In the first essay, we provide new evidence on the relationship between order flow and prices, an issue that is central to asset pricing and market microstructure. We examine proprietary data on a broad panel of NYSE-listed stocks that reveal daily order imbalances by institutions, individuals, and market makers. We can further differentiate regular institutional trades from institutional program trades. Our results indicate that order imbalances from different trader types play distinctly different roles in price formation. Institutions and individuals are contrarians with respect to previous-day returns but differ in the effect their order imbalances have on contemporaneous returns. Institutional imbalances are positively related to contemporaneous returns, and cross-sectional evidence suggests this relationship is likely to be the result of firm-specific information institutions have. Individuals, specialists, and other market makers appear to provide liquidity to these actively trading institutions. Our results also suggest a special role for institutional program trades. Institutions choose program trades when they have no firm-specific information and can afford to trade passively. As a result, program trades provide liquidity to the market. Finally, both institutional non-program and individual imbalances have predictive power for next-day returns. In the second essay, based on daily shorting flow data for a large sample of NYSE-listed stocks, we show that short sellers enhance the relative efficiency of transaction prices. We also provide new evidence on the recent suspension of the Uptick Rule for Regulation SHO Pilot stocks. Relative to matched control stocks, pilot stocks experience some improvement in price efficiency associated with increased shorting activity after the tick test was suspended. The third essay studies demutualization of stock exchanges. Using panel data on 132 major stock exchanges in 114 countries from 1990 to 2003, we examine the effect of demutualization on an exchange’s performance in its primary product markets: trading and listings. We document some evidence that demutualization is associated with improved competitiveness in attracting trading volume. Results on listings following demutualization are weak.

In the first essay, we provide new evidence on the relationship between order flow and prices, an issue that is central to asset pricing and market microstructure. We examine proprietary data on a broad panel of NYSE-listed stocks that reveal daily order imbalances by institutions, individuals, and market makers. We can further differentiate regular institutional trades from institutional program trades. Our results indicate that order imbalances from different trader types play distinctly different roles in price formation. Institutions and individuals are contrarians with respect to previous-day returns but differ in the effect their order imbalances have on contemporaneous returns. Institutional imbalances are positively related to contemporaneous returns, and cross-sectional evidence suggests this relationship is likely to be the result of firm-specific information institutions have. Individuals, specialists, and other market makers appear to provide liquidity to these actively trading institutions. Our results also suggest a special role for institutional program trades. Institutions choose program trades when they have no firm-specific information and can afford to trade passively. As a result, program trades provide liquidity to the market. Finally, both institutional non-program and individual imbalances have predictive power for next-day returns. In the second essay, based on daily shorting flow data for a large sample of NYSE-listed stocks, we show that short sellers enhance the relative efficiency of transaction prices. We also provide new evidence on the recent suspension of the Uptick Rule for Regulation SHO Pilot stocks. Relative to matched control stocks, pilot stocks experience some improvement in price efficiency associated with increased shorting activity after the tick test was suspended. The third essay studies demutualization of stock exchanges. Using panel data on 132 major stock exchanges in 114 countries from 1990 to 2003, we examine the effect of demutualization on an exchange’s performance in its primary product markets: trading and listings. We document some evidence that demutualization is associated with improved competitiveness in attracting trading volume. Results on listings following demutualization are weak.

One outcome of ever increasing competition and consolidation in the financial services industries has been the declining significance of the mutual organizational form in the U.S. life insurance industry. The process of converting from a mutual to a stock company gives rise to a variety of issues. The first three essays in this dissertation focus on the growing movement toward demutualization in the U.S. life insurance industry where essay one discusses industrial organization background. In essay two, I improve on the existing literature regarding the determinants of life insurer demutualizations by investigating an expanded data set and utilizing more robust econometric techniques to allow for different forms of demutualization. I also model the demutualization process as a two step process to account for the timing of demutualization, time-varying covariates, and censoring. These models yield results that strongly support the access to capital hypothesis. In essay three, I examine changes in risk management and investment strategies of demutualizing life insurers following conversion. The empirical tests reveal that demutualizing life insurers increase total risk after conversion consistent with their increased abilities and incentives for risk taking. They achieve this increase by hedging interest rate risk and increasing their core-business risks as proxied by investments in various illiquid asset classes. The final essay is on diversifying mergers and acquisitions. Conventional wisdom suggests diversification reduces risk. However, the change in the riskiness of the firm after diversifying acquisitions has not been directly tested in the literature. Using a sample of diversifying M&As, I find that total firm risk does not decrease significantly after these transactions. I then show that while total firm risk does not change, core-business risk increases significantly after the diversifying M&A transactions. I also find that capital expenditures in the acquirers’ core business segments increase significantly more after diversifying transactions relative to that of non-diversifying transactions. Overall, the evidence in this essay adds to the risk management literature that says hedging is a means of allocating risk rather than reducing risk and offers an alternative explanation for why firms diversify.

The focus of this study is to evaluate the impact of corporate ownership structure on the overall performance of stock exchanges. This study distinguishes in particular mutual versus demutualized ownership. London Stock Exchange and Hong Kong Stock Exchange are chosen as study cases, because London Stock Exchange is one of the world leading stock exchanges and Hong Kong Stock Exchange is definitely one of the most important emerging market stock exchanges. That is why the results obtained by comparing these two stock exchanges could serve as good indicator in understanding the effects of demutualization process on the whole stock exchange sector and retain the subtle differences in micro-behavior of the stock exchanges undergone the same transformation. In this paper the simple descriptive statistics is used as the method of analysis, in association to a profound review of the literature in this area. The data illuminate the fact that demutualized stock exchanges hold a stronger operating performance and a better performance in term of shareholder’s return than mutual exchanges. The result is generally in line with the basic theories in the area of corporate governance and empirical studies in this specific area like Aggarwal (2006), Mendiola and O’Hara (2003) and Hart and Moore (1996).

<p><p>The focus of this study is to evaluate the impact of corporate ownership structure on the overall performance of stock exchanges. This study distinguishes in particular mutual versus demutualized ownership. London Stock Exchange and Hong Kong Stock Exchange are chosen as study cases, because London Stock Exchange is one of the world leading stock exchanges and Hong Kong Stock Exchange is definitely one of the most important emerging market stock exchanges. That is why the results obtained by comparing these two stock exchanges could serve as good indicator in understanding the effects of demutualization process on the whole stock exchange sector and retain the subtle differences in micro-behavior of the stock exchanges undergone the same transformation.</p><p>In this paper the simple descriptive statistics is used as the method of analysis, in association to a profound review of the literature in this area. The data illuminate the fact that demutualized stock exchanges hold a stronger operating performance and a better performance in term of shareholder’s return than mutual exchanges. The result is generally in line with the basic theories in the area of corporate governance and empirical studies in this specific area like Aggarwal (2006), Mendiola and O’Hara (2003) and Hart and Moore (1996).</p></p>

Made available in DSpace on 2016-04-26T20:49:00Z (GMT). No. of bitstreams: 1 Caio Buonvento Hori.pdf: 2426826 bytes, checksum: d0be7d2047ef24ff31797bec36d98297 (MD5) Previous issue date: 2010-05-15 / The aim of this study is to analyze the process of change in the industrial organization of the stocks exchanges, since the nineties, when has begun demutualization, as well the development of the process of integration and strategic partnership, actions not common for this type of institution so far. The analysis began with the changes in developed markets, and follows its expansion to the emerging markets; it shows that most of the main world s stock exchanges already had taken these decisions. This process has turned the stock exchanges in for profit companies, with listed securities; it brought new opportunities and new challenges. The work will investigate what were the main reasons to the adoption of the demutualization and the other restructuring decisions, such as integration and strategic alliances, by the stocks exchanges. Noting that some of the conditions to the changes took place already existed, as the growth of the market and technologies solutions, we investigate the impact of demutualization in this process. Finally, we analyze the Brazilian market, where the two main stock exchanges got themselves demutualized and integrated / O objetivo deste trabalho é estudar o processo de mudança na organização industrial nas bolsas de valores desde os anos 90, quando elas começaram a se desmutualizar, além de ampliarem os processos de integração e de estabelecimento de parcerias estratégicas, fatos não comuns para estas instituições até então. A análise parte da mudança ocorrida nas bolsas de mercados desenvolvidos e acompanha sua expansão para os países em desenvolvimento, constatando que as principais bolsas mundiais já aderiram a este processo. Este processo transformou as bolsas de valores em empresas lucrativas, com ações negociadas em bolsa; com isso, criou novas oportunidades e novos desafios. Estudamos as razões da desmutualização e de outras reestruturações das bolsas de valores, como integrações e alianças entre bolsas. Notando que já existiam algumas condições necessárias para que esses eventos ocorressem, como mercados fortes e larga adoção de tecnologia, analisamos o papel da desmutualização nessas mudanças. Por fim, analisamos o caso brasileiro, em que as duas principais bolsas se desmutualizaram e se integraram

Cette thèse, sous forme de trois articles, tente d’expliquer le déclin des bourses organisées au profit de nouvelles plateformes de transaction, à la lumière des récents changements de gouvernance et réglementaires. Les deux premiers articles évaluent l’influence de quatre types d’actionnariat (flottant, courtiers, investisseurs financiers et actionnaires stratégiques) sur la performance de l’entreprise. Il existe une corrélation positive de la performance avec l’actionnariat institutionnel,et négative avec le flottant et avec les investisseurs stratégiques. Le deuxième article –six études de cas– valide ces résultats. L’analyse plus détaillée des actionnaires stratégiques montre que ceux-ci créent de la valeur quand ils sont fondateurs; la détruisent quand ils sont des dirigeants salariés; et augmentent la volatilité des performances de l’entreprise dans les cas de prise de contrôle avortée par un concurrent.Le troisième article analyse l’effet conjugué des changements réglementaires et technologiques. A travers une approche par comparaisons de moyennes, il apparait que les marchés exposés à la déréglementation souffrent plus de la concurrence des plateformes électroniques que les autres bourses.Cette thèse introduit deux nouveaux concepts: le «principal quasi-agent» (un actionnaire qui réduit la valeur de son investissement en raison de ses conflits d’intérêt) et l’«effet adjuvant» (ou comment la réglementation démultiplie les effets concurrentiels permis par les avancées technologiques). / This dissertation consists of three articles, examining the performance of demutualized securities exchanges from 2000 to 2011, in view of changes in governance and regulation. The first part is an empirical study of the influence of each type of shareholder (financial investor, broker, strategic or widely-held shares). The results show that fragmented owner ship is correlated with lower performance and investment managers’ presence with higher performance; strategic investors are on balance detrimental to shareholder value. The second article looks at the same exchanges individually, through case studies. The findings of the first article are validated.However,a closer look at strategic investors shows three outcomes : when they consist of founders, they increase shareholder value; when they are employed managers,they decrease it; and when the strategic investor is a competitor, the target company’s performance becomes more volatile. The third article looks at the combination of technology and regulation.Through mean comparisons and a difference-in-differences approach, this section shows that recent market deregulation has allowed high-tech start-ups to challenge the dominance of the established exchanges, just like previous coincidences of regulatory and technological change resulted in significant market up heavals: the disappearance of London’s jobbers following Big Bang and the Eurocurrency market displacing New York as a major center for dollar borrowing and lending. This dissertation introduces two new concepts: “quasi-agent principals”(shareholders who destroy value in their investment as a result of their conflicts of interest) and the “adjuvant effect” (when the combined effect of regulation and technology is a multiple of the effects of each).

Study project (MAcc)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: The most basic principle of agency theory is that an individual will always serve his own interest best. According to Eisenhardt (1989) agency theory describes individuals as rational, risk averse en motivated by egotism. Agency theory also deals with the conflict that exists between different parties in an organization due to people's egoism. This self-interest can lead to goal incongruence if a person is placed in an environment where he has to serve somebody else's interest. Ownership and management vested in the same party until about 130 years ago. These roles were however separated with the development of the modem organization. The principal or owner is now represented by the shareholder and management serves as the agent. The principal thus appoints the agent to serve and manage his interest in the organization optimally. The principal's goal is the maximising of his shareholders' wealth. The agent's goal to carry out his task with the minimum effort and or to obtain maximum benefit for himself. It is thus clear that the goals of the principal and agent might often differ and this will give rise to goal Incongruence. This goal incongruence may give rise to some managerial actions which will be detrimental to optimal value of the company. The agency conflict, which is caused by man's self interest, manifests in the modem organization in a number of ways. These are referred to agency problems in this assignment. Agency problems are found both on a micro- and macroeconomical level. Agency cost is the sum of the difference between the real and optimal value of the company, the monitoring costs of the principal and the bonding costs of the agent. This cost is to the disadvantage of the principal and might even be to the disadvantage of the agent. It is thus essential that agency conflict and agency costs are reduced to a minimum. A number of measures are taken to address the agency problems and to reduce their negative effect on the organization. None of these measures will be efficient enough ifused in isolation. An optimal combination of solutions will depend on the company's specific circumstances. An empirical study was conducted to determine to what extent the agency problems manifest during the demutualisation of a big insurance business. The measures taken to address these problems were also investigated as well as the extent to which these were successful. / AFRIKAANSE OPSOMMING: Die basiese aanname van agentskapsteorie is dat die individu sy selfbelang altyd eerste sal stel. Volgens Eisenhardt (1989) beskryf agentskapsteorie individue as rasioneel, risikoongeneigd en gemotiveer deur selfbelang. Agentskapsteorie handel verder oor die konflik wat tussen die verskillende belanghebbende partye binne 'n organisasie as gevolg van persone se selfbelang ontstaan. Hierdie selfbelang van die mens kan lei tot doelwitinkongruensie, indien die persoon in 'n omgewing geplaas word waar daar van hom verwag word om 'n ander se belange te dien. Eienaarskap en bestuur was tot ongeveer 130 jaar gelede gevestig in dieselfde party. Met die totstandkoming van die moderne onderneming, is hierdie rolle egter geskei. Die prinsipaal of eienaar word nou verteenwoordig deur die aandeelhouer en die bestuur dien as die agent. Die prinsipaal stel dus die agent aan om na sy belang in die onderneming om te sien en dit optimaal te bestuur. Die prinsipaal se doel is die maksimering van sy aandeelhouerswelvaart. Die agent poog om sy taak met minimale inspanning te voltooi en of uitsonderlike voordeel vir homself te behaal. Dit is duidelik dat die prinsipaal en agent se doelwitte meermale sal verskil en doelwitinkongruensie ontstaan dus. Hierdie doelwitinkongruensie word vergestalt in sekere aksies wat bestuur soms neem en wat daartoe lei dat die optimale waarde van die firma nie bereik word nie. Die agentskapskonflik wat as gevolg van die partye se selfbelang ontstaan manifesteer in die moderne onderneming op 'n verskeidenheid van wyses, wat in hierdie werkstuk as agenskapsprobleme gedefinieer word. Agentskapsprobleme kom op 'n mikro- sowel as op 'n makro-ekonomiese vlak voor. Die verskil tussen die werklike en optimale waarde van die organisasie, plus die prinsipaal se moniteringskoste en die agent se gebondenheidskoste, verteenwoordig agentskapskoste. Hierdie koste strek tot die nadeel van die eienaars en meermale ook tot die nadeel van die bestuur. Dit is dus noodsaaklik dat agentskapskonflik en die gepaardgaande agentskapskoste tot 'n minimum beperk word. Daar word van 'n verskeidenheid van maatreëls gebruik gemaak ten einde die agenskapsprobleme aan te spreek en hul negatiewe impak op die onderneming te versag. Nie een van hierdie oplossings kan in isolasie gebruik gemaak word nie en afhangend van die onderneming se spesifieke omstandighede, sal daar hoogstens 'n optimale kombinasie van oplossings ontwikkel kan word. Daar is vervolgens in hierdie werkstuk 'n empiriese ondersoek uitgevoer ten einde te bepaal in hoe 'n mate die agenskapsprobleme tydens die demutualisering van 'n groot versekeringsonderneming manifesteer. Die neem van regstellende stappe om hierdie probleem aan te spreek is ondersoek, sowel as die mate waartoe hierdie maatreëls suksesvol was al dan nie.

Made available in DSpace on 2016-04-26T20:48:47Z (GMT). No. of bitstreams: 1 Lucy Pamboukdjian.pdf: 616336 bytes, checksum: c470f80cf74971ad5c001dc6501d6ca4 (MD5) Previous issue date: 2006-12-20 / This paper analyses the features that led the stock exchanges in Latin America to promote the integration initiatives that are currently in progress. The evaluation takes the experiences in integration and consolidation observed in Europe and the United States as main reference, as well as the opening of capital markets, introduction of electronic trading systems and demutualization processes, along with the increasing participation of institutional investors as main drivers of the transformation seen in the recent years. Since the late 1980 s, the capital markets worldwide have seen the modernization of the stock and derivatives exchanges. This movement has been occurring simultaneously to the opening of the capital markets and to the flows of capital led by institutional investors, which seem to have stimulated the adoption of more efficient electronic trading systems for the securities trading. In this sense, stock exchanges and market intermediaries started using technology to strengthen the efficiency of its intermediation models, as well as to broaden access with smaller trading costs to investors. In order to achieve more flexibility and raise financial resources to conduct these changes, the demutualization process has emerged allowing exchanges to become for-profit and market driven companies, which segregated the trading rights and the ownership rights of the intermediaries in the exchanges / A dissertação examina os elementos que motivaram as bolsas de valores da América Latina a promover as iniciativas de integração de seus mercados de capitais em curso. A análise toma como referência as experiências de integração e consolidação promovidas pelas principais bolsas de valores da Europa e dos EUA, bem como os processos de internacionalização dos mercados, de implementação de sistemas eletrônicos de negociação e de desmutualização das bolsas, além do papel dos investidores institucionais como estimuladores das transformações em curso ao longo dos últimos anos. A partir do final dos anos 1980, o mercado de capitais mundial presenciou a modernização de bolsas de valores e de derivativos. Essa transformação coincidiu com a internacionalização dos mercados de capitais e com o fluxo internacional de capitais geridos por investidores institucionais, que parecem ter estimulado o desenvolvimento de sistemas eletrônicos de negociação mais eficientes para a intermediação de ações e outros instrumentos do mercado financeiro. Nesse sentido, bolsas de valores e seus intermediários passaram a utilizar a tecnologia para potencializar a eficiência de seus sistemas de negociação e simultaneamente oferecer acesso mais adequado e custos de intermediação reduzidos aos investidores. Para atingir maior flexibilidade na sua gestão e maior capitalização financeira para implementar essas mudanças, um processo de desmutualização tomou lugar nas bolsas, que se tornaram empresas com fins de lucro e com estratégias comerciais e dissociaram o direito de acesso à intermediação do direito à propriedade dos participantes das bolsas

To date there is little evidence on the effect of property-liability (P-L) insurer's business strategy and organizational structure change on their frontier efficiency performance and productivity change. This issue is important since traditional theory assumes firms that minimizes cost and maximizes profit with more efficient strategy will survive in the long run. The main goal of this dissertation is to examine the efficiency performance in the U.S. P-L insurance industry using frontier efficiency and productivity methods. This dissertation consists of three essays on the efficiency studies. The first essay uses the data envelopment analysis to examine the efficiency performance and economies of scope for nonspecialists and specialists in the U.S. P-L insurance industry. The empirical evidence suggests that nonspecialists (specialists) dominate specialists (nonspecialists) in producing nonspecialists (specialists) input–output vectors and provide evidence for the coexistence of economies of scope and diseconomies of scope in the U.S. P-L insurance industry. Our second essay uses the stochastic frontier analysis to examine whether nonspecialized strategy dominates specialized strategy in the U.S. P-L insurance industry. The empirical evidence supports that both the nonspecialized hypothesis and the specialized hypothesis hold for different types of P-L insurers. Our third essay investigates whether the conversion of U.S. P-L insurers improves their efficiency performance before and after conversion. The empirical evidences of the value-added approach and the financial intermediary approach indicate that converting insurers experience improvement in their efficiency relative to mutual counter samples after the conversion, supporting the efficiency hypothesis proposed by Mayers and Smith (1986). Overall, the evidence of this dissertation shows that P-L insurer's diversification strategy and organizational structure change has significant impact on their frontier efficiency performance and productivity change.