No description available.

Thesis (Ph. D.)--University of Chicago Graduate School of Business, August 1999. / Includes bibliographical references. Also available on the Internet.

The findings of this research confirm that the notion of descriptive efficiency has been developed as a populist concept in managerial discourse and is typically interpreted in simplistic, normative terms and thus has limited technical meaning in management praxis. Furthermore, the concept has been captured by uncritical, yet plausible, management commentators who have seemingly assumed that management efficiency will emerge from the adoption of their various prescriptions. The research will contribute to the general management literature through a cross-disciplinary critique and a re-interpretation of the notion of efficiency in management praxis. At a macro-level, the research advances the proposition that the notion of efficiency has become an ideological statement of support for any management intention, rather than a practical means to inform a range of management actions. A grounded theory of descriptive efficiency is proposed in order to explain the apparently unconscious application of laissez-faire and more contemporary principles of economics to management praxis and the wider management discipline without the support of a substantive elaboration of contemporary efficiency. / Doctor of Philosophy (PhD)

 This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group. / published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

The Efficient Market Hypothesis (EMH) has had significant impact on the theory and practice of investments. However technical trading rules have continued to be used by practioners and have been the focus of many academic studies which have focused on equity, foreign exchange and futures markets. The scarcity of research into technical trading models for fixed income markets is astonishing considering the significant size and consequent investor importance of fixed income markets relative to other financial markets and the extensive application of technical trading models by market participants. This is one of the few studies that develops a technical trading model applicable to fixed income markets. Black (1986) defined Efficient Markets as a market where deviations from fundamental values were short lived and small in magnitude. Fundamental asset values are hard to calculate, but we are able to identify fundamental values for a set of Government Bonds on the principle that yield relativities between such bonds are quite stable except for 'deliberate' changes in trading behaviour. We find that the deviations from fundamental value are short lived and small in magnitude. We exploit deviations from fundamental value by Butterfly Trading strategies; Normal Butterfly trades earning returns from movements in yield curve slope and curvature and Arbitrage Butterfly trades earning returns from yield curve curvature only. After considering transaction costs, we achieve annualised returns of 120bps from our Normal Butterfly trades and 72 bps from our Arbitrage Butterfly trades. Consistent with the risk-return relationship for financial instruments, we find that the returns and the volatility of returns for Normal Butterfly trades are higher than the returns and volatility of returns for Arbitrage Butterfly trades. Normal Butterfly trades are exposed to yield curve slope changes whereas Arbitrage Butterfly trades are not, resulting in higher risk and higher returns for Normal Butterfly trades. This finding is consistent with the results obtained by Fabozzi, Martellini and Priaulet (2005).

Thesis (M.S.)--University of Wyoming, 2008. / Title from PDF title page (viewed on Apr. 1, 2010). Includes bibliographical references (p. 40-41).

Thesis (Ph. D.)--Claremont Graduate School, 1992. / Typescript (photocopy). Includes bibliographical references (leaves [272]-276).

Thesis (Ph. D.)--Claremont Graduate School, 1988. / Includes bibliographical references (leaves 221-227).

An alternative way to invest on the stock market is to invest in IPO’s. An IPO (InitialPublic Offering) is the first time a company goes public on a stock market, giving outshares to private investors and financial institutions. However, there might be someuncertainties about the share price as it never has been traded on the stock exchangebefore and it could therefore be difficult to determine a reasonable value for the shareprice. Consequently, if the offering price for the investor is significantly lower thanthe “correct valued” price it will generate positive initial return during the first tradingday and this phenomenon is labelled as underpricing, generating more “money on thetable”. Still, previous researches display an underperformance among IPO’s during alonger period after the introduction compared to already established companies withinthe same sector, arguing that investors should sell their shares early after the firsttrading day.The objective of this study is therefore to determine if underpricing exists for IPO’son the Swedish stock exchange and if there are any differentiations amongst sectors,and also to investigate two different Buy-and-Hold strategies. A final objective for thestudy is to determine if the level of underpricing is affected by some explanatoryvariables.With a quantitative study and a longitudinal approach, the results confirm the effect ofunderpricing for IPO’s on the Swedish stock exchange, generating an averageunderpricing of 5.56%. Additionally, this study cannot display any different medianunderpricing between industry sectors. However, it contradicts with theunderperformance phenomenon, indicating an overperformance for longer Buy-and-Hold strategies. Lastly, a regression of explanatory variables trying to explain thelevel of underpricing demonstrates no statistically significant results.

Finance scholars disagree on how real world financial markets work. On the one hand, efficient market hypothesis (EMH) advocates claim that arbitrage ensures that market prices do not systematically deviate from their fundamental value even when some market participants are less than fully rational. Hence, in the EMH world, securities’ prices always reflect all available information. On the other hand, behavioural finance theorists argue that investors suffer important cognitive biases and that arbitrage is both risky and costly. In this alternative setting, prices may not reflect all available information and can systematically deviate from their fundamental value for long periods of time. My thesis contributes to this ongoing debate by exploring how the US equity market reacts to bankruptcy announcements. Using a set of 351 non-financial, non-utility firms filing for Chapter 11 between 1979 and 2005 that remain listed on a main exchange, I first find a strong, negative and statistically significant mean post-bankruptcy announcement drift. This ranges from -24 to -44 percent over the following 12 months depending on the benchmark adopted to measure abnormal returns. A number of robustness tests confirm that this result is not a mere statistical artefact. In fact, the post-bankruptcy drift is not subsumed by known confounding factors like the post-earnings announcement drift, the post-first-time going concern drift, the momentum effect, the book-to-market effect, industry clustering or the level of financial distress. In addition, I show that my main result is robust to different methods for conducting longer-term event studies. My empirical findings are consistent with the previous behavioural finance literature that claims that the market is unable to deal appropriately with acute bad news events. In the second part of this thesis, I investigate how limits to arbitrage impact the stock price of firms undergoing a Chapter 11 reorganization. I find that, despite the apparent large negative abnormal returns, the post-bankruptcy announcement drift offers only an illusory profit opportunity. Moreover, I show that noise trader risk is critical for the pricing of these firms’ stock. Taken together, my results suggest that limits to arbitrage issues can explain the persistence of the market-pricing anomaly I uncover. As such, the market for firms in Chapter 11 appears to be “minimally rational” (Rubinstein, 2001). My work additionally explores whether behavioural finance theory can help clarify why the post-bankruptcy announcement drift occurs in the first place. I find that the Barberis, Shleifer and Vishny (1998) and the Hong and Stein (1999) models do not account well for the typical return pattern associated with the announcement of Chapter 11. My results call into question the reliability of existing theoretical models based on behavioural concepts in explaining how real world financial markets really work. In the last part of this thesis, I show that the different motivations for filing for Chapter 11 Court protection affect the market’s reaction to this extreme event. Solvent firms addressing the Bankruptcy Court not as a last resort but as a planned business strategy characterize a strategic bankruptcy; companies on the verge of imminent failure typify a non-strategic bankruptcy. I find that for non-strategic bankruptcies, there is a negative and statistically significant post-event drift lasting at least twelve months. Conversely, I show that, although the initial market reaction to bankruptcy filing is similar in the case of strategic bankruptcies in terms of viewing all bankruptcies as homogeneous, there is a subsequent reversal in the stock return pattern for these peculiar firms. In effect, abnormal returns become strongly positive and significant suggesting that, over time, the market to recognise strategic bankruptcies as good news events. Overall, the results of my PhD allow me to make some important contributions to finance theory and the finance literature, in particular in the bad news disclosure and market pricing domains.