This dissertation examines the relationships existing between uninsured private defined-benefit pension plans and their sponsoring firms. The study is partitioned into two segments each designed to examine a different type of corporate/pension plan relationship. The first segment examines the impact of terminating overfunded pension plans on equity securities. The existence of a wealth effect is measured using standard event study methodology and a sample of firms terminating overfunded plans during the period 1980 through 1984. The residual or excess equity returns are then analyzed by applying regression analysis to a series of testable hypotheses developed to identify the economic events generating the excess returns. The results of the study suggest that the amount of excess equity returns present around the termination of overfunded plans varies depending on whether the firm is terminating the plan pursuant to a divestiture and whether the termination occurred after the new termination guidelines went into effect in 1984. / The second segment examines whether the sponsoring firm's financial managers consider the pension balance sheet to be part of the firm's "augmented" balance sheet when making capital structure decisions. The study uses a sample of firms having defined-benefit plans during the period 1980 through 1984. A series of testable hypotheses are developed to allow a variety of alternative relationships to be examined using regression analysis. In addition to OLS regression a Tobit analysis is also performed to adjust for the fact that the unfunded pension liabilities reported in the firm's annual report are truncated at zero. The results of the study suggest that the firm's financial managers make capital structure decisions based on a combined or "augmented" balance sheet rather than on the firm's balance sheet alone. The relationship, however, does not appear to be constant across all levels of pension assets, liabilities and funding or across years. In addition, the relationship does not appear to be linear and changes from a complementary to a substitution relationship depending on the pension variable being examined. / Source: Dissertation Abstracts International, Volume: 48-03, Section: A, page: 0713. / Thesis (Ph.D.)--The Florida State University, 1987.

This dissertation develops an option pricing model that is more general then previously developed option pricing models. Black and Scholes (1973) pioneered the development of a general equilibrium model of option pricing. However, most empirical studies have shown that it has some biases. / To overcome the problems inherent in Black-Sholes option pricing model, an alternative model is proposed in this dissertation. The model developed in this dissertation is based on the assumption that distributions of price relatives for the underlying security can be modeled as mixtures of truncated normal distributions; that is, as mixtures of truncated normal distributions with parameters that shift over time. These shifts can produce observed price relatives that can be regarded as "jumps" (these jumps presumably reflect random arrivals of new information). This assumption is consistent with empirical findings that most stock return distribution can be better described by mixtures of distributions than by other hypotheses. To incorporate changing variances and discrete trading, a time-state-preference is adopted. The state variables are parameters of probability distributions of price relatives for securities at future times for all states. These distributions are assumed to be truncated normal distributions and the resulting distributions at these future times represent mixtures of these truncated normal distributions. / This dissertation shows two major things: (1) A mixture of truncated normal distributions can be reasonably approximated by a properly defined gamma density function given certain ranges of parameters. When these parameters are extreme, the approximation is poor due to the presence of significant residual terms. Such poor approximations would be directly related to the magnitude and direction of mispricings of option. (2) Results of empirical test of gamma-based option model against the Black-Scholes model show that for the moderately-in-the-money subgroup of options, the gamma based option pricing model provides better estimates of option values. For other subgroups, the Manaster and Rendleman (1982) modification of the Black-Scholes model provides better estimates of option values. The original Black-Scholes model does not perform as well as the gamma-based model or the modified Black-Scholes model. / Source: Dissertation Abstracts International, Volume: 45-11, Section: A, page: 3422. / Thesis (Ph.D.)--The Florida State University, 1984.

This study estimated the effects of tax-exempt industrial-aid bond financing on the overall level of tax-exempt bond yields. An underlying premise of the study was that the tax-exempt bond market is segmented from other bond markets. The validity of this hypothesis was empirically verified. / Estimating the tax-exempt yield impacts of industrial-aid bond financing necessitated the use of an accurate model of tax-exempt yield determination. Earlier studies analyzed models that were based on the theory that households were residual rather than primary bond purchasers. In this study the validity of these models for the 1960s and early 1970s was confirmed. However, these models were not found to be valid for the period 1971-78, nor for the full estimation period 1965-78. This study then developed and tested an alternative model. / In the model developed, the demand for tax-exempt bonds was represented by a system of three demand equations: demand by households, demand by commercial banks, and demand by property insurance companies. The supply of new tax-exempts in the model was taken to be the sum of new short-term bond issues, new long-term issues, and new industrial-aid issues. This model was empirically tested by evaluating the statistical correlation between the tax-exempt yield and the difference between the above measures of supply and demand. Support for the theory required that a positive value of the difference (excess supply) result in increased yields and that a negative value of the difference (excess demand) result in decreased yields. Such a significant, positive correlation was found for quarterly data from 1965 through 1978 and for annual data from 1947 through 1978. / The study establishes quite firmly that because industrial-aid bonds represent an overall increase in the supply of tax-exempt bonds, their use will increase the difference between supply and demand and, therefore, will result in an increase in tax-exempt bond yields. The historical magnitude of this increase was estimated and presented on a quarterly basis from 1971 through 1978. It appears that for every one billion dollar increase in additional tax-exempt bonding, the interest rate can be expected to rise by about 31 basis points. / Three major conclusions can be drawn from the research undertaken. First, the tax-exempt bond yield is a function of the difference between new supply and purchases made by households, banks, and insurance companies. Second, the use of industrial-aid bonds will result in a predictable increase in tax-exempt yields. Third, these results provide strong empirical support for the theory of market segmentation. / Source: Dissertation Abstracts International, Volume: 42-06, Section: A, page: 2783. / Thesis (Ph.D.)--The Florida State University, 1981.

This study deals with the descriptive and empirical factors influencing the choice of assets by commerical banks in Nigeria. Bank portfolio behavior was viewed within the context of allocating a given amount of wealth (total deposits) between earning assets (investments, loans and advances) and non-earning assets (required liquidity ratio). / The need for this study arises from the fact that commerical bank portfolio behavior thus provide one of the basis for formulating and evaluating monetary policy. / Prior to performing any test, a historical review of commerical banking in Nigeria was presented, discussing such areas as bank assets, liabilities, and capital structure. Also reviewed was the functions and relationship between the Central Bank of Nigeria and the commerical banks vis-a-vis the conduct of monetary policy. / A tentatively entertained model (T.E.M.) was constructed based on a macro-model and stock adjustment approach from which a "best fit" model was derived. / Using the Chow test, it was concluded that the 1976 indigenization decree did not lead to changes in bank portfolio behavior. The test for aggregate credit ceiling constraint produced mixed results. It had no effects on liquidity ratio, some effects on the investment ratio through the discount rate, loans and advance ratio through external assets. / Finally, the study was summarized as thus: liquidity, loans and advance ratios were functions of external assets and their lagged values respectively, while investment was a function of the discount rate, treasury bill rate and lagled investment ratio. In a regime of credit control, higher discount rates portend lower investment, and lower external assets meant lower liquidity, loans and advance ratios. / Source: Dissertation Abstracts International, Volume: 46-04, Section: A, page: 1050. / Thesis (Ph.D.)--The Florida State University, 1985.

Although taxes have been indicated as a motive behind mergers, to date there has been limited research analyzing specifically the source of the purported tax motive to merger and the value of tax attributes in mergers. The purpose of this dissertation is twofold: (1) to analyze merger-related tax provisions in place for the sample time period and develop a model of the value of tax characteristics in mergers; and (2) to provide empirical evidence on the value of tax attributes. The empirical examination focuses on whether certain tax attributes influence the tax status chosen for a merger and whether takeover gains are associated with tax attributes. / Results indicate limited support for tax status being affected by tax attributes. Only proxies of potential step-up of the acquired firm's assets and depreciation recapture are significant in determining the tax status of the merger. In examination of the relation between tax attributes and takeover gains, results suggest that acquired firms gain by enabling the use of otherwise unusable tax credits carryovers and gain when the undervaluation of acquired assets outweighs depreciation recapture tax liability. Also, acquiring firms forego takeover gains when valuable net operating loss carryovers are acquired. In analyzing the division of takeover gains between the merger partners, it is shown that acquired firm shareholders earn 97% of the total gain. This division of gains is only affected by the variable for inventory recapture, which seems to proxy for another factor, perhaps management efficiency. / On balance, the evidence suggests that corporate tax characteristics have a significant influence on a minority of mergers. This result suggests that the tax legislative concern of mergers arranged to avoid taxes may be overstated. Nontax considerations appear to be the overriding influence on tax status chosen for a merger, takeover gains, and the division of takeover gains. / Source: Dissertation Abstracts International, Volume: 50-05, Section: A, page: 1394. / Major Professor: Pamela P. Peterson. / Thesis (Ph.D.)--The Florida State University, 1989.

This study examines the return rates and portfolio characteristics of eighteen diversified pooled equity real estate funds from 1983 through 1988 using regression analysis and paired comparisons of funds. The purpose of the study is to determine the importance of portfolio characteristics to total return, appreciation return, and income return. / The most significant observation made in terms of property characteristics and return rates is that the size of the real estate investment was found to be strongly positively related to both appreciation and total return over the sample period. In terms of property type and location, it was found that the East was the most profitable region and offices were the least profitable type of real estate over the sample period. / Other specific conclusions from the empirical analysis are in regard to the many relationships between returns and various fund-specific characteristics. The level of cash balances within a pooled fund's portfolio was found to be positively related to total return, and the use of leverage by pooled funds was found to be beneficial only when nominal return on the pooled funds was relatively high compared to interest rates on mortgages. Fees charged by fund managers were found to be inversely related to return over the sample period, suggesting that managers may use high fees to compensate for poor performance. Finally, the size of the fund was found to be negatively related to return over the sample period. This finding is opposite findings in earlier studies, suggesting previously unobserved cyclical performance for pooled funds. / Source: Dissertation Abstracts International, Volume: 51-12, Section: A, page: 4225. / Major Professor: David W. Rasmussen. / Thesis (Ph.D.)--The Florida State University, 1990.

There is substantial anecdotal and academic evidence that informed trading occurs prior to informationally important events to exploit the subsequent change in stock price. However, almost all of the previous research examines only stock market activity. Despite the lack of research on the presence of informed trading in the options market prior to informational events, there are many reasons why informed traders would prefer the options market to the stock market. If informed traders prefer the options market to the stock market, we should observe price changes in the options market leading price changes in the stock market. / Although previous researchers had examined the lead-lag relationship, none had adequately investigated the lead-lag relationship when informed traders would have the greatest motivation to trade and none had examined the relationship for good news and bad news announcements, despite the special advantages that options offer in the case of short positions. Additionally, no researchers have examined the effect of securities regulation on the lead-lag relationship between the options and stock market. / Though the intraday tests suggest that, in general, the stock market leads the options market, the interday tests indicate that the options market leads the stock market for the sample which this dissertation predicts will be most likely, in the pre-ITSA period for earnings announcements less than expected. Thus, the evidence is that informed traders preferred the options market only for short positions and that this preference was eliminated with the passage of ITSA. / Source: Dissertation Abstracts International, Volume: 56-04, Section: A, page: 1468. / Major Professor: David R. Peterson. / Thesis (Ph.D.)--The Florida State University, 1995.

There are numerous instances when the stock of non-public (closely held) companies must be valued. Because the stocks do not trade in a market, their "fair market value" is difficult to determine. Often, Certified (Professional) appraisers are called upon to value the stock. The appraisers themselves apply any of several valuation techniques. / The dissertation seeks evidence regarding the validity of the appraisers' valuation techniques. In particular, it seeks to determine (1) in an economic sense, how well the methods perform, and (2) in a statistical sense, whether some methods perform better than others. Forty valuation techniques were applied to shares of publicly traded companies (and the observed market price was used as the "true" fair market value of each stock). There were 25,460 valuations across four test dates. / In an economic sense, the methods were found to perform poorly. As a group, a little more than two-thirds of their valuations were more than 25% off of the fair market value. Almost one-in-six valuations were more than 100% off the fair market value. In a statistical sense, the methods did not perform equally poorly. In particular, two of the methods had valuations that were more accurate (on average) and less dispersed (relative to the fair market values). Thus, the evidence suggests that the methods perform poorly, but not equally poorly. The implication is that some methods should be given preference over others, but all should be used with much caution. / Source: Dissertation Abstracts International, Volume: 56-04, Section: A, page: 1471. / Thesis (Ph.D.)--The Florida State University, 1995.

The interrelationships between the common stock and stock option markets are investigated in detail through the analysis of price changes and their interrelationships. Data on call option and underlying stock prices are obtained from the Berkeley Options data base for the time period January 1983 through September 1985. Two fundamental issues are investigated in a general analysis of returns rather than a specific analysis of price reactions to information events. The first analysis provides an indication of the lead/lag relationships between the two security markets through the similarity or dissimilarity of the return patterns. Observed stock returns and stock returns implied from call options prices, along with differences between these two series, are investigated for return seasonalities. Dummy variable regressions allow calculation of F statistics that test for differences in returns across trading days and intraday time intervals. Results indicate that there are significant differences in return patterns between observed and implied stock prices. Overnight implied stock returns are slightly larger and do not exhibit the negative weekend effect found in observed stock prices, and observed returns are larger than implied returns early in the trading day. The second issue addressed is that of intermarket efficiency: are profits associated with the lead/lag, relationships identified in the first analysis? Two trading strategies are tested, one assuming that implied stock prices lead observed stock prices and one assuming observed stock prices lead implied stock prices. Several execution lag/holding period combinations provide results indicating that positive profits exist only to the overnight holding periods for the rule that assumes stock price lead implied stock prices. The results of both analyses are consistent with the conjecture that the stock market leads the option market. / Source: Dissertation Abstracts International, Volume: 51-09, Section: A, page: 3167. / Major Professor: David R. Peterson. / Thesis (Ph.D.)--The Florida State University, 1990.

This study reports the results of an investigation of security price formation and financial events using actual trades performed by a special segment of institutional investors. The data consists of the identity of the traders, the purchase and sale dates, and the price and volume of each merger-related and leveraged buyout (LBO)-related transaction made by the 25 largest mutual and 25 largest stock life insurance companies during 1984-1988. The insurance company annual statement provided through the State Insurance Commissioner's office discloses the details concerning each trade. This study is the first of its kind in the finance literature and provides further insight into the trading activities of a special class of informed investors around significant corporate restructuring announcements. Approximately 2,200 merger and LBO-related transactions representing almost $3.5 billion and involving 619 restructurings are identified. The life insurance sample appears to exhibit a superior performance in the selection and timing of target company transactions. About 90\% of the trades are profitable, generating a return premium of around 10\% over a random target selection strategy. In addition, average sale transactions are performed close to the maximum price during the event period as indicated by a Price Efficiency Ratio of 93%. Mutual firms, however, appear to outperform stock firms. Realized returns for mutuals are 38% (103% annualized); stock firms earn 23% (57% annualized). An optimal firm size appears to emerge at the $10 billion to \$20 billion asset level, and $1 billion to \$4 billion equity level. / Tests are performed to control for any confounding between organizational structure and firm size, since most large firms are of the mutual form. The results indicate that a strong relationship exists between organizational structure and returns performance; size has a weak relationship with returns. These observations may be due to a greater willingness by mutuals to invest in riskier, longer-term transactions, a greater capacity for mutuals to attract superior managers, or a greater commitment by mutuals for the acquisition of superior costly information. / Source: Dissertation Abstracts International, Volume: 51-09, Section: A, page: 3169. / Major Professor: James S. Ang. / Thesis (Ph.D.)--The Florida State University, 1990.