<p>This paper uses logistic regression to assign risk of catastrophic loss (defined as a loss of 80% or more of market cap value) to companies, and analyzes the subsequent returns of high risk and low risk portfolios. In the final model, the low risk portfolio had a three-year mean return of approximately 47%, with a catastrophic loss rate of 1.1%. The high-risk portfolio had a three-year mean return of approximately .5%, with a catastrophic loss rate of 29%. The paper expands upon a model developed by Dr. Abhay Gaur and Dr. Leo Rebholz in Rebholz?s 2002 thesis, Bankruptcy as Cusp Catastrophe. This paper first validates the model, introduces a new variable, which examines financial momentum, and transforms the bankruptcy variable to catastrophic loss. The success of the model was viewed through a comparative approach of high and low risk portfolios.

This thesis contributes to the econometric literature on structural breaks analysis and outliers detection in parametric linear models. The focus is on the development of new econometric tools as well as on the analysis of novel but largely unexplored approaches. The econometric methods under analysis are illustrated using macroeconomic and financial relationships. The thesis is organised in three main chapters. In Chapter 2, we consider two novel methods to detect multiple structural breaks affecting the deterministic component of a linear system. The first is an extension of the dummy saturation method whereas the second method deals with a sequential bootstrapping procedure based on the sup-F statistic. Through an extensive Monte Carlo exercise, we explore the ability of the two approaches to detect the correct number and the correct location of the breaks. Additionally, we illustrate how to apply empirically the two procedures by investigating the stability of the Fisher relationship in the United States. In Chapter 3, we consider testing for multiple structural breaks in the vector error correction framework. First, we study the role of weak exogeneity when testing for structural breaks in the cointegrating matrix. Second, we extend the existing likelihood ratio test of Hansen (2003) to the case of unknown break dates through the specification of a minimum p-value statistic with critical values approximated by bootstrapping. Monte Carlo simulations show that the proposed statistic has good finite sample properties whilst three small empirical applications illustrate how the minimum p-value statistic can be used in practice. In Chapter 4, we tackle the purchasing power parity puzzle developing a robust estimator for the half-life of the real exchange rate. Specifically, we propose to identify outlying observations by means of a dummy saturation type algorithm designed for ARMA processes which enables to detect additional and innovative outliers as well as level shifts. An empirical application involving US dollar real exchange rates shows that the estimated half-lives are considerably shorter when outlying observations are correctly modelled, therefore shedding some light on the purchasing power parity puzzle.

Corporate restructuring is perceived as a challenge to research. Prior studies do not provide conclusive evidence regarding the effects of restructuring. Since there are discernible findings, this research attempts to examine the effects of restructuring events amongst the UK listed firms. The sample firms are listed in the LSE and London AIM stock exchange. Only completed restructuring transactions are included in the study. The time horizon extends from year 1999 to 2003. A three-year floating window is assigned to examine the sample firms. The key enquiry is to scrutinise the ex post effects of restructuring on performance and value measures of firms with contrast to a matched criteria non-restructured sample. A cross sectional study employing logit estimate is undertaken to examine firm characteristics of restructuring samples. Further, additional parameters, i.e. Conditional Volatility and Asymmetry are generated under the GJR-GARCH estimate and reiterated in logit models to capture time-varying heteroscedasticity of the samples. This research incorporates most forms of restructurings, while prior studies have examined certain forms of restructuring. Particularly, these studies have made limited attempts to examine different restructuring events simultaneously. In addition to logit analysis, an event study is adopted to evaluate the announcement effect of restructuring under both the OLS and GJR-GARCH estimate supplementing our prior results. By engaging a composite empirical framework, our estimation method validates a full appreciation of restructuring effect. The study provides evidence that restructurings indicate non-trivial significant positive effect. There are some evidences that the response differs because of the types of restructuring, particularly while event study is applied. The results establish that performance measures, i.e. Operating Profit Margin, Return on Equity, Return on Assets, Growth, Size, Profit Margin and Shareholders' Ownership indicate consistent and significant increase. However, Leverage and Asset Turn Over suggest reasonable influence on restructuring across the sample period. Similarly, value measures, i.e. Abnormal Returns, Return on Equity and Cash Flow Margin suggest sizeable improvement. A notable characteristic seen coherently throughout the analysis is the decreasing proportion of Systematic Risk. Consistent with these findings, Conditional Volatility and Asymmetry exhibit similar trend. The event study analysis suggests that on an average market perceives restructuring favourably and shareholders experience significant and systematic positive gain.

This thesis investigates corporate financial disclosure practices on Web sites and their impact. This is done, first by examining the views of various Saudi user groups (institutional investors, financial analysts and private investors) on disclosure of financial reporting on the Internet and assessing differences, if any, in perceptions of the groups. Over 303 individuals from three groups responded to a questionnaire. Views were elicited regarding: users attitude to the Internet infrastructure in Saudi Arabia, users information sources about companies in Saudi Arabia, respondents perception about the advantages and disadvantages in Internet financial reporting (IFR), respondents attitude to the quality of IFR provided by Saudi public companies and the impact of IFR on users information needs. Overall, it was found professional groups (Institutional investors, financial analysts) hold similar views in relation to many issues, while the opinions of private investors differ considerably. Second, the thesis examines the use of the Internet for the disclosure of financial and investor-related information by Saudi public companies (113 companies) and look to identify reasons for the differences in the online disclosure practices of companies by testing the association between eight firm-specific factors and the level of online disclosure. The financial disclosure index (167 items) is used to measure public company disclosure in Saudi Arabia. The descriptive part of the study reveals that 95 (84%) of the Saudi public companies in the sample had a website and 51 (45%) had a financial information section of some description. Furthermore, none of the sample companies provided 100% of the 167 index items applicable to the company. Results of multivariate analysis show that firm size and stock market listing are significant explanatory variables for the amount of information disclosed on corporate Web sites. The thesis finds a significant and negative relationship between the proportion of institutional ownership of a companys shares and the level of IFR.

No description available.

This thesis investigates three issues related to foreign exchange market. The fist issue is whether commodity prices can beat random walk benchmark by generating more accurate out-of-sample forecasts. The empirical results show that contemporaneous prices outperform the random walk at the daily frequency, however, this predictive ability disappears for monthly data. Using lagged commodity prices, we show that integrating the whole set of commodities into one large model or equally combining forecasts generated by each commodity individually improves the accuracy of the forecasts, implying outperforming the driftless random walk benchmark. The second issue is the profitability of technical trading rules in foreign exchange market and whether it is consistent with the efficient market hypothesis. The results support profitability of trading rules for different currencies. However, to determine whether one could consistently speculate in the market, we perform a persistence analysis. We construct a portfolio of outperforming rules for each currency at the end of each month and use the selected rules in the following month. These results indicate that profitability of technical trading rules are purely due to luck. The final issue is the performance of technical analysis and fundamental analysis in forecasting exchange rates. Due to parameter instability, the focus is on local forecasting performance of technical and economic models. We select models with the best performance based on three different criteria on a monthly basis and use them to generate forecasts for the next period. Our results show that if forecasts generated by selected technical and economic models are combined with equal weight, the random walk is beaten by all three criteria. These results underline the importance of considering both fundamental and technical factors in forecasting exchange rates.

<p>Securitization is the practice of pooling the cashflows of a large number of financial assets and structuring them so as to create a much smaller number of tradable securities. The widespread adoption of securitization as a financing technique has been a major transformative force in the US and global financial systems in recent decades, creating new opportunities for funding and risk sharing. But securitization has also been viewed critically, due to its contributions to the expansion of subprime credit and to the interconnectedness between financial institutions, both of which played important roles for the Financial Crisis that started in 2007. In my thesis, I investigate issues of risk, pricing, and credit ratings of securitized debt in the United States before the Financial Crisis, using a dataset of US asset-backed securities (ABS) of car loans. Auto loans, together with credit card debt, are the most established collateral class for consumer credit securitization, with a volume of $115 billion outstanding at the end of 2015. In the first chapter, I study how prices of auto loan ABS tranches behave over the lifetime of the bonds. Asset-pricing theory posits that expected returns are determined by securities' systematic risk, which can be measured as exposure to risk factors. I employ an interest rate factor as well as different auto loan ABS market factors to study the cross section of expected monthly returns over the period December 1994 to April 2007. In Fama-MacBeth regressions, I find that the interest rate factor is significantly related to expected returns, and in univariate portfolio sorts I find that it generates a risk premium of 5 basis points per month. Furthermore, an auto loan ABS market factor that uses excess returns of lower-rated tranches over AAA-rated ones to measure systematic risk is also priced, with risk premia of 4 to 5 basis points. Finally, I study robustness of the results to the inclusion of time to maturity and credit ratings as alternative measures of risk, and find that exposure to the market factor is robustly priced, while the role of the interest rate factor is taken up by the additional covariates. In the second chapter, I study prime US auto loan ABS issued between 2002 and 2007, and investigate whether deals in which an investment bank securitizes loans acquired in whole-loan sales differ from deals where a lender securitizes collateral they have originated themselves. I argue that moral hazard issues arising from asymmetric information between agents involved in the securitization chain are stronger in deals of whole loans. In line with this view, I show that pool losses are larger in this case, controlling for observable risk characteristics, and conclude that moral hazard is operative in this market. Further, I find that rating agencies were able to recognize the greater risks of whole-loan deals and to adjust their assessments accordingly. Given ratings' important role in securitized debt markets, this implies that prices reflected incentive issues, thus mitigating possible negative effects on macroeconomic outcomes. Finally, I show that for lower-rated tranches, investors priced moral hazard beyond what is contained in ratings.

Le résumé en français n'a pas été communiqué par l'auteur. / This thesis comprises three research papers that I wrote during the Ph.D. program at Toulouse School of Economics (TSE). During part of the time, I was also affiliated with the International Monetary Fund (IMF). Each chapter is self-contained and can be read individually. While they cover rather different topics, they are all primarily empirical in nature and largely share empirical methods. This thesis draws new perspectives on debates regarding (i) the role of experience on funds’ financial performances and the subsequent portfolio shifts during the Eurozone crisis (ii) the financial and real effects of a new market based policy implemented in France in 2014 (iii) the impact of the unconventional monetary policies led by advanced economies post-2008 on capital flows to frontier and emerging markets. All the papers aim to formulate insightful policy recommendations. In the first article, (jointly written with Yonglei Wang) we show how experience matters for professional investors. We expect funds to outperform in geographical areas where they have obtained experience. Using a new micro-data on U.S equity funds’ holdings, we explore this idea by exploiting the sharp deterioration of sovereign creditworthiness in the European periphery by the late 2009. Specifically, we compare funds which have past exposures to Eurozone stock markets ("experts") to those which are newly exposed ("neophytes") and show that experience translates into higher returns in Eurozone sub-portfolios during the crisis. We investigate the economic mechanism of this pattern and find that: (i) funds shifted in a profitable way their Eurozone sub-portfolios vector away from big caps and towards smaller caps; and that; (ii) the reallocation was mostly driven by the experts. Our results highlight the role of experience as a first-order driver of funds’ profitability during the European sovereign debt crisis. In the second article (jointly written with Mwanza Nkusu and Burcu Hacibedel) we study the macroeconomic changes of the so-called frontier markets. Over the last two decades, frontier market economies (FMs) received significantly larger than usual private portfolio flows. This paper investigates whether with regard to capital flows; FMs actually resemble emerging markets (EMs) or remain as the rest of low-income developing countries (LIDCs). Using a sample of developing countries covering the period 2000-2014, we exploit the accommodative monetary policies in advanced economies – starting in 2008 – to show that : (i) portfolio flows to FMs as a share of GDP outstripped those to EMs by about 0.6 percentage point ; (ii) however, during years of heightened stress in global financial markets, portfolio flows to FMs dried out and were not statistically different from flows to EMs ; and that (iii) FMs have become more integrated into international financial markets. Our findings point to greater vulnerability of FM economies to capital flow reversals. In the third article (jointly written with Yonglei Wang and Augustin Landier), we examine the impact of a new market-based program. In January 2014, the French government introduced a new share savings plan – the PEA-PME – with the principle aims to diversify companies sources of funding and create a new financing tool for small and mid-sized enterprises. We exploit the discrete nature of firm eligibility to show that: (i) the start of the program produced a cumulative abnormal return and a temporary improvement in liquidity for eligible firms ; (ii) these firms reduced leverage ; and that ; (iii) equity-funds have increased their holdings for this sample of firms. Overall, our results suggest significantly differential effects of the program for small-sized and mid-sized firms located at the frontier of eligibility.

Cette thèse se compose de trois documents. Les deux premiers articles étudient comment les entreprises devraient être structurés de manière à faciliter leur accès aux fonds quand il y a des conflits d'agence entre les emprunteurs (entreprises) et les prêteurs (les investisseurs). Chapitre 1 étudie la relation entre la portée de l'entreprise et des contraintes financières. Chapitre 2 utilise une approche contractuelle optimale pour analyser le développement d'un produit innovant par des alliances stratégiques des deux entreprises. Le chapitre 3 analyse si l'expérience des commerçants peut réduire leur propension à spéculer ? / This thesis consists of three self-contained papers. The first two papers study how firms should be structured to facilitate their access to funds in the face of agency conflicts between borrowers (firms) and lenders (investors). Chapter 1 studies the relationship between firm scope and financial constraints. Chapter 2 uses an optimal contracting approach to analyze the development of an innovative product through strategic alliance by an entrepreneur and an incumbent. Chapter 3 analyzes whether traders’ experience reduce their propensity to speculate?

This study sought to answer fifteen research questions involving the values of individuals and educational institutions in the context of charitable giving to educational institutions. These questions may be summarized as follows: Are there any significant differences or correlations between the values of individuals with different demographic, giving preference, or donor/non-donor characteristics? Are there any significant differences or correlations in these individuals' perceptions of the values of educational institutions. / To answer these questions, data was collected using a questionnaire mailed to a random sample of Arkansas adults having residential telephone listings. The questionnaire asked respondents to rank the eighteen values of the Rokeach Value Survey first as personal values, then as the values of educational institutions. / Findings supported the following conclusions: (1) The ability to perceive the value system of educational institutions does not depend upon one's demographic, giving preference, or donor/non-donor characteristics. Individuals with diverse characteristics have very similar perceptions of the values of schools. (2) Certain variables (age, level of education, and giving preference toward educational institutions) are directly related to values. For example, individuals with similar ages have more similar values than individuals with dissimilar ages. (3) Demographic and charitable giving variables are more closely related to single values or small groups of values than to entire value systems. (4) Greater variety exists in the values of individuals than in the values of educational institutions. (5) Values are more important in the formation of giving preferences than in the decision to give or not to give. / Future research could identify the clusters of values associated with charitable giving, clarify the inhibiting-facilitating role of variables in the charitable giving process, and explore the direct relationship between values and certain independent variables (age, level of education, and giving preference). / Source: Dissertation Abstracts International, Volume: 43-03, Section: A, page: 0668. / Thesis (Ph.D.)--The Florida State University, 1982.