Three essays in corporate finance and institutional investors.

详细信息   

• 作者：Huang ; Jiekun.
• 学历：Doctor
• 年：2009
• 导师：Chemmanur, Thomas J.,eadvisorKisgen, Darren J.ecommittee memberMarcus, Alan J.ecommittee memberTaggart, Robert A.ecommittee memberTehranian, Hassanecommittee member
• 毕业院校：Boston College
• Department：Carroll School of Management
• ISBN：9781109238099
• CBH：3360101
• Country：USA
• 语种：English
• FileSize：1430453
• Pages：200

文摘

My Ph.D. dissertation consists of three essays. The first essay examines the effect of hedge funds on target shareholder gains in leveraged buyouts LBOs). I find that the initial buyout premium is increasing in the preannouncement presence of hedge funds, measured as the fraction of target equity held by hedge funds before the announcement. Using a geographic instrument for the presence of hedge fund, I find that this relationship persists even after controlling for endogeneity. I further show that this effect holds only for active hedge funds and long-term hedge funds, and is stronger for management-led LBOs than for third-party LBOs. Overall, the findings suggest that hedge funds protect target shareholder interests in LBOs by using their hold-out power. The second essay examines the relation between expected market volatility and the demand for liquidity in open-end mutual funds. The empirical results are consistent with precautionary motives for holding liquid assets, i.e., fund managers tilt their holdings more heavily toward liquid stocks when the market is expected to be more volatile. This dynamic preference for liquid stocks is more pronounced among small fund families, low-load funds, funds whose past performance has been unfavorable, funds with high return volatility, growth-oriented funds, and high-turnover funds. I further show that this type of behavior is valuable for fund investors during high volatility periods because it has led to significantly both statistically and economically) higher subsequent abnormal returns. The third essay, co-authored with Thomas Chemmanur and Gang Hu, directly tests Brennan and Hughes&rsquo； 1991) information production theory of stock splits by making use of a large sample of transaction-level institutional trading data. We compare brokerage commissions paid by institutional investors before and after a split, and relate the informativeness of institutional trading to brokerage commissions paid. We also compute realized institutional trading profitability net of brokerage commissions and other trading costs. Our results can be summarized as follows. First, both commissions paid and trading volume by institutional investors increase after a stock split. Second, institutional trading immediately after a split has predictive power for the firm&rsquo；s subsequent long-term stock return performance； this predictive power is concentrated in stocks which generate higher commission revenues for brokerage firms and is greater for institutions that pay higher brokerage commissions. Third, institutions make positive abnormal profits during the post-split period even after taking brokerage commissions and other trading costs into account； institutions paying higher commissions significantly outperform those paying lower commissions. Fourth, the information asymmetry faced by firms decreases after a split； the greater the increase in brokerage commissions after a split, the greater the reduction in information asymmetry. Overall, our results are broadly consistent with the implications of the information production theory.