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Major Paper (M.S.)--Virginia Polytechnic Institute and State University. M.S. 1992. / Includes bibliographical references (leaf 82). Also available via the Internet.

I examine the determinants of cross-sectional liquidity in the IPO aftermarket during the period of 1995 through 2005. I find that past price performance, the extent of stock visibility, the mass of informed agents, and certain IPO attributes play a role in explaining IPO trading activity. My empirical evidence shows that differences of opinion and estimation uncertainty about an IPO firm affect little IPO liquidity. My findings contribute to the understanding of determinants of IPO aftermarket trading. I also investigate whether contemporaneous overreaction tends to occur following persistent information in the options market. More specifically, I compare the reactions between growth and value investors, and small and large investors conditional on past price reactions. My empirical results suggest that value investors react more strongly than growth investors following a series of prior information shocks, as measured by the cumulative level of overreaction. Small investors tend to react more strongly than large investors conditional on prior information shock, as measured by the cumulative sign or level of overreaction. The results imply that overreaction is a function of investor types and previous information and contribute to the overreaction hypothesis in the options market.

This thesis comprehensively studies three questions. First of all, I use a unique set of institutional investor bids to examine the impact of personal experience on the behavior of institutional investors in an IPO market. I find that, when deciding to participate in future IPOs, institutions take into account initial returns of past IPOs in which they submitted bids more than IPOs which they merely observed. In addition, initial returns from past IPOs in which institutions’ bids were qualified for share allocation were given more consideration than IPOs for which unqualified bids were submitted. This phenomenon is consistent with reinforcement learning. I also find that institutions do not distinguish the returns that are derived from random events. Furthermore, institutions become more aggressive bidders after experiencing high returns in recent IPOs, conditional on personal participation or being qualified for share allocation in those IPOs. This bidding behavior provides additional evidence of reinforcement learning in IPO markets. Secondly, I merge the dataset of institutional investor bids with post-IPO institutional holdings data to examine whether institutional investors such as fund companies reveal their true valuations through bids in a unique quasi-bookbuilding IPO mechanism. I find that fund companies do truthfully disclose their private information via bids, despite these being without guaranteed compensation. My results contribute to the existing literature by providing new evidence on the information compensation theory and have implications for the IPO mechanism design. Finally, I explore the impact on firm valuation of going public abroad using a sample of 136 Chinese firms that conducted IPOs in the US during the period of 1999-2012. I find that US-listed Chinese firms have higher price multiples and experience less underpricing than their domestic-listed peers. The valuation premium stays consistent when a firm’s characteristics and listing cost are being controlled. These findings are consistent with the theories of foreign listing. Moreover, I find that high-tech Chinese firms with a high growth rate but low profitability are more likely to issue shares in the US, particularly for specific industries such as semiconductors, software and online business services. This industry clustering is interpreted as an incentive to access foreign expertise through listing abroad.

The number of US domiciled initial public offerings (IPOs) has declined since its peak listing year in 1996. The US listing gap has grasped the attention of experts and researchers in the field but there is a lack of agreement among intellectuals regarding the underlying causes. The purpose of this paper is two-fold: 1) to identify and analyze the company characteristics and underlying factors that impact age at time of IPO that has resulted in the US listing gap and 2) to test if these characteristics and factors have fluctuated in impacting company age at IPO over time.

A cross-border listing occurs when an individual company establishes a secondary listing on a stock exchange abroad. In this paper, we analyze and compare the arbitrage proportions (through violation of put-call parity) of publicly traded cross-listed Canadian stocks, and those of industry and performance matched US domestically-listed shares. The cross-listed Canadian stocks are listed on both of the Toronto Stock Exchange (TSX) and either the New York Stock Exchange (NYSE) or the American Stock Exchange (AMEX).<p> Arbitrage opportunities exist when put-call parity is violated. Our empirical results show that in most circumstances, both domestic put-call parity and cross-border put-call parity hold well in the two countries. However, in Canadian market, a high proportion of arbitrage op-portunities could be detected in closing prices on the particular date of March 14, 2007.<p> On March 14th 2007, many of the observations in the Canadian market contained arbi-trage opportunities. Both domestic and cross-border put-call parity was violated. However, we fail to find the same phenomenon in the US market. In the US market, opportunities for arbitrage occur rarely and sporadically. We also find that the option trading volume in the Canadian market is lower than that in the US market, and during dramatic market price drops, the option trading volume remains at a low level.

A cross-border listing occurs when an individual company establishes a secondary listing on a stock exchange abroad. In this paper, we analyze and compare the arbitrage proportions (through violation of put-call parity) of publicly traded cross-listed Canadian stocks, and those of industry and performance matched US domestically-listed shares. The cross-listed Canadian stocks are listed on both of the Toronto Stock Exchange (TSX) and either the New York Stock Exchange (NYSE) or the American Stock Exchange (AMEX).<p> Arbitrage opportunities exist when put-call parity is violated. Our empirical results show that in most circumstances, both domestic put-call parity and cross-border put-call parity hold well in the two countries. However, in Canadian market, a high proportion of arbitrage op-portunities could be detected in closing prices on the particular date of March 14, 2007.<p> On March 14th 2007, many of the observations in the Canadian market contained arbi-trage opportunities. Both domestic and cross-border put-call parity was violated. However, we fail to find the same phenomenon in the US market. In the US market, opportunities for arbitrage occur rarely and sporadically. We also find that the option trading volume in the Canadian market is lower than that in the US market, and during dramatic market price drops, the option trading volume remains at a low level.

The article is about the factors that influence the Taiwanese businesses¡¦ decision to go abroad for listing. Our data are mainly about the Taiwanese businesses¡¦ in Hong Kong, Singapore, Thailand, Vietnam, Shanghai, and Shenzhen. The requirements of main board listing in Hong Kong and Singapore are strict and those in Thailand and Vietnam are loose. There are higher average economic growth rate and better market return in foreign listing market. Although the new listing number is higher than Taiwan, the stock liquidity is lower than Taiwan except Shanghai and Shenzhen market. As the P/E ratio , foreign market is similar to Taiwan except Shanghai¡B Shenzhen and Thailand markets. Overall, the advantages of Taiwan IPO market are not too many except the liquidity. As overseas Listing of Taiwanese businesses, we find that shoes companies and growth enterprise will get together in Hong Kong, and the average market values and money- raising ability are higher. In Singapore, the industries of Taiwanese business are widely distributed. Moreover, the industry in Thailand, Vietnam and China are mainly construction and living- related. The founding years before listing of foreign Taiwanese business are longer than those listing in Taiwan. Therefore, Taiwanese businesses display different styles in different listing market. We divided the influencing factors into macro factors, market factors, industry factors, listing requirement factors and unique factors. We used binary logistic regression as our model and found that the macro factors, the market factors, and listing requirement are related to the Taiwanese businesses¡¦ decisions. When there was higher economic growth rate, higher stock return rate or there were more new listed companies in overseas security markets, more Taiwanese business went abroad for listing. But opposite to our intuition, Taiwanese business did not list in a market with higher P/E ratio. The strict listing requirement did not stop Taiwanese business to list there. Therefore, we think only by lowering the listing requirement will not attract Taiwanese business to come back to Taiwan for listing. Finally, we command that by setting three different ways of Taiwanese businesses¡¦ listing, reducing the money limit and strengthening the collecting industries in Taiwan, we can attract more overseas business coming back to Taiwan for listing.

Targeted sanctions serve as a coercive tool to change behavior, or as a precautionary measure to prevent violations of international peace and security, as is the case of targeted sanctions against individuals and entities associated with terrorist acts. Targeted sanctions have become an important and frequently used tool in the global efforts of the UN in combating terrorism. The introduction of targeted sanctions, however, brought new questions associated with the status and rights of individuals in the regime of sanctions. Security Council imposing targeted sanctions significantly affects an individual's life, but does not provide an effective mechanism or means for its protection and thus violate his fundamental rights. In my work I analyze the implications arising for the persons and entities if they are wrongly listed, and what are their options for redress solicitation. The work is thus to analyze the current practice of United Nations sanctions regimes in the process of sanction lists, focusing on the human rights of listed individuals at the United Nations Security Council sanction list.