Prior relative studies document that the initial underpricing and long-term underperformance of IPOs are due to information asymmetry and investors¡¦ misevaluations. However, these studies rarely identify the source of information asymmetry. The purpose of this study is to identify the contribution of R&D to information asymmetry. We then discuss the influence of R&D on initial underpricing of IPOs, and examine whether the long-term underperformance exists in R&D-intensive companies or not. Based on a sample of 702 Taiwen IPOs issued during 1991-2003, this study identify the source of information asymmetry ¡X the R&D activities of issuers. Our findings indicate that these activities significantly affect both the initial underpricing of IPOs and their long-term performance. The results can be summarized as follows. (1) R&D is positively correlated with underpricing. (2) R&D is positively related to long-term performance.

This thesis consists of five self-contained papers, which are all related to the financial markets in the three Baltic States, Estonia, Latvia and Lithuania.  Paper [I] studies the impact of news from the Moscow and New York stock exchanges on the returns and volatilities of the Baltic States' stock market indices using a time series model that accounts for asymmetries in the conditional mean and variance functions. We find that news from New York has stronger e¤ects on returns in Tallinn. High-risk shocks in New York have a stronger impact on volatility in Tallinn, whereas volatility in Vilnius is more in.uenced by high-risk shocks from Moscow. Riga does not seem to be affected by news arriving from abroad. Paper [II] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and exogenous variables. The model is employed to study the three Baltic States' stock exchanges. Using daily data, we find recursive structures, with returns in Riga, directly depending on returns in Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities, both Riga and Vilnius depend on Tallinn. Paper [III] studies the link between political news, and the returns and volatilities in the Baltic States' stock markets. We find that domestic and foreign non-Russian political news led, on average, to lower uncertainty in the stock markets of Riga and Tallinn in 2001-2003. At the same time, political risk from Russia increased the volatility of the stock market in Tallinn. There is a weak relationship between political risk and the stock market volatility in the Baltic countries in 2004-2007. Paper [IV] studies the impact of market jumps on the time varying return correlations between stock market indices in the Baltic countries. An EARJI-EGARCH model facilitating direct modeling of the time varying return correlations is introduced. The empirical results indicate that there are quite a large number of identified jumps in the emerging Baltic States' stock markets. Isolated market jumps in one of the markets generally have no or small e¤ects on the time-varying correlations. In contrast, simultaneous jumps of equal sign increase the average correlation, in some cases by as much as 100 percent. In Paper [V] the hypothesis that financial development promotes economic growth is tested for the three Baltic countries using a time series approach that allows for interactions between the countries. We find that economic growth is a positive function of financial development, proxied by the amount of bank credit to the private sector, in the long run. The results also show that there is long run interaction between the three Baltic countries.

This thesis studies information in financial markets from three perspectives: the role of information asymmetry in alleviating dividend payers’ seasoned equity offering (SEO) announcement returns, the leading behavior of equity analysts who collect and process information, and the pricing of productivity-related information. More specifically, Chapter 1 studies whether the market reacts less negatively to dividend payers’ SEO announcements. Using US data from 1975 to 2002, I find that prior to SEO announcement dates, dividend payers have less information asymmetries than non-dividend payers. This difference was not large before the mid-1980s, but increased dramatically since then. This finding, together with the disappearing dividend puzzle documented in Fama and French (2001), suggests that a firm’s dividend status was not an important signal for SEOs prior to the mid-1980s, but became important since then. The market reacts less negatively to dividend payers’ SEO announcements since the mid-1980s. Chapter 2 studies equity analysts’ leading behavior in equity recommendations. I develop a measure of leading recommendations based on the observation that other recommendations move towards those of the leader. I find that analysts who are more likely to lead are past leaders, past All-American stars, analysts from large brokerage houses, and analysts with fewer recommendations. I find that the market reacts more strongly to recommendations of leaders and leaders are less likely to be terminated from their jobs. Chapter 3 examines the link between productivity and the cross-section of security returns. The CAPM and CCAPM have had problems finding empirical validations. In contrast, by creating factor mimicking portfolios with respect to productivity, I introduce a stock market factor that mimics the driving force behind the CCAPM. First, I find that the productivity factor affects the overall market return and that on average it contributes 0.75 to 2.41 percent annually, for the range of productivity factors I construct. Further, I show that productivity is priced even when the market excess return and factors based on size and book-to-market are included in standard asset pricing tests. However, the market excess return and the book-to-market factor still explain asset returns.

The purpose of this thesis was to determine whether asymmetry in metric and topological spatial judgments could be attributed to the spatial frequency of the stimulus or the size of the attended receptive field. A left hemisphere advantage has been found for topological judgments and a right hemisphere advantage for metric judgments. This asymmetry has been attributed to asymmetrical processing of input conditions, namely size of attended receptive field (called the attentional bin) and spatial frequency of the stimulus. The larger a stimulus, the higher the proportion of low spatial frequencies, so large stimuli are thought to facilitate the extraction of lower spatial frequencies while small stimuli are thought to facilitate the extraction of higher spatial frequencies. A left hemisphere advantage has been reported for high spatial frequencies and small attentional bins and a right hemisphere advantage has been reported for low spatial frequencies and large attentional bins. A method for pitting asymmetrically distributed input conditions against each other using asymmetrically distributed tasks was developed. Three studies were conducted. In the first study, a lack of hemisphere effects suggested bilateral processing of the stimuli. Using an eye tracker, participants were easily able to saccade to the stimulus as was shown in Experiment 2. In Experiment 3, effective exposure duration was reduced so that unilateral viewing was ensured. Under these conditions, bin size and spatial frequency were not dissociable due to a lack of hemisphere effects for spatial frequency and because of task dependency for bin size and spatial frequency processing. Although the assumptions of the double double dissociation were not met, asymmetry in spatial judgments under conditions comparable to those used by Kosslyn et al.(1989) was attributable to a right hemisphere advantage for processing through small attentional bins.

We examine whether corporate governance affects the level of information asymmetry in the capital market. We hypothesize that firms with stronger corporate gov-ernance would be more likely to voluntarily disclose corporate information using public rather than selective methods, and that this would be associated with lower levels of in-formation asymmetry. We carefully establish the path through which corporate govern-ance affects a firms voluntary disclosure method based on previous literature. Surpris-ingly, in full sample analysis we find that firms with stronger corporate governance (as measured by Gompers et al.s, 2003, G index) are associated with higher levels of infor-mation asymmetry (as measured by Easley et al.s, 1996, PIN). In subsample analysis, we find that, consistent with our hypothesis, for the most weakly governed firms, stronger corporate governance is associated with lower information asymmetry, and the impact of corporate governance on information asymmetry is more pronounced than that of firms with moderate and strong corporate governance. <p> To further test our hypothesis, we consider the external effect of Regulation Fair Disclosure on the disclosure method to examine the corporate governance-information asymmetry relationship. Consistent with our hypothesis, our evidence suggests that by forbidding the practice of selective disclosure, the regulation significantly decreases the impact of corporate governance on information asymmetry level.

This thesis studies information in financial markets from three perspectives: the role of information asymmetry in alleviating dividend payers’ seasoned equity offering (SEO) announcement returns, the leading behavior of equity analysts who collect and process information, and the pricing of productivity-related information. More specifically, Chapter 1 studies whether the market reacts less negatively to dividend payers’ SEO announcements. Using US data from 1975 to 2002, I find that prior to SEO announcement dates, dividend payers have less information asymmetries than non-dividend payers. This difference was not large before the mid-1980s, but increased dramatically since then. This finding, together with the disappearing dividend puzzle documented in Fama and French (2001), suggests that a firm’s dividend status was not an important signal for SEOs prior to the mid-1980s, but became important since then. The market reacts less negatively to dividend payers’ SEO announcements since the mid-1980s. Chapter 2 studies equity analysts’ leading behavior in equity recommendations. I develop a measure of leading recommendations based on the observation that other recommendations move towards those of the leader. I find that analysts who are more likely to lead are past leaders, past All-American stars, analysts from large brokerage houses, and analysts with fewer recommendations. I find that the market reacts more strongly to recommendations of leaders and leaders are less likely to be terminated from their jobs. Chapter 3 examines the link between productivity and the cross-section of security returns. The CAPM and CCAPM have had problems finding empirical validations. In contrast, by creating factor mimicking portfolios with respect to productivity, I introduce a stock market factor that mimics the driving force behind the CCAPM. First, I find that the productivity factor affects the overall market return and that on average it contributes 0.75 to 2.41 percent annually, for the range of productivity factors I construct. Further, I show that productivity is priced even when the market excess return and factors based on size and book-to-market are included in standard asset pricing tests. However, the market excess return and the book-to-market factor still explain asset returns.

The purpose of this thesis was to determine whether asymmetry in metric and topological spatial judgments could be attributed to the spatial frequency of the stimulus or the size of the attended receptive field. A left hemisphere advantage has been found for topological judgments and a right hemisphere advantage for metric judgments. This asymmetry has been attributed to asymmetrical processing of input conditions, namely size of attended receptive field (called the attentional bin) and spatial frequency of the stimulus. The larger a stimulus, the higher the proportion of low spatial frequencies, so large stimuli are thought to facilitate the extraction of lower spatial frequencies while small stimuli are thought to facilitate the extraction of higher spatial frequencies. A left hemisphere advantage has been reported for high spatial frequencies and small attentional bins and a right hemisphere advantage has been reported for low spatial frequencies and large attentional bins. A method for pitting asymmetrically distributed input conditions against each other using asymmetrically distributed tasks was developed. Three studies were conducted. In the first study, a lack of hemisphere effects suggested bilateral processing of the stimuli. Using an eye tracker, participants were easily able to saccade to the stimulus as was shown in Experiment 2. In Experiment 3, effective exposure duration was reduced so that unilateral viewing was ensured. Under these conditions, bin size and spatial frequency were not dissociable due to a lack of hemisphere effects for spatial frequency and because of task dependency for bin size and spatial frequency processing. Although the assumptions of the double double dissociation were not met, asymmetry in spatial judgments under conditions comparable to those used by Kosslyn et al.(1989) was attributable to a right hemisphere advantage for processing through small attentional bins.

We examine whether corporate governance affects the level of information asymmetry in the capital market. We hypothesize that firms with stronger corporate gov-ernance would be more likely to voluntarily disclose corporate information using public rather than selective methods, and that this would be associated with lower levels of in-formation asymmetry. We carefully establish the path through which corporate govern-ance affects a firms voluntary disclosure method based on previous literature. Surpris-ingly, in full sample analysis we find that firms with stronger corporate governance (as measured by Gompers et al.s, 2003, G index) are associated with higher levels of infor-mation asymmetry (as measured by Easley et al.s, 1996, PIN). In subsample analysis, we find that, consistent with our hypothesis, for the most weakly governed firms, stronger corporate governance is associated with lower information asymmetry, and the impact of corporate governance on information asymmetry is more pronounced than that of firms with moderate and strong corporate governance. <p> To further test our hypothesis, we consider the external effect of Regulation Fair Disclosure on the disclosure method to examine the corporate governance-information asymmetry relationship. Consistent with our hypothesis, our evidence suggests that by forbidding the practice of selective disclosure, the regulation significantly decreases the impact of corporate governance on information asymmetry level.

Long-period fiber gratings (LPFGs) are typically fabricated by exposing photosensitive optical fiber to ultraviolet light. However, LPFGs can be fabricated by a variety of other techniques, including exposure to carbon-dioxide (CO2) laser light. The physical process by which the refractive-index change is induced in an optical fiber during exposure to CO2 laser light gives CO2-laser-induced LPFGs unique properties when compared to more traditional LPFGs fabricated by exposure to UV light. As such, CO2-laser-induced LPFGs respond differently to external perturbations and useful behavior has been observed, including variable attenuation tuning at a constant wavelength and wavelength tuning at constant amplitude with applied flexure. In order to manipulate, harness, and enhance the unique features of CO2-laser-induced LPFGs, it is necessary to understand their physical properties and optical characteristics. The main objectives of the research presented in this thesis are to quantify experimentally the optical performance of CO2-laser-induced LPFGs with respect to flexure, torsion, and variable incident polarization, to characterize grating cross-sectional refractive-index profiles, and to demonstrate applications of CO2-laser-induced LPFGs that exploit their unique properties. As part of the investigation of the effects of asymmetry, the fabrication and basic transmission characteristics of CO2-laser-induced LPFGs were examined. The polarization-dependent transmission characteristics, specifically polarization-dependent loss and polarization mode dispersion, of CO2-laser-induced LPFGs were investigated. The unique behavior of the gratings in response to applied flexure and applied torsion was also explored. Example variable optical attenuator, optical tunable filter, and fiber-to-waveguide coupler devices illustrate the potential advantages of the asymmetric index profile present in CO2-laser-induced LPFGs for certain applications. A new cross-sectional refractive-index profiling technique was presented that enables measurement of profiles containing small and irregular index variations. The profiling technique was used to measure the cross-sectional refractive-index profiles of optical fiber exposed to CO2 laser light. Future areas of research concerning CO2-laser-induced LPFGs were identified and discussed.

Financial market and its various components are currently in turmoil. Many large corporations are devising new ways to overcome the current market instability. Consequently, any study fostering the understanding of financial markets and the dependencies of various market components would greatly benefit both the practitioners and academicians. To understand different parts of the financial market, this dissertation employs time series methods to model causality and structure and degree of dependence. The relationship of housing market prices for nine U.S. census divisions is studied in the first essay. The results show that housing market is very interrelated. The New England and West North Central census divisions strongly lead house prices of the rest of the country. Further evidence suggests that house prices of most census divisions are mainly influenced by house price changes of other regions. The interdependence of oil prices and stock market indices across countries is examined in the second essay. The general dependence structure and degree is estimated using copula functions. The findings show weak dependence between stock market indices and oil prices for most countries except for the large oil producing nations which show high dependence. The dependence structure for most oil consuming (producing) countries is asymmetric implying that stock market index and oil price returns tend to move together more during the market downturn (upturn) than a market boom (downturn). In the third essay, the relationship among stock returns of ten U.S. sectors is studied. Copula models are used to explore the non-linear, general association among the series. The evidence shows that sectors are strongly related to each other. Energy sector is relatively weakly connected with the other sectors. The strongest dependence is between the Industrials and Consumer Discretionary sectors. The high dependence suggests small (if any) gains from industry diversification in U.S. In conclusion, the correct formulation of relationships among variables of interest is crucial. This is one of the fundamental issues in portfolio analysis. Hence, a thorough examination of time series models that are used to understand interactions of financial markets can be helpful for devising more accurate investment strategies.