Thesis (M.B.A.)--University of Hong Kong, 1985.

Thesis (M.B.A.)--University of Hong Kong, 1987. / Cover title.

published_or_final_version / China Development Studies / Master / Master of Arts in China Development Studies

published_or_final_version / abstract / Economics and Finance / Doctoral / Doctor of Philosophy

published_or_final_version / Public Administration / Master / Master of Social Sciences

The objective of my two essays together is to examine whether the trades made by the insiders prior to open market repurchase (OMR) announcements contain information that can be used to identify the repurchases that are motivated by undervaluation. The existing literature on shares repurchases suggests that while undervaluation has been a dominant motive behind repurchases for past few decades, identifying these undervalued firms still remains a challenge. The book-to-market ratio is commonly used as a proxy for mispricing; however, its ability to identify undervalued repurchasing firms has recently come into doubt (Chan et al., 2004). Instead, I propose using proxies based on insider trading to identify the undervalued repurchasing firms.In the first essay, I document a relation between insider trading and both the short- and long-run stock returns of open market repurchasing firms. My findings suggest that the personal trades made by insiders prior to the OMR announcements contain information that can be used to identify undervalued repurchasing firms. I use various measures of insider trading and show that firms with high (low) insider buying (selling) prior to repurchase announcements earn abnormal stock returns in both the short- and long-run. I also find a positive (negative) relation between insider buying (selling) and the actual repurchasing activity of the firms.In my second essay, I further test whether the trades made by insiders prior to OMR announcements contain information that can be used to identify the repurchases that are motivated by undervaluation by examining the post-announcement operating performance. I find a relation between insider trading and the post-announcement operating performance for the OMR firms that is consistent with the hypothesis that insiders' trades prior to OMR announcements are informative. Specifically, I find that firms with high insider buying prior to the OMR announcements outperform their corresponding control firms, whereas, firms with low insider buying do not. In addition, I test for a relation between insider trading and (a) the accruals management around OMR announcements, and (b) the market reaction to the earnings announcements made by the OMR firms. I find a weak evidence of insiders timing their trades along with accruals management. However, the market reaction to earnings announcements made by the OMR firms does not seem to vary with level of insider trading. Overall, the evidence is consistent with insiders of repurchasing firms knowing when their stocks are undervalued and they timing both their personal and firm level trades accordingly.

Formalised markets for the trading of securities have been impacted upon to the same degree as other business entities by the advent of electronic commerce. Globalisation has furthermore forced these markets to adapt their operation with a view towards improving efficiency while simultaneously catering for increased demands on their capacity. Clearing and settlement of securities is a core financial function on which fundamental confidence in the financial market depends. It is also an area experiencing rapid growth, profound technical and structural change, and infrequent but severe market shocks. Growth has been tremendous. For example, the value of shares traded annually in world markets rose nearly 63 times between 1980 and 2001. Advances in telecommunication technology, has brought far-reaching changes in the characteristics and supply of financial products and services, and in trading and settlement systems. Changes have also fuelled cross border activities. The South African equities industry has not escaped this dramatic paradigm shift and has itself initiated STRATEgic projects, all with a view of catapulting South Africa into the world's financial markets. It is also meeting these challenges, has often been expensive and met resistance amongst individual and professional investors who have become accustomed to established ways of trading securities. To counter these challenges and resistance (and further justify the expense and effort in transforming), various contentions (such as an increase in trade volumes arising in greater liquidity levels) were forwarded. The introduction of the STRATE (Share Transactions Totally Electronic) system by the Johannesburg Securities Exchange (JSE) is an example of an exchange adapting its operation to meet new challenges. This exploratory research examined whether the contention that the transition to an efficient electronic settlement system STRATE, has been successful, the effect of STRATE equity/electronic settlement in the South African market and to determine the position/standing of STRATE in comparison to other developing/emerging and world markets. An analysis of the STRATE system from inception to current status was done as well as a comparison of the South African settlement system to other emerging and world markets. A Questionnaire was sent to various major Financial Institutions (banks) and investment professionals in the employ of equity broking firms, to ascertain their opinion as to the impact ofSTRATE's result/success of the transition to an effective electronic settlement system and to determine STRATE's position in comparison with emerging/developing countries and world markets. The views of the respondents are that STRATE will increase trade volumes although it may perhaps be too early at this stage to note a difference. The major themes elicited from the respondents are that they have a greater confidence and faith in the workings of the market, lost share certificates and lack of an ease of settlement infrastructure prevented effective settlement previously, barriers to private investors have been removed, share certificates are in some instances missed, STRATE makes stock broking and investing more cost effective or easier, there is a greater liquidity potential for the Johannesburg Securities Exchange, an increase in market activity due to greater and more efficient settlement of trades, principal risk being reduced, increased foreign investment, a better international image as regards settlement through the adoption of best international practice has arisen, greater ease of transaction should lead to an increase of trade volumes, the benefits of STRATE as regards trading volumes are not yet apparent, the benefit is apparent and poor market conditions have prevented the benefit from becoming apparent. / Thesis (MBA)-University of Natal, Durban, 2003.

Mode of access: World Wide Web. / Thesis (Ph. D.)--University of Hawaii at Manoa, 2005. / Includes bibliographical references (leaves 92-95). / Electronic reproduction. / Also available by subscription via World Wide Web / vii, 95 leaves, bound 29 cm

Two important findings in the IPO literature, IPO's underpricing and poor long run stock returns, are investigated by using the sample of IPOs completed in the Stock Exchange of Thailand (SET) from 1994 to 1999. The evidence suggests that Thai IPOs are underpriced and have poor long run stock returns. Rock 's (1986) model is employed to explain the underpricing of Thai IPOs. Rock's model is supported by the evidence of Thai IPOs. Past market conditions and the stock liquidity of the IPOs' industries are the main factors which affect investor demand for IPO shares. IPOs which go public in the hot market conditions (periods with high past market return) and IPOs which come from liquid industries (industries which have high stock turnover) attract more investor demand. These two factors are also positively correlated with IPO first day return. This suggests that investors have higher demand for IPOs which go public in the hot market conditions and IPOs which come from liquid industries because these IPOs are underpriced, and the underpricing of these IPOs is corrected during the first trading day. IPOs with low investor demand underperform their benchmarks in the long run. On the contrary, the long run returns of IPOs with high investor demand are not significantly different from their benchmarks. One possible explanation for the underperformance of IPOs with low investor demand is that these IPOs may be illiquid. The lack of demand during the first trading day may cause their first closing price to be different from their intrinsic value. This difference is gradually adjusted in the long run leading to the underperformance of these IPOs. This hypothesis is supported by the evidence. The sample of rights offerings announced in the SET between 1994 and 1999 also supports the role of liquidity in explaining the poor long run performance of issuers. The change in operating performance of IPOs from the IPO-year to the post-IPO years also has some power in explaining the long run underperformance of IPOs. IPOs which perform more badly after going public have poor long run returns.

This thesis examines the return volatility of Hong Kong stock market on the firm-level, industry-level, and market-level during a fifteen year sample period between 1991 and 2005. The identified patterns of stock return volatilities contribute to the understanding of an important Asian market.