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Essays in corporate finance and fina...

Yang, Fan.

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Essays in corporate finance and financial markets (China).

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in corporate finance and financial markets (China)./
Author:	Yang, Fan.
Description:	138 p.
Notes:	Source: Dissertation Abstracts International, Volume: 66-10, Section: A, page: 3753.
Contained By:	Dissertation Abstracts International66-10A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=NR08316
ISBN:	0494083166

Essays in corporate finance and financial markets (China).
Yang, Fan.

Essays in corporate finance and financial markets (China). - 138 p.

Source: Dissertation Abstracts International, Volume: 66-10, Section: A, page: 3753.

Thesis (Ph.D.)--University of Alberta (Canada), 2005.

This document presents three essays in both corporate governance and financial markets. The second chapter explores the relationship between indexing and value premium of the S&P 500 index firms relative to those of other similar firms. It finds that S&P 500 firms have value premiums relative to the benchmark firms, and the premiums fluctuate in accordance with money indexed to the S&P 500 index. Granger's causality tests show that inclusion in the index causes prices of member stock to rise. The findings are consistent with downward sloping demand curves hypothesis proposed by Shleifer (2000) and Wurgler and Zhuravskaya (2002). Indexing causes demand for S&P member firm to rise, and the rightward shifted demand curve increases the stock price. The findings are also consistent with the hypothesis that the Standard and Poor's, being a bond rating specialist, might have superior techniques in picking "winners" in the market. The third chapter presents a case of good corporate governance in pre-communist China where neither economic development, nor legal environment, favored business. However, a bank, located in inland China, invented a governance structure that avoided entrenching managers while providing these managers with incentive aligned pecuniary benefits. These managers exhibited firm value maximizing practices, consistent with Jensen and Meckling (1976), Morck et al. (1988, 2000) and Stulz (1988). The fourth chapter examines the roles institutional and trading restrictions play in asset pricing. This chapter observes persistent and non-ignorable price disparities between twin A-shares and B-shares issued by the same firms in China's stock markets. A technique of co-integration is applied to show that before the removal of B-share ownership restrictions, the prices of twin A-shares and B-shares diverged. This chapter explores many factors that may contribute to the disparities and concludes that (a) different attitudes towards systematic risk, (b) A-share noise traders' momentum, and (c) Huizhuan Trading restrictions play important roles in explaining the observed price disparities.

ISBN: 0494083166Subjects--Topical Terms:

626650
Economics, Finance.

Essays in corporate finance and financial markets (China).
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245 1 0 $a Essays in corporate finance and financial markets (China).
300 $a 138 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-10, Section: A, page: 3753.
502 $a Thesis (Ph.D.)--University of Alberta (Canada), 2005.
520 $a This document presents three essays in both corporate governance and financial markets. The second chapter explores the relationship between indexing and value premium of the S&P 500 index firms relative to those of other similar firms. It finds that S&P 500 firms have value premiums relative to the benchmark firms, and the premiums fluctuate in accordance with money indexed to the S&P 500 index. Granger's causality tests show that inclusion in the index causes prices of member stock to rise. The findings are consistent with downward sloping demand curves hypothesis proposed by Shleifer (2000) and Wurgler and Zhuravskaya (2002). Indexing causes demand for S&P member firm to rise, and the rightward shifted demand curve increases the stock price. The findings are also consistent with the hypothesis that the Standard and Poor's, being a bond rating specialist, might have superior techniques in picking "winners" in the market. The third chapter presents a case of good corporate governance in pre-communist China where neither economic development, nor legal environment, favored business. However, a bank, located in inland China, invented a governance structure that avoided entrenching managers while providing these managers with incentive aligned pecuniary benefits. These managers exhibited firm value maximizing practices, consistent with Jensen and Meckling (1976), Morck et al. (1988, 2000) and Stulz (1988). The fourth chapter examines the roles institutional and trading restrictions play in asset pricing. This chapter observes persistent and non-ignorable price disparities between twin A-shares and B-shares issued by the same firms in China's stock markets. A technique of co-integration is applied to show that before the removal of B-share ownership restrictions, the prices of twin A-shares and B-shares diverged. This chapter explores many factors that may contribute to the disparities and concludes that (a) different attitudes towards systematic risk, (b) A-share noise traders' momentum, and (c) Huizhuan Trading restrictions play important roles in explaining the observed price disparities.
590 $a School code: 0351.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Management. $3 626628
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791 $a Ph.D.
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