This paper develops a framework that analyzes how mergers and acquisitions in Alberta’s oil and gas industry affect stock prices. In this experiment, a multivariate regression is applied to several industry-specific variables to determine if they have impacts on the abnormal stock returns of acquirers. The results show that abnormal returns 5 days prior to the public announcement of the transaction are, in fact, driven by several industry-specific variables. However, the returns immediately after the M & A announcements are similar to previous research done in other industries. Acquirers’ gains 2 days after the announcement are essentially unaffected by the transaction. After a 90-day period, the share performances of acquiring firms tend to beat the index by 7% on average, but this is not thoroughly explained by the variables in the regression analysis.

Experiencing malevolent acts is a common feature when conducting business in parts of the developing world, but the effects that these acts have on a firm’s stock price have not received sufficient attention by the literature. Filling the gap, this thesis looks at the oil industry in Nigeria and the effects of multiple malevolent acts over a five year period (ranging from 2006 to 2010) on the stock prices of the four major international oil firms operating therein: Shell, Chevron, Exxon, and Total. The stock price data was presented in the form of abnormal returns, the difference in stock price from the expected price. Ordinary least squares regression as well as Wilcoxian sign-rank techniques were used to test the abnormal returns data for our firms. This data was segregated by firm name as well as by event types to isolate the effects that each has on the returns of the firms under study. This thesis raises several hypotheses, such as that a negative event in general will lead to negative returns and that negative events affecting one firm will lead to positive returns for that firm’s competitors. We managed to determine that the only event types that had a significant impact on any firm’s returns were kidnappings and government policies (either political or economic) targeted to harm the firms. We discovered that kidnapping events affected Shell’s returns negatively, whereas they have positive impact on the returns of Chevron and Exxon. We postulate that the latter results are a reaction to the relatively strong negative effect on Shell’s returns. In response to negative government actions, Shell and Total experienced positive returns , we postulate that this is due to the market’s perception that these policies will lead to less supply and consequently to higher prices for Nigerian oil. Our results indicate that violent events have no impact, at least on the four major firms, whereas kidnappings and government policies do.

Financial markets have become increasingly integrated, both domestically and internationally. Asset prices react to other asset price shocks both within and across asset classes. This paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and Taiwan. The empirical model concentrates on monthly return over an 11-year period of 1995-2005 for seven asset prices: short-term interest rates, bond yield and equity market returns in both economies, as well as the exchange rate. The results are as followed: First, Johansen cointegration test indicates that there is one cointegrating equation between seven variables. This finding means that there is a long-run equilibrium relationship among the variables. Second, the error correction terms of the US short-term and long-term interest rates, Taiwan short-term interest rate and exchange rate are significant at the 95% level in the Vector Error Correction Model. The deviation from long-run equilibrium is corrected gradually through a series of partial short-run adjustments. The third key result of the paper is that there is a feedback relationship between the US short-term interest rate and equity market return by using the Granger Causality test. Also, the US short-term and long-term interest rates Granger-cause Taiwan short-term interest rates. This result underline that the US financial markets are the main driver of global financial markets.

Thesis (Ph. D.)--University of Missouri-Columbia, 2000. / Typescript. Vita. Includes bibliographical references (leaves 192-198). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2000. / Typescript. Vita. Includes bibliographical references (leaves 192-198). Also available on the Internet.

In the first essay we examine the effect of concurrent lending and underwriting on IPO withdrawal, we find that IPOs underwritten by the firms’ concurrent lending banks are significantly more likely to be withdrawn. The result is robust to controlling for the common factors that affect IPO withdrawal and also for endogeneity using a propensity score matching portfolio. Our evidence suggests a cost to IPO firms’ hiring concurrent lending banks as underwriters despite the potential benefit of informational scope economies such intermediaries may provide. It is consistent with an alternative argument that a current lending and underwriting bank has less incentive to help sell its client firms’ securities because of its lock-in of the firms’ subsequent borrowing needs even when it fails to sell the securities. In the second essay, we examine the investment decisions of second-time IPO firms after successfully going public. Our findings show that, contrary to first time IPOs, second-time IPOs are not active acquirers and spend significantly more on CAPEX and R&D than first-time IPOs. Unlike acquisitions in the post-IPO period, CAPEX and R&D spending benefit second-time IPOs’ long run performance.

published_or_final_version / Statistics / Master / Master of Philosophy

Uppsatsen studerar hur aktiekurser i oljerelaterade bolag har reagerat vid kraftiga svängningar av oljepriset och undersöker hur oljepriset och aktiekurserna följer varandra under en längre period. Uppsatsen använder sig av en event studie samt ett korrelationstest som metod. Det ingår totalt 8 bolag i studien som undersöks mot Brent råolja. Studien visar att företagen reagerar vid en kraftig rörelse i oljepriset samt att det finns en stark korrelation mellan oljepriset och aktiekurserna i majoriteten av företagen.

This thesis examines the theoretical underpinnings and practical construction of select economic and financial indexes. Such indexes are used for a variety of purposes, including the measurement of inflation, portfolio return performance, and firm productivity. Chapter 1 motivates interest in economic and financial indexes and introduces the principal ideas in the thesis. Chapter 2 focuses on one potential source of bias in the Canadian consumer price index (CPI) that arises from the emergence of large discount/warehouse stores—the so-called outlet substitution bias. Such outlets have gained market share in Canada in recent years, but current CPI procedures fail to capture the declines in average prices that consumers enjoy when they switch to such outlets. Unrepresentative sampling, and the fact that discount stores often deliver lower rates of price increase can further bias the CPI. Bias estimates for some elementary indexes are computed using data from Statistics Canada's CPI production files for the province of Ontario. It is shown that the effect on the Canadian CPI of inappropriately accounting for such discount outlets can be substantial. Another area in which indexes are frequently used is the stock market. Several stock market indexes exist, including those produced by Dow Jones and Company, Standard and Poor's Corporation, Frank Russell and Company, among others. These indexes differ in two fundamental respects: their composition and their method of computation—with important implications for their usage and interpretation. Chapter 3 introduces the concept of a stock index by asking what, in fact a stock market index is—this is tantamount to considering the purpose for which the index is intended, since stock indexes should be constructed according to their usage. Because stock indexes are most commonly used as measures of returns on portfolios, the main considerations in constructing such return indexes are examined. Chapter 4 uses the Dow Jones Industrial Average (DJIA) as a case study to examine its properties as a return index. It is shown that the DJIA is not the return on a market portfolio consisting of its thirty component stocks: in fact the DJIA measures the return performance on a very particular (and unusual) investment strategy, a fact that is not well understood by institutional investors. An examination of some other popular stock indexes shows that they all differ in their computational formula and that each is consistent with a particular investment strategy. Numerical calculations reveal that the return performance of the DJIA can vary considerably with the choice of basic index number formula, particularly over shorter time horizons. Given the numerous ways of constructing stock market return indexes, the user is left to determine which is 'best' in some sense. The choice of an appropriate (or 'best') formula for a stock market index is formally addressed in chapter 5. The test or axiomatic approach to standard bilateral index number theory as in Eichhorn & Voeller (1983), Diewert (1993a), and Balk (1995) is adapted here. A number of a priori desirable properties (or axioms) are proposed for a stock index whose purpose is to measure the gross return on a portfolio of stocks. It is shown that satisfaction of a certain subset of axioms implies a definite functional form for a stock market return index. Chapter 6 evaluates the various stock indexes is use today in terms of their usefulness as measures of gross returns on portfolios. To this end the axioms developed in chapter 5 are used to provide a common evaluative framework, in the sense that some of the indexes satisfy certain axioms while others do not. It is shown that the shortcomings of the DJIA as a measure of return arise from its failure to satisfy a number of the basic axioms proposed. Notwithstanding this, each index corresponds to a different investment strategy. Thus, when choosing an index for benchmarking purposes an investor should select one which closely matches his/her investment strategy—a choice that cannot be made by appealing to axioms alone.

The foreign exchange market plays an important role in global finance, as it is considered to be among the largest financial markets in the world because of the significant amount of money involved in the foreign exchange market's transactions. Economic theories show that the exchange rate market may interact with the stock market index, but empirical studies on the interaction between the exchange rate market and the stock market index produced mixed results. Thus there is no empirical agreement regarding the interactions between the stock prices and exchange rate. This study examined the interaction between the real exchange rate and the stock market index in South Africa, with the aim of identifying the effect of exchange rate shocks on the Johannesburg Stock Exchange (JSE). It establishes the direction of causality between the stock market index and the real exchange rate; identifies the long-run and short-run relationships between the South African stock market and the exchange rate and determines the response of the South African stock market to different exchange rate regimes from 1978 to 2008. This study used different econometrics models, including descriptive statistics analysis, Engle-Granger cointegration approach, Error Correction Model and a Granger-Causality test. Variables used in this study include the real values of the JSE all share index and the real exchange rate series (the Rand/U.S. dollar exchange rate) from January 1978 to December 2008. The stock market index responded to changes in exchange rate regimes. Although the response tended to be slightly stronger during the period of the free floating exchange rate, correlation coefficients were insignificant in both fixed and flexible exchange rate regimes. A negative long-run relationship between the real exchange rate and the stock market index was found. The short-run results established that changes in the real exchange rate have no impact on the real stock market index. Granger-Causality tests indicated that there is a bidirectional causal relationship between the South African stock market index and the Rand/U.S. dollar exchange rate. / Thesis (M.Com.)-University of KwaZulu-Natal, Pietermaritzburg, 2011.