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Essays in Empirical Finance.

Zhang, Chi.

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Essays in Empirical Finance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Empirical Finance./
作者:	Zhang, Chi.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
面頁冊數:	162 p.
附註:	Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
Contained By:	Dissertation Abstracts International79-01A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10287314
ISBN:	9780355171495

Essays in Empirical Finance.
Zhang, Chi.

Essays in Empirical Finance. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 162 p.

Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.

Thesis (Ph.D.)--Temple University, 2017.

In the first chapter, I investigate how CEO's risk incentive (vega) affects firm innovation. To establish causality, I exploit compensation changes instigated by the FAS 123R accounting regulation in 2005 that mandated stock option expensing at fair values. My identification tests indicate a positive and causal effect of CEOs' vega on innovation activities. Furthermore, dampened managerial risk-taking incentive after the implementation of FAS 123R leads to a significant reduction in innovation related to firm's core business and explorative inventions. It implies that managers diversify their innovation portfolios and decrease explorative inventions to curtail business risk when their risk-taking incentive is reduced.

ISBN: 9780355171495Subjects--Topical Terms:

542899
Finance.

Essays in Empirical Finance.
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500 $a Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
500 $a Adviser: Connie Mao.
502 $a Thesis (Ph.D.)--Temple University, 2017.
520 $a In the first chapter, I investigate how CEO's risk incentive (vega) affects firm innovation. To establish causality, I exploit compensation changes instigated by the FAS 123R accounting regulation in 2005 that mandated stock option expensing at fair values. My identification tests indicate a positive and causal effect of CEOs' vega on innovation activities. Furthermore, dampened managerial risk-taking incentive after the implementation of FAS 123R leads to a significant reduction in innovation related to firm's core business and explorative inventions. It implies that managers diversify their innovation portfolios and decrease explorative inventions to curtail business risk when their risk-taking incentive is reduced.
520 $a In the second chapter, I document that IPO underwriters implicitly collude on their price targets to support the stock post-IPO. While it is well known that underwriters are biased and have higher average price target (first moment), my evidence of implicit collusion is based on the dispersion in price target (second moment), with lower dispersion implying stronger implicit collusion. I find that, at initiation following expiry of quiet period, the dispersion in price target among underwriters of a firm is only 65% of that for non-underwriters. In 24.5% of the cases, at least two underwriters forecast the exact same price target. Such implicit collusion is also prevalent around lockup expiry. My results are robust to alternative, more direct, proxies for implicit collusion such as the proportion of underwriters that come out with exact same forecasts of price target. Refuting the alternative explanation that lower dispersion in price target among underwriters is due to common information that underwriters possess because of their involvement in the IPO, I find no such pattern in dispersion of Sales or EPS.
520 $a In the last chapter, I study the security lending market. Stock lending markets are unique due to connections with stock markets: stock buyers become potential stock lenders. However, I show that equity loan supply is effectively fixed over time scales relevant to short sellers because short-term investors (less than three month holding period) do not lend shares. Transitions to stock specials are characterized by demand spikes, and slow-moving supply contributes to boom-and-bust cycles among stock specials. Consistent with my findings, I show stronger results among higher turnover stocks as well as around news events and earnings announcements.
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