Three Essays on the Interrelationships Among Financial Restatements, Corporate Governance, Market Microstructure and the Firm's Rate of Return

The increase in the number of financial restatements in recent years has resulted in a significant decrease in the amount of market capitalization for restated companies. Prior literature does not differentiate between single and multiple restatements announcements. This research investigates the inter-relationships among multiple financial restatements, corporate governance, market microstructure and the firm's rate of return in the form of three essays by differentiating between single and multiple restatement announcement companies. First essay examines the stock performance of companies announcing the financial restatement multiple times. The postulation is that prior research overestimates the abnormal return by not separating single restatement companies from multiple restatement companies. This study investigates how market penalizes the companies that announce restatement more than once. Differentiating the restatement announcement data based on number of restatement announcements, the results support for non persistence hypothesis that the market has no memory and negative abnormal returns obtained after each of the restatement announcements are completely random. Second essay examines the multiple restatement announcements and its perceived resultant information asymmetry around the announcement day. This study examines the pattern of information asymmetry for these announcements in terms of whether the bid-ask spread widens around the announcement day. The empirical analysis supports the hypotheses that the spread does widen not only around the first restatement announcement day but around every subsequent announcement days as well. The third essay empirically examines the financial and corporate governance characteristics of single and multiple restatement announcements companies. The analysis shows that corporate governance variables influence the occurrence of multiple restatement announcements and can distinguish multiple restatements announcement companies from single restatement announcement companies.

Acoustic Manipulation and Alignment of Particles for Applications in Separation, Micro-Templating, and Device Fabrication

This dissertation studies the manipulation of particles using acoustic stimulation for applications in microfluidics and templating of devices. The term particle is used here to denote any solid, liquid or gaseous material that has properties, which are distinct from the fluid in which it is suspended. Manipulation means to take over the movements of the particles and to position them in specified locations. Using devices, microfabricated out of silicon, the behavior of particles under the acoustic stimulation was studied with the main purpose of aligning the particles at either low-pressure zones, known as the nodes or high-pressure zones, known as anti-nodes. By aligning particles at the nodes in a flow system, these particles can be focused at the center or walls of a microchannel in order to ultimately separate them. These separations are of high scientific importance, especially in the biomedical domain, since acoustopheresis provides a unique approach to separate based on density and compressibility, unparalleled by other techniques. The study of controlling and aligning the particles in various geometries and configurations was successfully achieved by controlling the acoustic waves. Apart from their use in flow systems, a stationary suspended-particle device was developed to provide controllable light transmittance based on acoustic stimuli. Using a glass compartment and a carbon-particle suspension in an organic solvent, the device responded to acoustic stimulation by aligning the particles. The alignment of light-absorbing carbon particles afforded an increase in visible light transmittance as high as 84.5%, and it was controlled by adjusting the frequency and amplitude of the acoustic wave. The device also demonstrated alignment memory rendering it energy-efficient. A similar device for suspended-particles in a monomer enabled the development of electrically conductive films. These films were based on networks of conductive particles. Elastomers doped with conductive metal particles were rendered surface conductive at particle loadings as low as 1% by weight using acoustic focusing. The resulting films were flexible and had transparencies exceeding 80% in the visible spectrum (400-800 nm) These films had electrical bulk conductivities exceeding 50 S/cm.

Microstructure Characteristics of U.S. Futures Markets

Prior finance literature lacks a comprehensive analysis of microstructure characteristics of U.S. futures markets due to the lack of data availability. Utilizing a unique data set for five different futures contract this dissertation fills this gap in the finance literature. In three essays price discovery, resiliency and the components of bid-ask spreads in electronic futures markets are examined. In order to provide comprehensive and robust analysis, both moderately volatile pre-crisis and volatile crisis periods are included in the analysis. The first essay entitled “Price Discovery and Liquidity Characteristics for U.S. Electronic Futures and ETF Markets” explores the price discovery process in U.S. futures and ETF markets. Hasbrouck’s information share method is applied to futures and ETF instruments. The information share results show that futures markets dominate the price discovery process. The results on the factors that affect the price discovery process show that when volatility increases, the price leadership of futures markets declines. Furthermore, when the relative size of bid-ask spread in one market increases, its information share decreases. The second essay, entitled “The Resiliency of Large Trades for U.S. Electronic Futures Markets,“ examines the effects of large trades in futures markets. How quickly prices and liquidity recovers after large trades is an important characteristic of financial markets. The price effects of large trades are greater during the crisis period compared to the pre-crisis period. Furthermore, relative to the pre-crisis period, during the crisis period it takes more trades until liquidity returns to the pre-block trade levels. The third essay, entitled “Components of Quoted Bid-Ask Spreads in U.S. Electronic Futures Markets,” investigates the bid-ask spread components in futures market. The components of bid-ask spreads is one of the most important subjects of microstructure studies. Utilizing Huang and Stoll’s (1997) method the third essay of this dissertation provides the first analysis of the components of quoted bid-ask spreads in U.S. electronic futures markets. The results show that order processing cost is the largest component of bid-ask spreads, followed by inventory holding costs. During the crisis period market makers increase bid-ask spreads due to increasing inventory holding and adverse selection risks.