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The effects of layoff announcements on common stock pricesThompson, Troy Creighton, 1963- January 1992 (has links)
This event study of the stock market analyzes the effect of layoff announcements on common stock prices. The analysis finds that, on average, stock prices have a negative reaction to layoff announcements. However, for the month following the announcement, stocks have positive abnormal returns in effect equalling the negative abnormal returns surrounding the event day. The study also addresses the question of whether the business cycle influences the reaction in the stock market to layoff announcements. The findings suggest that there is a business cycle influence. The layoff announcements are also categorized and analyzed by several other criteria. First announcements are found to carry much more negative information than additional announcements. Plant closing layoff announcements report a more negative reaction. Different industry types are found to react uniquely to the layoff announcement and the stated reason by management for the layoff has little influence on the stock market reaction.
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Essays on auto loan asset-backed securities| Moral hazard along the securitization chain, and the cross section of expected returnsLoeser, Richard C. 28 September 2016 (has links)
<p>Securitization is the practice of pooling the cashflows of a large number of financial assets and structuring them so as to create a much smaller number of tradable securities. The widespread adoption of securitization as a financing technique has been a major transformative force in the US and global financial systems in recent decades, creating new opportunities for funding and risk sharing. But securitization has also been viewed critically, due to its contributions to the expansion of subprime credit and to the interconnectedness between financial institutions, both of which played important roles for the Financial Crisis that started in 2007. In my thesis, I investigate issues of risk, pricing, and credit ratings of securitized debt in the United States before the Financial Crisis, using a dataset of US asset-backed securities (ABS) of car loans. Auto loans, together with credit card debt, are the most established collateral class for consumer credit securitization, with a volume of $115 billion outstanding at the end of 2015.
In the first chapter, I study how prices of auto loan ABS tranches behave over the lifetime of the bonds. Asset-pricing theory posits that expected returns are determined by securities' systematic risk, which can be measured as exposure to risk factors. I employ an interest rate factor as well as different auto loan ABS market factors to study the cross section of expected monthly returns over the period December 1994 to April 2007. In Fama-MacBeth regressions, I find that the interest rate factor is significantly related to expected returns, and in univariate portfolio sorts I find that it generates a risk premium of 5 basis points per month. Furthermore, an auto loan ABS market factor that uses excess returns of lower-rated tranches over AAA-rated ones to measure systematic risk is also priced, with risk premia of 4 to 5 basis points. Finally, I study robustness of the results to the inclusion of time to maturity and credit ratings as alternative measures of risk, and find that exposure to the market factor is robustly priced, while the role of the interest rate factor is taken up by the additional covariates.
In the second chapter, I study prime US auto loan ABS issued between 2002 and 2007, and investigate whether deals in which an investment bank securitizes loans acquired in whole-loan sales differ from deals where a lender securitizes collateral they have originated themselves. I argue that moral hazard issues arising from asymmetric information between agents involved in the securitization chain are stronger in deals of whole loans. In line with this view, I show that pool losses are larger in this case, controlling for observable risk characteristics, and conclude that moral hazard is operative in this market. Further, I find that rating agencies were able to recognize the greater risks of whole-loan deals and to adjust their assessments accordingly. Given ratings' important role in securitized debt markets, this implies that prices reflected incentive issues, thus mitigating possible negative effects on macroeconomic outcomes. Finally, I show that for lower-rated tranches, investors priced moral hazard beyond what is contained in ratings.
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On the nature of probability distributions of exchange rate changes and their relationships to fundamental economic variablesUnknown Date (has links)
This dissertation consists of two essays. The first essay tests the mixed jump diffusion, a mixture of normals, and an ARCH-type process for characterizing exchange rate changes. The parameters of these three models are estimated using maximum likelihood techniques and specification tests are applied to evaluate these models. The processes are evaluated over varying differencing intervals to determine the influence of time frames on the distributional form of exchange rate changes. Results indicate instability for fitted models of spot exchange rate price changes. The best fitting stochastic process changes as the sampled time period changes and as the length of the differencing interval is changed. In contrast to previous research, the mixed jump diffusion model is not supported by these results. Examination of the mixed jump diffusion probability density function reveals that the poor fit of this model is an artifact of the maximum likelihood process. / The second essay examines the relationships between distributions of exchange rates and fundamental variables. This essay develops two models that relates fundamental economic variables to explain either the ARCH effects, the jumps, or the mixture of normals. Data sets are developed that isolate the effect that the candidate process explains. Regression models are used to try to explain the jumps and the ARCH effects. Multiple discriminant analysis is used to examine the shift between normals. The regression results indicate that explanatory power increases by isolating the jumps. No improvement was found in the ARCH regressions. The application of discriminant analysis to explain the shift between normals is not very successful. Prior probabilities play an influential role in the discriminant analysis results. In most cases there are large differences in the prior probabilities. Given such predominance the error rate is minimized by assigning all the observations to the normal with the largest prior probability. Implications of results and improvements in methodology are discussed. / Source: Dissertation Abstracts International, Volume: 55-11, Section: A, page: 3593. / Major Professor: Elton Scott. / Thesis (Ph.D.)--The Florida State University, 1994.
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RISK AVERSION, INVESTMENT HORIZONS, AND HETEROGENEOUS INFORMATION: AN EXPERIMENTAL INVESTIGATION INTO THE VARIABILITY OF ASSET PRICESUnknown Date (has links)
The purpose of this study is to examine how three factors, risk aversion, investment horizon, and information structure affect the variability of asset prices within an increasingly uncertain market environment. The laboratory research methodology that is employed avoids the use of strong stationarity assumptions which have been made in recent empirical variability studies. In addition, the laboratory methodology provides greater control over the numerous nonindependent factors which impact upon actual market prices. / Previous economic laboratory research has forcefully suggested that asset prices within competitive markets are efficient in that they converge quickly to their theoretical values. In contrast, the present study finds that, at times, prices do deviate consistently from equilibrium market values. It is found that the greater the uncertainty of an asset's value, the greater the probability of these "price bubbles" occurring. In particular, two market experiments utilize cyclical probabilistic payoffs within successive single period markets in testing for the effect of heterogeneous information and risk aversion. Two additional market experiments involving successive two-period probabilistic payoff returns test for the effects of reduced investment horizon and risk aversion. It is found that (1) the less risk averse an investor, the quicker he is to react to new information, and (2) a reduction in investment horizon leads some investors to concentrate on capital gains more than dividend income. Both of these factors can, depending upon the institutional framework, lead to the formation of "price bubbles" and increased asset price variability. / Source: Dissertation Abstracts International, Volume: 45-06, Section: A, page: 1828. / Thesis (D.B.A.)--The Florida State University, 1984.
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MONETARY THEORY OF THE BALANCE OF PAYMENTS: AN EMPIRICAL STUDY OF THREE DEBTOR COUNTRIES, ARGENTINA, VENEZUELA AND YUGOSLAVIAUnknown Date (has links)
Monetary theory of the balance of payments and its application to the three countries of my study concentrates on the general equilibrium approach, in which capital movements are not exogenously determined. / Under a fixed exchange rate system, the excess supply of and demand for money would result in changes in international reserves. On the other hand, under flexible exchange rate, an excess supply of money would induce an exchange depreciation rather than a loss in foreign reserves; an excess demand would result in appreciation. / The new monetary approach to the balance of payments consists of three segments: a theory of the demand for money, a money supply process, and finally, an outcome which is the reduced-form reserve-flow equation when the money market is at equilibrium. / In Chapters IV, V and VI, I have applied my model to three different countries: Argentina, Venezuela, and Yugoslavia. The statistical results of the reduced-form reserve-flow equations in these countries are consistent with the monetary approach propositions. / To investigate the relationship between the government's debt and other economic variables in my model, I have assumed that domestic credit is determined endogenously and is under the control of the monetary authorities. I have then postulated the change in domestic credit over time as the difference between fiscal revenue and government debt from the government expenditure in each country. After substituting this relationship into the reduced-form reserve-flow equation, I have derived the government debt equation. / The most important policy variable is the growth rate of the United States' interest rates. There is always a positive relationship between this variable and the government debt in each country. A reduction in United States' interest rates will help to reduce the government debt in Argentina, Venezuela and Yugoslavia and therefore help the international monetary system. / Source: Dissertation Abstracts International, Volume: 45-08, Section: A, page: 2610. / Thesis (Ph.D.)--The Florida State University, 1984.
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ACCOUNTS RECEIVABLE MANAGEMENT: THE DEVELOPMENT OF A GENERAL TRADE-CREDIT-LIMIT ALGORITHMUnknown Date (has links)
The purpose of this study is to construct a general credit-limit algorithm that is consistent with the firm's goal of wealth maximization under funds constraints. Specifically, the net present value (NPV) technique is employed to build a foundation for the model because its acceptability is well established in capital budgeting theory. While it is not a novel approach in receivables management, it is rarely used to specify credit-limits. Yet, the application of NPV in the derivation of a credit-limit algorithm is conducive to satisfying the requisite that credit-limit decisions and accept/reject decisions are concurrent credit-granting considerations. Moreover, by incorporating mathematical programming procedures, funds limitations can be considered to ensure the resources of the firm are not incorrectly invested in receivables "loans". Therefore, it is a fundamental contention that the credit-granting decision must be approached not only on the basis of individual accounts, but also from the standpoint of receivables in aggregate. / To operationalize the credit-limit model, a default-probability model is developed. The "minimum chi-square rule" is employed because it assures the quality of minimizing misclassifications. Further, this procedure is consistent with the three characteristics which are important to the derivation of a practicable credit-limit algorithm; namely, (1) theoretical consistency, for interpretive rationale, (2) parsimony, for ease of understanding, and (3) practicability, for the possibility of future application. / An integral part of the dissertation is a survey of current credit-limit practices, which provides an update to existing literature. The general findings suggest that credit-limits represent a device utilized by lending firms to control exposure to the risks associated with extending credit. But the actual techniques used to establish the limits are quite subjective. This implies the more theoretically sound and sophisticated methods proposed in the academic literature are not employed in the real world. / Source: Dissertation Abstracts International, Volume: 45-09, Section: A, page: 2948. / Thesis (D.B.A.)--The Florida State University, 1984.
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Empirical tests of the marginal value of voting rights in contests for corporate controlUnknown Date (has links)
This dissertation, consisting of four chapters, is in the area of corporate governance and derivative securities. Chapter 1 introduces the subject and format. Chapters two and three are theoretical and empirical essays. Chapter 4 contains conclusions. / The dissertation's theoretical development is to examine the difference in the value of a synthetic stock (composed of puts, calls, and risk-free bonds) with that of a real stock and develop the hypothesis that the difference is the value of a share of common stock's voting rights. / The second chapter conducts time-series tests of voting rights value changes around votes on anti-takeover amendments, for the period 1986-1989. The results provide no support for the argument that voting rights increase in value during anti-takeover amendments and some support for the proposition that voting rights value decreases during the period. There is marginal support for the proposition that voting rights value will increase as the risk of early exercise of call options decreases. / The third chapter conducts time-series and cross-sectional tests of voting rights value in all proxy contests for control or representation from 1982 to 1990. The evidence generally supports propositions that marginal voting rights value increases during this type of proxy contest. Further evidence suggests that voting rights value increases as; (1) the likelihood of early exercise of options in the synthetic stock decreases, and (2) the length of time to option expiration increases. Tests to decide the corporate, contest, and stakeholder attributes that influence marginal vote values are inconclusive. / Source: Dissertation Abstracts International, Volume: 54-09, Section: A, page: 3541. / Major Professor: James S. Ang. / Thesis (Ph.D.)--The Florida State University, 1993.
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THE VALUATION OF CURRENCY OPTIONS UNDER THE ASSUMPTIONS OF VARIANCE STATIONARITY AND NON-STATIONARITYUnknown Date (has links)
This dissertation empirically tests two valuation models for call currency options: (1) an extant adaptation of the Black-Scholes-Merton option pricing model applicable to underlying securities with price relatives described by geometric Brownian motion such that return variance is time invariant, and (2) an adaptation (developed herein) of the Cox-Ross/Emanuel-MacBeth option pricing model applicable to underlying securities with price relatives described by a constant elasticity of variance diffusion process such that return variance is time variant. Tests are conducted on an ex-ante basis to determine which model more accurately predicts observed currency option prices. Transactions data supplied by the Philadelphia Stock Exchange are utilized in these tests. / This dissertation consists of two essays. The first essay investigates the diffusion process characterizing daily exchange rate changes and demonstrates that currency return variances depend on exchange rate levels and that the dependency is intertemporally unstable. This finding suggests that the usefulness of the two candidate models is an empirical issue. The second essay investigates the relative pricing performance of the two models and demonstrates that the more general CEV model does not improve pricing accuracy for predictive intervals as short as five trading days. Intertemporal instability of the elasticity coefficients relating currency return variances and exchange rate levels could account for these pricing results. Essentially, return variances are, at best, only partially predicted by a constant elasticity of variance diffusion process. Hence, the development of a more accurate currency option valuation model appears to necessitate the use of a more general and complex diffusion process of the non-stationary Ito type. / Source: Dissertation Abstracts International, Volume: 47-07, Section: A, page: 2686. / Thesis (Ph.D.)--The Florida State University, 1986.
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A METHODOLOGICAL COMPARISON OF THE SHORT-TERM AND LONG-TERM IMPACT OF MERGERS ON THE ACQUIRING FIRMUnknown Date (has links)
The major problem examined is the return to the acquiring firm that results from merger activity. The design holds the time period and sample constant in order to focus on the measurement of returns using three different models. They are the Larson-Gonedes exchange ratio model (LGERM), the simple market model (SMM), and the mean adjusted return model (MARM). / The sample contains 91 mergers occurring from 1960 to 1979, and paid for by exchange of common stock. Returns are measured at five points in the merger process. / Five null hypotheses are used as benchmarks of performance. The first hypothesis states there is no difference in return to the acquiring firm when measured by three different models. A correlation of the returns indicate that the LGERM, which produces positive abnormal returns, is not correlated with the SMM and the MARM, which produce negative abnormal returns. The SMM and the MARM are correlated and have similar results for the noncumulative data. For the cumulative data, they are correlated in the short-term, but have lower correlations in the long-term. It is concluded that there is a difference in return results by model. / The second hypothesis states there is no difference when short-term and long-term returns are compared. The statistical analysis reveals no significant difference, although the short-term return underestimates the actual return in the long-term. / The third hypothesis states there is no difference when the sample is disaggregated by type of merger as defined by the FTC. There is a significant difference between nonconglomerates and the conglomerates and individual types of merger. / The fourth hypothesis states there is no difference based on data from two different decades. It is concluded that there is a difference between 1960s and 1970s mergers, but it is not a significant difference. / The fifth hypothesis states there is no difference when firms that frequently merge are compared to those that infrequently merge. All three models show no significant difference by frequency of merger. / Source: Dissertation Abstracts International, Volume: 47-01, Section: A, page: 0263. / Thesis (Ph.D.)--The Florida State University, 1985.
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RESTRICTED VOTING STOCK AND CORPORATE CONTROL (INSIDER SHAREHOLDINGS, UNITED KINGDOM)Unknown Date (has links)
This dissertation examines the valuation and financial histories of a sample of 152 British firms which had differential voting right/multiple ordinary share (DVR/MOS) classes outstanding at some time during the period 1955-1982. On average, the superior voting rights shares (SVS) had market prices which were 13.3% higher than the otherwise equivalent class of restricted voting rights shares (RVS). The mean "voting rights premium" (VRP) for a subsample of these firms which also had voting preferred stock outstanding was 23.0%, while the mean VRP for a subsample of nine companies which were subsidiaries of other firms was 6.0%. / 43 of the sample companies were acquired while they had multiple share classes outstanding and a higher price was paid for the SVS class than for the RVS class in 37 cases. This evidence, combined with results obtained from regression analyses, supports the conclusion that this "tender offer premium" is the fundamental cause of the ongoing voting rights premium. / This dissertation also examines the rationale for and wealth effects of RVS issuance and, often, subsequent retirement. In 136 of 142 cases which could be fully documented, RVS were created through noncash issues and the average size of these issues relative to the existing ordinary share class was amost 80%. Furthermore, there were negative excess returns of -7.8% in the month of RVS issue and, in 49 cases, sample firms voluntarily chose to fully enfranchise (retire) the RVS. This evidence is consistent with the idea that the issuance of RVS creates needless deadweight agency costs. / Other evidence, however, supports the idea that a DVR/MOS capital structure can be a socially optimal form of equity organization. There are significant positive excess returns of 4.81% in the month of announcement of a plan to issue RVS, and negative excess returns in the year following retirement. Corporate insiders are also major shareholders who own an average of 31.4% of the SVS and 10.1% of the RVS of the sample firms. / Source: Dissertation Abstracts International, Volume: 47-12, Section: A, page: 4467. / Thesis (Ph.D.)--The Florida State University, 1986.
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