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This dissertation contains three empirical studies that examine the effect of investor protection on three different aspects of corporate governance: mergers and acquisitions, US cross-listings, and convergence of information environment around the world.1 The first study investigates the relation between investor protection and the choice of acquisition form (partial versus full acquisition). I argue that if private benefits are a motivation for mergers and acquisitions, an acquirer is more likely to bid for a controlling fraction (but not a hundred percent) of a target firm in countries with weak investor protection because in these countries private benefits of control are an important asset. The empirical results support this argument: compared to full mergers, partial acquisitions are the preferred form of acquisition when target countries do not effectively protect minority investors. Partial acquisitions are also more common among foreign acquirers from countries with poor legal systems. Finally, I show that firm-level corporate governance of the target firm is negatively related to the likelihood of partial acquisition. The second study examines the effect of investor protection on domestic liquidity for cross-listed firms. If US cross-listing can improve a firm’s information environment because of more stringent disclosure requirements in the US, I expect the information improvement to be reflected in a reduction in domestic liquidity costs. The empirical results are consistent with this prediction: local bid-ask spreads and price impact (a proxy for the cost of adverse information) significantly decrease while local trading volume significantly increases one year after US cross-listing. In addition, the liquidity improvement is larger for cross-listed firms that are from poor investor protection countries, and that are listed on the NYSE. The results in the second study are consistent with the “bonding” argument by Coffee (2002). The third study tests Coffee’s (1999) prediction of a convergence in corporate governance around the world. Since information environment is a key factor of corporate governance, it is important to see if there is a convergence in information environment across countries over the past two decades. Using various common proxies for information environment, I show that the quality of information environment generally improves through time, but the improvement is larger for developed markets and countries with better institutional quality. In the third study, I also reproduce the main results in Bailey, Karolyi and Salva (2006), and Fernandes and Ferreira (2008). These studies report similar divergence in information environment for cross-listed firms post-US-listing, but fail to control for the quality of information environment in the domestic market. After we control for this market effect, we do not find support for their results: there is no improvement in information environment for cross-listed firms, and no difference in the change between developed and emerging countries. 1 The second and third empirical studies are co-authored work with my supervisor, Professor Henk Berkman. For consistency, I use the first person ‘I’ throughout the dissertation.

This dissertation contains three empirical studies that examine the effect of investor protection on three different aspects of corporate governance: mergers and acquisitions, US cross-listings, and convergence of information environment around the world.1 The first study investigates the relation between investor protection and the choice of acquisition form (partial versus full acquisition). I argue that if private benefits are a motivation for mergers and acquisitions, an acquirer is more likely to bid for a controlling fraction (but not a hundred percent) of a target firm in countries with weak investor protection because in these countries private benefits of control are an important asset. The empirical results support this argument: compared to full mergers, partial acquisitions are the preferred form of acquisition when target countries do not effectively protect minority investors. Partial acquisitions are also more common among foreign acquirers from countries with poor legal systems. Finally, I show that firm-level corporate governance of the target firm is negatively related to the likelihood of partial acquisition. The second study examines the effect of investor protection on domestic liquidity for cross-listed firms. If US cross-listing can improve a firm’s information environment because of more stringent disclosure requirements in the US, I expect the information improvement to be reflected in a reduction in domestic liquidity costs. The empirical results are consistent with this prediction: local bid-ask spreads and price impact (a proxy for the cost of adverse information) significantly decrease while local trading volume significantly increases one year after US cross-listing. In addition, the liquidity improvement is larger for cross-listed firms that are from poor investor protection countries, and that are listed on the NYSE. The results in the second study are consistent with the “bonding” argument by Coffee (2002). The third study tests Coffee’s (1999) prediction of a convergence in corporate governance around the world. Since information environment is a key factor of corporate governance, it is important to see if there is a convergence in information environment across countries over the past two decades. Using various common proxies for information environment, I show that the quality of information environment generally improves through time, but the improvement is larger for developed markets and countries with better institutional quality. In the third study, I also reproduce the main results in Bailey, Karolyi and Salva (2006), and Fernandes and Ferreira (2008). These studies report similar divergence in information environment for cross-listed firms post-US-listing, but fail to control for the quality of information environment in the domestic market. After we control for this market effect, we do not find support for their results: there is no improvement in information environment for cross-listed firms, and no difference in the change between developed and emerging countries. 1 The second and third empirical studies are co-authored work with my supervisor, Professor Henk Berkman. For consistency, I use the first person ‘I’ throughout the dissertation.

This dissertation contains three empirical studies that examine the effect of investor protection on three different aspects of corporate governance: mergers and acquisitions, US cross-listings, and convergence of information environment around the world.1 The first study investigates the relation between investor protection and the choice of acquisition form (partial versus full acquisition). I argue that if private benefits are a motivation for mergers and acquisitions, an acquirer is more likely to bid for a controlling fraction (but not a hundred percent) of a target firm in countries with weak investor protection because in these countries private benefits of control are an important asset. The empirical results support this argument: compared to full mergers, partial acquisitions are the preferred form of acquisition when target countries do not effectively protect minority investors. Partial acquisitions are also more common among foreign acquirers from countries with poor legal systems. Finally, I show that firm-level corporate governance of the target firm is negatively related to the likelihood of partial acquisition. The second study examines the effect of investor protection on domestic liquidity for cross-listed firms. If US cross-listing can improve a firm’s information environment because of more stringent disclosure requirements in the US, I expect the information improvement to be reflected in a reduction in domestic liquidity costs. The empirical results are consistent with this prediction: local bid-ask spreads and price impact (a proxy for the cost of adverse information) significantly decrease while local trading volume significantly increases one year after US cross-listing. In addition, the liquidity improvement is larger for cross-listed firms that are from poor investor protection countries, and that are listed on the NYSE. The results in the second study are consistent with the “bonding” argument by Coffee (2002). The third study tests Coffee’s (1999) prediction of a convergence in corporate governance around the world. Since information environment is a key factor of corporate governance, it is important to see if there is a convergence in information environment across countries over the past two decades. Using various common proxies for information environment, I show that the quality of information environment generally improves through time, but the improvement is larger for developed markets and countries with better institutional quality. In the third study, I also reproduce the main results in Bailey, Karolyi and Salva (2006), and Fernandes and Ferreira (2008). These studies report similar divergence in information environment for cross-listed firms post-US-listing, but fail to control for the quality of information environment in the domestic market. After we control for this market effect, we do not find support for their results: there is no improvement in information environment for cross-listed firms, and no difference in the change between developed and emerging countries. 1 The second and third empirical studies are co-authored work with my supervisor, Professor Henk Berkman. For consistency, I use the first person ‘I’ throughout the dissertation.

This dissertation contains three empirical studies that examine the effect of investor protection on three different aspects of corporate governance: mergers and acquisitions, US cross-listings, and convergence of information environment around the world.1 The first study investigates the relation between investor protection and the choice of acquisition form (partial versus full acquisition). I argue that if private benefits are a motivation for mergers and acquisitions, an acquirer is more likely to bid for a controlling fraction (but not a hundred percent) of a target firm in countries with weak investor protection because in these countries private benefits of control are an important asset. The empirical results support this argument: compared to full mergers, partial acquisitions are the preferred form of acquisition when target countries do not effectively protect minority investors. Partial acquisitions are also more common among foreign acquirers from countries with poor legal systems. Finally, I show that firm-level corporate governance of the target firm is negatively related to the likelihood of partial acquisition. The second study examines the effect of investor protection on domestic liquidity for cross-listed firms. If US cross-listing can improve a firm’s information environment because of more stringent disclosure requirements in the US, I expect the information improvement to be reflected in a reduction in domestic liquidity costs. The empirical results are consistent with this prediction: local bid-ask spreads and price impact (a proxy for the cost of adverse information) significantly decrease while local trading volume significantly increases one year after US cross-listing. In addition, the liquidity improvement is larger for cross-listed firms that are from poor investor protection countries, and that are listed on the NYSE. The results in the second study are consistent with the “bonding” argument by Coffee (2002). The third study tests Coffee’s (1999) prediction of a convergence in corporate governance around the world. Since information environment is a key factor of corporate governance, it is important to see if there is a convergence in information environment across countries over the past two decades. Using various common proxies for information environment, I show that the quality of information environment generally improves through time, but the improvement is larger for developed markets and countries with better institutional quality. In the third study, I also reproduce the main results in Bailey, Karolyi and Salva (2006), and Fernandes and Ferreira (2008). These studies report similar divergence in information environment for cross-listed firms post-US-listing, but fail to control for the quality of information environment in the domestic market. After we control for this market effect, we do not find support for their results: there is no improvement in information environment for cross-listed firms, and no difference in the change between developed and emerging countries. 1 The second and third empirical studies are co-authored work with my supervisor, Professor Henk Berkman. For consistency, I use the first person ‘I’ throughout the dissertation.

This dissertation investigates the information considerations of volatility, pricediscovery and the relationship change in volume and volatility resulting from index derivatives transactions on financial markets in Australia. The impact of information on volatility was investigated in the essay one, as volatility is a key factor for accurately pricing derivative securities. I assessed the forecast accuracy, unbiasedness and information content of volatility forecasts, based on implied volatility and conditional volatility models for the S&P/ASX 200 Index Options market in Australia. The conditional volatility models produce the most accurate forecasts and are robust when forecasting into short time horizons. Essay two, investigates the information content of the index and option markets in the price-discovery process. Based on the above volatility results, the long-run equilibrium relationship between the share price index and the implied price of the share-price-index option was investigated. Causality was determined to show which market leads the other. Information share measures were used to gauge the contribution of the share price index and index option markets to the price-discovery process. Unambiguous evidence shows the index market leads the options market and the former contributes more to price-discovery than the latter. In essay three, I investigate the dynamic relationship between the future price volatility of the S&P/ASX 200 Index and the trading volume of the S&P/ASX 200 Index Options to explore the informational role of option volume in predicting price volatility. I found the contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback effects from the implied volatility and the TARCH volatility to the call options volume are positive, significant and strong.

This dissertation contains three empirical studies that examine the effect of investor protection on three different aspects of corporate governance: mergers and acquisitions, US cross-listings, and convergence of information environment around the world.1 The first study investigates the relation between investor protection and the choice of acquisition form (partial versus full acquisition). I argue that if private benefits are a motivation for mergers and acquisitions, an acquirer is more likely to bid for a controlling fraction (but not a hundred percent) of a target firm in countries with weak investor protection because in these countries private benefits of control are an important asset. The empirical results support this argument: compared to full mergers, partial acquisitions are the preferred form of acquisition when target countries do not effectively protect minority investors. Partial acquisitions are also more common among foreign acquirers from countries with poor legal systems. Finally, I show that firm-level corporate governance of the target firm is negatively related to the likelihood of partial acquisition. The second study examines the effect of investor protection on domestic liquidity for cross-listed firms. If US cross-listing can improve a firm’s information environment because of more stringent disclosure requirements in the US, I expect the information improvement to be reflected in a reduction in domestic liquidity costs. The empirical results are consistent with this prediction: local bid-ask spreads and price impact (a proxy for the cost of adverse information) significantly decrease while local trading volume significantly increases one year after US cross-listing. In addition, the liquidity improvement is larger for cross-listed firms that are from poor investor protection countries, and that are listed on the NYSE. The results in the second study are consistent with the “bonding” argument by Coffee (2002). The third study tests Coffee’s (1999) prediction of a convergence in corporate governance around the world. Since information environment is a key factor of corporate governance, it is important to see if there is a convergence in information environment across countries over the past two decades. Using various common proxies for information environment, I show that the quality of information environment generally improves through time, but the improvement is larger for developed markets and countries with better institutional quality. In the third study, I also reproduce the main results in Bailey, Karolyi and Salva (2006), and Fernandes and Ferreira (2008). These studies report similar divergence in information environment for cross-listed firms post-US-listing, but fail to control for the quality of information environment in the domestic market. After we control for this market effect, we do not find support for their results: there is no improvement in information environment for cross-listed firms, and no difference in the change between developed and emerging countries. 1 The second and third empirical studies are co-authored work with my supervisor, Professor Henk Berkman. For consistency, I use the first person ‘I’ throughout the dissertation.

This dissertation contains three empirical studies that examine the effect of investor protection on three different aspects of corporate governance: mergers and acquisitions, US cross-listings, and convergence of information environment around the world.1 The first study investigates the relation between investor protection and the choice of acquisition form (partial versus full acquisition). I argue that if private benefits are a motivation for mergers and acquisitions, an acquirer is more likely to bid for a controlling fraction (but not a hundred percent) of a target firm in countries with weak investor protection because in these countries private benefits of control are an important asset. The empirical results support this argument: compared to full mergers, partial acquisitions are the preferred form of acquisition when target countries do not effectively protect minority investors. Partial acquisitions are also more common among foreign acquirers from countries with poor legal systems. Finally, I show that firm-level corporate governance of the target firm is negatively related to the likelihood of partial acquisition. The second study examines the effect of investor protection on domestic liquidity for cross-listed firms. If US cross-listing can improve a firm’s information environment because of more stringent disclosure requirements in the US, I expect the information improvement to be reflected in a reduction in domestic liquidity costs. The empirical results are consistent with this prediction: local bid-ask spreads and price impact (a proxy for the cost of adverse information) significantly decrease while local trading volume significantly increases one year after US cross-listing. In addition, the liquidity improvement is larger for cross-listed firms that are from poor investor protection countries, and that are listed on the NYSE. The results in the second study are consistent with the “bonding” argument by Coffee (2002). The third study tests Coffee’s (1999) prediction of a convergence in corporate governance around the world. Since information environment is a key factor of corporate governance, it is important to see if there is a convergence in information environment across countries over the past two decades. Using various common proxies for information environment, I show that the quality of information environment generally improves through time, but the improvement is larger for developed markets and countries with better institutional quality. In the third study, I also reproduce the main results in Bailey, Karolyi and Salva (2006), and Fernandes and Ferreira (2008). These studies report similar divergence in information environment for cross-listed firms post-US-listing, but fail to control for the quality of information environment in the domestic market. After we control for this market effect, we do not find support for their results: there is no improvement in information environment for cross-listed firms, and no difference in the change between developed and emerging countries. 1 The second and third empirical studies are co-authored work with my supervisor, Professor Henk Berkman. For consistency, I use the first person ‘I’ throughout the dissertation.

Bank loan ratings are employed to investigate the interrelationship between the rating agencies and banks. Valuation effects of rating announcements on investors in the market are also examined. Similar functions are performed by rating agencies and banks, however, it is found that investors perceive information provided by rating agencies and banks differently. In the first essay, the results indicate that investors recognise the value of rating agencies in the presence of banks as information providers and monitors. The value of rating agencies relies on their recognition of deteriorating prospects in a firm's financial position, as the market reacts significantly to bank loan rating announcements of placement on CreditWatch with negative implications and downgrades. In the second essay, the results indicate that investors recognise the value of high quality banks in the presence of rating agencies as information providers and monitors. When the deteriorated firms are associated with high quality banks, the negative reaction toward announcements of negative placement and downgrade is mitigated. This indicates that investors are willing to trust high quality banks' speciality in information and monitoring, and reassess the value of deteriorated firms. In the third essay, the results show that the value of rating agencies; via announcements of negative placement and downgrade; also expands to non-rated firms smaller than the rated firms, in the same industry. Announcements of negative placement indicate firm-specific deterioration and, therefore, smaller rival firms benefit from the change in competitive balance. From the announcements of downgrade, however, smaller rival firms experience contagion effect.

This thesis examines the profitability of the oldest known form of technical analysis, candlestick trading strategies. Unlike traditional technical analysis which is based around close prices, these strategies generate buy and sell signals that are based on the relationship between open, high, low and close prices within a day and over consecutive days. Traditional technical analysis, which has been the focus of previous academic research, has a long-term focus with positions being held for months and years. In contrast, candlestick technical analysis has a short-term focus with positions being held for ten days or less. This difference is significant as surveys of market participants indicate that they place 50 per cent more importance on technical analysis for horizons of a week than they do for horizons of a year. Candlestick technical analysis was developed on rice data in Japan in the 1700s so the tests in this thesis, using Dow Jones Industrial Index (DJIA) component stock data for the 1992 - 2002 period, are clearly out of sample tests. These tests are more robust to criticisms of data snooping than is the existing technical analysis literature. Proponents of technical analysis in the Western world would have had the opportunity to have become aware of candlestick trading strategies by this study's timeframe and would also have had the opportunity to source the data and software necessary to implement these strategies. So, a direct test of market efficiency is possible. This was not achievable by authors of many previous papers, who used data starting in the early 1900s and techniques that could not have been implemented at that time. Using an innovative extension of the bootstrap methodology, which allows the generation of random open, high, low and close prices, to test the profitability of candlestick technical trading strategies showed that candlestick technical analysis does not have value. There is no evidence that a trader adhering to candlestick technical analysis would out-perform the market.