This dissertation consists of three essays. The first essay studies the impact of indexing on stock price efficiency. Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of indexing: the effect on efficiency of stock prices. Based on a sample of large and liquid U.S. stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger post-earnings-announcement drift, greater deviations of stock prices from the random walk and greater return predictability from lagged order imbalances. We conjecture that reduced incentives for information acquisition and arbitrage induced by indexing are probably the main cause of the degradation in price efficiency, but we find no evidence supporting a direct impact from passive trading or any effect through liquidity. The second essay investigates the effect of price inefficiency on idiosyncratic risk and stock returns. I finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this hypothesis, this paper then finds a positive relation between price inefficiency and future stock returns. This return premium of price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently different from the return bias related to Jensen's inequality. This paper thus provides new insights about the determinants of expected stock returns, and new supporting evidence that idiosyncratic risk is priced. The third essay examines whether the upward return bias generated by Jensen's inequality could lead to better performance of equally-weighted (EW) indexes than value-weighted (VW) index when stock prices are not fully efficient. We find that, for a wide range of U.S. stock indexes, EW indexes deliver better four-factor adjusted returns than VW ones do even after deducting transaction costs. Consistent with our hypothesis that the outperformance of EW indexes comes from mispricing, we find that this outperformance concentrates in stocks with greater mispricing, as measured by deviation of stock prices from random walk. Findings in this essay not only imply a potentially winning investment strategy, but also provide new insight into a long-term debate on causes of the outperformance of the EW indexes. / Ph. D.

本研究透過聯合系統與獨特風險綜合評估違約的強度，假設市場上經濟變數或資訊影響系統之違約強度，然若直接考慮所有經濟變數到模型中將可能會有共線性或維度過高之疑慮，因此透過狀態空間模型來設定狀態變數以及經濟變數之關係並將萃取三大狀態變數分別用以描述市場實質活動面、通貨膨脹以及信用環境。另外，將透過結構式模型來計算獨特性風險大小，當個別潛在的變數低於一定數值將導致個別的違約事件發生。而因布朗運動可能無法描述或校準市場上違約之鋒態以及偏態，將進一步考慮Variance Gamma過程用以更準確描述真實違約狀況。最後透過結合以上兩個風險綜合評估下，考慮一個聯合違約模型來評價信用違約交換之信用價差。 / Systematic and idiosyncratic risks are supposed to jointly trigger the default events. This paper identifies three fundamental risks to capture the systematic movement: real activity, inflation, and credit environment. Since most macroeconomic variables fluctuate together, the state-space model is imposed to extract the three variables from macroeconomic data series. In the idiosyncratic part, the structural model is applied. That is, idiosyncratic default is triggered by the crossing of a barrier. For improvement of the underlying lognormal distribution, we assume the process for the potential variable of the firm follows a Variance Gamma process, sufficient dimensions of which can fit the skewed and leptokurtic distributions. Under the specific setting of combinations of the two risks (the so-called joint default model), we price credit default swaps.

本研究目的為透過實證分析研究2005年至2008年台灣上市櫃公司股票流動性與企業價值兩者之關係，企圖瞭解當考慮其他已證實會影響企業價值之因素，如：公司治理、資訊揭露程度、公司特有風險等因素後，股票流動性是否依然對企業價值存在影響力，即本研究將在控制公司治理程度、資訊揭露程度及公司特有風險等因素下，以周轉率作為股票流動性之代理變數、以Tobin’s Q作為企業價值之代理變數，分別使用普通最小平方法與兩階段最小平方法，檢視股票流動性是否依然影響企業價值。除此之外，亦參考Vivian W. Fang, Thomas H. Noe, Sheri Tice[2009]的研究方法，將代表企業價值之Tobin’s Q拆解成其他三個變數：營業利益對股價比、權益佔資產比及資產報酬率，取代企業價值成為應變數，再以相同研究模型對股票流動性進行實證分析，以求瞭解股票流動性影響企業價值之背後原因。最後，將研究樣本分別依照不同程度之公司治理、不同程度之資訊透明度、不同程度之公司特有風險分成低、中、高三組，以普通最小平方法分析在不同程度之控制變數下，股票流動性對企業價值之影響是否不同。本研究結果如下：第一、股票流動性越高之企業，其企業價值亦越高。第二、股票流動性高的企業，擁有較低之負債比與較高之資產報酬率，是企業價值高的中間影響因子。第三、在不同的董監持股比率、董監質押比率、法人持股比率、獨立董監比率、資訊揭露程度及公司特有風險下，流動性對企業價值的影響力是不同的。公司治理越差、資訊揭露程度越低、公司特有風險越高的公司，其流動性對企業價值越具顯著影響力。 / This paper investigates the relationship between stock liquidity and firm performance in Taiwan by using both of Ordinary Least Squares method and two-stage least squares method. To access whether stock liquidity improves, harms, or has no effect on firm performance, a proxy for Tobin’s Q is regressed on the liquidity measure, stock turnover, and several control variables, for example, corporate governance, information transparency, idiosyncratic risk, etc. Next, In order to gain further insight into the source of higher firm performance for stocks with high liquidity, based on Vivian W. Fang, Thomas H. Noe, Sheri Tice (2009), I break Tobin’s Q into three components: price-to-operating earnings, financial leverage, and operating profitability and then use these three variables as dependent variables to be regressed respectively on the liquidity measure in the same regression model. Besides, I also examine whether the effect of high liquidity on firm performance is different for firms with different level of each control variable. At last, this study shows that liquidity positively affects firm performance and proves that stocks with high liquidity not only have better firm performance, but also have more equity in their capital structure and higher operating profitability levels. This study also finds that the effect of stock liquidity on firm performance is significantly different for firms with different level of control variables.

違約事件受到系統性風險與獨特性風險的綜合影響。本研究建構一狀態相依公司信用模型，該模型能反映出系統環境對市場造成的影響與個別公司獨特因子帶來的個別衝擊。 本模型透過從總體環境中萃取出的狀態變數來捕捉系統性變化，另外透過Variance Gamma過程來描繪個別公司的獨特因子帶來的影響。Variance Gamma過程可藉由調整分配的鋒態及偏態來調整布朗運動無法反映出的分配，以更貼近真實的市場訊息。 與縮減試模型相較之下，本模型無需參考信評機構的信用評等資訊，僅依賴市場上公開且透明的資訊，並且與結構式模型相同的是其富有經濟意涵。我們可以透過本模型來同時生成公司流動性危機發生機率與預期流動性危機造成的損失，進而利用本模型評價出個別公司信用違約交換的價格。 關鍵字：信用違約交換；系統風險；獨特性風險；狀態空間模型；Variance Gamma 過程 / Systematic and idiosyncratic risks are thought to affect the default events. This study develops a state-dependent corporate credit model that reflects both systematic movement and idiosyncratic shocks. To capture the systematic movement, the model extracts state factors from macroeconomics data. For the idiosyncratic part, the model applied Variance Gamma Process in depicting the potential variable of the firm by altering the distribution’s skewness and kurtosis. The model contains abundant economic significance as structural-form model does. Comparing to the reduced-form model, it does not rely on the information provided by rating agency but use information that is transparent and public. One can generate a firm’s probabilities of liquidity crisis and expected liquidity shortfalls endogenously and concurrently by employing the model. Credit derivative such as Single-name CDS can be priced under the model.

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Cette thèse examine la responsabilité sociale des entreprises (RSE) par les entreprises de secteurs controverses. Dans le premier chapitre, on évalue les stratégies en RSE pour 565 entreprises de secteurs controverses de 1991 à 2013 en estimant la relation compensatoire entre Irresponsabilité Sociale des Entreprises (ISE) et RSE. On montre que ces entreprises tendent à compenser pour leur ISE en s'engageant dans des domaines stratégiques de RSE tels que la protection de l'environnement et le respect des communautés locales avec un manque d'engagement dans d'autres activités telles la gouvernance d'entreprise. Dans le deuxième chapitre, on examine si l'engagement RSE de 499 entreprises de secteurs controverses est susceptible de diminuer leur risque financier. Nos résultats montrent qu'un engagement RSE stratégique réduit le risque idiosyncratique et total pour certaines industries controversées et que le manque d'engagement dans les activités de gouvernance augmente leur risque. Le troisième chapitre examine la divulgation sociétale en tant que mécanisme de reddition de comptes dans le contexte d'un incident environnemental majeur. L'étude de cas des stratégies RSE utilisées par l'entreprise Canadienne En bridge, durant sa réponse a l'incident de déversement de parole en 2010 révèle que ses rapports RSE sont souvent optimistes et ne réussissent pas a décrire son incapacité à faire face aux problèmes de sécurité ayant entrainé l'incident; et ont aussi sous-estime le volume du déversement et la difficulté du nettoyage, ainsi mettant en question l'effet des activités RSE compare à l'effet de facteurs contextuels dans la protection de l'entreprise durant la crise. / This thesis is composed of three chapters that examine corporate social responsibility (CSR) within firms in controversial sectors. In the first chapter, we evaluate patterns of investment in CSR for 565 US publicly traded companies in eight controversial sectors between 1991 and 2013 by assessing the relationship between CSR and Corporate Social Irresponsibility (CSI). We show that firms in controversial sectors compensate for their CSI by engaging in strategic CSR areas such as environmental protection and community development with a lack of engagement towards other areas, such as corporate governance. In the second chapter, we determine whether engagement in specific CSR activities for 499 US companies in controversial sectors decreases their financial risk. We show that engaging in specific CSR activities considered as strategic reduces idiosyncratic and total risk for some controversial industries; and that poor engagement in corporate governance activities increases firm risk. In the third chapter, we investigate CSR reporting as an important mechanism for stakeholder accountability in the context of an environmental crisis. We perform a case study analysis of the CSR strategies used by the Canadian oil company Enbridge in its response to the July 2010 Kalamazoo spill and revealed that Enbridge's CSR reports were frequently optimistic and failed to describe the company's inability to deal with known safety problems that led to spill; and underestimated both the volume of the spill and the difficulty of the cleanup, thus making it difficult to distinguish the effects of the CSR efforts from the effects of other contextual and external factors.

Abstracts in English, Afrikaans and Sesotho / As one of the renowned anomalies in modern investment theory, the low idiosyncratic volatility anomaly may be the most bewildering and captivating of them all. The anomaly defies the traditional asset pricing theories of modern portfolio theory, which state the fundamental principle that high-risk portfolios are compensated for with higher expected returns. This study determined if the low idiosyncratic volatility premium is present on the cross-section of share returns of the JSE. 12-, 36- and 60-month volatility estimation periods were used in this study to determine if this has any significant effect on share returns. A relevant 26-year sample period from January 1994 to December 2019 was employed. In examining the CAPM OLS regression results utilising the 60-month idiosyncratic volatility estimation period, statistically significant evidence was found to support the alternative hypothesis of a low idiosyncratic volatility anomaly on the cross-sectional returns on the JSE. These findings are supported by a statistically significant alpha for five of the six portfolios examined and clearly indicate the superior performance of the low volatility portfolio in contrast to the high idiosyncratic volatility portfolios. These findings of the 60-month CAPM regression analysis provide clear evidence of a low idiosyncratic volatility anomaly and reject the null hypothesis that there is no statistically significant evidence in favour of a low idiosyncratic volatility anomaly on the cross-section of share returns on the JSE after estimating volatility utilising a 60-month volatility estimation period. / As een van die bekendste anomalieë in moderne beleggingsteorie, is die lae idiosinkratiese gestadigheidsanomalie moontlik die mees verbysterende en boeiende anomalie van almal. Hierdie besondere anomalie bied ʼn uitdaging aan die tradisionele bateprysingsteorie van moderne portefeuljeteorie, die grondbeginsel waarvolgens daar vir hoërisiko-portefeuljes vergoed word deur hoër verwagte opbrengste. Die doel van hierdie studie is om te bepaal of die lae idiosinkratiese gestadigheidspremie aanwesig is by die deursnee-aandeleopbrengste op die JSE. In hierdie studie, is gestadigheidsramingstydperke van 12, 36 en 60 maande gebruik om te bepaal of dit enige beduidende uitwerking op aandeleopbrengste het. ʼn Relevante steekproeftydperk van 26 jaar van Januarie 1994 tot Desember 2019 is gebruik. Deur ondersoek van regressieresultate van die kapitaalbateprysingsmodel (KBPM) kleinste-kwadratemetode aan die hand van ʼn idiosinkratiese gestadigheidsramingstydperk van 60 maande is statisties-beduidende bewyse gevind om die alternatiewe hipotese van ʼn lae idiosinkratiese gestadigheidsanomalie in die deursnee-opbrengste op die JSE te ondersteun. Hierdie bevindings word ondersteun deur ʼn statisties-beduidende alfa vir vyf van die ses portefeuljes wat ondersoek is en dit dui duidelik op die superieure prestasie van die laegestadigheidsportefeulje in kontras met die hoë idiosinkratiese gestadigheidsportefeuljes. Die bevindings van die KBPM-regressie-analise van 60 maande voorsien duidelike bewyse van ʼn lae idiosinkratiese gestadigheidsanomalie en verwerp die nulhipotese dat daar nie statisties-beduidende bewyse is ten gunste van ʼn lae idiosinkratiese gestadigheidsanomalie in die deursnee-aandeleopbrengste op die JSE nie nadat gestadigheid geraam is aan die hand van ʼn gestadigheidsramingstydperk van 60 maande. / E le e nngwe ya diphoso tse tummeng kgopolong ya sejwale-jwale ya matsete, bothata bo tlase ba ho hloka botsitso e ka ba ntho e makatsang le e hohelang ka ho fetisisa. Phoso e ikgethileng ha e latele dikgopolo tsa ditheko tsa thekiso ya thepa ya sejwale-jwale, e hlalosang molao-theo wa hore dipotefoliyo tse kotsing e kgolo di lefellwa bakeng sa dikgutliso tse phahameng tse lebelletsweng. Phuputso ena e ne e ikemiseditse ho fumana hore na tefo e tlase ya botsitso e teng dikarolong tse sa tshwaneng tsa dikgutliso tsa dikabelo ho JSE. Phuputsong ena ho sebedisitswe dinako tsa tekanyetso ya ho hloka botsitso ya dikgwedi tse 12, 36 le tse 60 ho fumana hore na sena se na le phello e kgolo ho dikgutliso tsa dikabelo. Nako ya sampole e loketseng ya dilemo tse 26 ho tloha ka Pherekgong 1994 ho isa ho Tshitwe 2019 e ile ya sebediswa. Ha ho hlahlojwa sephetho sa tekanyo ya CAPM OLS ho sebediswa nako ya dikgakanyo tsa ho hloka botsitso ha dikgwedi tse 60, ho fumanwe bopaki ba bohlokwa ho tshehetsa mohopolo o mong wa phokotso dikgutlisong tsa dikarolo tse fapaneng ho JSE. Diphumano tsena di tsheheditswe ke qaleho ya dipalo bakeng sa dipotefoliyo tse hlano ho tse tsheletseng tse hlahlobilweng mme di bontsha tshebetso e phahameng ya potefolio e tlase ya ho hloka botsitso ho fapana le dipotefoliyo tse phahameng tsa ho hloka botsitso. Diphumano tsena tsa tlhahlobo ya tekanyo ya CAPM ya dikgwedi tse 60 di fana ka bopaki bo hlakileng ba phokotso e sa tlwaelehang ya ho hloka botsitso le ho hanyetsa kgopolo-taba ya hore ha ho na bopaki ba dipalo-palo bo tshehetsang boemo bo tlase ba ho hloka botsitso bo sa tlwaelehang dikarolong tse sa tshwaneng tsa dikabelo ho JSE kamora ho lekanyetsa ho hloka botsitso ho sebedisang nako ya dikgakanyo tsa ho hloka botsitso ya dikgwedi tse 60. / Business Management / M. Com. (Business Management)

Cette thèse est organisée en trois chapitres. Dans le premier chapitre, qui est co-écrit avec Ilze Kalnina, nous proposons un test statistique pour évaluer l’adéquation de la volatilité idiosyncratique comme mesure du risque idioyncratique. Nous proposons un test statistique qui est basé sur l’idée qu’un bon proxy du risque idiosyncratique devrait être non correélé à travers les actifs financiers. Nous démontrons que l’estimation de la volatililité est sujet à des erreurs qui rendent le test non standard. Nous proposons un modèle à facteurs qui permet de réduire sinon éliminer les corrélations dans la volatilité idiosyncratique, avec comme ultime but d’ aboutir à un facteur qui satisfait mieux aux critères souhaités du risque idiosyncratique. Dans le deuxième chapitre de ma thèse, qui est co-écrit avec Christian Dorion et Pierre Chaigneau, nous proposons une méthodologie pour étudier l’importance des risques d’ordres supérieurs dans la valorisation des actifs financiers. A la suite de Kraus and Litzenberger (1976) et Harvey and Siddique (2000a), beaucoup d’études ont analysé l’aversion aux risques de skewness et kurtosis de façon inconditionnelle. Dans ce chapitre, nous proposons une méthodogie qui permet de faire une analyse conditionnelle assez précise de l’aversion au risques d’ordres superieurs. Notre étude complémente la littérature dans la mesure ou nous étudions aussi la valuation des risques d’ordre plus élevé que la kurtosis à savoir l’hyperskewness et l’hyperkurtosis qui sont théoriquement valorisés dans certaines fonction d’utilité comme le CRRA. Dans le dernier chapitre de ma thése, j’étudie la structure à terme de la prime de risque pour le risque de co-skewness, un risque qui mesure l’asymmétrie systématique dans les actions individuelles. Nous y proposons une méthode assez générale qui permet de faire une analyze mutli-horizon contrairement à la plupart des études existantes. / This thesis is organized in three chapters. In the first chapter (which is co-authored with Ilze Kalnina), we propose a statistical test to assess the adequacy of the most popular measure of idiosyncratic risk, which is the idiosyncratic volatility. Our test statistic exploits the idea that a “good" measure of the idiosyncratic risk should be uncorrelated in the cross-section. Using in-fill asymptotics, we study the theoretical properties of the test and find that it has a non-standard behaviour due to various biases induced by the latency of the idiosyncratic volatility. Moreover, we propose a regression model that can be used to reduce if not eliminate the cross-sectional dependences in assets idiosyncratic volatilities. The second chapter of my thesis is the fruit of a colaboration with Christian Dorion and Pierre Chaigneau. In this chapter, we study the relevance of higher-order risk aversion in asset pricing. The evidence in Kraus and Litzenberger (1976) and Harvey and Siddique (2000a) has spurred the literature on the estimation of the risk premiums attached to skewness and kurtosis risk in addition to the standard variance risk. However, most of these studies focus on the estimation of unconditional premiums or average premiums. In this chapter, we propose a methodology that allows to accurately estimate the time-varying higher-order risk aversions using options prices. Our study complements the literature as we also study the higher-order risks beyond the kurtosis such as hyperskewness and hyperkurtosis risks which are valued by a CRRA investor. . In my third chapter, I study the term-structure of price of co-skewness risk. Co-Skewness risk captures the portion of the stock returns asymmetry that arises as a result of market returns asymmetry. I propose a general methodology that allows to study the multi-horizon pricing of this risk in contrast to many existing studies.