I examine two different types of market data. First, I examine how distress risk is priced. Previous literature finds mixed results when examining if distress risk is priced in the cross section of returns, depending on whether firm specific or market-wide distress risk proxies are used. We use factor mimicking portfolios to create systematic distress risk factors from idiosyncratic variables. We find that distress risk is priced in the cross section of returns when considered as a systematic risk. We then use a Daniel and Titman (1997) style test to determine if positive returns associated with the loadings on the distress factors are best represented as systematic risk factors or shared characteristics but do not find consistent evidence in support of either theory. Second, I examine how goodwill impairment write-offs are priced. Prior studies find a negative stock price reaction after goodwill impairment write-offs both in the short term and in the long term. In 2002 the FASB rules for accounting for goodwill changed. We examine data from after the rule changes and find that investors continue to perceive goodwill write-offs as negative events in the short term, but contrary to previous studies, we find that investors perceive goodwill write-offs as positive news in the long term. We find that the overall firm performance improves significantly post event. However, firm operating performance only slightly improves after the write-off. The overall firm performance improvements are due to decreased non-recurring charges in the years subsequent to the write-off. / A Dissertation submitted to the Department of Finance in partial fulfillment of the Doctor of Philosophy. / Spring Semester, 2015. / March 19, 2015. / asset pricing, distress risk, goodwill, impairments, investments, stock prices / Includes bibliographical references. / David Peterson, Professor Directing Dissertation; Thomas Zuehlke, University Representative; Irena Hutton, Committee Member; Don Autore, Committee Member.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_253034 |
| Contributors | Sherrill, Karen Elizabeth (authoraut), Peterson, David R. (David Robert) (professor directing dissertation), Zuehlke, Thomas W. (Thomas William) (university representative), Hutton, Irena (committee member), Autore, Donald M. (committee member), Florida State University (degree granting institution), College of Business (degree granting college), Department of Finance (degree granting department) |
| Publisher | Florida State University, Florida State University |
| Source Sets | Florida State University |
| Language | English, English |
| Detected Language | English |
| Type | Text, text |
| Format | 1 online resource (141 pages), computer, application/pdf |
| Rights | This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s). The copyright in theses and dissertations completed at Florida State University is held by the students who author them. |
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