Current Search: Financial risk (x)
View All Items
- Title
- The Association of the Relative Informativeness of Market Risk Disclosures with Liquidity and Investment Efficiency.
- Creator
- Luo, Xin, Kohlbeck, Mark, Florida Atlantic University, College of Business, School of Accounting
- Abstract/Description
-
In a 2016 comment letter, the SEC summarizes the ongoing debate regarding the usefulness of market risk disclosures and calls for additional discussion (SEC Concept Release 2016). In response to the SEC’s call, I investigate whether investors and firms benefit from market risk disclosures. Prior literature suggests that informative corporate disclosure is associated with improved liquidity and investment efficiency. I find that informative textual contents of market risk disclosures improve...
Show moreIn a 2016 comment letter, the SEC summarizes the ongoing debate regarding the usefulness of market risk disclosures and calls for additional discussion (SEC Concept Release 2016). In response to the SEC’s call, I investigate whether investors and firms benefit from market risk disclosures. Prior literature suggests that informative corporate disclosure is associated with improved liquidity and investment efficiency. I find that informative textual contents of market risk disclosures improve investors’ information environment, and as a result, are associated with higher liquidity level, lower liquidity uncertainty, and improved investment efficiency. My study is relevant to the ongoing debate regarding the usefulness of market risk disclosures, calls for more detailed regulatory guidance for market risk disclosures, and contributes to the literature on liquidity, investment efficiency, and risk factor disclosures.
Show less - Date Issued
- 2018
- PURL
- http://purl.flvc.org/fau/fd/FA00005979
- Subject Headings
- Investments, Financial statements, Financial risk
- Format
- Document (PDF)
- Title
- Three essays on the impact of analyst recommendations in the banking industry.
- Creator
- Premti, Arjan, Madura, Jeff, Florida Atlantic University, College of Business, Department of Finance
- Abstract/Description
-
By analyzing the information provided by analyst recommendations in the banking industry, I find that analyst recommendations trigger an immediate impact on the value of banks (Essay 1), they profitably guide the investment decisions of investors for periods of up to three months (Essay 2), and they also have an immediate impact on the values of rival banks (Essay 3). In addition, I find that analysts’ ability to provide new information depends on the information environment of the bank. The...
Show moreBy analyzing the information provided by analyst recommendations in the banking industry, I find that analyst recommendations trigger an immediate impact on the value of banks (Essay 1), they profitably guide the investment decisions of investors for periods of up to three months (Essay 2), and they also have an immediate impact on the values of rival banks (Essay 3). In addition, I find that analysts’ ability to provide new information depends on the information environment of the bank. The degree of information asymmetry, the degree of complexity, the risk of the bank, the risk of the time period, as well as regulatory reforms that affect these characteristics, have a significant impact on the analyst’s ability to provide new information to the investors. Specifically, I find that analyst recommendations are more informative when banks suffer from a high degree of information asymmetry. In addition, regulatory reforms that reduced the information asymmetry of the banking industry also diminished the analyst’s ability to provide new information. Similarly, I find that analyst recommendations have a greater impact on the values of the rated and the rival banks when these banks operate in a risky environment. This result is robust to several measures of bank risk, period risk, and regulatory events that affected the risk of the banking industry. However, the results of Essay 2 show that positive recommendations that occur during riskier periods or after regulatory events that increased the risk of the banking industry result in lower value for the investors over the following 1-month or 3- month periods. Lastly, I find that as banks become more complex, analyst recommendations have a smaller immediate impact on the value of the bank, deliver a smaller investment value for the investors, and also have a smaller immediate impact on the value of the rival banks.
Show less - Date Issued
- 2014
- PURL
- http://purl.flvc.org/fau/fd/FA00004151, http://purl.flvc.org/fau/fd/FA00004151
- Subject Headings
- Financial engineering, Investment analysis, Portfolio management, Risk management
- Format
- Document (PDF)
- Title
- Risk dynamics, growth options, and financial leverage: evidence from mergers and acquisitions.
- Creator
- Coy, Jeffrey M., College of Business, Department of Finance
- Abstract/Description
-
In essay I, I empirically examine theoretical inferences of real options models regarding the effects of business risk on the pricing of firms engaged in corporate control transactions. This study shows that the risk differential between the merging firms has a significant effect on the risk dynamic of bidding firms around control transactions and that the at-announcement risk dynamic is negatively related to that in the preannouncement period. In addition, the relative size of the target,...
Show moreIn essay I, I empirically examine theoretical inferences of real options models regarding the effects of business risk on the pricing of firms engaged in corporate control transactions. This study shows that the risk differential between the merging firms has a significant effect on the risk dynamic of bidding firms around control transactions and that the at-announcement risk dynamic is negatively related to that in the preannouncement period. In addition, the relative size of the target, the volatility of bidder cash flows, and the relative growth rate of the bidder have significant explanatory power in the cross-section of announcement returns to bidding firm shareholders as does the change in the cost of capital resulting from the transaction. Essay II provides an empirical analysis of a second set of real options models that theoretically examine the dynamics of financial risk around control transactions as well as the link between financial leverage and the probability of acquisition. In addition, I present a comparison of the financial risk dynamics of firms that choose an external growth strategy, through acquisition, and those that pursue an internal growth strategy through capital expenditures that are unrelated to acquisition.
Show less - Date Issued
- 2013
- PURL
- http://purl.flvc.org/fcla/dt/3362323
- Subject Headings
- Consolidation and merger of corporations, Financial services industry, Mathematical models, Corporations, Finance, Financial risk management
- Format
- Document (PDF)
- Title
- Revisiting the methodology and application of Value-at-Risk.
- Creator
- Chung, Kyong., Charles E. Schmidt College of Science, Department of Mathematical Sciences
- Abstract/Description
-
The main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical...
Show moreThe main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical portfolio through MATLAB simulations. The evaluation of the results shows that historical simulation yields the most reliable 1-day VaR for the hypothetical portfolio under extreme market conditions. Finally, this paper concludes with a suggestion for further studies : a heavy-tail distribution should be used in order to imporve the accuracy of the results for the two parametric methods used in this study.
Show less - Date Issued
- 2012
- PURL
- http://purl.flvc.org/FAU/3358328
- Subject Headings
- Valuation, Econometric models, Prices, Econometric models, Financial risk management, Mathematical optimization, Finance, Mathematical models
- Format
- Document (PDF)
- Title
- Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market.
- Creator
- Sagul, Ryan, Yuhn, Ky-hyang, Florida Atlantic University, College of Business, Department of Economics
- Abstract/Description
-
For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to...
Show moreFor the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis.
Show less - Date Issued
- 2016
- PURL
- http://purl.flvc.org/fau/fd/FA00004730, http://purl.flvc.org/fau/fd/FA00004730
- Subject Headings
- Capital market -- Psychological aspects, Energy industries -- Risk management, Financial risk management -- Mathematical models, Futures, Investment analysis, Petroleum industry and trade -- Economic aspects, Stocks -- Mathematical models
- Format
- Document (PDF)
- Title
- Agency costs and accounting quality within an all-equity setting: the role of free cash flows and growth opportunities.
- Creator
- Cabán, David, Kohlbeck, Mark, Florida Atlantic University, College of Business, School of Accounting
- Abstract/Description
-
I investigate if all-equity firms are a heterogeneous group as it relates to agency costs and accounting quality. All-equity firms are a unique group of firms that choose a “corner solution” as their capital structure. Extant research, supported by well-established theories such as trade-off theory, free cash flow theory, and Jensen’s (1986) control hypothesis, generally conclude that agency conflicts motivate such structure. Research also supports the alternative argument that poor...
Show moreI investigate if all-equity firms are a heterogeneous group as it relates to agency costs and accounting quality. All-equity firms are a unique group of firms that choose a “corner solution” as their capital structure. Extant research, supported by well-established theories such as trade-off theory, free cash flow theory, and Jensen’s (1986) control hypothesis, generally conclude that agency conflicts motivate such structure. Research also supports the alternative argument that poor accounting quality makes debt so prohibitive that such firms are driven to this capital structure. I propose that an all-equity structure is not necessarily symptomatic of agency conflicts and poor accounting quality overall. I investigate if different motivations, within an all-equity setting, reflected by free cash flows and growth opportunities, result in different levels of agency cost and accounting quality. By anchoring on theories that link implicit costs of debt to free cash flow levels and growth opportunities, I hypothesize that free cash flows and growth opportunities are strongly linked to the justification or lack thereof for the pursuit of such strategy. I hypothesize and show that firms in the extremes of the free cash flow to growth rate spectrum exhibit significantly different levels of agency cost and accounting quality within the all-equity setting. These results support my main prediction that there exists agency costs and accounting quality differences within the all-equity setting which are associated with free cash flow levels and growth opportunities and that the pessimistic conclusions for pursuing an all-equity strategy reached by prior research should not be generalized to all such firms.
Show less - Date Issued
- 2015
- PURL
- http://purl.flvc.org/fau/fd/FA00004432, http://purl.flvc.org/fau/fd/FA00004432
- Subject Headings
- Business enterprises -- Valuation, Cash management, Corporations -- Finance, Corporations -- Growth, Financial risk management, Strategic planning, Venture capital
- Format
- Document (PDF)
- Title
- Economic Consequences of Implementing the Engagement Partner Signature Requirement in the UK.
- Creator
- Liu, Min, Kohlbeck, Mark, Florida Atlantic University, College of Business, School of Accounting
- Abstract/Description
-
I investigate the effects of requiring the audit engagement partner (EP) signature and individual EP’s quality on information asymmetry, analysts’ forecast errors and forecast dispersion. I predict and find that, ceteris paribus, there is a significant decline in information asymmetry, analysts’ forecast errors and forecast dispersion from the pre- to post-EP signature period in the UK over both of short-term (e.g., 2008-2010) and long-term (e.g., 2004-2014). These findings hold when using a...
Show moreI investigate the effects of requiring the audit engagement partner (EP) signature and individual EP’s quality on information asymmetry, analysts’ forecast errors and forecast dispersion. I predict and find that, ceteris paribus, there is a significant decline in information asymmetry, analysts’ forecast errors and forecast dispersion from the pre- to post-EP signature period in the UK over both of short-term (e.g., 2008-2010) and long-term (e.g., 2004-2014). These findings hold when using a control sample approach and a different proxy for the information asymmetry, which indicate that my results are not likely due to the effect of concurrent events and correlated omitted variables. These findings provide timely and important empirical evidence to the ongoing debate about whether the Public Company Accounting Oversight Board should pass a similar requirement in the U.S.
Show less - Date Issued
- 2016
- PURL
- http://purl.flvc.org/fau/fd/FA00004651, http://purl.flvc.org/fau/fd/FA00004651
- Subject Headings
- Auditing -- Standards -- United States, Corporate governance, Corporations -- Auditing -- Standards -- United States, Disclosure in accounting, Financial risk management -- Forecasting, Financial services industry -- Management, International standard on auditing, Public Company Accounting Oversight Board
- Format
- Document (PDF)