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Essays in financial economics.

Yang, Wei.

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Essays in financial economics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in financial economics./
作者:	Yang, Wei.
面頁冊數:	107 p.
附註:	Source: Dissertation Abstracts International, Volume: 66-08, Section: A, page: 2990.
Contained By:	Dissertation Abstracts International66-08A.
標題:	Business Administration, General. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3186423
ISBN:	9780542287251

Essays in financial economics.
Yang, Wei.

Essays in financial economics. - 107 p.

Source: Dissertation Abstracts International, Volume: 66-08, Section: A, page: 2990.

Thesis (Ph.D.)--Stanford University, 2005.

The first essay in this dissertation explores the value creation implications of corporate investment through future earnings, and whether financial analysts and the stock market fully adjust for such implications. I measure the extent of a firm making too low or too high capital investment, controlling for investment opportunities. Using these measures, I document that both low- and high-investing firms subsequently realize poor earnings, controlling for profitability of existing assets. The evidence is consistent with suboptimal value creation following inefficient investment. The investment effect on future earnings persists for up to five years, suggesting that firms forgoing profitable opportunities continually give away sizable profits, while firms undertaking value-destroying projects fail to downscale or terminate at least some of them. Analysts appear to fail to fully appreciate these implications of investment decisions, and continually issue more optimistic earnings forecasts for both low- and high-investing firms in the following years. Finally, both low- and high-investing firms subsequently experience poor abnormal returns.

ISBN: 9780542287251Subjects--Topical Terms:

1017457
Business Administration, General.

Essays in financial economics.
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502 $a Thesis (Ph.D.)--Stanford University, 2005.
520 $a The first essay in this dissertation explores the value creation implications of corporate investment through future earnings, and whether financial analysts and the stock market fully adjust for such implications. I measure the extent of a firm making too low or too high capital investment, controlling for investment opportunities. Using these measures, I document that both low- and high-investing firms subsequently realize poor earnings, controlling for profitability of existing assets. The evidence is consistent with suboptimal value creation following inefficient investment. The investment effect on future earnings persists for up to five years, suggesting that firms forgoing profitable opportunities continually give away sizable profits, while firms undertaking value-destroying projects fail to downscale or terminate at least some of them. Analysts appear to fail to fully appreciate these implications of investment decisions, and continually issue more optimistic earnings forecasts for both low- and high-investing firms in the following years. Finally, both low- and high-investing firms subsequently experience poor abnormal returns.
520 $a The second essay develops and empirically implements an arbitrage-free, dynamic term structure model with "priced" factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with state-dependent transition probabilities. This model gives closed-form solutions for zero-coupon bond prices, an analytic representation of the likelihood function for bond yields, and a natural decomposition of expected excess returns to components corresponding to regime-shift and factor risks. Using monthly data on U.S. Treasury zero-coupon bond yields, we show a critical role of priced, state dependent regime-shift risks in capturing the time variations in expected excess returns, and document notable differences in the behaviors of the factor risk component of the expected returns across high and low volatility regimes. Additionally, the state dependence of the regime-switching probabilities is shown to capture an interesting asymmetry in the cyclical behavior of interest rates. The shapes of the term structure of volatility of bond yield changes are also very different across regimes, with the well-known hump being largely a low-volatility regime phenomenon.
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