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- Creators: Arizona State University
- Creators: Budolfson, Arthur
Description
I examine the degree to which stockholders' aggregate gain/loss frame of reference in the equity of a given firm affects their response to the firm's quarterly earnings announcements. Contrary to predictions from rational expectations models of trade (Shackelford and Verrecchia 2002), I find that abnormal trading volume around earnings announcements is larger (smaller) when stockholders are in an aggregate unrealized capital gain (loss) position. This relation is stronger among seller-initiated trades and weaker in December, consistent with the cognitive bias referred to as the disposition effect (Shefrin and Statman 1985). Sensitivity analysis reveals that the relation is stronger among less sophisticated investors and for firms with weaker information environments, consistent with the behavioral explanation. I also present evidence on the consequences of this disposition effect. First, stockholders' aggregate unrealized capital gain position moderates the degree to which information-related determinants of trade (e.g. unexpected earnings, firm size, and forecast dispersion) affect abnormal announcement-window trading volume. Second, stockholders' aggregate unrealized capital gains position is associated with announcement-window abnormal returns, consistent with the disposition effect reducing the market's ability to efficiently incorporate earnings news into price.
ContributorsWeisbrod, Eric (Author) / Hillegeist, Stephen (Thesis advisor) / Kaplan, Steven (Committee member) / Mikhail, Michael (Committee member) / Arizona State University (Publisher)
Created2012
Description
This paper investigates whether measures of investor sentiment can be used to predict future total returns of the S&P 500 index. Rolling regressions and other statistical techniques are used to determine which indicators contain the most predictive information and which time horizons' returns are "easiest" to predict in a three year data set. The five "most predictive" indicators are used to predict 180 calendar day future returns of the market and simulated investment of hypothetical accounts is conducted in an independent six year data set based on the rolling regression future return predictions. Some indicators, most notably the VIX index, appear to contain predictive information which led to out-performance of the accounts that invested based on the rolling regression model's predictions.
ContributorsDundas, Matthew William (Author) / Boggess, May (Thesis director) / Budolfson, Arthur (Committee member) / Hedegaard, Esben (Committee member) / Barrett, The Honors College (Contributor) / School of Mathematical and Statistical Sciences (Contributor) / Department of Finance (Contributor)
Created2013-12
Description
Every year, major companies buy Super Bowl advertisements (‘ads’) to fuel growth through the creation of brand awareness among a large, diverse audience. Although measuring the effectiveness of these marketing tactics is difficult, evaluating the abnormal returns (‘alpha’) of company stocks in the five days following the Super Bowl is effective because it provides insight into how actual returns compare to expected returns (calculated using data from the preceding 250 days). Analysis of a comprehensive sample, which includes all Super Bowl ads for public companies between the years 2015 and 2019, accurately demonstrates the relationship between these returns, illustrating the effectiveness of this type of marketing. To account for variation resulting from different inputs in different financial models, it is important to evaluate alpha based on several, reputable models of expected return to best capture the result. In this study, alpha will be analyzed using the Capital Asset Pricing Model (‘CAPM’) and the Fama and French 3 and 5 factor models. Although the ideology that increased marketing improves stock returns through brand awareness suggests a positive alpha, these models all indicate a statistically significant negative alpha for large, public companies who bought Super Bowl ads over the past five years. Therefore, actual returns, on average, are lower than projected returns for the evaluated five-day window following the Super Bowl. In examining alpha and statistical significance according to these financial models, this thesis will explore different market factors that may explain this counterintuitive result, primarily focusing on the investors’ opinions about this type of marketing. Therefore, in researching various discrepancies contributing to the negative alpha result, this study will accurately assess the effectiveness of Super Bowl advertising in terms of stock performance.
ContributorsWynne, Shannon Elizabeth (Author) / Budolfson, Arthur (Thesis director) / Smith, Geoffrey (Committee member) / Department of Finance (Contributor, Contributor) / Barrett, The Honors College (Contributor)
Created2019-12
Description
The classification of financially at-risk is an expansive term that fits the personal profile of most individuals when it comes to the conditioning of their attitude toward money management, particularly in the planning and investment of that money for the achievement of long-term goals. In the case of this thesis, we focus primarily on those who have made a career in professional athletics and entertainment. The behavioral finance tendencies of these two industry professions are widely regarded as insufficient and often damaging the to the longevity of achieved financial security. This ideology stems primarily from an environment where individuals enjoy rapid wealth accumulation in a highly competitive and constantly transitioning role within their respective crafts. The subjectively common behavioral shortcomings of these world-class athletes and performers and uncertain day-to-day security of the professions which these at-risk individuals possess make for highly unfavorable circumstances when striving to achieve a lifetime of income and a secure retirement. In examining individuals of these classes who have faced grave financial hardship, this thesis will serve as a basis for identifying measures to recondition problematic behavioral tendencies that ultimately cause disengagement from a prudent financial plan. Therefore, this thesis will also serve as a framework to determine what investment strategies will complement the behavioral modifications financial planners strive to instill in these individuals, so that professional athletes, celebrities, and financially at-risk professionals alike may achieve higher probability of creating financial freedom through the engaged execution of a goals-based financial plan.
ContributorsKeller, Charles Phillip (Author) / Licon, Wendell (Thesis director) / Budolfson, Arthur (Committee member) / Department of Supply Chain Management (Contributor) / Dean, W.P. Carey School of Business (Contributor) / Barrett, The Honors College (Contributor)
Created2019-05
Description基于人类加密学，第一例加密数字货币“比特币”的概念最初由中本聪在2008年11月1日提出，于2009年1月3日正式诞生。经过14年的历程，整个加密货币世界得到了快速的发展、加密生态得到了极大的繁荣、有利的推动了整个人类数字文明的衍进和发展。截至2021年5月，加密货币总市值达到2.4万亿美元的峰值，加密数字货币的数量已经近6000种。单只市值超过10亿美元的数字货币有77个，单只市值超过100万美元的数字货币有1600个。虽然对加密货币究竟应该定义为商品还是证券仍存在巨大争议，但毫无疑问的是加密货币已经成为瞩目且不可忽视的一类投资性资产。
本论文试图从金融资产分析框架和行为金融学角度出发，探究比特币和以太币这两只最具有代表性的数字货币的价格影响因素。本论文分别从宏观和微观两个维度探究两个维度下的因素对价格波动的影响。从宏观视角出发探究问题一：通缩发行机制、联储货币政策、以及中美监管政策对比特币及以太币价格的影响。从微观视角出发探究问题二：加密货币的应用、市场行为金融的视角看其比特币及以太币价格波动的影响。
本论文通过应用定性和定量相结合的研究分析方法，运用一系列时间序列回归模型、相关性分析、区间统计分析、经典行为金融学动能效应模型等工具对上述两个维度的问题进行深度研究和论证，发现各个角度中所涵盖的因素对以比特币和以太币为代表的数字货币价格的影响，同时涵盖了影响的方向和影响的层度，并构建多因素定价模型。
ContributorsLiu, Hongjie (Author) / Zhang, Zhongju (Thesis advisor) / Hu, Jie (Thesis advisor) / Zheng, Zhiqiang (Committee member) / Arizona State University (Publisher)
Created2023
Description
Firms are increasingly being held accountable for the unsustainable actions of their suppliers. Stakeholders, regulatory agencies, and customers alike are calling for increased levels of transparency and higher standards of corporate social responsibility (CSR) performance for suppliers. While it is apparent that supplier performance is important, it remains unclear how the stock market weighs the CSR performance of a supplier relative to that of a focal firm. This dissertation focuses on whether these relative differences exist. In addition to capturing the magnitude of the difference in market impact between focal firm and supplier CSR events; I analyze the ways in which these differences have changed over time. To capture this evolution, CSR events ranging over a period from 1994 to 2013 are examined. This research utilizes an event study methodology in which the announcement of over 2,300 CSR events are identified and analyzed to determine the subsequent stock market reaction. I find that while the market evaluated negative supplier CSR events less harshly than events occurring at the buying firm in the early years of the sample, by the turn of the millennium this “supplier discounting" had disappeared. The analysis is broken down by CSR event "type". Findings demonstrate that negative CSR events, particularly those revolving around worker or customer safety, generate the most significant abnormal return. The findings of this dissertation produce valuable managerial insights along with interpretation. Resources are scarce, and understanding where a firm might best allocate their resources to avoid financial penalties will be valuable information for corporate decision makers. These findings present clear evidence that some of these resources should be allocated to supplier CSR performance, not just towards the CSR performance of the focal firm.
ContributorsRogers, Zachary S (Author) / Carter, Craig (Thesis advisor) / Dooley, Kevin (Committee member) / Singhal, Vinod (Committee member) / Arizona State University (Publisher)
Created2016
Description
Private placement is an important financing tool for listed companies in China, and the lock-up arrangement is its supporting system. The Efficient Market Hypothesis suggests that, if investor expectations are unbiased, there will be no abnormal fluctuations in the stock prices of listed companies before and after the unlocking day. However, around the time of the unlocking of private placement shares, the stock prices generally show a V-shaped pattern.
Through the empirical analysis of the Chinese A-share stocks from May 8th,2006 to December 31st, 2016, I found that from the 40th day before the unlocking day to the 90th day after, the stock price showed an evident first-downward-then upward trend. The lowest price appeared near the unlocking day. Meanwhile, the greater stocks fall before the unlocking day, the greater prices rise after that. The characteristics of the distinctive difference between the stock prices before and after the unlocking day can provide investment opportunities.
By reviewing research on investor behavior, this paper suggests that the V-shaped pattern can be explained by the influence of investors’ psychological factors on their trading behavior. The general performance of the stocks before the unlocking day is negative due to the increasing uncertainty perceived by investors. After the unlocking day, the uncertainty gradually disappears and the stock rebounds. In addition, I found that stock returns during the lock-up period, shareholder background, and the length of lock-up period also had significant impacts on the V-shaped price trend.
Through the empirical analysis of the Chinese A-share stocks from May 8th,2006 to December 31st, 2016, I found that from the 40th day before the unlocking day to the 90th day after, the stock price showed an evident first-downward-then upward trend. The lowest price appeared near the unlocking day. Meanwhile, the greater stocks fall before the unlocking day, the greater prices rise after that. The characteristics of the distinctive difference between the stock prices before and after the unlocking day can provide investment opportunities.
By reviewing research on investor behavior, this paper suggests that the V-shaped pattern can be explained by the influence of investors’ psychological factors on their trading behavior. The general performance of the stocks before the unlocking day is negative due to the increasing uncertainty perceived by investors. After the unlocking day, the uncertainty gradually disappears and the stock rebounds. In addition, I found that stock returns during the lock-up period, shareholder background, and the length of lock-up period also had significant impacts on the V-shaped price trend.
ContributorsZhang, Hongwei (Author) / Zhu, Hongquan (Thesis advisor) / Yan, Hong (Thesis advisor) / Gu, Bin (Committee member) / Arizona State University (Publisher)
Created2018
Description随着我国资本市场的快速发展，连续并购成为上市公司实现市值提升的重要策略，然而对于连续并购是否能实现有效价值创造和市值增长，国内外文献研究均没有一致的结论。本文研究连续并购对上市公司短期和长期绩效的影响，并探究管理层过度自信现象和学习效应、公司股权性质和并购交易特征等对结果的影响，就企业如何更好的发挥连续并购价值创造功能，避免潜在风险等方面提出相应建议。利用国泰安（CSMAR）并购重组数据库, 本文以2010-2017年A股公司为研究样本，通过事件研究法发现，连续并购能带来正的超额收益(CAR)，但当连续并购阶次达到4阶时，市场反应明显变负。CAR随着阶次递增呈现下降趋势，证明了连续并购的财富递减效应。进一步地，本文发现首次并购成功带来的过度自信会导致高阶次并购绩效不断下降；管理层未经过充分学习和准备就进行的并购，会伤害公司短期绩效，并且可能阻碍公司更高阶的并购事件的发生。结果证明了管理者过度自信假说在A股市场的适用性，以及组织学习理论的部分解释能力。控制并购交易等因素后的多元回归结果和前述发现一致。
接下来，本文采用多元回归对连续并购长期绩效影响进行实证检验。在经营绩效方面，连续并购行为短期内不会产生明显负面影响，但随着并购的完成和新业务的开展，连续并购对经营业绩的负面影响逐渐凸显并显著，结果证实连续并购对公司长期经营业绩是有害的。交易特征变量、公司治理结构和财务状态一定程度上能够改善公司长期业绩。对于长期市场估值倍数，本文发现连续并购能够显著提升公司的市场估值倍数， 并且该正面影响随着并购的完成和新业务的开展不断增强。进一步探究发现，连续并购对经营绩效的负面影响只存在于国有企业，而连续并购对市场估值倍数的提升作用只存在于私有企业，从而解释了连续并购后经营绩效和市场化估值倍数结果相悖现象的出现。基于本文发现，文章最后向上市公司管理层的并购决策提出了相应建议。
ContributorsLi, Zhuang (Author) / Pei, Ker-Wei (Thesis advisor) / Yu, Xiaoyun (Committee member) / Arizona State University (Publisher)
Created2021