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作者 Gaspar, Jose-Miguel
書名 Essays on the empirics of the stock market
國際標準書號 9780496077441
book jacket
說明 126 p
附註 Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3498
Chairman: Massimo Massa
Thesis (Ph.D.)--INSEAD (France and Singapore), 2004
This dissertation consists of three chapters. Chapter 1, "Shareholder Investment Horizons and the Market for Corporate Control", is an investigation of how the investment horizon of a firm's institutional shareholders impacts the market for corporate control. The chapter tests the joint hypothesis that firms held by short-term investors have a weaker bargaining position in acquisitions, and that weaker monitoring from short-term shareholders allows managers to proceed with value-reducing acquisitions at the expense of shareholder returns. The findings show that target firms with short-term shareholders are more likely to receive an acquisition bid, but get lower premiums, and that this effect is robust and economically significant. Additionally, bidder firms with short-term shareholders experience significantly worse abnormal returns around the merger announcement and higher long-run underperformance
Chapter 2, "Idiosyncratic Volatility and Product Market Competition", investigates the relation between a firm's competitive position and the idiosyncratic volatility of its stock price. The chapter tests the prediction that greater market power provides firms with a natural hedge against idiosyncratic shocks. The results show that firms with higher market power exhibit a lower absolute level of idiosyncratic volatility and also a higher ratio of systematic to total volatility. This second chapter contributes to the understanding of empirical trends of idiosyncratic volatility, and confirms the important link between stock market performance and the competitive environment of firms
Chapter 3, "Local Ownership as Private Information: Evidence on the Monitoring-Liquidity Trade-Off", uses local ownership as a proxy for private information on a stock. The chapter tests the hypothesis that, depending on the size of their stake, local privately informed investors have the incentives to improve corporate governance. At the same time, their presence reduces the firm's liquidity by increasing the adverse selection discount that uninformed investors demand to trade. The chapter finds strong evidence of both effects, using data on mutual fund holdings for a broad panel of U.S. firms. The results contribute to the understanding the liquidity-monitoring controversy and show that the illiquidity due to the presence of local investors may play a role in the observed abnormal performance uncovered by studies that focus on local ownership
School code: 1209
Host Item Dissertation Abstracts International 65-09A
主題 Economics, Finance
0508
Alt Author INSEAD (France and Singapore)
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