Futures and options markets offer various economic functions. Futures markets have been shown to offer price discovery, asset management and risk management services. Options markets provide similar price discovery and risk management alternatives. In addition, options markets provide a market based estimate of the underlying asset's implied volatility. In the finance literature implied volatility has been employed, in various ways: (1) forecasting future cash market volatility, (2) testing the efficiency of the options markets, and (3) measuring the effect of macroeconomics releases on changes in market and firm volatility. This study contains three essays which extend previous research in implied volatility. The existence of non-stationarity in investors' desired risk premia remains a central topic in financial research. Chapter 1 gives a brief introduction to the study. Chapter 2 reviews the related recent literature. In Chapter 3 implied volatilities are used to investigate empirically the volatility risk premium of S&P 500 Index options. In addition we test for the effects of endogenous and exogenous variables in explaining the volatility risk premium during varying periods of expected uncertainty. In Chapter 4 various statistical methods (ARCH, GARCH) are analyzed and used to test the additional information content of implied volatility on S&P 500 options that are not captured by lagged market variances. Finally previous research has suggested a relationship between expected return and relative expected risk. Under these theoretical models expected asset return should reflect expected risk. In Chapter 5 a test for effectiveness of implied volatility as a basis for market timing decisions between stock and bond markets has been conducted.

This dissertation examines various aspects of corporate innovation. Specifically, it investigates how innovation information disclosure affects firms’ decisions on mergers and acquisitions and cost stickiness, as well as how gender disparity affects innovation outcomes by female inventors.The first chapter (with Connie X. Mao, Xuan Tian, Chi Zhang) studies the effects of information frictions on acquisition activities by exploiting plausibly exogenous variation in information gathering costs brought by the expansion of the USPTO Patent and Trademark Depository Library system. The findings reveal that firms become more active in technological acquisitions following local patent library openings. In addition, acquirers prefer targets that are geographically or technologically close to a less extent, technology M&A completion rates increase and performance improves, and post-merger innovation output enhances through more collaboration between acquirers’ and targets’ inventors. Overall, this study sheds new light on the importance of information gathering costs in corporate takeovers and the search for human capital synergies. The second chapter (with Yuqi Gu, Connie X. Mao) explores the existence and causes of gender disparities in the patent examination process. It finds that applications filed by female inventors are significantly less likely to receive a first-action approval or a final granting than those filed by male inventors. Consistent with the ‘gender bias’ hypothesis, the female disadvantage in patenting becomes smaller when inventors’ gender is less likely known to examiners. Moreover, the economic value of patents granted to female inventors is significantly higher, suggesting that women must clear a higher hurdle to secure a patent compared to men. Additionally, this study documents that women are significantly more likely than men to abandon their applications after receiving a rejection in the first-action decision, lending support to our ‘lack of persistence’ hypothesis. The findings shed light on the causes of gender differences in patent examination and offer implications for policies aimed at creating a level playing field in patenting. Finally, the third chapter (with Yuqi Gu, Bo Ouyang) examines the effect of information disclosure regulation on corporate resource adjustment, by using the empirical setting of the passage of the American Inventor's Protection Act (AIPA) as a shock that impacted the information environment. This study finds that the cost stickiness of both R&D and SG&A is significantly reduced after AIPA. The cross-sectional tests suggest the anti-cost stickiness effect is more pronounced in firms that have weaker corporate governance and severer information asymmetry, are able to benefit more from a ricker information set, and are more sensitive to adjustment cost changes. Further tests also suggest that the reduced cost stickiness has positive implications for firm value. Collectively, the results inform regulators of the potential benefit of information disclosure regulation with respect to corporate resource adjustments and provide evidence on the role of the information environment in corporate resource adjustments. / Business Administration/Finance

Mergers and acquisitions (M&A) of corporations are important economic events. The core function of M&A is to improve the allocation of economic resources. The value added is a standard way to evaluate M&A. Therefore, value added is the most important subject in the study of mergers and acquisitions. It is even more important to make a systematic study in this field in the Chinese market, since it is both emerging and transforming.Based on a comprehensive review and overview of the main theories of corporate M&A, this dissertation focuses on the premise of value creation in corporate mergers and acquisitions: the sources of value creation and the evaluation of value creation. It specifically examines the significant impact of China's unique institutional factors on mergers and acquisitions by Chinese listed companies and the resulting outcomes in terms of value creation. The key conclusions include the following: the governance structure of listed companies controlled by insiders leads to the failure of external subsidy mechanisms that would otherwise promote efficient mergers and acquisitions; government interests determine the decision-making of management in mergers and acquisitions; and the limited number of listed companies restricts the supply of acquisition targets. These factors significantly influence the effectiveness and outcomes of mergers and acquisitions in China. In the empirical research section, this dissertation employs methods such as event study, financial analysis, and industry lifecycle analysis to empirically analyze the value creation in mergers and acquisitions by Chinese listed companies. The main findings include the limited positive returns brought to shareholders of both the target and acquiring companies at the micro level. Most mergers and acquisitions by listed companies have not achieved significant value creation. At the macro level, there is no clear evidence of promoting macro effects such as optimizing industrial structure or optimizing resource allocation through mergers and acquisitions by Chinese listed companies. Overall, the dissertation explores the theoretical framework of corporate mergers and acquisitions and value creation, examines the institutional factors impacting mergers and acquisitions in China, and conducts empirical analysis on the value creation of mergers and acquisitions by Chinese listed companies. The findings indicate that mergers and acquisitions in China do not consistently lead to significant value creation at both micro and macro levels. / Business Administration/Finance

With the development of China's economy, as the core of the modern economy, China's commercial banks are also constantly strengthening their own strength in the social and economic development. It plays an important supporting role for the economic development. However, since the subprime mortgage crisis in 2008, the non-performing loans of China's commercial banks have undergone significant changes. Judging from the overall situation of commercial banks, it has changed from the previous "double reduction" of non-performing loan balances and non-performing loan ratios to a "double increase" situation. According to the classification of commercial banks, the composition of nonperforming loans of China's commercial banks has also undergone tremendous changes. In 2009, it was the only large commercial bank, but by 2019. It has developed into a "four-legged confrontation" situation. The non-performing loan ratio is often the leading indicator of the financial crisis, and the continuously increasing non-performing loan ratio has laid a hidden danger for the healthy development of China's social economy. Therefore, it is of great significance to explore the influencing factors of non-performing loans of various commercial banks for preventing and solving the problem of non-performing loans. First of all, this paper analyzes the research results of domestic and foreign scholars on non-performing loans. Through many documents, it can be found that domestic scholars mainly study the influencing factors of non-performing loans of commercial banks as a whole or the influencing factors of non-performing loans of a certain type of commercial banks, such as large commercial banks. There are few studies on the difference of the influence factors of non-performing loans of various commercial banks. Therefore, from a macro perspective, this paper explores the factors affecting the non-performing loan ratio of various commercial banks and tries to answer the core question of "Why are the nonperforming loan ratios of different types of commercial banks different?", which is a supplement to the study on non-performing loan. Furthermore, this paper sorts out the relevant theories of the formation of nonperforming loans, the theories involved mainly include credit theory, financial vulnerability theory, government intervention theory and bank credit behavior theory. Among them, credit theory, financial vulnerability theory and government intervention theory can theoretically explain the impact of macroeconomic factors on non-performing loans of commercial banks, while bank credit behavior theory can theoretically support the path of micro-factors on non-performing loans of commercial banks. Then, based on the analysis of the current situation, this paper adopts the data of commercial banks as a whole, large commercial banks, joint-stock commercial banks, urban commercial banks, rural commercial banks and foreign banks from 2010 to 2022. This paper selects GDP, broad money supply, one-year benchmark lending rate of the central bank, actual funds in place for real estate development and investment, and total export value as macroeconomic and industry indicators to study the factors affecting the non-performing loan ratio of various commercial banks from a macro perspective and tries to predict the future non-performing loan rate with their current variables. The results of the empirical analysis are as follows: (1) From the perspective of the types of macro factors, there are similarities between large-scale commercial banks and joint-stock commercial banks, and similarities between small-scale city commercial banks and rural commercial banks; (2) The changes of non-performing loan ratio of large commercial banks, joint-stock commercial banks, foreign banks and urban commercial banks can basically be explained by macro factors, but the non-performing loan ratio of rural commercial banks cannot be completely explained by macroeconomic factors; (3) The factors affecting the nonperforming loan ratio of each type of commercial bank are different, and these differences can be explained by the bank's positioning, business strategy and service objects. Finally, based on the empirical results, this paper puts forward suggestions on macro policies, and puts forward targeted suggestions for large commercial banks, joint-stock commercial banks, city commercial banks and rural commercial banks. / Fox School of Business / Business Administration/Finance

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The potential for agency conflict, due to separation of ownership and control, is an important issue for corporations, investors, and regulators. Although the goal of any firm is to maximize the wealth of owners through the maximization of the stock price, a conflict of interest may exist in companies in which decision-makers own less than 100 percent of the firm. Instead of looking after the best interest of the firm and its principals, agent-managers may seek to maximize their personal wealth, or decide to lead a more relaxed life and managerial style. Previous research shows that CEOs who are given annual bonuses, usually based on accounting profitability, may focus too much attention on short-term profits, at the expense of the long-term health of the company. This thesis examined 29 leading companies, in terms of sales, to determine empirically if a relationship exists between executive compensation, as measured by bonuses and stock options/appreciation rights, and discretionary expenditures (advertising, research and development expense, and capital expenditures). Using regression analysis, this thesis examined the relationship between the ratio Of long-term compensation to short-term compensation and advertising expense, research and development expense, capital expenditures, and stock return. Advertising and research and development expense were directly related to the compensation ratio; capital expenditures and stock returns were inversely related to the compensation ratio. Of these four relationships, only advertising expense was found to be a statistically significant explanatory variable. While the results are not consistent with the earlier study, they do raise some interesting issues that should be addressed in future research. For example, why is there no statistically significant relationship between compensation package structure and research and development expense or capital expenditures in this data set, when this relationship was documented by an earlier study? Why is there no significant, direct relationship between shareholder wealth and an executive's long-term to short-term compensation package? And what is the future outlook for the executive compensation debate and other empirical studies?

Thesis Title: The Changing Competitive Environment of the Banking Industry Examining the impact of the changing competitive environment on banks and the banking industry by studying a number of financial ratios, and how they have changed over time. Providing an explanation of banking regulations and the history of banking in the United States.

This study examines international acquisition transactions involving European acquiring firms and U.S. target firms over the period 1988-1999. The objective of the study is to identify the impact of EMU participation on the abnormal returns (ARs) realized by U.S. targets. Several important findings emerge from the analysis. First, consistent with the findings of previous studies, U.S. targets experience significant positive cumulative abnormal returns (CARs) around the time of acquisition announcement. Second, U.S. targets realize greater gains when acquired by a company originating from a current member of the EMU than when acquired by a company originating from a current non-EMU member country. Third, when evaluating transactions that involve EMU member countries, the CARs accruing to U.S. targets are greater for acquisitions occurring prior to the country's membership in the EMU. Analysis and comparison of the groups of transactions involving France and Germany suggests that the level of CAR.s generated to the U.S. targets may be inversely related to the economic and currency stability of the country from which the acquirer originates. However, the impact of participation in the EMU as well as the difference in returns generated by an EMU member before and after its participation the EMU. is not statistically significant. Regression analysis reveals a significant inverse relationship between the size of the target firm and ARs. In addition, test results show a significant positive relationship between the premium paid by the acquirer and the ARs experienced by U.S. targets.

Investing in Initial Public Offerings, or IPOs, was one of the best know ways for many investors to get rich in the late 1990s. An IPO is the first offering of shares by a firm to the public. As a privately held firm expands, it may need more funds than it can obtain through borrowing and therefore will consider an IPO. The pricing of IPOs has received a great deal of attention by many researchers, especially underpricing. Underpricing is the price change measured from the offering price to the market price on the first trading day. Underpricing may reduce the dollar capital that the company will receive for its IPO, but will increase profits of the initial investors and the investment bankers. In this study, I examined why there was higher underpricing in the 1990s compared to the 1980s. I also examined if the factors: higher trading volume, higher growth and higher number of high tech companies contributed to more underpricing in the I 990s compared to the 1980s. I did not find significant statistical evidence to support why there was more underpricing in the 1990s compared to the1980s. In fact, for my sample I do not find significantly higher underpricing for the l 990s firms compared to the 1980s firms. However, I did find that many of my hypothesized determinants did affect the degree of under-pricing. For example, I found that firms with higher average trading volume and higher average first year returns were more underpriced. In addition, I found that high tech firms were more underpriced

Thesis (M.A. (Research Psychology))--University of Pretoria, 2003.