Theses and Dissertations
This collection includes both ASU Theses and Dissertations, submitted by graduate students, and the Barrett, Honors College theses submitted by undergraduate students.
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Description
This paper examines dealers' inventory holding periods and the associated price markups on corporate bonds from 2003 to 2010. Changes in these measures explain a large part of the time series variation in aggregate corporate bond prices. In the cross-section, holding periods and markups overshadow extant liquidity measures and have significant explanatory power for individual bond prices. Both measures shed light on the credit spread puzzle: changes in credit spread are positively correlated with changes in holding periods and markups, and a large portion of credit spread changes is explained by them. The economic effects of holding periods and markups are particularly sharp during crisis periods.
ContributorsQian, Zhiyi (Author) / Wahal, Sunil (Thesis advisor) / Bharath, Sreedhar (Committee member) / Coles, Jeffrey (Committee member) / Mehra, Rajnish (Committee member) / Arizona State University (Publisher)
Created2012
Description
Mutual monitoring in a well-structured authority system can mitigate the agency problem. I empirically examine whether the number 2 executive in a firm, if given authority, incentive, and channels for communication and influence, is able to monitor and constrain the potentially self-interested CEO. I find strong evidence that: (1) measures of the presence and extent of mutual monitoring from the No. 2 executive are positively related to future firm value (Tobin's Q); (2) the beneficial effect is more pronounced for firms with weaker corporate governance or CEO incentive alignment, with stronger incentives for the No. 2 executives to monitor, and with higher information asymmetry between the boards and the CEOs; (3) such mutual monitoring reduces the CEO's ability to pursue the "quiet life" but has no effect on "empire building;" and (4) mutual monitoring is a substitute for other governance mechanisms. The results suggest that mutual monitoring by a No. 2 executive provides checks and balances on CEO power.
ContributorsLi, Zhichuan (Author) / Coles, Jeffrey (Thesis advisor) / Hertzel, Michael (Committee member) / Bharath, Sreedhar (Committee member) / Babenko, Ilona (Committee member) / Arizona State University (Publisher)
Created2012
Description
This paper examines how equity analysts' roles as information intermediaries and monitors affect corporate liquidity policy and its associated value of cash, providing new evidence that analysts have a direct impact on corporate liquidity policy. Greater analyst coverage (1) reduces information asymmetry between a firm and outside shareholders and (2) enhances the monitoring process. Consistent with these arguments, analyst coverage increases the value of cash, thereby allowing firms to hold more cash. The cash-to-assets ratio increases by 5.2 percentage points when moving from the bottom analyst-coverage decile to the top decile. The marginal value of $1 of corporate cash holdings is $0.93 for the bottom analyst-coverage decile and $1.83 for the top decile. The positive effects remain robust after a battery of endogeneity checks. I also perform tests employing a unique dataset that consists of public and private firms, as well as a dataset that consists of public firms that have gone private. A public firm with analyst coverage can hold approximately 8% more cash than its private counterpart. These findings constitute new evidence on the real effect of analyst coverage.
ContributorsChang, Ching-Hung (Author) / Bates, Thomas (Thesis advisor) / Bharath, Sreedhar (Committee member) / Lindsey, Laura (Committee member) / Arizona State University (Publisher)
Created2012
Description
This paper looks at defined contribution 401(k) plans in the United States to analyze whether or not participants have plans with better plan characteristics defined in this study by paying more for administration services, advisory services, and investments. By collecting and analyzing Form 5500 and audit data, I find that there is no relation between how much a plan and its participants are paying for recordkeeping, advisory, and investment fees and the analyzed characteristics of the plan that they receive in regards to active/passive allocation, revenue share, and the performance of the funds.
ContributorsAziz, Julian (Author) / Wahal, Sunil (Thesis director) / Bharath, Sreedhar (Committee member) / Barrett, The Honors College (Contributor) / Department of Information Systems (Contributor) / Department of Finance (Contributor)
Created2015-05
Description
This dissertation consists of two essays. The first, titled “Market Timing in Corporate Finance Decisions: Evidence from Stock Market Anomalies” revisits the question of market timing in corporate finance by using a new mispricing measure based on stock return anomalies. Using this mispricing measure, I show that U.S. firms are 59% more likely to issue equity when overvalued and 28% more likely to repurchase shares when undervalued. Moreover, this market timing behavior is more pronounced as executives gain more personal benefits from these strategies. Executives use market timing strategies in acquisitions as well. I document that executives are more likely to use equity as currency in acquisitions when overvalued and use cash when undervalued. I find consistent evidence using an international dataset that includes 33 countries. These findings provide new evidence about market timing and support the market timing hypothesis. The second essay, titled “Monetary Policy Uncertainty and Asset Price Bubbles” examines the impact of monetary policy uncertainty (MPU) in predicting future asset price bubbles. Using US data from 1926-2019, this paper shows that greater monetary policy uncertainty leads to a greater likelihood of bubbles in industry-level returns. The result is robust to criticisms on the ex-ante identification of bubbles. This paper also documents that including MPU in machine learning models improves the models’ ability to predict bubbles in real-time.
ContributorsAlkan, Ulas (Author) / Aragon, George (Thesis advisor) / Bharath, Sreedhar (Committee member) / Tserlukevich, Yuri (Committee member) / Jiaxu Wang, Jessie (Committee member) / Arizona State University (Publisher)
Created2023
Description
Natural Language Processing (NLP) techniques have increasingly been used in finance, accounting, and economics research to analyze text-based information more efficiently and effectively than primarily human-centered methods. The literature is rich with computational textual analysis techniques applied to consistent annual or quarterly financial fillings, with promising results to identify similarities between documents and firms, in addition to further using this information in relation to other economic phenomena. Building upon the knowledge gained from previous research and extending the application of NLP methods to other categories of financial documents, this project explores financial credit contracts, better understanding the information provided through their textual data by assessing patterns and relationships between documents and firms. The main methods used throughout this project is Term Frequency-Inverse Document Frequency (to represent each document as a numerical vector), Cosine Similarity (to measure the similarity between contracts), and K-Means Clustering (to organically derive clusters of documents based on the text included in the contract itself). Using these methods, the dimensions analyzed are various grouping methodologies (external industry classifications and text derived classifications), various granularities (document-wise and firm-wise), various financial documents associated with a single firm (the relationship between credit contracts and 10-K product descriptions), and how various mean cosine similarity distributions change over time.
ContributorsLiu, Jeremy J (Author) / Wahal, Sunil (Thesis director) / Bharath, Sreedhar (Committee member) / School of Mathematical and Statistical Sciences (Contributor) / School for the Future of Innovation in Society (Contributor) / Barrett, The Honors College (Contributor)
Created2020-05