In Essay 1, I investigate the impact of corporate life cycle dynamics on the observed negative association between asset growth and stock returns in the crosssection. I find that the asset growth effect on average exists across some life cycle stages measured using cohorts. However, controlling for certain variables associated with the theoretical explanations, I find there is no relation between asset growth and returns. I argue this evidence is consistent with an agency-based explanation of the asset growth effect. Furthermore, a decomposition of the drivers of the effect shows that different components of assets (i.e. working capital and financing) drive asset growth effect at different life cycle stages. From a decomposition analyses, results show that in the youngest firms (cohort 1), asset growth effect is mostly driven by both operating liability and stock financing on one side (financing) and noncash current assets, PPE, and growth in other assets (for working capital) while cohort 3’s drivers appear to be stock issuances, together with noncash current assets, which I conclude offer further support for agency issues. In Essay 2, I examine how firms’ life cycle affect insider trading behavior, profits surrounding trades, price informativeness, and financing constraints. I argue that if firms’ policies and characteristics change over time as shown in lifecycle literature, then from firm characteristics that motivate insider-trading behavior, one should observe some differences across varying life cycle stages measured using age cohorts. I find that insiders are net sellers at all life cycle stages of a firm. Furthermore, insiders tend to trade more in younger firms than in older firms even though they have fewer numbers of insiders trading. Trading characteristics are generally statistically significant across cohorts. Overall, insiders appear to predict the correct direction for positive wealth generation when trading. Specifically, at all lifecycle stages, they appear to sell before negative CARs, and buy during periods associated with negative CARs that lead to positive CARs days after insider transactions. The findings on price informativeness suggest that in general insider purchases enhance price informativeness for firms at different lifecycle stages, however, this finding holds only for cohort 4 (oldest firms) in the case of insider sales. The implication of this finding is that regulation should be more lax towards purchases as compared to sales for firms, except for sales in firms that are older. Lastly, insider trades are linked with positive investment-cash flow sensitivities for both insider purchases and insider sales, which generally increase monotonically across cohorts. This finding is robust to using GMM approach. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2018. / FAU Electronic Theses and Dissertations Collection

Mok Ka Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaf 31). / Abstracts in English and Chinese. / Chapter I --- Introduction --- p.1 / Chapter II --- Data Description --- p.4 / Chapter III --- Market risks for stocks --- p.6 / Chapter 1. --- Listing Location --- p.7 / Chapter 2. --- Operation Location --- p.9 / Chapter 3. --- Measurements --- p.10 / Chapter IV --- The Model --- p.13 / Chapter V --- Empirical Results --- p.16 / Chapter 1. --- Summary statistics --- p.16 / Chapter 2. --- Diagnostics Test --- p.17 / Chapter 3. --- The co-efficient --- p.18 / Chapter 4. --- Comparing the result with US dollar-denominated returns --- p.21 / Chapter VI --- Sub-period analysis --- p.26 / Chapter VII --- Market analysis --- p.29 / Chapter VIII --- Industrial analysis --- p.31 / Chapter IX --- Conclusion --- p.35 / Chapter X --- References --- p.37 / Chapter XI --- Appendix --- p.39

"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-reaction. An alternative explanation IS offered, relying on the dynamic behavior of firms and the process by which investors value the stocks of these firms.

Thesis (Ph. D.)--University of California, San Diego, 2001. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of Washington, 2001. / Vita. Includes bibliographical references (leaves 84-89).

Thesis (Ph. D.)--University of California, San Diego, 1998. / Vita. Includes bibliographical references.

Assignment (MAcc )--University of Stellenbosch, 2002. / ENGLISH ABSTRACT: The price-earnings ratio is one of a series of benchmarks developed after the Great Depression, to measure the fair value of shares on a relative basis. It originated from the idea that investors buy the earnings of a company and that the price-earnings ratio provides a consensus indication of the future growth potential of a company. Therefore, the price-earnings ratio is a rating of a company's future profitability. The price-earnings ratio developed, over the years, firstly, into an indicator of the relative risk associated with a company as the market anomalies associated with the ratio were investigated and clarified, and the theoretical background of the ratio integrated with the portfolio theory. It is now clear that the price-earnings ratio can be a useful indicator of the risk associated with an investment and the uncertainty associated with the duration of the growth phase of a company. Secondly, the price-earnings ratio is also a growth and valuation model with a theoretical background that can be linked to popular dividend discount models and the growth opportunities approach to investment valuation. With the use of the price-earnings ratio it is easy to visualise the relative profitability and the total investment required to raise a company's rating of future profitability. This simplicity allows one the opportunity to evaluate the reasonableness and likelihood of the investment reaching its projected potential profit targets. Lastly, as a result of accounting changes and the different accounting rules in force today, the price-earnings ratio also assists in the identification and elimination of the effects of accounting on investment decisions. It is apparent that the price-earnings ratio possesses the capabilities to assist investors significantly with the analysis of investment opportunities. / AFRIKAANSE OPSOMMING: Die prys-verdienste verhouding is een van 'n reeks relatiewe maatstawwe ontwikkel na die Groot Depressie om die redelike waarde van aandele te bepaal. Dit is gebaseer op die idee dat beleggers die winste van 'n maatskappy koop en dat die prys-verdienste verhouding 'n konsensus aanduiding verskaf van die toekomstige groeipotensiaal van 'n maatskappy. As gevolg hiervan is die prys-verdienste verhouding 'n aanduiding van die relatiewe toekomstige winsgewendheid van 'n maatskappy. Die prys-verdienste verhouding het oor die jare ontwikkel, eerstens as 'n aanwyser van die relatiewe risiko verbonde aan 'n maatskappy soos abnormaliteite wat daaraan verwant is ondersoek en verklaar is, en die teorieë onderliggend aan die verhouding ontwikkel het saam met die portefeulje teorie. Dit is nou duidelik dat die prys-verdienste verhouding 'n bruikbare aanduider is van die risiko wat geassosieer word met 'n belegging en die onsekerheid wat gepaard gaan met die duur van die groeifase van 'n maatskappy. Tweedens is die prys-verdienste verhouding ook 'n waardasie- en groeimodel met 'n teoretiese agtergrond wat verband hou met die populêre dividend verdiskonteringsmodelle en die groeigeleenthede-benadering tot waardasie. Met die gebruik van die prys-verdienste verhouding is dit maklik om die relatiewe winsgewendheid en die totale belegging wat benodig word om die waarde van die relatiewe winsgewendheid van 'n maatskappy te verhoog, tevisualiseer. Hierdie eenvoud verskaf die geleentheid om die redelikheid en die waarskynlikheid van 'n belegging om sy voorsiene winsgewendheidsdoelwitte te bereik, te evalueer. Laastens, as 'n resultaat van die rekeningkundige veranderinge, en die verskillende rekeningundige reëls huidiglik van toepassing in die wêreld, help die prys-verdienste verhouding ook met die identifikasie en die eliminasie van rekeningkundige komplikasies op beleggingsbesluite. Dit is duidelik dat die prys-verdienste verhouding die vermoë het om die belegger by te staan met die ontleding van beleggingsgeleenthede.

published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 / Purpose - The paper provides an investigation of the relationship of macroeconomic risk factors and REITs. The study considers the conditional volatilities of macroeconomic variables on the excess returns and conditional variance of excess returns in developing and developed markets and provides a comparison thereof. Methodology approach - The study employs three-step approach estimation in the methodology (Principal Component Analysis, GARCH (1,1) and GMM) to estimate the asset pricing model. The preliminary study indicated that there are only two developing economies (Bulgaria and South Africa), as defined by National Association of Real Estate Investment Trust (NAREIT), with REIT indices. We additionally included the United States as the developed economy. Findings – Our results indicate that the real economy and business cycles (proxied by GDP growth rate and industrial production index), price stability (proxied by the GDP deflator), exchange rates and interest rates do not explain developing country REIT returns represented by Bulgaria and South Africa, as well as in developed markets, represented by the US. However unlike the developing markets, changes in industrial production and inflation are important variables that affect the conditional variance of REIT returns in the US. / GR2018

Zhang, Wanqing. / Leaf 138 numbered in duplicate. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 138-143). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgement --- p.iii / Table of Content --- p.iv / List of Tables --- p.vi / List of Figures / Chapter Chapter 1: --- Introduction --- p.1 / Chapter 1.1 --- An Overview of the Tourism Industry --- p.1 / Chapter 1.2 --- Research Motivation --- p.3 / Chapter 1.3 --- Outline --- p.8 / Chapter Chapter 2： --- Literature Review --- p.9 / Chapter Chapter 3： --- The Data and Methodology --- p.14 / Chapter 3.1 --- Dataset --- p.14 / Chapter 3.2 --- Methodology --- p.21 / Chapter Chapter 4： --- Empirical Evidence For Tourism Industry --- p.25 / Chapter 4.1 --- Hypothesis --- p.26 / Chapter 4.2 --- Evidence for the tourism stocks --- p.27 / Chapter 4.3 --- Decomposition of Returns --- p.42 / Chapter 4.4 --- Seasonality --- p.52 / Chapter Chapter 5： --- Empirical Evidence For The Market --- p.56 / Chapter 5.1 --- Momentum and reversal effect in general market --- p.57 / Chapter 5.1.1 --- Profitability and Return Performance --- p.57 / Chapter 5.1.2 --- Seasonality --- p.66 / Chapter 5.2 --- Tourism industry vs. General market --- p.70 / Chapter Chapter 6： --- Explaining The Momentum And Reversal Effect: Capital Asset Pricing Model --- p.73 / Chapter 6.1 --- Capmand three-factor model --- p.74 / Chapter 6.2 --- Evidence from tourism stocks --- p.86 / Chapter Chapter 7： --- Explaining The Momentum And Reversal Effect: Fundamentals --- p.92 / Chapter 7.1 --- Movements in fundamentals --- p.95 / Chapter 7.1.1 --- Fundamental hypothesis --- p.95 / Chapter 7.12 --- Movement in profits --- p.96 / Chapter 7.2 --- Using Logit Model To Explore Differences Between The Winner And The Loser Portfolio --- p.108 / Chapter 7.2.1 --- Induction of a binary choice approach- logit regression model --- p.108 / Chapter 7.2.2 --- MODEL I: Using changes in ROA --- p.113 / Chapter 7.2.3 --- MODEL II: Using coded Ret-ROA --- p.115 / Chapter 7.2.4 --- MODEL III: Multi-variable logistic regression --- p.118 / Chapter Chapter 8: --- The Price Impact Of Institutional Investors To Tourism Stocks --- p.120 / Chapter 8.1 --- Changes of institutional ownership in tourism stocks --- p.122 / Chapter 8.2 --- Regression Results --- p.126 / Chapter Chapter 9: --- Conclusion --- p.132 / Reference --- p.138