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THE FINANCIAL DETERMINANTS OF COLLEGE FOOTBALL
Title
THE FINANCIAL DETERMINANTS OF COLLEGE FOOTBALL.
Creator
Adams, Mitchell, Schnitzlein, Charles, University of Central Florida
Abstract / Description
There is a certain tradition, pageantry, rivalry, and glory in college football. It is well known that college football can be a big time money maker and sometimes covers the costs of other athletic teams within a school. However, it is also recognized that many college football programs lose money or struggle to break even. Thus, there is tremendous variability that exists in the amount of resources a school may have and the outcomes in athletic success, while there is not always a one to...
Show moreThere is a certain tradition, pageantry, rivalry, and glory in college football. It is well known that college football can be a big time money maker and sometimes covers the costs of other athletic teams within a school. However, it is also recognized that many college football programs lose money or struggle to break even. Thus, there is tremendous variability that exists in the amount of resources a school may have and the outcomes in athletic success, while there is not always a one to one correspondence between the two. The purpose of this study is to examine and analyze the quantifiable determinants of success, considering both financial and non-financial variables. The pressure to win, and do so immediately; brand; and outdo other schools in the facility "arm's race" has reached unprecedented levels.
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Date Issued
2013
Identifier
CFH0004524, ucf:45217
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFH0004524
SECURITY DESIGN THAT ADDRESSES AGENCY CONFLICTS AND INFORMATION ASYMMETRY
Title
SECURITY DESIGN THAT ADDRESSES AGENCY CONFLICTS AND INFORMATION ASYMMETRY.
Creator
Tewari, Manish, Schnitzlein, Charles, University of Central Florida
Abstract / Description
This study focuses on the role of structured derivative securities to meet diverse corporate financing objectives in the light of agency theory and asymmetric information. The focus is on the nonconvertible callable-puttable fixed-coupon bonds. The primary objective is to discern the marginal role of the put and put-deferred features in addressing the agency issues and asymmetric information. A sample of (159) securities issued over the period (1977-2005) are examined using Merton's (1974...
Show moreThis study focuses on the role of structured derivative securities to meet diverse corporate financing objectives in the light of agency theory and asymmetric information. The focus is on the nonconvertible callable-puttable fixed-coupon bonds. The primary objective is to discern the marginal role of the put and put-deferred features in addressing the agency issues and asymmetric information. A sample of (159) securities issued over the period (1977-2005) are examined using Merton's (1974) structural contingent claims valuation model. The put option as well as the deferred put option incorporated in these securities is found to mitigate the asset substitution issue. It is also found that these contract features provide considerable insurance against the asymmetric information about the firm's downside risk. Specifically, the effects of asset substitution are mitigated because the put option reduces sensitivity of the security's value to the changes in the firm's volatility. Prior to this study, this effect was believed to be driven primarily by the conversion feature in the convertible bonds and the preferred stocks. In addition, the long-term performance of the underlying common stock indicates systematic negative performance for the protracted periods both prior and subsequent to the issuance, yet it is found that this decline in the equity value has only a limited negative impact on the security.
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Date Issued
2008
Identifier
CFE0002424, ucf:47756
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0002424
TWO ESSAYS ON BIDDING IN MULTI-UNIT COMMON VALUE AUCTIONS
Title
TWO ESSAYS ON BIDDING IN MULTI-UNIT COMMON VALUE AUCTIONS.
Creator
Shao, Minjie, Schnitzlein, Charles, University of Central Florida
Abstract / Description
This dissertation consists of two essays on the topic of bidding in multi-unit common value auction. Essay one examines the role of capacity constraint on the auction results and bidding behavior. We consider a general case where bidders are unconstrained, and a second setting where bidders are capacity constrained. We document downward sloping demand curves for individual bidders. Bidders shade their bids by submitting quantity-price pairs and spreading their bids. The winner's curse is...
Show moreThis dissertation consists of two essays on the topic of bidding in multi-unit common value auction. Essay one examines the role of capacity constraint on the auction results and bidding behavior. We consider a general case where bidders are unconstrained, and a second setting where bidders are capacity constrained. We document downward sloping demand curves for individual bidders. Bidders shade their bids by submitting quantity-price pairs and spreading their bids. The winner's curse is strong in the unconstrained treatment, but we find no evidence of the winner's curse when bidding constraints are imposed. Unconstrained bidders shade bids significantly more and their quantity-weighted prices are much lower than those in the constrained treatment. Interacting with the information structure, the capacity constraint has a significant impact on the auction results including the market clearing price, market efficiency, and the degree of market concentration. We provide evidence that efficient price discovery in multi-unit auctions with diverse information is possible, but careful attention to auction design will make this outcome more likely. Essay two examines how the introduction of a noncompetitive bidding option affects outcomes in a multi-unit uniform-price auction. The experimental design incorporates many of the characteristics of the markets that pertain to the issuance of new equity securities. Important features of the bidding environment include endogenous bidder entry, costly information acquisition, bidders that differ by capacity constraint, and substantial uncertainty with respect to the intrinsic value. We use a standard uniform-price auction as our baseline setting where only competitive bids are accepted. Our results show that introducing the noncompetitive bidding option improves auction performance by increasing revenue and reducing price error. Underpricing is found in both treatments, but is less severe in the presence of the noncompetitive bidding option. The incorporation of this option significantly increases both the small bidder participation rate and allocation, and reduces the incentive for small bidders to free ride by submitting extremely high bids. Under both treatments, information acquisition increases large bidders' profits but proves unprofitable for small bidders, and pricing accuracy is increasing in the rate of information acquisition.
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Date Issued
2010
Identifier
CFE0003234, ucf:48526
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0003234
Real Estate Investment Trust Performance, Efficiency and Internationalization
Title
Real Estate Investment Trust Performance, Efficiency and Internationalization.
Creator
Harris, Joshua, Anderson, Randy, Schnitzlein, Charles, Turnbull, Geoffrey, Rottke, Nico, University of Central Florida
Abstract / Description
Real Estate Investment Trusts (REITs) are firms that own and manage income producing commercial real estate for the benefit of their shareholders. The three studies in this dissertation explore topics relating to best practices of REIT management and portfolio composition. Managers and investors can use the findings herein to aide in analyzing a REIT's performance and determining optimal investment policies. Utilizing REIT from SNL Real Estate and CRSP, the first two studies examine the role...
Show moreReal Estate Investment Trusts (REITs) are firms that own and manage income producing commercial real estate for the benefit of their shareholders. The three studies in this dissertation explore topics relating to best practices of REIT management and portfolio composition. Managers and investors can use the findings herein to aide in analyzing a REIT's performance and determining optimal investment policies. Utilizing REIT from SNL Real Estate and CRSP, the first two studies examine the role of international diversification upon performance, technical efficiency, and scale efficiency. The third study utilizes REIT data to examine technical and scale efficiency over a 21 year window and investigates characteristics of the REITs that affect the levels of efficiency. CHAPTER 1 (-) PROFITABILITY OF REAL ESTATE INVESTMENT TRUST INTERNATIONALIZATIONReal Estate Investment Trusts (REITs) in the United States have grown extremely fast in terms of assets and market capitalization since the early 1990's. As with many industries, U.S. REITs began acquiring foreign properties as their size grew and they needed to seek new investment opportunities. This paper investigates the role of holding foreign assets upon the total return of U.S. based REITs from 1995 through 2010. We find that holding foreign properties in associated with negative relative performance when risk, size, and other common market factors are controlled for. Interestingly, the source of the negative performance is not related to the two largest areas for foreign investment, Europe and Canada. Instead, the negative performance is detected when a REIT begins acquiring properties in other global regions such as Latin America and Asia/Pacific. This paper has broad ramifications for REIT investors and managers alike.CHAPTER 2 (-) EFFECT OF INTERNATIONAL DIVERSIFICATION BY U.S. REAL ESTATE INVESTMENT TRUSTS ON COST EFFICIENCY AND SCALEAs U.S. based Real Estate Investment Trusts (REITs) have increased their degree and type of holdings overseas, there has yet to a study that has investigated such activity on the REIT's measures of cost efficiency and scale. Using data from 2010, Data Envelopment Analysis techniques are used to estimate measures of technical and scale efficiency that are then regressed against measures of international diversification and other controls to measure the impact of this global expansion. It is determined that REITs with foreign holdings are significantly larger than domestic REITs and are correspondingly 96% of foreign investing REITs are operating at decreasing returns to scale. Further almost every measure of foreign diversification is negative and significantly impacting scale efficiency. However, simply being a REIT with foreign holdings did positively and significantly associate with higher levels of technical efficiencies. Thus REITs that expand globally may have some advantages in operational efficiency but lose considerably in terms of scale efficiency by increasing their size as they move cross-border. ?CHAPTER 3 (-) THE EVOLUTION OF TECHNICAL EFFICIENCY AND ECONOMIES OF SCALE OF REAL ESTATE INVESTMENT TRUSTSData Envelopment Analysis (DEA) is used to measure technical and scale efficiency of 21 years of Real Estate Investment Trust (REIT) data. This is the longest, most complete dataset ever analyzed in the REIT efficiency literature and as such makes a significant contribution as prior efficiency studies' data windows end in the early 2000's at latest. Overall, REITs appear to continue to operate at decreasing returns to scale despite rapid growth in total assets. Further, there is some evidence of improving technical efficiency overtime; however the finding is not strong. In summation, it appears that REITs have not improved on a relative basis despite the rapid growth, a finding that suggests a potential of a high degree of firm competition in the REIT industry. Finally, firm characteristics such as debt utilization, management and advisory structure, and property type specialization are tested for their impact upon technical and scale efficiency.
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Date Issued
2012
Identifier
CFE0004383, ucf:49399
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0004383
Three Essays on Compensation and the Board of Directors
Title
Three Essays on Compensation and the Board of Directors.
Creator
Cherry, Ian, Gatchev, Vladimir, Turnbull, Geoffrey, Schnitzlein, Charles, Roberts, Robin, University of Central Florida
Abstract / Description
In my first essay, I find a statistically and economically significant director-specific component in CEO pay following the enactment of the Sarbanes-Oxley Act of 2002 (SOX). In the cross-section of firms, directors that award relatively higher (lower) CEO pay in one firm also award relatively higher (lower) CEO pay in other firms of whose boards they are members during the year. Based on my estimates, the director-specific component is responsible for around (&)#177;3.5% of total CEO pay or...
Show moreIn my first essay, I find a statistically and economically significant director-specific component in CEO pay following the enactment of the Sarbanes-Oxley Act of 2002 (SOX). In the cross-section of firms, directors that award relatively higher (lower) CEO pay in one firm also award relatively higher (lower) CEO pay in other firms of whose boards they are members during the year. Based on my estimates, the director-specific component is responsible for around (&)#177;3.5% of total CEO pay or around (&)#177;$230,000 per CEO-year on average. In addition to affecting CEO pay levels, the director-specific component also has a significant effect on the changes and the composition of CEO pay, thus affecting CEO incentives. I pursue two potential explanations for our findings(-)changes in board composition and changes in director behavior after SOX. I do not find evidence that the director-specific component in CEO pay is due to changes in board composition. Instead, I find evidence that the director-specific component in CEO pay is due to changes in director behavior related to the additional risks and employment concerns imposed on directors after SOX. My findings are consistent with the view that SOX discourages directors from taking risks when awarding CEO pay and so directors award CEO pay that they can more easily justify through direct experiences in other firms. These findings have wide implications about the importance of directors in setting CEO pay, the existence of agency problems within the board, and the consequences of regulation in general and SOX in particular.My second essay concerns the compensation of directors themselves. I find that institutional ownership is positively related to the level of director compensation and the proportion of equity based compensation that directors receive. These results are consistent with the interpretation that institutions prefer stronger links between firm performance and board compensation and are willing to pay higher levels of compensation for better governance. I also investigate the difference between the effects of active versus passive institutional investment and find that active institutions appear to have a larger economic impact on director compensation. However, I do not find a statistical difference between the effects of active and passive ownership.My third essay studies the strategies that firms follow when apportioning incentive compensation within the board of directors. Firms tend to preserve the structure of director incentives over time so that firms using equal (variable) incentives in one year are more likely to use equal (variable) incentives in the following year. I further examine whether the structure of director incentives within the board affects acquirer performance in corporate acquisitions. I find that the five-day announcement returns of firms awarding equal director incentives are around 1% higher than the returns of firms that award variable director incentives within the board. These results are robust to standard controls related to acquirer returns, to different lengths of the announcement window, and to alternative incentive strategy classification schemes. Overall, my findings are consistent with the idea that director incentives play a significant role in corporate performance and with the idea that equal director incentives dominate variable incentives in circumstances where the success of the outcome is likely to depend on the board as a whole.
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Date Issued
2015
Identifier
CFE0005588, ucf:50265
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0005588
Three Essays on Investments: An Examination of the Effects of Diversification and Taxes
Title
Three Essays on Investments: An Examination of the Effects of Diversification and Taxes.
Creator
Hurst, Matthew, Anderson, Randy, Chen, Honghui, Schnitzlein, Charles, Frye, Melissa, Schmitt, Donna, University of Central Florida
Abstract / Description
Chapter 1 examines the effect of property-type diversification in equity real estate investment trusts (REITs) from 1995 to 2006. A strong positive relationship is documented between property-type diversification and return on assets, return on equity, and Tobin's Q. The diversification benefit comes from both the ability to select better performing property types in (")hot(") markets and the limited exposure to poorly performing property types in (")cold(") markets. Diversified REITs produce...
Show moreChapter 1 examines the effect of property-type diversification in equity real estate investment trusts (REITs) from 1995 to 2006. A strong positive relationship is documented between property-type diversification and return on assets, return on equity, and Tobin's Q. The diversification benefit comes from both the ability to select better performing property types in (")hot(") markets and the limited exposure to poorly performing property types in (")cold(") markets. Diversified REITs produce higher cash flows relative to equity as a result of a broader opportunity set; moreover, return on assets increases with the degree of diversification, which suggests significant shielding to property-type specific risk. Additionally, results indicate that diversified REITs operate and trade above their contemporaneous predicted values, which are calculated using imputed multipliers from specialized REITs. The evidence shows that the market is operating efficiently and has incorporated this information; diversified REITs Q ratios are significantly greater than specialized REITs.Chapter 2 uses a large sample of municipal bond closed-end funds to examine how tax liability affects seasonal trading. Optimal tax trading dictates that net tax liability be calculated after all trades. Investors' net tax liability is held in a holding account of his or her choosing. This study investigates what happens when there is tax liability in excess of Safe Harbor, and tax holding accounts are liquidated to cover the payments. We find that there exists a pattern of negative returns and increased volume in the month of March that is unexplained by changes in yield. Chapter 3 examines the ex-dividend day effect for municipal bond closed-end. The proposed explanations for this phenomenon are tax effects, short-term trading and/or market microstructure effects. In this study I use a unique set of dividend distributions to provide additional evidence that ex-dividend behavior is related to taxation as well as short-term trading. The sample I use is comprised of dividends in nontaxable closed-end funds, which ordinarily are not subject to Federal Income Tax. However, there is an occasional distribution that is subject to capital gains or ordinary income tax. This provides a unique environment in which to study the ex-dividend price behavior of a fund while eliminating the need for comparisons across funds.
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Date Issued
2012
Identifier
CFE0004549, ucf:49228
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0004549
Essays on the Effect of Excess Compensation and Governance Changes on Firm Value
Title
Essays on the Effect of Excess Compensation and Governance Changes on Firm Value.
Creator
Dah, Mustafa, Frye, Melissa, Whyte, Ann, Gatchev, Vladimir, Schnitzlein, Charles, Campbell, Terry, University of Central Florida
Abstract / Description
This dissertation consists of three essays on the effect of excess compensation and corporate governance changes on the firm's performance. The first paper utilizes a cost minimization stochastic frontier approach to investigate the efficiency of director total compensation. Our findings suggest that board members are over compensated. We show that, on average, the director actual compensation level is above the efficient compensation level by around 63%. Our results suggest that an increase...
Show moreThis dissertation consists of three essays on the effect of excess compensation and corporate governance changes on the firm's performance. The first paper utilizes a cost minimization stochastic frontier approach to investigate the efficiency of director total compensation. Our findings suggest that board members are over compensated. We show that, on average, the director actual compensation level is above the efficient compensation level by around 63%. Our results suggest that an increase in director excess compensation decreases the likelihood of CEO turnover, reduces the turnover-performance sensitivity, and increases managerial entrenchment. Thus, the surplus in director compensation is directly associated with managerial job security and entrenchment. Furthermore, although director excess compensation is not significantly inversely related to the firm's future performance, it has an indirect negative effect on future performance through its impact on the entrenchment-performance relationship. Therefore, this essay proposes that the overcompensation of directors is directly associated with a board culture predicated by mutual back-scratching and collusion between the CEO and the board members. The second essay tests the effect of an exogenous shock, the Sarbanes-Oxley Act (SOX) of 2002, on the structure of corporate boards and their efficiency as a monitoring mechanism. The results suggest an increase in the participation of independent directors at the expense of insiders. Consequently, we investigate the implications of board composition changes on CEO turnover and firm value. We document a noticeable reduction in CEO turnover in the post-SOX period. We also demonstrate that, after SOX, a board dominated by independent directors is less likely to remove a CEO due to poor performance. Finally, we highlight a negative association between the change in board composition and firm value. We propose that our findings are predicated on an off equilibrium result whereby firms were forced to modify their endogenously chosen board composition. Therefore, contrary to the legislators' objectives, we suggest that the change in board structure brought about inefficient monitoring and promoted an unfavorable tradeoff between independent directors and insiders. The third essay examines the relationship between the firm's governance structure and its value during different economic conditions. We show that both relative industry turnover and CEO entrenchment increase during economic downturns. We also find that relative industry turnover and managerial entrenchment have opposite impacts on the value of the firm throughout the recessionary period. While industry turnover leads to an appreciation in firm value, managerial entrenchment reduces shareholders' wealth. The negative impact of managerial entrenchment on firm value, however, outweighs the positive impact of industry turnover. Accordingly, we propose that a recession provides managers with a good opportunity to camouflage their behavior and extract more private benefits and, thus, blame the poor performance on bad economic conditions.
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Date Issued
2012
Identifier
CFE0004202, ucf:49029
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0004202
Three Essays on Market Efficiency and Corporate Diversification
Title
Three Essays on Market Efficiency and Corporate Diversification.
Creator
Jaber Hyder, Fawzi, Chen, Honghui, Gatchev, Vladimir, Frye, Melissa, Choi, Yoon, Schnitzlein, Charles, University of Central Florida
Abstract / Description
In my first essay, I use additions to the S(&)P 500 index as a laboratory to investigate how the interaction between arbitrageurs and arbitrage risk affects security prices. I find that the price effect is strong when there is high arbitrage risk (as measured by the lack of close substitutes) and low presence of arbitrageurs (as measured by low ownership by active institutions). Furthermore, a strong presence of arbitrageurs moderates the effect of arbitrage risk on the post-addition price...
Show moreIn my first essay, I use additions to the S(&)P 500 index as a laboratory to investigate how the interaction between arbitrageurs and arbitrage risk affects security prices. I find that the price effect is strong when there is high arbitrage risk (as measured by the lack of close substitutes) and low presence of arbitrageurs (as measured by low ownership by active institutions). Furthermore, a strong presence of arbitrageurs moderates the effect of arbitrage risk on the post-addition price reaction of added stocks. I also find a significant decrease in arbitrageurs' ownership in the added stocks post addition. More importantly, this decrease is accompanied by a significant increase in arbitrageurs' ownership in the added stocks' close substitutes. My second essay examines the sensitivity of investments to changes in investment opportunities for diversified and for single-segment firms. Because many concerns have been raised about existing proxies of investment opportunities, I introduce and examine the empirical performance of a new proxy based on financial analysts' earnings forecasts. The findings are consistent with the idea that firms respond efficiently to changes in investment opportunities. I find that firms increase (decrease) their capital expenditures when there is a favorable (unfavorable) change in opportunities. In addition, I find that diversified firms are more sensitive to changes in investment opportunities than are single-segment firms and that much of the difference in investment behavior between the two types of firms is explained by changes in investment opportunities. My findings are consistent with the idea that, when compared to single-segment firms, diversified firms use their larger internal capital markets and enjoy a less constrained response to changes in investment opportunities. The overall findings are in contrast to existing evidence that diversified firms allocate resources inefficiently.In my third essay, I investigate how the diversification discount depends on internal and external governance control mechanisms. The study uses CEO power to measure internal control and institutional ownership to measure external control. I find that CEO power has a negative effect on firm value and that this effect is greater for diversified firms. I also find that while institutional ownership is positively related to the value of single-segment firms it is not significantly related to the value of multi-segment firms. The overall findings that the diversification discount is more pronounced for firms with weaker internal and external governance control mechanisms support the hypothesis that governance control mechanisms are less effective in diversified firms than in single-segment firms.
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Date Issued
2017
Identifier
CFE0006606, ucf:51265
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0006606
Two Applications of Financial Economics to Real Estate
Title
Two Applications of Financial Economics to Real Estate.
Creator
Dibartolomeo, Jeffrey, Gatchev, Vladimir, Chen, Honghui, Turnbull, Geoffrey, Harrison, David, Schnitzlein, Charles, University of Central Florida
Abstract / Description
My first essay examines the effects of dividend policy on the liquidity risk of REITs. I argue that the mandatory high cash payouts of REITs reduce investor reliance on the stock market to satisfy their liquidity needs. Using a sample of equity REITs from 1980 through 2015, I find strong empirical evidence consistent with this paradigm. Unlike non-REIT property companies, I find REITs exhibit negative sensitivity to marketwide liquidity shocks; a result that is evident across most property...
Show moreMy first essay examines the effects of dividend policy on the liquidity risk of REITs. I argue that the mandatory high cash payouts of REITs reduce investor reliance on the stock market to satisfy their liquidity needs. Using a sample of equity REITs from 1980 through 2015, I find strong empirical evidence consistent with this paradigm. Unlike non-REIT property companies, I find REITs exhibit negative sensitivity to marketwide liquidity shocks; a result that is evident across most property type sectors. Moreover, while my findings are robust across a wide range of portfolios based on size, dividend frequency, leverage, market-to-book, operations type, and the presence of dividend reinvestment plans, smaller REITs mitigate liquidity risk only when their dividend frequency is relatively high. Finally, I find that price sensitivities to marketwide liquidity shocks increase after firms elect to discontinue REIT status. These findings strongly support the notions that investors view dividend payouts as a substitute for liquidity, and that REITs' relatively high mandated payout requirements benefit investors with reduced liquidity risk.My second essay re-examines the ability of the Mills-Muth neoclassical land use theory to explain urban sprawl. I test the robustness of Brueckner and Fansler's (1983) seminal study using data drawn from the 1970 U.S. Census. A repeated sampling test shows that their 1970 sampling methodology led to spurious estimates; their conclusions regarding the economic factors driving sprawl cannot be supported. Nor can they be supported using more recent data from the 2000 and 2010 Census. Given this, I offer two alternate measures of urban sprawl: the traditional population density gradient and a new measure that relaxes the monotonicity constraint implied by traditional density gradients. I find the factors identified by neoclassical theory better explain sprawl when using the density gradient and the non-monotonic measure than the Brueckner-Fansler approach.
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Date Issued
2018
Identifier
CFE0006995, ucf:51619
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0006995
Three Essays on Short-selling, Maring Trading and Market Efficiency
Title
Three Essays on Short-selling, Maring Trading and Market Efficiency.
Creator
Wang, Song, Gatchev, Vladimir, Chen, Honghui, Schnitzlein, Charles, Hofler, Richard, University of Central Florida
Abstract / Description
My dissertation contains three essays on short-selling, margin trading, and market efficiency. The first essay uses a unique exogenous event, the introduction of short selling in the Chinese stock market, to examine the direct link between idiosyncratic risk and short selling. Based on Shleifer and Vishny (1997), I hypothesize that idiosyncratic risk deters arbitrageurs with negative information from taking short positions in overvalued stocks. Consequently, the stocks with high idiosyncratic...
Show moreMy dissertation contains three essays on short-selling, margin trading, and market efficiency. The first essay uses a unique exogenous event, the introduction of short selling in the Chinese stock market, to examine the direct link between idiosyncratic risk and short selling. Based on Shleifer and Vishny (1997), I hypothesize that idiosyncratic risk deters arbitrageurs with negative information from taking short positions in overvalued stocks. Consequently, the stocks with high idiosyncratic risk are more overvalued at the onset of the introduction of short sale and perform worse in the subsequent period. The second essay examines the impact of the introduction of margin trading and short selling in the Chinese stock market on market quality. The third essay examines the relationship between short selling and SEO discount under the SEC's amendment to Rule 105. If the amendment is binding, the short-selling prior to seasoned equity offering (SEO) should correctly reflect negative information and promote price efficiency. Thus the winner's curse problem during SEO process is reduced and the value discount of a SEO should be less.
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Date Issued
2012
Identifier
CFE0004614, ucf:49941
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0004614