Download or read book Three Essays on Market Efficiency and Corporate Diversification written by Fawzi J. Hyder and published by . This book was released on 2017 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my first essay, I use additions to the S&P 500 index as a laboratory to investigate how the interaction between arbitrageurs and arbitrage risk affects security prices. I find that the price effect is strong when there is high arbitrage risk (as measured by the lack of close substitutes) and low presence of arbitrageurs (as measured by low ownership by active institutions). Furthermore, a strong presence of arbitrageurs moderates the effect of arbitrage risk on the post-addition price reaction of added stocks. I also find a significant decrease in arbitrageurs' ownership in the added stocks post addition. More importantly, this decrease is accompanied by a significant increase in arbitrageurs' ownership in the added stocks' close substitutes.

Download or read book Essays in Corporate Diversification Market Efficiency and Allocation of Scarce Resources written by Richard Borghesi and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: This dissertation is composed of three essays that address corporate diversification, market efficiency, and allocation of scarce financial resources. The analysis in chapter 2 examines the relationship between changes in firm organizational structure and fluctuations in market value. Organizational structure in this context is defined as the level of corporate diversification, and is measured as the dispersion of total firm sales among existing business segments. The speed and accuracy of the equities market's reaction to events such as corporate reorganization are tested in chapter 3. Finally, in chapter 4, we supplement our organizational structure analysis by examining managerial decision-making in an environment where resources are artificially bounded.

Download or read book Three Essays on Financial Markets written by Cagdas Tahaoglu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that address recent topics in financial markets that concern for scholars, policymakers, and investors. The first essay examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996 -July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country's companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed. The second essay looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single stock circuit breaker rule (SSCB) in February 2012, to replace the short-sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade-by-trade data constructed on 5-minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the ten-minute trading interval surrounding the halts. While circuit breakers provide a limited "safety net" for investors when their stocks are subject to severe volatility, they do not provide for a quick turnaround for stocks experiencing severe price decline events. The last essay re-examines the historical vs implied volatility spread anomaly, reported by Goyal and Saretto (2009) using a second-order stochastic dominance (SSD) criterion. The approach incorporates transaction frictions, and is robust to model specification problems, return distributions, as well as preferences. It is found that option trading frictions such as cash collateral requirements and option trading costs significantly reduce but do not eliminate returns to a long-short straddle trading strategy pre-2006 period. However, the anomaly disappears after 2006, consistent with market efficiency. The SSD test results confirm the findings.

Download or read book Three Essays on Corporate Growth Diversification Ownership Structure and Corporate Performance written by Fan Xia and published by . This book was released on 2007 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Corporate Diversification written by Ja Young Suh and published by . This book was released on 2012 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Business Groups and Diversification written by Ahmet Melih Kũllũ and published by . This book was released on 2012 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Innovation and Entrepreneurship written by Sang Kyun Kim (Ph. D.) and published by . This book was released on 2010 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Corporate Diversification Relatedness and Performance written by Douglas J. Miller and published by . This book was released on 2000 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Three essays consider alternatives to agency theory explanations for the diversification discount, as discussed in the introduction (chapter one). The two empirical studies use extensive data on firm knowledge assets in the form of patents.

Download or read book Three Essays on the Interaction Between Product Markets and Financial Markets written by John Joohahn Moon and published by . This book was released on 1994 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Performance of Investment Management Companies written by Srinidhi Kanuri and published by . This book was released on 2015 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first essay, we evaluate the performance of commodity mutual funds. The use of commodities to hedge inflation risk and diversify portfolios is generally considered to be an important consideration for portfolio management. Direct investment in commodities or commodity derivatives requires that investors have significant assets and/or expertise in these commodities or their respective derivatives markets. As an alternative to direct investment, investors in recent years have increasingly resorted to the use of commodity based mutual funds. At issue is the question of whether or not these funds are delivering the benefits investors expect. In this paper we evaluate the performance, persistence, market timing and selectivity of four categories of mutual funds whose returns are based on commodity prices over the time period from each fund's inception through December, 2012. Our results indicate that these funds have not been able to create positive alphas for their investors; have negative or insignificant performance persistence; and have no market timing ability. Some of the categories of funds, however do exhibit some selectivity. We did find that when these commodity based funds' performance was evaluated during specific time periods of market downturns (e.g., the 2000 stock market downturn and the 2007 financial crisis), their performance was significantly positive which indicates that these funds provide a good hedge during bear markets/financial crises. The second essay evaluates the performance and diversification benefits of international ETFs for U.S. investors during and after the recent financial crisis. Our results show that U.S. ETFs outperform all categories of international ETFs for the period of our study (January 2008 - June 2013); they have higher average monthly returns, lower risk (standard deviation of returns), higher risk-adjusted performance (Sharpe, Sortino, and Treynor ratios) and the highest cumulative returns over the entire period. When we form equally weighted portfolios of each ETF category and compute their risk-adjusted performance, we again find that U.S. ETF portfolios had the best performance for the entire period. We also find that U.S. ETFs have the lowest tracking error during the entire period. Most of these ETFs passively track the benchmark and do not manage for positive alpha. Previous research has questioned the diversification benefits of international investing during times of financial distress. We find that international ETFs are highly dependent on major U.S. indices, therefore, they offer limited diversification benefits for U.S. investors. "In business, I look for economic castles protected by unbreachable 'moats'." Warren Buffett The third essay evaluates the performance of Wide Moat stocks. Companies that have sustainable competitive advantages should be able to create a barrier (moat) to prevent or lessen competition from other firms. The wider the moat the greater the barrier and the more secure the company's profitability. Using the Morningstar classification of "Wide Moat" stocks, we construct annually rebalanced equal- and value-weighted portfolios to analyze their performance in order to determine if they deliver superior performance relative to standard benchmark portfolios. The period for our analysis extends from June 2002 through May 2014. We find that the "Wide Moat" portfolios outperform both the S & P 500 and Russell 3000 indices generating higher average monthly and annualized returns, Sharpe Ratio, Sortino Ratio, Treynor Ratio, Omega Ratio, Upside Potential Ratio, M2, M2 Alpha and cumulative returns. When we compute alpha using Carhart four-factor and Fama-French five-factor models, we find that "Wide Moat" portfolios had significantly positive risk-adjusted alphas with both the models. "Wide Moat" portfolios also lost less value during the 2007-2009 financial crisis compared to both S & P 500 and Russell 3000. In conclusion, we find that "Wide Moat" stocks have created significant value for their investors over the course of our study.

Download or read book Three Essays on International Diversification of Firms in an Emerging Economy written by Heechun Kim and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Corporate Diversification and Firm Value written by Tyson Brighton Mackey and published by . This book was released on 2006 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation finds new evidence on the relationship between diversification and firm performance. In Chapter Two, theory and evidence are presented showing how empirical studies accounting for the endogeneity of the diversification decision must also account for a firm's alternative uses for its free cash flow. This chapter examines dividends and stock repurchases in tandem with the firm's diversification decision and finds that the factors that lead a firm to diversify also make it more likely to pay a dividend. Controlling for this relationship, the diversification premium found by recent research correcting for endogeneity turns back into a discount. In Chapter Three, consideration is given to the possibility that different firms can have differing results from diversification. Using a random parameters model, a distribution of firm-specific diversification effects is estimated, finding that, while diversification destroys value on average, it creates value for a quarter of firms. This chapter also hypothesizes that firms may have an optimal portfolio of businesses, and firms that are not creating value from diversification could potentially do so through by diversifying further. Through a series of hypothetical related and unrelated diversification scenarios, this chapter finds that almost half of the diversified firms who are not creating value through their past diversification efforts would create value from further related diversification; while very few of the firms that are currently creating value from diversification would create value from further diversification. After observing the heterogeneity across firms in the impact of diversification on firm performance, theory and evidence is presented on the source of this heterogeneity in Chapter Four. Using a Bayesian linear hierarchical model, firm-specific effects of diversification on firm performance are estimated as a function of firm attributes. The main finding is that the firm-specific resources that allow a firm to succeed in its original business, allow the firm to succeed through related diversification. Unsuccessful firms will not find success simply by finding a new market in which to compete.

Download or read book Essays on Mergers Acquisitions and Corporate Investment written by Sangwon Lee and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on mergers and acquisitions (M&As) and corporate investment. In the first essay, I examine the divergence of investor opinions about target firm values after the announcement of M&A deals ("investor disagreement"). I create three measures of investor disagreement using the target firm's trading volume, bid-ask spread, and stock return volatility during a two-week window following a deal announcement. I find that investor disagreement is positively associated with deal complexity, and negatively with the offer premium. Deals with larger investor disagreement are more likely to be renegotiated, to feature slower completion time, and to fail, even after controlling for announcement returns and merger arbitrage spreads. Consistent with the divergence of opinion theory, a trading strategy that invests in target firms with low investor disagreement yields positive abnormal returns. Overall, my results highlight the importance of investor disagreement in predicting M&A outcomes. The second essay shows that M&A deals that are announced when the bidder's relative value (ratio of bidder's equity value to target's equity value) is closer to its 52-week high feature higher offer premium, lower (higher) announcement returns for the bidding (target) firm, and are more likely to fail, all else equal. Yet, bidders in such deals also experience large abnormal returns in the two-year period surrounding the announcement. Our results suggest that bidders strategically choose announcement timing to exploit relative misvaluation, and cast doubt on the idea that announcement returns represent the gains to long-term shareholders of bidding firms. In the third essay, I examine how the effect of uncertainty on capital investment varies between focused firms and conglomerate segments. One of the advantages of conglomeration is that segments have access to the conglomerate's internal capital market and are thus less likely to be financially constrained. Consistent with the idea that uncertainty exacerbates financial frictions, I find that industry-level uncertainty has a negative effect on the investment of focused firms but has no statistically significant effect on the investment of conglomerate segments. Further analysis suggests that corporate diversification may improve the efficiency of capital investment decisions under uncertainty.

Download or read book Essays on Firm Diversification written by Xuejing Xing and published by . This book was released on 2003 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on firm diversification. In particular, this dissertation investigates the valuation effects and the risk effects of corporate diversification. The dissertation consists of two essays. Essay 1, "The diversification discount and growth opportunities: Another look at the effect of corporate diversification on firm value," investigates whether corporate diversification reduces firm value. Previous studies establish a diversification discount by comparing business segments of diversified firms with stand-alone industry medians (means). However, business segments in diversified firms and the median (mean) stand-alone firms in the same industry may not be comparable because they may have different growth opportunities, which usually constitute a significant portion of firm value. Consequently, the observed diversification discount may result from the inappropriate use of benchmarks. In this essay, we use individual stand-alone industry firms of similar growth opportunities as benchmarks for business segments in diversified firms. Using a sample of 218 diversifying firms covering the period of 1994-2000, we find that when business segments in diversifying firms are compared with their stand-alone industry counterparts of comparable growth opportunities, the diversification discount still exists. We thus provide evidence suggesting that corporate diversification does destroy firm value, which is consistent with Lang and Stulz (1994), Berger and Ofek (1995, 1999), and Lamont and Polk (2002). Essay 2, "Does corporate diversification reduce firm risk? An empirical analysis," investigates whether corporate diversification reduces firm risk. While it has been argued and generally assumed that corporate diversification reduces firm risk, there is a paucity of empirical evidence concerning the association between corporate diversification and lower firm risk. Given the observed puzzles associated with corporate diversification, one should not take this association for granted without empirical evidence. In this essay, we empirically investigate the relationship between corporate diversification and firm risk using various risk measures including the variance of stock returns, systematic risk and firm-specific risk measures based both on the traditional single-factor market model and the Fama and French (1993) three-factor model, and time-varying risk estimates based on generalized autoregressive conditional heteroscedasticity (GARCH) estimations. Using a sample of 257 diversifying firms defined as firms that start with a single segment and then diversify at some point of time during the sample period of 1994-2000, we find that rather than reducing firm risk, corporate diversification typically increases the levels of firm risk, thereby rejecting the risk reduction hypothesis of firm diversification.

Download or read book Three Essays on Organic and Inorganic Growth in Internationalized Markets written by Kevin Chastagner and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Finally, the third essay looks at the role of knowledge breadth in post-acquisition performance. Building on the knowledge-based view we test the hypothesis that the focal firm's knowledge breadth has an inverse-U shaped relationship with post-acquisition performance. We also test how the firm's industry uncertainty and the nation's cultural distance influence this relationship. We do these tests on both market measures and internal growth measures of performance. Using 1,209 acquisitions with targets from 40 different nations we find differing results between the external and internal market growth measures and significant cross-level interactions.

Download or read book Three Essays in Corporate Finance and Institutional Investors written by Jiekun Huang and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Corporate Diversification written by Dmitry Livdan and published by . This book was released on 2003 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: