Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 77-79). Also available on the Internet.

Thesis (Ph. D.)--University of Chicago, 2002. / Includes bibliographical references (p. 222-236). Also available on the Internet.

Academisch proefschrift, Universiteit van Amsterdam, 2008. / Description based on print version record. Includes bibliographical references (p. 99-107).

Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 77-79). Also available on the Internet.

I investigate why the majority of firms do not issue earnings warnings in the face of upcoming earnings disappointments. SEC Rule 10b-5 imposes a duty on managers to correct or update when they discover that prior disclosures are misleading. I posit that managers assess the 10b-5 duty to disclose based on private information about optimism and misstatements embedded in their prior disclosures. Specifically, I hypothesize that managers who did not issue forecasts or managers who previously issued non-optimistic forecasts are more likely to be silent about upcoming earnings disappointments than managers who previously issued optimistic forecasts. I also hypothesize that managers who perceive that prior disclosures include misstatements that are difficult to verify in the court are more likely to remain silent than are managers who perceive that prior disclosures include misstatements that are easy to verify in the court. My results support these hypotheses. In additional tests, after controlling for the endogeneity between warnings and the likelihood of litigation, I find that earnings warnings issued by managers who perceive that they are not bound by a duty to disclose increase litigation risk. I also find that warnings by firms with misstatements containing less verifiable information do not reduce settlement costs when these firms are sued. Overall, my evidence indicates that when managers perceive that they have no duty to disclose, their earnings warnings are likely to have an adverse impact on litigation risk and, thus, managers are likely to remain silent to avoid this outcome. / published_or_final_version / Business / Doctoral / Doctor of Philosophy

This thesis examines the fees charged by underwriters for conducting IPOs in China. By examining a sample of 1,171 Chinese IPOs conducted during 2001-2011, I obtain the first evidence from China on the direct issue cost, the gross spreads, and identify its determinants, including issue proceeds, number of lead managers, and lead manager reputation. The results show a pattern of over-time increase of the spreads, which is at 0.16 percentage points per year for state-owned enterprise (SOE) offerings and 0.73 percentage points per year for non-SOE ones. The gross spreads do not exhibit clustering, but are largely consistent with increased demand for underwriting services from non-SOEs that, together with increased complexity of underwriting, has pushed underwriting fees up. / published_or_final_version / Economics and Finance / Master / Master of Philosophy

This paper estimates both parametric and non-parametric proportional hazards models for a subset of Canadian mortgage-backed security data. The estimated parametric hazard function is then used to drive exogenous prepayments within an arbitrage-free model of the term structure of interest rates. Theoretical prices as well as option-adjusted spreads (OAS) are obtained for three different mortgage-backed securities using a Monte-Carlo simulation. Though no formal test is done to compare the ability of the different hazard models to explain observed market prices, the non-parametric baseline hazard is more consistent with the age-dependent prepayment provisions typical of most mortgage contracts in Canada.

No description available.

It has been endlessly demonstrated that the provinces will stand in the way of successful negotiations towards a common or national securities regulator in Canada. While there are many flaws in the current regulatory system, there are aspects of a decentralized model that can be valuable, particularly in a country with such regional diversity. Moving forward, policy development should focus on strengthening the current system while realizing the political realities that persist. By retaining various aspects of a decentralized model, yet also cooperating with the federal government to overcome issues that a national regulator might have resolved, there is potential for Canada’s system to prevail.

This thesis comprises three essays on market microstructure, focusing on the issues of insider trading, asymmetric information and market liquidity. The first essay examines the effects of the mandatory disclosure regulations on the trading behavior of informed traders. Specifically, we compare the (perfect Bayesian) equilibrium when disclosure is mandatory to the equilibrium when insiders do not have to disclose their trades. We show that under mandatory disclosure the market becomes more efficient and more liquid, making the uninformed traders unambiguously better off. We also show that in order to conceal part of his information, under mandatory disclosure the insider may trade against his information, and, at the same time, add a random---"noise"---component to his trade order. As a result, insiders may end up buying (selling) when his information indicates the asset is overvalued (undervalued). This provides a rationale for contrarian trading. / The second essay examines trading behavior, price behavior and the informational efficiency and the informativeness of the price process in the equilibrium of a strategic trading game when some investors receive information before others. We show that the early informed investor may trade against his information to maintain his information superiority over the market. Under some conditions, subsequent price changes are positively correlated. We also find that the price process is less efficient and less informative than would be the case where there is no late-informed trader. / The third essay analyzes the infra-day behavior of market liquidity of the Toronto Stock Exchange which uses a computerized limit-order trading system. Along with previous studies, we show that the U-shaped infra-day pattern of spread does not depend on the market architecture. In addition, we confirm that bid-ask spread and market depth are two dimensions of market liquidity. Liquidity providers use both dimensions to deal with adverse selection problems. We also examine how price volatility and trading volume affect market liquidity. Price volatility is inversely related to market liquidity but trading volume is directly related to liquidity. High trading volume implies high liquidity trades and as a result, liquidity providers decrease (increase) ask (bid) price and/or increase depth at each quote.