This study consists of five chapters. Chapter 1 motivates the importance of this paper. Chapter 2 describes the organization, behavior, performance, and some of the distinguishing characteristics of the Taiwan Stock Market. Different costs and functions of this practice are analyzed in Chapter 3. In Chapter 4, I discuss various consequences that price limits might have on stock price volatility, and test the empirical relationship between price limits and stock price volatility. Chapter 5 then concludes this research The main findings of this paper are: (1) Most contributions of the stock market on Taiwan's economic development came from this market's increasing output and employment itself, and not from its role on transferring savings to real investments. (2) Price limits may in effect increase brokers, securities finances, and government's benefit, rather than increase investors' benefit. (3) The effect of price limits on stock price volatility depends on different structures of the market / acase@tulane.edu

This dissertation uses a continuous time, consumption--portfolio choice model to investigate three questions in international finance. The model is solved using the stochastic optimal control techniques pioneered by Merton The first question is the differential effect of exchange rate variability on the foreign trading. In the conventional view, either nominal or real exchange rate variability makes foreign trading differentially risky compared to domestic trading. It is shown that this result depends on systematic habitat dependencies in portfolio structure. The sources of country specific portfolio differencies are explored The second question is currency substitutability. Assuming economic agents do hold foreign monies for both their asset and transactions properties, the question is how elastic foreign money demand is with respect to changes in domestic interest rates. It is shown that contrary to the usual currency substitution arguments, foreign transactions balances of domestic agents do not generally respond to changes in domestic interest rates. Even though transactions balances in foreign monies are held, they are not substitutable in that they do not respond to changes in domestic rates. The determinants of the substitutability of broadly defined foreign money balances are derived The last issue addressed is the effect current account imbalances might have on exchange rates in a monetary model. It is shown that international asset portfolio structures differs by country due to the interaction of stochastic labor incomes and Phillips curves. When wealth is redistributed, as by current account imbalances, this can cause exchange rate movements in a monetary model of exchange rate determination which incorporates portfolio formation. Surplus countries' exchange rates will tend to appreciate; those with current account deficits will tend to have depreciating currencies / acase@tulane.edu

The objective of this study is to test for market efficiency in the Mexican stock market as well as for multi-market efficiency among the U.S., the U.K., and the Mexican stock markets. We use as a sample the returns of Mexican stocks traded both in the Mexican stock market and overseas through Depositary Receipts (DRs), ADRs in the case of stocks traded in the U.S., and GDRs in the case of the stocks traded in U.K., and the stock market index for each stock market This dissertation consists of three essays. The first essay tests for the existence of the January effect in the Mexican stock market, and studies whether tax regulation differences between Mexico and the U.S. explain the presence or absence of the January effect. We found no evidence of the January effect, being the results a support for a tax related hypothesis The second essay analyzes market return behavior around holidays and the efficiency of information transfer around closing days. The holiday effect was not evident in the period of study. We studied whether the non-evidence of the holiday effect was due to the absence of this anomaly in the Mexican stock market, or to the transfer of information process among stock markets. However, we found that causality existed among the Mexican portfolios, implying multi-market inefficiency The third essay studies whether information arising in the Mexican stock market is appropriately included in the prices of the Mexican DRs. It also focuses on causality among the Mexican, the U.S, and the U.K. stock market returns, and among the Mexican stock portfolios and the Mexican DR portfolios returns. We found that the U.S. market had influence on the Mexican and on the U.K. markets. We found evidence of causality among the portfolios, which helped us to identify the feasibility of exploiting this form of market inefficiency. After we estimated portfolio returns for three and six month periods, we found that profits could be obtained from trading strategies; however, when we considered transaction costs in the trading strategies, those profits disappeared / acase@tulane.edu

This thesis examines earnings management and its capital market consequences in two previously unexamined settings, open market share repurchases and extreme transitory changes in performance. The first essay investigates whether managers engaging in an open market share repurchase program manage earnings downward. The essay also examines the short-term and long-term effects of the managers' disclosure policies on stock returns. Using 2,939 repurchase announcements during 1980--1998, we find that the discretionary accruals of repurchasing firms are significantly negative. Furthermore, there is a significant and negative relation between long-term returns and discretionary accruals. The second essay tests whether transitory shocks to cash flows and discretionary accruals are related, and examines the return profile of extreme performers. We document that firms with large cash flow shocks exhibit significant and negative discretionary accruals. Moreover, extreme performers exhibit significant abnormal returns one year after the shock / acase@tulane.edu

Foreign market entry strategy involves choices about which markets to enter and how to enter them. In most of the Foreign Direct Investment (FDI) literature it was always of the interest to determine what are the decisions of the foreign investing firm choice of ownership structure and from the point of view of the local firms what, are the characteristics that define the way they may react to this new entry The main objective of the current study is to analyze the role of conglomerate groups in emerging economies when firms face economic stress, like instability on regulations that affect project cash flows or like the entrance of new aggressive competitors on the market As recognized in many other studies, one set of risks arises from public expropriation hazards that are a function of the ability of the host country's institutional environment to credibly commit to a given policy or regulatory regime. Empirical research has shown this hazard to have an impact on ownership levels The first part of this study is a theoretical model that describes how Multinational Firms face moral hazard risk from their counterpart and political risk from the host country when they decide to go abroad in a Joint Venture alliance. We found that, when the Multinational Firm is dealing with a bad type Domestic Firm, the problem of asymmetric information causes a rent transfer from the Multinational Firm to the Domestic Firm and not from the project to investors. We also found that the greater the level of hazard expropriation, the lower the participation of the Multinational Firm on the final cash flow, except for the case where the Multinational Firm has the negotiation power and there is a high level of local investment protectionism. In that case, the Multinational Firm increases its participation in the final cash flow Another challenge for the foreign direct investment (FDI) literature because of its rareness is the expansion of Spanish banks in Latin America in the mid 90s. It was one of the most striking changes experienced by retail banking markets in Latin America The second part of this study is an empirical model that wants to determine how incumbent banks in Colombia, Mexico and Chile faced the hostile entrance of Banco Santander on their bank market. We found that banks may better fight the entrance of Banco Santander if they belong to a Financial Conglomerate (FC). Additionally, with respect to the effect that has firm size on the incumbent reaction, we found that size characteristic appeared significant with a negative sign. This negative sign may be explained by the fact that large banks lost their loan market share, on the contrary, medium and small banks responded fighting for their market position / acase@tulane.edu

This dissertation reexamines Nominal Contracting Hypothesis with surveyed data of inflationary forecasts. Survey of Professional Forecasters shows that forecasters consistently underestimated inflation for the years of 1969--81, and consistently overestimated inflation for the years of 1982--93. This allows us to see the long-term relationship between stock returns and balance sheet variables. It also enables us to test this relationship directly without estimating expected inflation. Besides the nominal contract variables, some real asset accounts from the balance sheet are included so we can have a more complete understanding of the valuation issue caused by inflation. The findings are inconsistent with Nominal Contracting Hypothesis. Long-term debt appears to hurt a firm's stock price when inflation rate is higher than expected. Pension liability does not bear much statistical significance. Nor does inventory. Property, plant and equipment appears to benefit a firm's stock price when inflation rate is surprisingly high. Some possible explanations are given / acase@tulane.edu

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Expansion of bank powers is currently an important and highly debated issue. Bankers, financial economists, regulators, and politicians argue that, for banks to survive and compete successfully today and in the future, banks must have greater powers in the areas of insurance, securities, and real estate. / In order to effectively understand the issues of expanding bank powers, the current regulations should be examined. Bank activity regulation is a dynamic and complex structure resulting from legislative, judicial, and administrative agency actions on both the federal and state level. The current status and direction of this area of bank regulation indicates that increased power in areas of insurance, investment banking, and real estate are in the future of banking. / A simulation using earnings determines the potential of expanded bank powers. The data used in this simulation is superior to other studies because of its greater range of dates, inclusion of failed firms, and finer industry classification. The results are favorable to greater expansion in the areas of insurance, less favorable for expansion in securities, and not favorable at all for greater real estate expansion. In all cases, restricting the level of investment in the nonbanking activity is important in controlling risk. When the simulation is repeated using cash flow data the Insurance Agent/Broker (SIC 6411) and Investment Advice (SIC 6282) industries are the areas with the most promise for bank power expansion. Furthermore, additional real estate powers are not supported by this study because of real estate's consistently poor performance. / Source: Dissertation Abstracts International, Volume: 52-09, Section: A, page: 3380. / Major Professor: William A. Christiansen. / Thesis (Ph.D.)--The Florida State University, 1991.

An objective of both economic structural and accounting time-series literature has been to understand the economic factors driving the systematic properties of corporate earnings. The purpose of this dissertation is twofold: (1) to help explain why these research areas are unable to find the same economic factors consistently significant across studies within their respective disciplines; and (2) to investigate economic factors previously omitted in time-series research and the economic factors that have a substantive effect on corporate earnings. / The empirical evidence from this study did not support the theory that the autocorrelation function is a better dependent variable than the rate-of-return that has been used in structural research. Thus the evidence does not suggest that the inconsistencies are due to a poor choice of dependent variable. However, the evidence does suggest that inconsistent results in accounting time-series research regarding the barriers-to-entry and size variables is inconclusive for the former, however, for the latter there is strong support for the size hypothesis that consistent significant results on the size variable occur when properly proxied by the log market value of equity. However, the economic factor omitted in previous accounting time-series research is the product differentiation variable. Due to its lack of variation across the sample no conclusions can be drawn with regard to the product differentiation variable. / The investigation into which of the economic variables may have a substantive effect in quarterly time-series analysis indicated that the size variable (proxied by the log market value of equity) has a substantive effect across all lags. In addition, there is limited support for substantiveness of the barriers-to-entry and product type variables. / Source: Dissertation Abstracts International, Volume: 52-06, Section: A, page: 2197. / Major Professor: Kenneth S. Lorek. / Thesis (Ph.D.)--The Florida State University, 1991.