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This dissertation examines the wealth effects of bank mergers on bidder, target, and combined firm shareholders for a sample of 785 mergers during the period 1980-2000. The dissertation employs two unique bank event study methodologies to calculate abnormal returns for bidder, target and combined firms. The first methodology is a modified market model that controls for shocks common to the banking industry. The second is an EGARCH (1,1) model that adjusts for the violated regression assumptions of the traditional market model event study. Namely, it controls for the linearity assumption, heteroskedasticity, and the correlation in the error term. The results of both methodologies reveal that target shareholders enjoy significantly positive abnormal returns, whereas the bidder shareholders experience significantly negative abnormal returns. Overall, announcements of bank mergers generate positive wealth effects for the combined shareholders. However, the evidence presented in this dissertation, to some extent, underscores the importance of the choice of models describing stock returns in examining the impact of bank mergers. In addition, when mergers are analyzed to determine the effects of relative size and relative book-to-market values, we find evidence that the relative size significantly affects the target, bidder and combined firm return; method of payment is also found to be significant in abnormal returns. Moreover, we find that the number of bidders affects only the bidder returns, while book-tomarket values are irrelevant factors. Availability Restricted: Release the entire work for campu

The current research was undertaken to determine the long run performance of Initial Public Offerings (IPOs) listed on the Johannesburg Stock Exchange (JSE) in South Africa. The three year abnormal returns were assessed for IPOs listed between 1995 and 2006 comprising a sample of 229. Using the Buy and Hold Abnormal Return (BHAR) and Cumulative Abnormal Return (CAR) methods, it was found that the IPOs underperformed the market by 50% and 47% for BHAR and CAR respectively. The JSE All Share Index was used as a benchmark. The research also investigated the effect of firm size on IPO performance. The relationship between IPO activity and performance was analysed as well as the performance of IPOs from different sectors. Gross proceeds of the offers were used as a proxy for firm size and it was shown that by splitting the sample into different size groups, there were significant differences between the returns from these groups. There was no relationship found between IPO activity and performance using a linear regression. Using an Analysis of Variance (ANOVA) it was determined that there were significant differences between the performance of IPOs in the different sectors of technology, industrials, financials and mining. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

When a privately-held firm goes public through an IPO ¡]initial public offering¡^, the ownership structure of the IPO firm would change due to external equity financing. The ownership structure is related to the firm performance with respect to the corporate finance theory. Therefore, we agree that the relationship between the ownership structure and IPO long-run performance is worth examining. With respect to the corporate control and agency theory, we investigate the effect of the increase of insider ownership on the performance of IPO firms. We show that the increase of board ownership deteriorates the long-run performance of IPO firms. However, the increase of the institutional ownership improves IPO long-run performance. Basically, the agency theory implies that there exists positive relations between the insider ownership and performance and between the institutional ownership and performance. However, the corporate control theory agrees that the higher the insider ownership, the poorer the performance of the firms. Therefore, our results show that the institutional ownership can mitigate the agency problem while the role of corporate control subsumes the agency problem with respect to the insider ownership.

ABSTRACT Prior relative studies document that the mean initial returns of IPOs is significantly positive. Yet, several researches find that the positive abnormal returns appear to be a short-run phenomenon, and the long-run performance of IPOs is poor even negative. Based on a sample of 151 Taiwan IPO firms issued form 1991 to 1996, this study employ the Fama-French three factors model to measure the expected returns of securities. Consistent with predictions, the empirical results show positive short-run returns and a negative long run returns. Meanwhile, there is a negative relationship between institutional ownership and the holding period abnormal returns aftermarket. The conclusion is consistent with the concerns of long-term profitability of institutional investors, as they used to buy low for the benefits of long-term profits. This study also examines the influential factors of institutional ownership. The findings indicate that both firm size and insiders are significantly positive related to institutional ownership. However, neither managerial ownership nor debt is related to institutional ownership. On the other hand, there is significantly negative relationship between stock dividend and institutional ownership, except the second year. At the initial and the first month, cash dividend is negative related to institutional ownership, and industry dummy variable (electronic industry or not) is positive related to institutional ownership. Besides, there is no relationship between cash dividend and institutional ownership, nor was there any relationship between industry dummy variable and institutional ownership. According to the findings, most institutional investors want to maintain the diversification and long-term profits of the portfolio investment.

Abstract By using Tobit model to remove price limit regulation from the limited price data, this study analyzes the IPO aftermarket¡¦s rationality using a sample of 362 stocks which conducted IPO between 1991 and 1998 in Taiwan stock markets. Two market efficiency hypotheses were examined: the efficient markets hypothesis (EMH) and the hypothesis of efficiently learning market (ELM). The later relaxed EMH by letting prior beliefs to be unspecified. Risk was valued by market portfolio return, market model, and an alteration of Fama-French three-factor model. Tobit model is used to remove price limits in case of limit-move day. In addition to examining the hypotheses of market efficiency, this study also explores cross-section and time-series return patterns. We are interested in the effect of competitive bidding on market efficiency, the role of SEO on IPOs long-run performance, the implication of heavy issuance return pattern, and momentum and mean reversion. The results show that our IPO sample does learn rationally from information in the sense of ELM in conjunction with market model or thee-factor model. The cross-section and time-series results indicate that market is not ¡¥overreaction¡¦ or ¡¥fad¡¦, but learning sequentially and cautiously. Thus, the IPOs long-run anomalies disappear in our sample if model is properly defined.

This thesis is concerned with the econometric modelling of gasoline prices in US. The intention is to characterize the market process in this crucial and significant industry. Overall we have been seeking to identify a mechanism to signal and measure market failure and consequently improve market performance. Firstly we examine the time series properties of gasoline prices using the criteria for perfect arbitrage to test market efficiency from the stationarity of price proportions. This is done by considering market efficiency across in different regions of the US, by applying a range of different stationary tests. In this analysis we collected a comprehensive data set of gasoline prices for all regions of the US mainland for the longest period available. Forni (2004), outlined reasons why the analysis of price proportions may be advantageous; especially when the sample is limited. Stationarity corresponds to a broad market, it is found here that the US gasoline market is on average broad. Except for the Gulf Coast and Lower Atlantic, which may be seen as economically and/or geographically separated, market structure in the rest of the US would not appear to be a problem Next we investigate possible long-run price leadership in the US gasoline market and the inter-relatedness of price behaviour relevant to a competitive market. Following Hunter & Burke (2007) and Kurita (2008) market definition is tested. This is done on an extended regional data set to Kurita and following the analysis in Hunter and Burke on a set of company data for the US.We analysed long-run price leadership through the cointegrated vector auto-regression (VAR) to identify key characteristics of long-run structure in the gasoline market. The analysis of the system of regional prices confirms problems with the Gulf Coast and Lower Atlantic, but also based on the finding that the cointegrating rank is less than N-1 using both types of data ( regional price data and company price data) and the findings on weak exogenity it is suggested that competition across the whole of the US is further limited. We applied further tests to company data on prices and quantity data to investigate further the need to regulate for potential anomalies and to capture more directly consumer harm. The variance screening method applied to recent weekly data indicates that there is too little variation in gasoline prices and this would seem to support the cointegration study. Furthermore we applied a dynamic disequilibrium analysis to attempt to identify long-run demand and supply in the gasoline market. Finding significant variables using the Phillips-Hansen fully modified estimation of the switching regression is necessary to distinguish two long-run equations (S&D). Moreover a comparison is made with a Markov Switching Model (MSM) of prices and this suggests a similar pattern of regime to the quantity information analysed in by our disequilibrium model.

This thesis covers a broad range of topics in the general area of economic growth theory and economics of technological change. It is primarily about the ultimate sources of growth and its ultimate limitations. We scrutinize the implications of several specifications of long-run growth "engines" which can be found across the theoretical literature and put forward their generalizations and extensions. At the highest level of generality, we provide a formal proof that balanced (i.e. exponential) growth requires knife-edge assumptions which cannot be satisfied by typical values of model parameters. This result implies that at least one such knife-edge assumption must be made if a given model is supposed to deliver balanced growth over the long run. Next, we deal with the issue of resource-based limits to long-run growth. We propose to promote technological progress which would improve the substitutability between non-renewable and renewable resources: if the elasticity of substitution between the two kinds of resources exceeds unity, production will not fall down to zero even after the non-renewable resources will have been completely depleted. Factor-augmenting technological progress can also be helpful, but its effects are much less pronounced and it must go on forever in order to assure sustainable production. Another question asked is whether it is plausible that R&D-based growth, fueled by steady increases in the world’s population, can be extended into indefinite time. We answer this question by introducing endogenous fertility choice, with population entering the utility functional multiplicatively, into an R&D-based semi-endogenous growth model. The next issue addressed here are the idea-based microfoundations of aggregate production functions. We discuss the correspondence between the shape of production functions, the direction of technical change, and the possibility of sustained endogenous growth. A broad class of production functions, nesting both the Cobb-Douglas and the CES function, is derived. Finally, we discuss the impact of the heterogeneity of innovations on long-run economic dynamics: we extend the semi-endogenous growth model with a distinction between radical and incremental innovations. Total R&D output is assumed to depend on technological opportunity which is depleted by incremental innovations but renewed by radical innovations. The dynamic interplay of the arrivals of the two types of innovations is shown to give rise to oscillations along the transition to the economy’s balanced growth path.