Matching Items (48)
Description
In this paper, I investigate whether participation in employee stock option exchange programs contains private information about future stock returns. High participation in employee stock option exchange programs is associated with negative future abnormal returns over the ensuing 12-month period. This association is moderated by the transparency of the firm's information environment: high institutional ownership and high financial statement informativeness weaken the negative relation between participation and abnormal returns. Controlling for transparency of the firms' information environment, the association between participation and future returns arises primarily from firms that allow the CEO to participate.
ContributorsMakridis, Vanessa Radick (Author) / Matejka, Michal (Thesis advisor) / Hwang, Yuhchang (Committee member) / Kaplan, Steven E (Committee member) / Arizona State University (Publisher)
Created2013
Description
In this study, I examine the extent to which firms rely on relative performance evaluation (RPE) when setting executive compensation. In particular, I examine whether firms use information about peer performance to determine compensation at the end of the year, i.e. after both firm and peer performance are observed. I find that RPE is most pronounced for firms that allow little or no scope for ex post subjective adjustments to annual bonuses. Conversely, firms that rely mainly on subjectivity in determining bonus exhibit little use of RPE. These findings suggest that information about peer performance is not used at the end of the year. Instead, peer performance seems to be incorporated in performance targets at the beginning of the year, at least among firms primarily using objective performance measurements. In addition, I provide new evidence on the determinants of the use of subjectivity.
ContributorsTsui, Stephanie (Author) / Matejka, Michal (Thesis advisor) / Hwang, Yuhchang (Committee member) / Kaplan, Steven (Committee member) / Arizona State University (Publisher)
Created2013
Description
The Chinese capital market is characterized by high segmentation due to governmental regulations. In this thesis I investigate both the causes and consequences of this market segmentations. Specifically, I address the following questions: (1) to which degree this capital market segmentation is caused by the fragmented regulations in China, (2) what are the key characteristics of this market segmentation, and (3) what are the impacts of this market segmentation on capital costs and resources allocations. Answers to these questions can have important implications for Chinese policy makers to improve capital market regulatory coordination and efficiency. I organize this thesis as follows. First, I define the concepts of capital market segmentation and fragmented regulation based on literature reviews and theoretical analysis. Next, on the basis of existing theories and methods in finance and economics, I select a number of indicators to systematically measure the degree of regulatory segmentation in China’s capital market. I then develop an econometric model of capital market frontier efficiency analysis to calculate and analyze China’s capital market segmentation and regulatory fragmentation. Lastly, I use the production function analysis technique and the even study method to examine the impacts of fragmented regulatory segmentation on the connections and price distortions in the equity, debt, and insurance markets. Findings of this thesis enhance the understanding of how institutional forces such as governmental regulations influence the function and efficiency of the capital markets.
ContributorsJia, Shaojun (Author) / Hwang, Yuhchang (Thesis advisor) / Chen, Hong (Committee member) / Wahal, Sunil (Committee member) / Arizona State University (Publisher)
Created2015
Description
This study provides new evidence on the choice of performance measures used in dual-class firms to incentivize CEOs. The choice of performance measures is informative about the extent to which the board of directors focuses CEO efforts on firms' long-term versus short-term objectives. To empirically operationalize performance evaluation horizon, I measure the length of the performance evaluation period in CEO stock awards, the use of stock-based measures, and the use of peer-based measures. I collect data on 419 dual-class firms and match them with a control group of single-class firms. I find that market-based metrics are less likely to be used by dual-class firms relative to single-class firms. In addition, I find that peer-based measures are much less common for dual-class than single-class firms. These findings suggest that dual-class firms shield their executives from short-term market pressures and design stock compensation contracts that deemphasize volatile stock prices.
ContributorsLi, Ji (Author) / Matejka, Michal (Thesis advisor) / Hwang, Yuhchang (Committee member) / Reckers, Philip (Committee member) / Arizona State University (Publisher)
Created2014
Description
Responding to the allegedly biased research reports issued by large investment banks, the Global Research Analyst Settlement and related regulations went to great lengths to weaken the conflicts of interest faced by investment bank analysts. In this paper, I investigate the effects of these changes on small and large investor confidence and on trading profitability. Specifically, I examine abnormal trading volumes generated by small and large investors in response to security analyst recommendations and the resulting abnormal market returns generated. I find an overall increase in investor confidence in the post-regulation period relative to the pre-regulation period consistent with a reduction in existing conflicts of interest. The change in confidence observed is particularly striking for small traders. I also find that small trader profitability has increased in the post-regulation period relative to the pre-regulation period whereas that for large traders has decreased. These results are consistent with the Securities and Exchange Commission's primary mission to protect small investors and maintain the integrity of the securities markets.
ContributorsDong, Xiaobo (Author) / Mikhail, Michael (Thesis advisor) / Hwang, Yuhchang (Committee member) / Hugon, Artur J (Committee member) / Arizona State University (Publisher)
Created2011
Description
This dissertation focuses on risk prevention and regulatory issues of financial asset trading platforms, exploring the composition of a financial asset trading platform and its risks, formulating the general framework of platform risk prevention and regulation, and discussing the methodologies for monitoring and managing the risk of financial assets trading platform. The dissertation is divided into eight chapters. The first chapter is the introduction, which discusses the current status in this research field, the motivation and significance of the research topic. The second chapter discusses the transaction cost theory, information asymmetry theory, financial risk management theory, financial supervision theory and other related basic theories related to financial asset trading platform risk prevention and supervision. The third chapter presents the definition, the main types, the generating mechanism and the transmission mechanism of the financial asset trading platform. The fourth chapter elaborates theoretically on the general framework of financial asset trading platform risk prevention and supervision based on the aspects of basic principles, key tasks, applicable methods and constituent elements. The fifth chapter discusses the performance of financial asset trading business, asset return trading business, financing business and information coupling business on financial asset trading platforms, and analyzes the risk prevention of financial asset trading platforms from a business perspective. The sixth chapter discusses the development of financial asset trading platforms in developed countries, and summarizes the experience and practice of their risk prevention and supervision based on four categories of business lines. On this basis, the dissertation draws the inspiration and implications for the future development of the trading platforms in our country. The seventh chapter puts forward policy recommendations regarding risk prevention and supervision of financial asset trading platforms in five aspects: legal positioning, credit information system, protection of consumer rights, self-discipline management and business supervision.
ContributorsXu, Chaojun (Author) / Hwang, Yuhchang (Thesis advisor) / Yan, Hong (Thesis advisor) / Chang, Chun (Committee member) / Arizona State University (Publisher)
Created2017
Description中国商品期货市场经历30年发展，已初备协调资源分配、对冲经营风险的功能。但受产业自身和期货市场发展的制约，各期货品种市场有效性参差不齐。随着我国经济从增量阶段过渡到存量阶段，期货作为企业的价格管理和风险控制工具的重要性日益凸显，因此研究我国商品期货市场有效性具有非常好的现实意义。
本文开创性的从期货的基本功能——资源配置的角度出发，提出有效市场是指其期货价格能够对本行业社会资源起到合理的调配作用的市场。在内容安排上，本文首先总结了现有国际成熟期货品种的特点并找出能够反映期货对资源配置能力的四个指标假说，分别为期现回归性、利润波动性、库存波动性以及现金流变化，然后通过数学模型证明指标数据和品种成熟度的关联，最后应用该套指标对我国商品市场有效性进行检验。数学方法上，本文先采用Bai-Perron内生多重结构突变模型对时间序列进行突变点检验，然后对断点时间序列分别进行多元回归，并在剔除季节性和周期性后，通过平稳性检验、ARCH效应检验结果来确定相应的Garch模型，并用Garch模型来描述时间序列的波动性。
通过数学验证，我们认为期现回归性、利润波动性、库存波动性以及现金流变化这四个指标可以作为反映期货成熟度的检验指标，用该套方法对国内部分活跃品种检验后发现大连豆粕期货已经具备成熟品种的特征，本文认为豆粕期货市场是有效的；PTA、玉米淀粉期货的四个检验指标在近年来表现出时间序列优化的特点，但因时间较短尚不稳定，可以认为是接近成熟的品种；而螺纹钢和铝期货在多数指标上表现不佳，表明他们对社会资源配置能力较差，因此本文认为螺纹钢和铝期货市场是活跃但非有效的。通过进一步分析，本文认为品种的期现回归性差是制约其资源配置能力发挥的关键因素，而交易标的不明确、
仓单制作难度大、产业参与度低以及期货设计中的其他限制因素又是导致期现回归性差的重要原因。
本文开创性的从期货的基本功能——资源配置的角度出发，提出有效市场是指其期货价格能够对本行业社会资源起到合理的调配作用的市场。在内容安排上，本文首先总结了现有国际成熟期货品种的特点并找出能够反映期货对资源配置能力的四个指标假说，分别为期现回归性、利润波动性、库存波动性以及现金流变化，然后通过数学模型证明指标数据和品种成熟度的关联，最后应用该套指标对我国商品市场有效性进行检验。数学方法上，本文先采用Bai-Perron内生多重结构突变模型对时间序列进行突变点检验，然后对断点时间序列分别进行多元回归，并在剔除季节性和周期性后，通过平稳性检验、ARCH效应检验结果来确定相应的Garch模型，并用Garch模型来描述时间序列的波动性。
通过数学验证，我们认为期现回归性、利润波动性、库存波动性以及现金流变化这四个指标可以作为反映期货成熟度的检验指标，用该套方法对国内部分活跃品种检验后发现大连豆粕期货已经具备成熟品种的特征，本文认为豆粕期货市场是有效的；PTA、玉米淀粉期货的四个检验指标在近年来表现出时间序列优化的特点，但因时间较短尚不稳定，可以认为是接近成熟的品种；而螺纹钢和铝期货在多数指标上表现不佳，表明他们对社会资源配置能力较差，因此本文认为螺纹钢和铝期货市场是活跃但非有效的。通过进一步分析，本文认为品种的期现回归性差是制约其资源配置能力发挥的关键因素，而交易标的不明确、
仓单制作难度大、产业参与度低以及期货设计中的其他限制因素又是导致期现回归性差的重要原因。
ContributorsWang, Ping (Author) / Gu, Bin (Thesis advisor) / Li, Feng (Thesis advisor) / Yan, Hong (Committee member) / Arizona State University (Publisher)
Created2019
Description本文采用2010年1月1日至2017年12月31日在香港主板IPO上市的共574家公司作为研究样本，系统采集包括与发行人、承销商、投资人、发行热度、市场每日交易数据等相关的数据近100项，对超额配售选择权在香港IPO中的实际效用进行实证研究，研究发现：1）超额配售选择的确可以起到提高发行价格，降低IPO抑价率的作用，但是同时也是破发的主要原因。2）由超额配售选择权赋予承销商稳价行为中，市场买入量越大，最大回撤越大，市场下跌风险越大同时超额配售选择权还导致了最大回撤日的推后，增大了稳价结束后的市场风险，而这很有可能是由于承销商追求更高利益造成的。3）没有证据显示，超额配售选择权会降低承销商的佣金比例，但是，超额配售选择权却为承销商带来非常高的额外收益，而这个收益与市场下跌幅度和承销商从市场购买股份的比例直接相关。
其中，本文首次对最大回撤率、最大回撤日与承销商市场买入量之间的关系进行实证研究，揭示了承销商市场买入量与承销商收益正相关，与最大回撤率负相关，与最大回撤日正相关的关系，可能是增加市场下跌风险的因素。这与现有理论中及监管机构的预期中，“超额配售选择权具有向上稳定价格的作用”是有一定偏差的。
根据研究结果，本文首先建议发行人要客观对待超额配售选择权提升发行价格的作用，以免引起破发。其次建议市场投资人要客观认识超额配售选择权的作用，不要由于超额配售选择权的存在给与发行过高的认同价格。再次建议发行人要能够认识到超额配售选择权是承销商零成本获得的一个有固定收益保障的看空期权，是承销商在承销IPO时的收益之一，而股价下跌幅度与承销商的收益正相关。因此要对承销商的稳价行为进行一定管控，同时可以因为超额配售选择权的存在而要求更低的承销佣金比例。最后建议承销商要维护市场公平，爱护自己的声誉，尽可能避免因超额配售选择权的使用对市场造成不应有的干扰。
其中，本文首次对最大回撤率、最大回撤日与承销商市场买入量之间的关系进行实证研究，揭示了承销商市场买入量与承销商收益正相关，与最大回撤率负相关，与最大回撤日正相关的关系，可能是增加市场下跌风险的因素。这与现有理论中及监管机构的预期中，“超额配售选择权具有向上稳定价格的作用”是有一定偏差的。
根据研究结果，本文首先建议发行人要客观对待超额配售选择权提升发行价格的作用，以免引起破发。其次建议市场投资人要客观认识超额配售选择权的作用，不要由于超额配售选择权的存在给与发行过高的认同价格。再次建议发行人要能够认识到超额配售选择权是承销商零成本获得的一个有固定收益保障的看空期权，是承销商在承销IPO时的收益之一，而股价下跌幅度与承销商的收益正相关。因此要对承销商的稳价行为进行一定管控，同时可以因为超额配售选择权的存在而要求更低的承销佣金比例。最后建议承销商要维护市场公平，爱护自己的声誉，尽可能避免因超额配售选择权的使用对市场造成不应有的干扰。
ContributorsXie, Hui (Author) / Gu, Bin (Thesis advisor) / Yan, Hong (Thesis advisor) / Jiang, Zhan (Committee member) / Arizona State University (Publisher)
Created2019
Description中医药是中华文明的瑰宝，中药材是中医药文化和产业的核心。随着近年来国家相关政策出台，中药材产业的发展备受瞩目。由于中药材产业链条长，层级多，各层级间信息不对称，因而中药材市场普遍具有“假”、“乱”、“杂”的问题。
A公司的中药材全产业链服务商模式，通过对上游各主要专营商的整合，形成一定的平台综合集采能力，并开始得到下游医药厂家、药店认可，在市场逐步形成品牌号召力。本文实证研究A公司商业模式的转型对中药材市场价格的影响，进而分析中药材全产业链服务商模式在中药材行业健康发展中所发挥的积极作用。研究结果表明，上下游产销结合的中药材全产业链服务商模式，只有在形成一定收购规模，对市场价格产生一定影响的时候，才能充分释放药材质量的信号，润滑药材交易市场，提高收购价格，增加市场波动率，发挥价格发现作用。由于中药材市场的信息不对称程度较高，如果产销结合模式仍处于初级开创阶段，产销结合模式释放的药材质量信号则不足以全面改善信息不对称的状况。
A公司的中药材全产业链服务商模式，通过对上游各主要专营商的整合，形成一定的平台综合集采能力，并开始得到下游医药厂家、药店认可，在市场逐步形成品牌号召力。本文实证研究A公司商业模式的转型对中药材市场价格的影响，进而分析中药材全产业链服务商模式在中药材行业健康发展中所发挥的积极作用。研究结果表明，上下游产销结合的中药材全产业链服务商模式，只有在形成一定收购规模，对市场价格产生一定影响的时候，才能充分释放药材质量的信号，润滑药材交易市场，提高收购价格，增加市场波动率，发挥价格发现作用。由于中药材市场的信息不对称程度较高，如果产销结合模式仍处于初级开创阶段，产销结合模式释放的药材质量信号则不足以全面改善信息不对称的状况。
ContributorsYin, Xiaowei (Author) / Shen, Wei (Thesis advisor) / Yan, Hong (Thesis advisor) / Gu, Bin (Committee member) / Arizona State University (Publisher)
Created2019
Description本研究旨在讨论融资租赁公司与承租的中小企之间的匹配因素。研究从融资租赁的实际业务流程切入，研究1对H公司进行了案例分析，得到基本的影响因素结果，继而研究2和研究3分别在中小企客户和融资租赁公司两类资料中独立展开分析，并比较这些因素的影响程度。研究结果发现了影响双向匹配的四个维度，以及在各自影响力的不同。研究最后分别对融资租赁公司和承租中小企提出了建议，以期提高双方匹配并达成业务的概率。
ContributorsWang, Dinghui (Author) / Pei, Ker-Wei (Thesis advisor) / Yan, Hong (Thesis advisor) / Li, Feng (Committee member) / Arizona State University (Publisher)
Created2019