Advanced search options

Advanced Search Options 🞨

Browse by author name (“Author name starts with…”).

Find ETDs with:

in
/  
in
/  
in
/  
in

Written in Published in Earliest date Latest date

Sorted by

Results per page:

Sorted by: relevance · author · university · dateNew search

You searched for subject:(financial analyst recommendations). Showing records 1 – 2 of 2 total matches.

Search Limiters

Last 2 Years | English Only

No search limiters apply to these results.

▼ Search Limiters

1. Chen, Ke. Essays in financial economics.

Degree: PhD, 0074, 2014, University of Illinois – Urbana-Champaign

My dissertation consists of two essays that investigate dynamic financial phenomena using semi-parametric competing risks models. The first essay analyzes the determinants of corporate defaults and mergers. The second essay investigates how sell-side analysts make recommendation revisions facing various incentives at different points in time. The first essay, Contagious Corporate Default, analyzes contagious corporate default - default by one firm that raises the likelihood of defaults by similarly-situated firms, while possibly lowering defaults of competitors. We use a semi-parametric competing risks model that incorporates non-linear relationships between corporate defaults/mergers and risk factors. We use two-dimensional penalized tensor-product splines to flexibly model default correlations among firms, including their time dependence. The direct impact of one firm's default on default intensities of other firms is quantified by the financial distance between them, as captured by the 12-month trailing correlation in their equity returns. We also allow for non-linear impacts of observable firm-specific and macroeconomic default risk factors and unobservable frailties that capture common unobservable macroeconomic risk factors. We document large intra-industry contagion effects in defaults and mergers. The contagious impact of a default takes time to cumulate, peaking at lags of about 90-120 days, before declining. The impacts of many financial and macroeconomic variables are highly non-linear: many only exhibit significant impacts on default once they are above or below some critical level. Our model better estimates the clustering of defaults and more precisely predicts firms' credit risks than existing parametric hazard models, delivering massive improvements in out-of-sample predictive power. My second essay, Hazardous Analysts: Reputation Management and the Duration of Recommendations, investigates how incentives to manage appearances for their customer audiences appear to drive analyst recommendation revisions, using a semi-parametric competing risks hazard model that accommodates both unobserved heterogeneity and the time-varying effects of covariates on analysts’ recommendations to uncover the determinants of sell-side analyst recommendation revisions. We find that analysts tend to keep past good “accurate” recommendations for too long, and to drop past bad “inaccurate” recommendations too quickly. That is, incentives to maintain a ‘good’ reputation - a good-looking recommendation list in front of customers - appear to aggravate rather than alleviate conflicts of interest. More generally, we exhaustively characterize the impacts of covariates on recommendation changes. For example, we find that the information content of earnings announcements is fully incorporated into recommendations within one week, and that the likelihood of revisions falls sharply with experience over an analyst’s first three years, but then plateaus. Using the predictive power of future returns as the criterion, we show… Advisors/Committee Members: Bernhardt, Daniel (advisor), Deltas, George (Committee Chair), Bernhardt, Daniel (committee member), Bera, Anil K. (committee member), Bengtsson, Ola (committee member).

Subjects/Keywords: semi-parametric competing risks models; corporate defaults and mergers; financial analyst recommendations

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Chen, K. (2014). Essays in financial economics. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/49595

Chicago Manual of Style (16th Edition):

Chen, Ke. “Essays in financial economics.” 2014. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed November 20, 2019. http://hdl.handle.net/2142/49595.

MLA Handbook (7th Edition):

Chen, Ke. “Essays in financial economics.” 2014. Web. 20 Nov 2019.

Vancouver:

Chen K. Essays in financial economics. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2014. [cited 2019 Nov 20]. Available from: http://hdl.handle.net/2142/49595.

Council of Science Editors:

Chen K. Essays in financial economics. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2014. Available from: http://hdl.handle.net/2142/49595


Macquarie University

2. Lim, Ming Ying. An examination of three sources and impact of information asymmetry in financial markets.

Degree: 2016, Macquarie University

Empirical thesis.

Bibliography: pages 231-265.

Chapter 1. Introduction  – Chapter 2. Literature review  – Chapter 3. CEO personality and earnings management  – Chapter 4. Trading behaviour around information leakage of analyst recommendations  – Chapter 5. The impact of co-location on institutional execution costs  – Chapter 6. Conclusion  – Appendix  – References.

This dissertation presents three sets of empirical tests focused on sources of information asymmetry in financial markets. Specifically it determines the impact of CEO narcissism on earnings management, the factors which influence the release of privileged information by market intermediaries and asymmetrical information access related to technological enhancements. The results in this dissertation address a number of gaps in existing literature, which are of relevance to academics, and provide valuable insights for regulators and market participants.

The first set of empirical tests examines the impact of firm CEO’s narcissism on earnings management. There is growing evidence to suggest that narcissistic leaders over-identify themselves with the organizations that they lead and expend considerable resources to achieve their goals, including engagements in unethical behaviour. Previous theoretical studies have conjectured the relation between leadership narcissism and accounting manipulation but lacking in empirical support. This dissertation examines this theoretical hypothesis adopting an unobtrusive yet psychologically supported proxy for narcissism based on the Narcissistic Personality Inventory (NPI) test. Results reported in this dissertation provides evidence that firms with more narcissistic CEOs are more likely to engage in such behaviour as evidence by the manipulation of accounts to present better earnings. The results highlight that information asymmetry caused by earnings management can be identified at an early stage by virtue of a CEO’s personality. The implications of these results should be of particular interest to regulators and shareholders as management personality is potentially a prescription to corporate fraud.

The second set of empirical tests examines the extent of information leakage around analyst recommendations (‘tipping’), the propensity to act on this privileged information received under different circumstances and its resulting profitability. While the earliest evidence of tipping was only documented for upgrade recommendations, there has been increasing evidence of this phenomenon for downgrade recommendations. Using a unique dataset from the ASX, which contains broker identifiers, this study extends the empirical literature on tipping by examining factors where this phenomenon is most prevalent, and the corresponding profit associated with the phenomenon. Results reported in this dissertation demonstrate that irrespective of market conditions, recipients react predominantly to tips on downgrade recommendations. Further analysis by cross-section of firms indicates that leaks on smaller and…

Subjects/Keywords: Corporate profits; Chief executive officers  – Psychology; Stock transfer; Financial institutions  – Effect of technological innovations on; narcissism; earnings management; analyst recommendations; institutional trading costs

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Lim, M. Y. (2016). An examination of three sources and impact of information asymmetry in financial markets. (Doctoral Dissertation). Macquarie University. Retrieved from http://hdl.handle.net/1959.14/1254885

Chicago Manual of Style (16th Edition):

Lim, Ming Ying. “An examination of three sources and impact of information asymmetry in financial markets.” 2016. Doctoral Dissertation, Macquarie University. Accessed November 20, 2019. http://hdl.handle.net/1959.14/1254885.

MLA Handbook (7th Edition):

Lim, Ming Ying. “An examination of three sources and impact of information asymmetry in financial markets.” 2016. Web. 20 Nov 2019.

Vancouver:

Lim MY. An examination of three sources and impact of information asymmetry in financial markets. [Internet] [Doctoral dissertation]. Macquarie University; 2016. [cited 2019 Nov 20]. Available from: http://hdl.handle.net/1959.14/1254885.

Council of Science Editors:

Lim MY. An examination of three sources and impact of information asymmetry in financial markets. [Doctoral Dissertation]. Macquarie University; 2016. Available from: http://hdl.handle.net/1959.14/1254885

.