This dissertation focuses on the cross-sectional effects of option listing on the return variance of the underlying securities and makes two primary contributions. First, unlike previous literature, this dissertation develops a set of hypotheses to explain cross-sectional differences in variance changes associated with option listings. Second, this dissertation decomposes transactions variance into three components, that due to the bid-ask spread, return autocorrelations, and intrinsic variance, and theoretically links the change in each component to firm-specific factors. Empirical models are developed to test the thirteen derived theoretical relationships. / The results of the estimation of the first set of models, which use the change in the bid-ask spread as a dependent variable, suggest that changes in dealer holding risk, dealer transactions costs, and the value to dealers of new demand information are significant factors in explaining cross-sectional variation in changes in the bid-ask spread. / Estimation of the second set of models, which use changes in the values of specific autocorrelation lags as dependent variables, suggest that changes in the quantity of information produced by analysts on the underlying firm and the value to dealers of new information on future demand are significant in explaining differences in changes in the return autocorrelation structure observed following option listing. / Finally, estimation of the third set of models, which use changes in intrinsic variance as a dependent variable, suggest that changes in the clientele that trade the underlying security, information quality, and the average time between trades play a significant role in explaining the changes in intrinsic variance that follow option listings. / Source: Dissertation Abstracts International, Volume: 55-03, Section: A, page: 0630. / Major Professor: David R. Peterson. / Thesis (Ph.D.)--The Florida State University, 1994.

Two different aspects of insider trading are explored in two separate essays. / The first essay empirically tests the effectiveness of alternative mechanisms for controlling the agency costs of insider trading. Empirical research related to agency conflicts is often limited by difficulty in obtaining direct measures of agency costs. This study uses excess profits and trading volume of corporate insiders as a more direct measure of one aspect of agency cost between outside shareholders and insiders. Cross-sectional differences in the utilization of various monitoring and bonding mechanisms are examined to determine the relative effectiveness of alternative strategies. Of eight mechanisms examined, only the level of institutional ownership appears effective in reducing the agency cost related to insider trading. Additionally, this study finds, for the two-year period examined, a much lower level of abnormal profitability from insider trading than that found in most prior studies. / The second essay examines the role of corporate insiders, as informed traders, in recognizing and reacting to instances of stock price overreaction. The extent and timing of insider trading is examined around instances of potential overreaction to determine their role in facilitating price reversals. Findings from this study indicate that insiders are active traders around instances of extreme price swings in their company's stock. Their trading behavior is consistent with a contrarian strategy, but is not consistent with informed trading. Insider trading is similar for price swings that are reversed and those that do not reverse. There is no evidence of a link between the extent and direction of insider trading at the time of an extreme price change and succeeding period stock returns. / Source: Dissertation Abstracts International, Volume: 55-03, Section: A, page: 0670. / Major Professor: James S. Ang. / Thesis (Ph.D.)--The Florida State University, 1993.

Regulation of the banking industry has been a prominent part of our financial structure for most of this century. The evolutionary cycle of regulation has gone through phases with emphasis vacillating between the extremes of safety and efficiency. As the riskiness of the banking industry heightens, the debate over protectionism versus market discipline intensifies. / The purpose of this dissertation is to investigate the social costs of bank failure through an examination of both the financial and real economic sectors. An empirical examination into the presence of a contagion effect resulting from a large bank failure is conducted by analyzing how banks of various size and geographic regions were affected by the failure of First Republic Bank in Texas. Bank stock price reactions are examined, taking into account nonsynchronous trading and cross-sectional dependence to detect information based industry effects versus panic based contagion effects resulting from this failure. Strong support for the presence of industry effects is observed. Little reaction occurred by banks outside the Texas and Southwest regions. / The effects of bank failure on real sectors of the economy are investigated by examining the impact of a contracted credit intermediation process upon levels of production. The regional economy of Texas is modelled to determine if the disruption in credit services caused by bank instability has adversely affected Gross State Product. Support for the hypothesis that costs of credit intermediation impose real costs upon the Texas economy is observed. / Source: Dissertation Abstracts International, Volume: 50-10, Section: A, page: 3288. / Major Professor: William A. Christiansen. / Thesis (Ph.D.)--The Florida State University, 1989.

The behavior of the cost function for a sample of commercial banks over the years 1979-1986 was investigated, using a multiproduct model in a simultaneous equations framework. For the years prior to 1982, little evidence was found to suggest that economies of scale exist beyond very small levels of output. In contrast to the earlier years and most of the previous literature, statistically significant scale economies were found for banks in branching states in the years 1983-86, and in unit banking states for the years 1982, 1983, and 1986. Overall economies of scope in the production of loans, investments, and trust accounts were found in all years, and they were larger for banks in branch banking states than for banks in unit banking states. These results indicate that the effect of recent regulatory and technological changes may be to give larger, more diversified banks a cost advantage over that which may have existed in previous years. / Source: Dissertation Abstracts International, Volume: 50-10, Section: A, page: 3314. / Major Professor: Frederick W. Bell. / Thesis (Ph.D.)--The Florida State University, 1989.

The purpose of this study is to extend the body of Agency Theory Literature to the class of relatively small firms that use the revolving Asset-Based Loan (ABL) as their major source of debt financing. Specifically, the revolving ABL structure is examined and implications for both the resolution of debt-related agency problems and the determinants of capital structure are explored. / While much of the existing financial research focuses on the activities of large, publicly owned corporations, smaller privately owned corporations play an important role in the United States economy. These firms often use revolving ABL arrangements as sources of debt financing rather than the issuance of debt securities in the organized financial markets. Since the structure of the revolving ABL affects both the resolution of debt-related agency problems and the capital structure in these private firms, an extensive discussion of the ABL structure is presented. / Once the structure of the ABL is known, the implications for debt-related agency problems are discussed. Debt-related agency problems that have been identified by other authors as existing in publicly traded firms are shown to exist in private firms as well. Since the security pricing actions of the financial markets are not available to private firms for reducing these agency problems, the ABL contract and the resulting loan structure act to reduce these problems. / This dissertation culminates in an empirical study of the determinants of capital structure in private firms using revolving ABL financing. A series of regressions that relate debt ratios to specific firm characteristics are performed. The results reveal that the asset structure of the firms examined is a major determinant of the extent of debt financing used. These findings conflict with many of the results reported by similar past studies that use data from publicly owned firms that issue formal debt securities. / Source: Dissertation Abstracts International, Volume: 50-12, Section: A, page: 4009. / Major Professor: Jerome S. Osteryoung. / Thesis (Ph.D.)--The Florida State University, 1989.

This study extends the existing research on the use of financial statement variables to predict one-year-ahead earnings changes. A principal component analysis was conducted on 61 financial statement variables in an attempt to describe the dimensionality of the variables and facilitate the development of parsimonious earnings prediction models. This study finds that the 61 variables embody a much richer array of information than suggested by previous research. The variables could not be described by a small number of principal components. / The effect on the predictive ability of different earnings prediction model specifications was assessed by examining 36 different models. It was found that (1) models using a dichotomous earnings change variable as the dependent variable performed as well as models using a trichotomous earnings change variable; (2) models with a one-year drift term achieved greater predictive ability than similar models using a four-year drift term; (3) models with the strongest fit in the estimation period did not necessarily dominate in the predictive ability tests; and (4) the accuracy of the predictions of many of the models in this study was greater than the results obtained in previous studies. / This study also provides additional evidence on the extent to which the information regarding one-year-ahead earnings contained in current financial statements is fully reflected in stock prices. It was found that a simulated trading strategy did not perform well in the period subsequent to 1983. Evidence is also provided that the trading strategy generates abnormal returns in periods extending beyond 36 months. This provides further support that the probabilistic measure of one-year-ahead earnings changes is proxying for differences in expected returns rather than exploiting the underutilized information contained in financial statements. / Lastly, three stratifications of the sample firms did not increase the performance of the trading strategy on a consistent basis. Although one stratification did increase the effectiveness of the strategy, it is likely it did so by further sorting firms according to determinants of expected returns. / Source: Dissertation Abstracts International, Volume: 56-10, Section: A, page: 4032. / Major Professor: Kenneth S. Lorek. / Thesis (Ph.D.)--The Florida State University, 1995.

It is a common belief among practitioners that stock splits and stock dividends are perceived by investors as good news. Numerious empirical studies find significant abnormal returns at stock distribution announcements. The mechanics of a stock distribution, however, affects neither the equity of the company nor the shareholders' ownership position. This study extends previously documented market reactions to stock distribution announcements by presenting a justification for management decisions to issue stock distributions, and provides an explanation for security price reactions to their announcements. / Based on stock price reactions to announced company earnings, an information content theory is developed where stock price reactions at stock distribution announcements are related to investors' expectations of increased future earnings. A study of earnings expectation revisions around stock distribution announcements is conducted, where changing earnings expectations are measured both ex-post and ex-ante. A matched sample design is used to compare earnings changes at stock distribution announcements between companies issuing and not issuing these distributions. / The ex-post study documents positive abnormal earnings and shifts in actual company earnings around stock distribution announcements. Through rational expectations, a significant positive relationship between stock distribution announcements and actual earnings changes indicates that investors anticipate earnings growth following these announcements. The ex-ante analysis documents a strong positive relationship between stock distribution announcements and changing analysts' forecasts of company earnings, indicating investors' expectations of future earnings are affected by stock distribution announcements. The documented relationship between stock distribution announcements and changing earnings expectations supports the hypothesis that stock distribution announcements convey information about expected future earnings increases to investors, and market reactions at stock distribution announcements reflect this expectation. The findings of this research provide insight into managements' stock distribution decisions, the role of stock distribution announcements in investment decision making, and informational signaling. / Source: Dissertation Abstracts International, Volume: 49-03, Section: A, page: 0546. / Major Professor: David R. Peterson. / Thesis (Ph.D.)--The Florida State University, 1987.

This dissertation examines the impact of government policies on the international reserves of Ecuador. Specifically, it studies the appropriateness and effectiveness of domestic credit, central bank and private banks credit, ceilings on interest rates, advanced deposits on imports, tariffs, export duties, and export subsidies as instruments of control for the balance of payments The first part of the study describes the Ecuadorean economy, the Ecuadorean financial institutions and financial instruments, and the instruments of control available to the monetary authorities The second part of the dissertation compares and analyzes the effects on the level of international reserves of credit controls through central bank funds, ceilings on private banks credit, and advanced deposits on imports. The theoretical framework used for the analysis was the monetary approach to the balance of payments. It was found that the most effective policy instrument for control of foreign reserves is central bank credit whether it is used as open market operations, advanced deposits on imports, or changes in reserve requirements. Ceilings on the amount on credit private banks can grant to the private sector are appropriate instruments but are, in the case of Ecuador, 50% less effective than central bank credit. Finally, interest rate ceilings appear not to be appropriate instruments of control since rates of return on assets seem to have negligible effects on the demand for money The last issue studied here addresses to the effects on the balance of payments of policy instruments that affect the real sector of the economy. It has been argued that a policy that affects the real sector has an impact on the balance of payments only because it affects the monetary sector. In the absence of money such a policy has no permanent effect on the balance of trade. In this study, it has been found that, in Ecuador, policies such as import tariffs, export duties, and other policies that affect the relative prices of imports to exports have, indeed, no permanent (if any) effect on the balance of trade. However, the study cannot show that these policies have the desired effect on the balance of payments either. Thus, it can be concluded that policy instruments that affect the real sector are not very effective (and they may not even be appropriate) for balance of payments controls While this study provides insight into the effects of policy instruments for Ecuador it cannot be used to discern the controversy surrounding the essence of the balance of payments mechanism. Nevertheless, the theoretical framework and the empirical techniques are general enough so that they could be used for other countries in determining the effectiveness of balance of payments policies / acase@tulane.edu

The term structure of interest rates is an important economic and financial tool that provides information about the future behavior of critical economic and financial variables. In this study, I examine the behavior of interest rates and the term structure of interest rates in Mexico and other Latin American countries. The first chapter examines whether Mexican interest rates are non-stationary and develops a statistical description of the behavior of interest rates. This chapter also examines the influence of financial and economic factors to explain the behavior of Mexican interest rates and determines the role of political and social events and institutional changes. I find that Mexican interest rates are nonstationary and that the random walk process is not the best representation for estimating and forecasting short-term interest rates. The existence of the nonstationarity characteristic establish the need of use interest rate differences instead of interest rate levels to obtain correct inferences In the second chapter, I apply recently developed methodologies to test whether the Mexican term structure incorporates information about the behavior of short-term interest rates, future inflation, real interest rates, and term premia. Additionally, I test the expectations hypothesis in the short run and in the long run. Results show scant evidence in favor of the expectations hypothesis in the short run, but evidence in the long run. The tests of the expectations hypothesis, however, reveal that the shorter part of the (i.e. less than six months) Mexican term structure provides information regarding real interest rates and future inflation rates. With respect to the term premia, the results suggest that risk premium varies over time and that the risk premium measurements are stationary. This suggests that Mexican interest rates are mean reverting In the third chapter, I study the stochastic behavior of the short-term structure for six Latin American countries, Argentina, Brazil, Columbia, Chile, Mexico, and Venezuela. I estimate eight term structure models using the methodology developed by Chan, Karolyi, Longstaff and Sanders (1992) and empirically compare the models to determine which model best captures the stochastic behavior of interest rates for the six Latin American countries. The results show that no single model can satisfactorily describe the stochastic behavior for all six countries. However, the Brennan and Schwartz model is the model that best describes the stochastic behavior for the countries with high elasticity of variance: Argentina, Brazil, Chile and Mexico / acase@tulane.edu

Twenty-four years ago, the breakdown of Bretton Woods fixed exchange rate system, ushered in a whole new era of finance. Floating exchange rates increased cross-border investments, led to a proliferation of new financial instruments to hedge exchange risk, and toppled capital controls and other financial regulations hampering capital flows. Today, financial markets have become global and provide opportunities for investors to seek the best value wherever they can in the world. This dissertation empirically investigates the degree of financial integration of domestic markets into global financial markets. Integration being defined as presence of common stochastic trends or cointegration of real interest rates This study is a bivariate analysis of whether the short-term real interest rates of seven OECD countries are cointegrated with the real interest rates of the United States or Germany. The study also analyzes short-term real interest rates of East Asian countries and tests whether or not the real interest rates of these countries are cointegrated with the real interest rates of the United States or Japan. It also reconsiders whether or not Real Interest Parity (RIP) (equalization of real rates) holds for the domestic (representative money market rates) and Eurodeposit rates of the industrialized countries and domestic rates of the East Asian countries The analysis is based upon the cointegration methodology of Hansen (1992b) which is an extension of the Phillips-Hansen (1990) Fully Modified OLS (FMOLS) estimation procedures For the full sample period (1973-1995), the rates of most countries were cointegrated with US rate, and a few were with Germany's. RIP was a rare phenomenon; For the sub-sample (1980-1995) US, Japan and German rates was cointegrated to most countries but RIP holds for just a handful of countries The empirical evidence in this dissertation supports the contention that short-term real rates are moving together over time, but RIP does not hold in general. Failure of RIP to hold implies that current level of financial integration falls short of what would prevail in a truly integrated global financial market / acase@tulane.edu