Empirical studies on share issuance and repurchase decisions

Financial constraints influence corporate policies of firms, including both investment decisions and external financing policies. The relevance of this phenomenon has become more pronounced during and after the recent financial crisis in 2007/2008. In addition to raising costs of external financing, the effects of financial crisis limited the availability of external financing which had implications for employment, investment, sale of assets, and tech spending. This thesis provides a comprehensive analysis of the effects of financial constraints on share issuance and repurchases decisions. Financial constraints comprise both internal constraints reflecting the demand for external financing and external financial constraints that relate to the supply of external financing. The study also examines both operating performance and stock market reactions associated with equity issuance methods. The first empirical chapter explores the simultaneous effects of financial constraints and market timing on share issuance decisions. Internal financing constraints limit firms’ ability to issue overvalued equity. On the other hand, financial crisis and low market liquidity (external financial constraints) restrict availability of equity financing and consequently increase the costs of external financing. Therefore, the study explores the extent to which internal and external financing constraints limit market timing of equity issues. This study finds that financial constraints play a significant role in whether firms time their equity issues when the shares are overvalued. The conclusion is that financially constrained firms issue overvalued equity when the external equity market or the general economic conditions are favourable. During recessionary periods, costs of external finance increase such that financially constrained firms are less likely to issue overvalued equity. Only unconstrained firms are more likely to issue overvalued equity even during crisis. Similarly, small firms that need cash flows to finance growth projects are less likely to access external equity financing during period of significant economic recessions. Moreover, constrained firms have low average stock returns compared to unconstrained firms, especially when they issue overvalued equity. The second chapter examines the operating performance and stock returns associated with equity issuance methods. Firms in the UK can issue equity through rights issues, open offers, and private placement. This study argues that alternative equity issuance methods are associated with a different level of operating performance and long-term stock returns. Firms using private placement are associated with poor operating performance. However, rights issues are found empirically to be associated with higher operating performance and less negative long-term stock returns after issuance in comparison to counterpart firms that issue private placements and open offers. Thus, rights issuing firms perform better than open offers and private placement because the favourable operating performance at the time of issuance generates subsequent positive long-run stock price response. Right issuing firms are of better quality and outperform firms that adopt open offers and private placement. In the third empirical chapter, the study explores the levered share repurchase of internally financially unconstrained firms. Unconstrained firms are expected to repurchase their shares using internal funds rather than through external borrowings. However, evidence shows that levered share repurchases are common among unconstrained firms. These firms display this repurchase behaviour when they have bond ratings or investment grade ratings that allow them to obtain cheap external debt financing. It is found that internally financially unconstrained firms borrow to finance their share repurchase when they invest more. Levered repurchase firms are associated with less positive abnormal returns than unlevered repurchase firms. For the levered repurchase sample, high investing firms are associated with more positive long-run abnormal stock returns than low investing firms. It appears the market underreact to the levered repurchase in the short-run regardless of the level of investments. These findings indicate that market reactions reflect both undervaluation and signaling hypotheses of positive information associated with share repurchase. As the firms undertake capital investments, they generate future cash flows, limit the effects of leverage on financial distress and ultimately reduce the risk of the equity capital.

The Impact of Expropriations on the Stock Prices of the Parent Companies: Sell on the rumor, buy on the news?

We measure the impact of warnings of expropriation and of forced divestments of pri- vate property on the stock prices of the parent company. We use a unique database of 116 events in 12 countries from 2005 to 2013. Our results show signi cant negative effects on the stock prices of different kinds of warnings; the largest effect is when the warning takes the form of a transitory permit revocation. In the case of forced divestments, we nd a signi cant negative impact when there is a permanent revocation of a permit. However, nationalizations seem to generate a positive market reaction.

As relações da tríplice hélice no setor da carcinicultura do Rio Grande do Norte: uma análise a partir das abordagens da imersão social e da dependência de recursos

This work consists in a study of the Shrimp Industry in the state of Rio Grande do Norte, whose central issue relates to the understanding of how the Triple Helix (University, Government and the productive sector) interrelationship limits or expands the industry s innovation process. The study aims to understand how the Triple Helix relationship interferes in the innovation process of shrimp in Rio Grande do Norte. As the knowledge becomes the resource key for production methods, the generation of new technologies, new products and processes which demands joint and integrated action of the institutions comprising the Triple Helix: University, Government and productive sector, which possess the essential resources to innovate the process and can be maximized from cooperative relationships between the referred Institutions. Thus, in this work, it was sharply used the pioneering studies of Sabato and Botana (1968) regarding the cooperation relationship between the scientific-technological sphere, the governmental and the productive base, and studies on the Triple Helix approach, proposed by Etzkowitz and Leydesdorff (2000), in which the university has a key role in the process of technological and innovative development of countries and regions, and under which it is assigned to the very University - the character of the entrepreneurial institution, through the concept of entrepreneurial University. Aiming to overcome the criticism of Cooke (2005), regarding the limitations of the Triple Helix approach, in this study it was used - as analytical perspectives - the perspective of social immersion (Granovetter, 1985, 2005) and the theory of resources dependence (PFEFFER; SALANCIK, 1978). The analytical perspectives presented in here, despite of the different assumptions, are essential to eliminate the bias that one only approach can lead (ASTLEY; VAN DE VEM; 2007). The authors arguments focus on the fact that the integration is possible if the researcher acknowledged that different perspectives may have different descriptions of the same phenomenon. As a research strategy, this study is characterized as a study case, along with the proposed objectives - the qualitative method was used as an approach and, depending on the gathering of the sector s historical, a sectional longitudinal view approach was applied (VIEIRA, 2004). The primary and secondary data were used in order to understand the sector s evolutionary process and its inter-institutional relations - regarding the shrimp culture in Rio Grande do Norte - to promote the development, as the content was used for the technical analysis (BARDIN, 1977). The approach of social immersion and resources addiction dependence made it possible to understand that relationships are established within and between each sphere (university, government and productive sector) characterizing a network of low density relationships and strongly internal and external dependence. Based on the speech of Etzkowitz and Mello (2006), a successful Triple Helix strategy of innovation requires not only the involvement and commitment of the parts, within the institutional sphere and among them, but also the development of mechanisms to coordinate the multiple and complex interactions and interfaces, focusing on promoting both environment and context for innovation and learning; it can be acknowledge from study results that the shrimp in the State of the RN, although there are several institutional mechanisms to promote greater integration and technological development, has been presented disjointed - both internally and between the spheres - and under no legitimate practice when facing the innovational promotion and integration institutions. Due to those factors, the central institutions of the network are crucial to the promotion of innovations, spreading through their direct contacts the importance factor of the sustainable competitive activity in the world market and on the national level. However, it may be concluded, from the data, that the Triple Helix relations are interfering in a negative way on what concerns the promotion of innovations in the shrimp industry in RN

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda linha do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Searching for return: How Google search engine query data can beat the market

Throughout the last years technologic improvements have enabled internet users to analyze and retrieve data regarding Internet searches. In several fields of study this data has been used. Some authors have been using search engine query data to forecast economic variables, to detect influenza areas or to demonstrate that it is possible to capture some patterns in stock markets indexes. In this paper one investment strategy is presented using Google Trends’ weekly query data from major global stock market indexes’ constituents. The results suggest that it is indeed possible to achieve higher Info Sharpe ratios, especially for the major European stock market indexes in comparison to those provided by a buy-and-hold strategy for the period considered.

Evolução da capacidade preditiva da informação contábil : um estudo a partir dos disclosures das Companhias listadas na BM&FBovespa após a adoção das Normas Internacionais de Contabilidade no Brasil

Dissertação (mestrado)—Universidade de Brasília, Universidade Federal da Paraíba, Universidade Federal do Rio Grande do Norte, Programa de Pós-Graduação Multiinstitucional e Inter-Regional de Pós-Graduação em Ciências Contábeis, 2016.

Colombian mutual funds that invest in stocks: Do they create value?

Esta investigación evalúa el desempeño de 73 fondos de inversión colectiva (FIC) colombianos enfocados en acciones de 2005 a 2015 -- Para cuantificar el valor generado por estos fondos en comparación con sus respectivos activos de referencia (“benchmarks”), se calcula el alfa de Jensen mediante dos metodologías de regresión: Mínimos Cuadrados Ordinarios (MCO) y Regresión por Cuantiles -- También se analiza si estos fondos muestran evidencia de “market timing” o no, utilizando dos modelos: efecto cuadrático y variable binaria interactiva -- De igual manera, nuestro estudio propone la creación de una empresa privada en Colombia que provea a los inversores de información precisa sobre las características y desempeño histórico de estos fondos de inversión colectiva, como lo hace Morningstar Inc. en Estados Unidos -- Esto permitiría a los inversores seleccionar los fondos con mejores perspectivas y, como es de esperarse, haría este mercado más eficiente y atractivo para nuevos inversores potenciales

Three essays on liquidity

Doutoramento em Gestão.

The Survival and Stock Performance of Emerging Country Firms in the United States

Many firms from emerging markets flocked to developed countries at high cost with hopes of acquiring strategic assets that are difficult to obtain in home countries. Adequate research has focused on the motivations and strategies of emerging country firms' (ECFs') internationalization, while limited studies have explored their survival in advanced economies years after their venturing abroad. Due to the imprinting effect of home country institutions that inhibit their development outside their home market, ECFs are inclined to hire executives with international background and affiliate to world-wide organizations for the purpose of linking up with the global market, embracing multiple perspectives for strategic decisions, and absorbing the knowledge of foreign markets. However, the effects of such orientation on survival are under limited exploration. Motivated by the discussion above, I explore ECFs’ survival and stock performance in a developed country (U.S.). Applying population ecology, signaling theory and institutional theory, the dissertation investigates the characteristics of ECFs that survived in the developed country (U.S.), tests the impacts of global orientation on their survival, and examines how global-oriented activities (i.e. joining United Nations Global Compact) affect their stock performance. The dissertation is structured in the form of three empirical essays. The first essay explores and compares different characteristics of ECFs and developed country firms (DCFs) that managed to survive in the U.S. The second essay proposes the concept of global orientation, and tests its influences on ECFs’ survival. Employing signaling theory and institutional theory, the third essay investigates stock market reactions to announcements of United Nation Global Compact (UNGC) participation. The dissertation serves to explore the survival of ECFs in the developed country (U.S.) by comparison with DCFs, enriching traditional theories by testing non-traditional arguments in the context of ECFs’ foreign operation, and better informing practitioners operating ECFs about ways of surviving in developed countries and improving stockholders’ confidence in their future growth.

Determinants Of Firm Terminal Value: The Perspective Of North American And European Financial Analysts

Company valuation models attempt to estimate the value of a company in two stages: (1) comprising of a period of explicit analysis and (2) based on unlimited production period of cash flows obtained through a mathematical approach of perpetuity, which is the terminal value. In general, these models, whether they belong to the Dividend Discount Model (DDM), the Discount Cash Flow (DCF), or RIM (Residual Income Models) group, discount one attribute (dividends, free cash flow, or results) to a given discount rate. This discount rate, obtained in most cases by the CAPM (Capital asset pricing model) or APT (Arbitrage pricing theory) allows including in the analysis the cost of invested capital based on the risk taking of the attributes. However, one cannot ignore that the second stage of valuation that is usually 53-80% of the company value (Berkman et al., 1998) and is loaded with uncertainties. In this context, particular attention is needed to estimate the value of this portion of the company, under penalty of the assessment producing a high level of error. Mindful of this concern, this study sought to collect the perception of European and North American financial analysts on the key features of the company that they believe contribute most to its value. For this feat, we used a survey with closed answers. From the analysis of 123 valid responses using factor analysis, the authors conclude that there is great importance attached (1) to the life expectancy of the company, (2) to liquidity and operating performance, (3) to innovation and ability to allocate resources to R&D, and (4) to management capacity and capital structure, in determining the value of a company or business in long term. These results contribute to our belief that we can formulate a model for valuating companies and businesses where the results to be obtained in the evaluations are as close as possible to those found in the stock market

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.

Satellite IoT: a Study and Performance Analysis of GEO and LEO Systems

The study is divided into two main part: one focused on the GEO Satellite IoT and the other on the LEO Satellite IoT. Concerning the GEO Satellite IoT, the activity has been developed in the context of EUMETSAT Data Collection Service (DCS) by investigating the performance at the receiver within challenging scenarios. DCS are provided by several GEO Satellite operators, giving almost total coverage around the world. In this study firstly an overview of the DCS end-to-end architecture is given followed by a detailed description of both the tools used for the simulations: the DCP-TST (message generator and transmitter) and the DCP-RX (receiver). After generating several test messages, the performances have been evaluated with the addition of impairments (CW and sweeping interferences) and considerations in terms of BER and Good Messages are produced. Furthermore, a study on the PLL System is also conducted together with evaluations on the effectiveness of tuning the PLL Bw on the overall performance. Concerning the LEO Satellite IoT, the activity was carried out in the framework of the ASI Bidirectional IoT Satellite Service (BISS) Project. The elaborate covers a survey about the possible services that the project can accomplish and a technical analysis on the uplink MA. In particular, the LR-FHSS is proved to be a valid alternative for the uplink through an extensive analysis on its Network capacity and through the study of an analytic model for Success Probability with its Matlab implementation.

Massive MIMO-based system analysis and comparison with MIMO based-systems

The thesis is focused on introducing basic MIMO-based and Massive MIMO-based systems and their possible benefits. Then going through the implementation options that we have, according to 3GPP standards, for 5G systems and how the transition is done from a non-standalone 5G RAN to a completely standalone 5G RAN. Having introduced the above-mentioned subjects and providing some definition of telecommunications principles, we move forward to a more technical analysis of the Capacity, Throughput, Power consumption, and Costs. Comparing all the mentioned parameters between a Massive-MIMO-based system and a MIMO-based system. In the analysis of power consumption and costs, we also introduce the concept of virtualization and its benefits in terms of both power and costs. Finally, we try to justify a trade-off between having a more reliable system with a high capacity and throughput while keeping the costs as low as possible.

Análise cinemática tridimensional do salto em distância de atletas de alto nível em competição

Universidade Estadual de Campinas . Faculdade de Educação Física

Formação empirica na educação superior : um estudo de caso na Faculdade de Educação Fisica da Unicamp

Universidade Estadual de Campinas. Faculdade de Educação Física