin avulla. Yrityksen riskisyyttä on arvioitu kokonaispääoman tuottovaatimuksen avulla. Lopullisen arvonmäärityksen tuloksena yrityksen arvoksi saadaan vapaan kassavirran mallin avulla 5,1 miljoonaa euroa ja lisäarvomallin avulla 8,2 miljoonaa euroa. Mallit siis tuottavat toisistaan poikkeavat arvot. Mallien keskinäisen eron arvioidaan johtuvan vapaan kassavirran mallin lisäarvomallia voimakkaammasta herkkyydestä kokonaispääoman tuottovaatimuksen ja kasvuennusteiden muutoksille. Herkkyys näille tekijöille johtuu ennen kaikkea siitä, että vapaan kassavirran mallin muodostama arvo muodostuu suurelta osin vasta tulevaisuudessa, kun lisäarvomallissa suurin osa yrityksen arvosta muodostuu yrityksen nykyisestä pääomasta. Vaikka lisäarvomallin on havaittu tuottavan kassavirtoihin tai osinkoihin perustuvia malleja luotettavampia tuloksia, ei tuloksia ei tule ottaa absoluuttisena totuutena. Loppujen lopuksi yrityksen arvo määräytyy tilanteen osapuolten yhteisymmärryksen tuloksena ja arvonmääritysmallien antamat tulokset antavat vain raamit yrityksen arvolle.
Tulosten avulla kohdeyritys pystyy arvioimaan yrityksensä arvoa ja käyttämään tuloksia esimerkiksi yrityskauppatilanteessa. Pk-yritykselle käytettyjä arvonmääritysmenetelmiä voidaan käyttää muiden vastaavanlaisten yritysten arvon määrittämiseen. Kyseiset menetelmät tarjoavat myös lähtökohdat…
Subjects/Keywords: Finance
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APA (6th Edition):
Halonen, H. (. (2013). Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201306061524
Chicago Manual of Style (16th Edition):
Halonen, H (Hanna). “Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla.” 2013. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201306061524.
MLA Handbook (7th Edition):
Halonen, H (Hanna). “Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla.” 2013. Web. 27 Feb 2021.
Vancouver:
Halonen H(. Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla. [Internet] [Masters thesis]. University of Oulu; 2013. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201306061524.
Council of Science Editors:
Halonen H(. Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla. [Masters Thesis]. University of Oulu; 2013. Available from: http://urn.fi/URN:NBN:fi:oulu-201306061524
University of Oulu
26.
Nguyen, K. (Kim).
Time series risk factors of hedge fund investment objectives.
Degree: 2013, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201311211905
► In this thesis, I find eight common time series risk factors among all hedge fund investment objectives, including: equity market factor, equity size spread factor,…
(more)
▼ In this thesis, I find eight common time series risk factors among all hedge fund investment objectives, including: equity market factor, equity size spread factor, bond credit spread factor, emerging market factor, equity trend following factor, Fama-French value factor, time series momentum factor and currency risk factor. The selected statistical model constructed from the eight risk factors provides higher adjusted R squared and lower pricing errors than Fung-Hsieh model. In addition, I find that small hedge funds outperform large funds with alpha spread of 3.43 percent annually.
Subjects/Keywords: Finance
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APA (6th Edition):
Nguyen, K. (. (2013). Time series risk factors of hedge fund investment objectives. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201311211905
Chicago Manual of Style (16th Edition):
Nguyen, K (Kim). “Time series risk factors of hedge fund investment objectives.” 2013. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201311211905.
MLA Handbook (7th Edition):
Nguyen, K (Kim). “Time series risk factors of hedge fund investment objectives.” 2013. Web. 27 Feb 2021.
Vancouver:
Nguyen K(. Time series risk factors of hedge fund investment objectives. [Internet] [Masters thesis]. University of Oulu; 2013. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201311211905.
Council of Science Editors:
Nguyen K(. Time series risk factors of hedge fund investment objectives. [Masters Thesis]. University of Oulu; 2013. Available from: http://urn.fi/URN:NBN:fi:oulu-201311211905
University of Oulu
27.
Viren, V.-T. (Visa-Tapio).
Valuing companies in M&A situations:a study of Finnish small & middle-sized companies.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201401171041
► The goal of this study is to examine valuation in small and middle-sized, private companies’ mergers and acquisitions in Finland. This study attempts to answer…
(more)
▼ The goal of this study is to examine valuation in small and middle-sized, private companies’ mergers and acquisitions in Finland. This study attempts to answer the following questions: How are companies valuated in M&A in the small and middle-sized, private firm context? What are the most critical issues affecting valuation and M&A processes in this context? This research uses qualitative methods as information gathering from private companies is challenging. These methods enable to reflect issues of interest even on a small sample. We use method triangulation as the topic is studied by numerous procedures. First, there’s a questionnaire directed for companies involved in M&A. Second, the results from the first phase are presented to experts who give their own opinions on the matter. Finally, previously gathered views are scrutinized with academic outlook. Therefore this study attempts to create a discussion between academics and practitioners on the matter of valuation in small, private company M&A. Results of this paper are ample. Valuation should be seen as a part of the M&A process and this procedure should be properly planned and executed in order to harness the expected value. There are many ways to derive a value for the target and one can’t unambiguously determine the best method. The selection of the method depends on the expertise of the analyst and on the information available. There are special issues in private company valuation. The unreliability of the information used in valuation and personification of the company should be taken into consideration. Availability of funds for the transaction has also crucial role on the process. The results of this study should not be completely removed from their context as qualitative methods usually resemble case studies. This research provides guidelines for future work on this issue, as similar studies made with this research structure have apparently not been done. For a company involved in M&A this paper gives information on where to focus in the process.
Subjects/Keywords: Finance
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APA ·
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APA (6th Edition):
Viren, V. -. (. (2014). Valuing companies in M&A situations:a study of Finnish small & middle-sized companies. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201401171041
Chicago Manual of Style (16th Edition):
Viren, V -T (Visa-Tapio). “Valuing companies in M&A situations:a study of Finnish small & middle-sized companies.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201401171041.
MLA Handbook (7th Edition):
Viren, V -T (Visa-Tapio). “Valuing companies in M&A situations:a study of Finnish small & middle-sized companies.” 2014. Web. 27 Feb 2021.
Vancouver:
Viren V-(. Valuing companies in M&A situations:a study of Finnish small & middle-sized companies. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201401171041.
Council of Science Editors:
Viren V-(. Valuing companies in M&A situations:a study of Finnish small & middle-sized companies. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201401171041
University of Oulu
28.
Pietarinen, J. (Juhani).
Overconfidence and investor trading behavior in the Finnish stock market.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201404241308
► Empirical studies have analyzed how investors trade and perform in the financial markets. The studies show that rational trading needs do not explain the excessive…
(more)
▼ Empirical studies have analyzed how investors trade and perform in the financial markets. The studies show that rational trading needs do not explain the excessive manner of trading shown by the investors. Theoretical models offer overconfidence as one of the explanations for irrational trading behavior. Overconfidence is a psychological trait, argued to cause the investors to misinterpret useful information, which leads to an increase in trading activity and hurts their performance.
In this study we analyze over 1.5 million Finnish trading records from the beginning of 1995 to the end of 2010. We evaluate the differences in trading behavior between males and females and with investors of diverse ages. We find that men trade securities more frequently and with higher turnover than females. Consistently with our reference studies we find that the level of turnover decreases as the investors age. We also analyze the profitability effects of trading by calculating raw returns and abnormal returns. The abnormal returns are adjusted with a passive benchmark portfolio. Earlier studies show that the more active trading of males reduces their abnormal returns. Our abnormal return ratios do not support this finding. However, we find consistently that the raw returns are higher for females than males. Females also hold portfolios with lower volatility than males. Finally, we find consistently with the models of overconfidence by Odean (1998b) and Gervais and Odean (2001) that the trading skill seems to get better with experience. Older investors receive higher raw returns and trade less, resulting in lower portfolio turnover. The transition in trading behavior may be an outcome of learning.
Subjects/Keywords: Finance
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APA (6th Edition):
Pietarinen, J. (. (2014). Overconfidence and investor trading behavior in the Finnish stock market. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201404241308
Chicago Manual of Style (16th Edition):
Pietarinen, J (Juhani). “Overconfidence and investor trading behavior in the Finnish stock market.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201404241308.
MLA Handbook (7th Edition):
Pietarinen, J (Juhani). “Overconfidence and investor trading behavior in the Finnish stock market.” 2014. Web. 27 Feb 2021.
Vancouver:
Pietarinen J(. Overconfidence and investor trading behavior in the Finnish stock market. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201404241308.
Council of Science Editors:
Pietarinen J(. Overconfidence and investor trading behavior in the Finnish stock market. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201404241308
University of Oulu
29.
Ruman, A. (Asif).
Identifying the role of expectation errors in value glamour return using Fscore.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201404241304
► Existing literature documents that a portfolio of value stocks outperforms a portfolio of glamour stocks and market portfolio. Researchers have different opinions regarding, “what derives…
(more)
▼ Existing literature documents that a portfolio of value stocks outperforms a portfolio of glamour stocks and market portfolio. Researchers have different opinions regarding, “what derives premium returns from a long short value glamour strategy?” The central objective of this paper is to seek the source of value glamour return effect. We have mix results for various hypotheses tested. Our main findings are: European stocks have extremely negative performance for long short value glamour strategy during 1991 and 2011, second, Fscores effectively separate potential winners from potential losers, third, error in investor expectations partially affect the performance of value glamour strategy but central source of value glamour performance is the riskiness of value stocks in comparison to risk levels of overall market or glamour stocks and lastly, investor sentiments do amplify future returns providing partial evidence in favor of market mispricing. We conclude that successful value investing requires ability to pick quality stocks from within a broader portfolio and exposure to higher risk.
Subjects/Keywords: Finance
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APA ·
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MLA ·
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Manager
APA (6th Edition):
Ruman, A. (. (2014). Identifying the role of expectation errors in value glamour return using Fscore. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201404241304
Chicago Manual of Style (16th Edition):
Ruman, A (Asif). “Identifying the role of expectation errors in value glamour return using Fscore.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201404241304.
MLA Handbook (7th Edition):
Ruman, A (Asif). “Identifying the role of expectation errors in value glamour return using Fscore.” 2014. Web. 27 Feb 2021.
Vancouver:
Ruman A(. Identifying the role of expectation errors in value glamour return using Fscore. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201404241304.
Council of Science Editors:
Ruman A(. Identifying the role of expectation errors in value glamour return using Fscore. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201404241304
University of Oulu
30.
Rahikainen, I. (Ilkka).
Direct methodology for estimating the risk neutral probability density function.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201404241289
► The target of the study is to find out if the direct methodology could provide same information about the parameters of the risk neutral probability…
(more)
▼ The target of the study is to find out if the direct methodology could provide same information about the parameters of the risk neutral probability density function (RND) than the reference RND methodologies. The direct methodology is based on for defining the parameters of the RND from underlying asset by using futures contracts and only few at-the-money (ATM) and/or close at-the-money (ATM) options on asset. Of course for enabling the analysis of the feasibility of the direct methodology the reference RNDs must be estimated from the option data. Finally the results of estimating the parameters by the direct methodology are compared to the results of estimating the parameters by the selected reference methodologies for understanding if the direct methodology can be used for understanding the key parameters of the RND.
The study is based on S&P 500 index option data from year 2008 for estimating the reference RNDs and for defining the reference moments from the reference RNDs. The S&P 500 futures contract data is necessary for finding the expectation value estimation for the direct methodology. Only few ATM and/or close ATM options from the S&P 500 index option data are necessary for getting the standard deviation estimation for the direct methodology.
Both parametric and non-parametric methods were implemented for defining reference RNDs. The reference RND estimation results are presented so that the reference RND estimation methodologies can be compared to each other. The moments of the reference RNDs were calculated from the RND estimation results so that the moments of the direct methodology can be compared to the moments of the reference methodologies.
The futures contracts are used in the direct methodology for getting the expectation value estimation of the RND. Only few ATM and/or close ATM options are used in the direct methodology for getting the standard deviation estimation of the RND. The implied volatility is calculated from option prices using ATM and/or close ATM options only. Based on implied volatility the standard deviation can be calculated directly using time scaling equations. Skewness and kurtosis can be calculated from the estimated expectation value and the estimated standard deviation by using the assumption of the lognormal distribution.
Based on the results the direct methodology is acceptable for getting the expectation value estimation using the futures contract value directly instead of the expectation value, which is calculated from the RND of full option data, if and only if the time to maturity is relative short. The standard deviation estimation can be calculated from few ATM and/or at close ATM options instead of calculating the RND from full option data only if the time to maturity is relative short. Skewness and kurtosis were calculated from the expectation value estimation and the standard deviation estimation by using the assumption of the lognormal distribution. Skewness and kurtosis could not be estimated by using the assumption of the lognormal distribution because the…
Subjects/Keywords: Finance
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Rahikainen, I. (. (2014). Direct methodology for estimating the risk neutral probability density function. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201404241289
Chicago Manual of Style (16th Edition):
Rahikainen, I (Ilkka). “Direct methodology for estimating the risk neutral probability density function.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2021.
http://urn.fi/URN:NBN:fi:oulu-201404241289.
MLA Handbook (7th Edition):
Rahikainen, I (Ilkka). “Direct methodology for estimating the risk neutral probability density function.” 2014. Web. 27 Feb 2021.
Vancouver:
Rahikainen I(. Direct methodology for estimating the risk neutral probability density function. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2021 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201404241289.
Council of Science Editors:
Rahikainen I(. Direct methodology for estimating the risk neutral probability density function. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201404241289
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