Business

Publication Search Results

Now showing 1 - 10 of 28
  • (2012) Huang, Xuxing
    Thesis
    This study evaluates the short-term valuation impact of U.S. class action lawsuits by focusing on both sued and non-sued foreign companies listed in the United States. Using a comprehensive database that includes stock- and company-level information in both the U.S. and local home markets, I examine how private U.S. securities litigations affect the market value of both sued foreign companies and peer foreign firms not accused of wrongdoing. I find that during the event period surrounding the lawsuit-filing date, there is a significant negative stock price reaction for the sued foreign companies. Moreover, investors also tend to react negatively towards non-sued foreign issuers during this period. The logistic regression results also suggest that the determinants of lawsuit propensity are similar for foreign firms cross-listed in the U.S. and U.S. domestic companies. Finally, certain firm-, lawsuit-, and country-level characteristics can explain the degree of stock market reactions. The overall results provide evidence that private class action lawsuits in the U.S. have economically significant impact on cross-listed foreign issuers, thus playing an important role in overseeing and disciplining foreign companies.

  • (2014) Zhang, Xueting
    Thesis
    Using a sample combining various datasets over the period 2000 to 2012, this paper examines the relationship between media coverage and payout policy in US public firms. I find that media coverage is negatively associated with a firm’s likelihood of paying dividends and positively associated with the decisions to cut and omit dividends. Firms with high media coverage also have a lower level of dividend smoothing. These findings are based on a relatively representative sample and persist after accounting for contemporaneous repurchasing activities, different combinations of firm characteristic control variables, and industry, time and firm fixed effects. Moreover, I also find that investors react less negatively to the dividend cut announcements of high coverage firms. Overall, my results suggest that, as higher media coverage attracts more potential investors to a stock, managers become less conservative regarding dividend policy.

  • (2015) Singh, Mandeep
    Thesis
    Classical consumption-based asset pricing models typically imply the existence of only one common factor in household consumption growth |aggregate consumption growth. This study examines whether there are multiple common factors in household consumption growth using a novel dataset and methodology. We find that i) there is a significant cross-sectional variation in household consumption growth, and ii) the cross-sectional variation is partially explained by exposure to multiple common factors orthogonal to aggregate consumption growth. Further, household exposure to the most pervasive common factor after aggregate consumption growth is related to the amount of human capital such as labor income, education and age, and their ability to hedge idiosyncratic shocks using borrowing collateral such as the housing wealth and liquid investments. This suggests that the source of additional common factors in consumption is related to an incomplete market for consumption insurance of households.

  • (2016) Li, Jiaming
    Thesis
    Employing a sample of 17,534 firm year observations across 31 provinces over 2000-2013 in mainland China, this thesis examines the role of China’s political tournaments in corporate decision making. We first document that investment rate is systematically higher before national tournaments, controlling for investment opportunities and economic conditions. Specifically, we show an average increase of 7.0% investment rates two years before national tournaments. We further examine the tournament effects on tax decisions and show that firms on average pay 4.1% more taxes in the year leading up to national tournaments. Using a sample of firms dual-listed in both mainland and Hong Kong exchange, we show that the Chinese government is likely to intervene into the market around national tournaments. Finally, we introduce additional firm aspects including employment, wage, cash holding, debt, stock return, and stock volatility in order to investigate how these variables are influenced simultaneously. We show that the results for investment and tax are consistent with our findings. In addition, we also find that firms tend to raise debts to fund the extra investments. The market reacts negatively as these investments serve politicians at the costs of shareholders. We also discover a temporary growth in employment and wage before national tournaments. Further, evidence shows that China’s national tournaments are not likely to raise political concerns. Our finding is consistent with political leaders influencing firms’ decisions to win political tournaments.

  • (2017) Wang, Alan
    Thesis
    Numerous papers have presented evidence of mutual fund families engaging in self-interested behaviour, regardless of or contrary to the interests of its investors. Such findings have provoked industry backlash. Given the significance of the mutual fund industry in managing wealth (approx. US$31 trillion of assets under management as at December 2014), governance and agency issues are highly consequential. We contribute to this debate in two ways. First, we adopt a novel approach to identifying potential intra-family cross-subsidisation by examining its potential effects on the aggregate distribution of fund returns. After presenting our argument that mutual fund families are incentivized to concentrate cross-subsidies to constituent funds with high year-to-date returns in the fourth quarter, we test predictions arising from this hypothesis. In our linear regressions, the dependent variable are the difference in trailing-twelve-month returns of (1) the 1st and 2nd-ranked fund in each style by trailing-twelve-month returns, and (2) the 1st and 2nd-ranked funds by returns during first nine months of each twelve-month period. In our logistic regression, our dependent variable indicates whether the top-ranked fund by year-to-date returns within a style stays topranked at the end of the subsequent quarter. Second, we study whether fund families utilize internal trades to cross-subsidize their “high-value” member funds (i.e., outperforming or high-fee funds). Specifically, we apply Gaspar, Massa and Matos' (2006) empirical analysis with an updated dataset and a modified methodology, and test whether “opposite trade” between a high-value fund and a low-value fund increase the difference in net-of-style returns of two funds. In particular, we introduce a new "opposite trade" measure that varies linearly with the difference in the paired funds’ returns and, thus, fits our linear regression analysis well. In our first set of tests, we do not find evidence of cross-subsidisation in the aggregate distribution of fund returns. In the second set of tests, we use a modified version of Gaspar, Massa and Matos’ (2006) methodology, and again fail to find evidence of familial cross-subsidization. However, we find evidence of an alternative response to tournament opportunities: a modification of the risk level, conditional on year-to-date investment performance, consistent with Kempf, Ruenzi and Thiele (2009).

  • (2018) Li, Huaizhou
    Thesis
    When risk premia are estimated using the standard asset pricing approach of two-pass regressions with the omission of factors, inference of these risk premia can be wrong. In this study, we apply a three-pass methodology developed by Giglio and Xiu (2017) to estimate the risk premia attached two common factors, dollar and carry factors, in the currency market. We find that the omission of factors affects the magnitude of risk premia for these two factors constructed from the currency portfolios. Carry factor is able to explain most of the cross-sectional variation of excess returns at the portfolio level but not in the individual currency level.

  • (2017) Lindsay, Michael
    Thesis
    This study considers factors linked to household preference for fixed rate mortgages (FRMs) or adjustable rate mortgages (ARMs). It does so examining mortgage choice in Australia, a market where price differences between FRMs and ARMs are relatively muted compared to the United States, enabling a greater role for household characteristics in mortgage choice. Unlike much of the existing literature, which identifies price as the dominant factor, it finds household characteristics matter, mostly by influencing household ability to manage the interest expense risk of an ARM. A household’s level of buffer-stock savings is found relevant for mortgage choice, affirming the view it has a major influence on household ability to manage the interest expense risk of an ARM. Also relevant is whether a household has spare cash for savings or investment. Both are positively linked with the probability of a household choosing an ARM. Households with less capacity to manage the interest expense risk of an ARM are found to be more likely to choose a FRM. This study tests the relevance of home equity for mortgage choice, finding it less important, despite high expectations and robust rationale for it to be among the key factors for mortgage choice. Tests on different submarkets reveal differences in approaches to mortgage choice. Significant factors mostly act in the anticipated manner. When this is not the case this may be interpreted as evidence of greater likelihood of making an investment mistake.

  • (2017) Pradier, Lionnel
    Thesis
    Following recent empirical evidence of volatility “after-effects” in the laboratory, we investigate whether investors’ perception of volatility is biased after prolonged exposure to extreme level of volatility. Using VIX as a measure of perceived volatility and daily realised volatility as a measure of actual volatility, we find strong after-effects in the perception of volatility. The effect is stronger, the larger and longer the volatility regime. These results are consistent with both the after-effect theory and the laboratory experiment. Furthermore, we find that the effect is asymmetric due to the absence of sufficiently low volatility regimes in the field. Taken together, these results suggest that investors are subject to perceptual biases that have a significant impact on traded volatility.

  • (2018) Kong, Jing
    Thesis
    Labor contract is often used as a risk-sharing mechanism between firms and employees. From acquirer’s perspective, cost saving is both a driver of making deals and a major source of deal synergies. From target’s perspectives, implicit labor contracts require firms to maintain their risk-taking levels otherwise they need to compensate employees more. Takeovers are often followed by layoffs of workers. Therefore, it is possible that whether to accept takeover offer will be included in the implicit agreement. However, little is known about how potential unemployment benefits to laid-off workers affect a firm’s likelihood of being acquired and the synergy of the deal. We exploit changes in state unemployment insurance laws as a source of variation in labor unemployment benefits. From target firms’ perspective, we find that higher unemployment benefits increase the likelihood of firms being acquired, particular for labor intensive firms, firms with high unionization rate, and firms with higher spending on corporate social responsibility. Moreover, we find that labor unemployment benefits affect the synergy of the M&A deals, both the bidder’s announcement returns and the combined bidder and target firm’s announcement returns are higher when the target firm’s state unemployment benefits are higher. Our findings suggest that labor unemployment benefits have a significant impact on takeover outcomes and state unemployment insurance laws have an unintended consequence on takeovers.

  • (2015) Han, Jingyi
    Thesis
    Two critical factors that determine the effect of financial advisors on client portfolio performance are advisor fee structure and the type of advice provided. We find that financial advisors incentivised to provide on-going advice (by a higher, fixed percentage asset-under-advice fee) have clients with higher risk-adjusted returns, more portfolio diversification, more portfolio updates and lower fund fees, after controlling for client sophistication and fixed time effects. Higher fee-paying clients do not exhibit higher equity allocation in their portfolio. These full sample results also hold in the difference-in-difference setting. While the additional risk adjusted returns associated with on-going advice only cover part of the advice fee (hence suggesting that the service may be overpriced) we provide new evidence that advisors with the right incentive can improve client portfolio return performance and lower fund fees.