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Essays on Investments, Corporate Governance and Stock Market Seasonality.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on Investments, Corporate Governance and Stock Market Seasonality./
Author:	Kapalczynski, Anna.
Description:	1 online resource (128 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 79-05(E), Section: A.
Contained By:	Dissertation Abstracts International79-05A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355533545

Essays on Investments, Corporate Governance and Stock Market Seasonality.
Kapalczynski, Anna.

Essays on Investments, Corporate Governance and Stock Market Seasonality. - 1 online resource (128 pages)

Source: Dissertation Abstracts International, Volume: 79-05(E), Section: A.

Thesis (Ph.D.)--The University of Texas at San Antonio, 2017.

Includes bibliographical references

Dollar-Cost Averaging investment strategy has been widely criticized by academics for decades. We propose an Augmented Dollar-Cost Averaging (ADCA) strategy that conditions investment to the prevailing market environment. The strategy is more aggressive if the economy is expanding and more conservative if the economy is contracting. We use changes in market volatility, unemployment rate and capacity utilization to determine whether the economy is expanding or contracting. Using the Sharpe ratio, coupled with first- and second-order stochastic dominance criteria, we show the risk-reducing benefits of ADCA.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355533545Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on Investments, Corporate Governance and Stock Market Seasonality.
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245 1 0 $a Essays on Investments, Corporate Governance and Stock Market Seasonality.
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300 $a 1 online resource (128 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 79-05(E), Section: A.
500 $a Adviser: John K. Wald.
502 $a Thesis (Ph.D.)--The University of Texas at San Antonio, 2017.
504 $a Includes bibliographical references
520 $a Dollar-Cost Averaging investment strategy has been widely criticized by academics for decades. We propose an Augmented Dollar-Cost Averaging (ADCA) strategy that conditions investment to the prevailing market environment. The strategy is more aggressive if the economy is expanding and more conservative if the economy is contracting. We use changes in market volatility, unemployment rate and capacity utilization to determine whether the economy is expanding or contracting. Using the Sharpe ratio, coupled with first- and second-order stochastic dominance criteria, we show the risk-reducing benefits of ADCA.
520 $a In my next chapter, we observe that directors in countries with greater corruption receive greater pay. We test whether this relation is due to higher pay mitigating the negative effects of corruption, or due to directors in corrupt countries expropriating firm value. We examine abnormal returns around acquisitions, CEO turnover sensitivity to firm performance and firm value. We find that higher independent director pay moderates the negative effects of country-level corruption implying better monitoring in more corrupt countries.
520 $a In my last chapter, we revisit factors associated with seasonality of stock markets. We find that interest rates and their seasonal components exhibit a strong relationship with returns and that association is more pronounced in countries, where interest rate seasonality is generally small. Additionally, using difference-in-difference estimation, we add to the growing evidence of increased synchronicity among countries belonging to the European Monetary Union. While we find strong evidence for stock market relationship with economic factors, our sample exhibits little indication that changing risk preferences throughout the year affect seasonality in stock returns.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of Texas at San Antonio. $b Finance. $3 1192630
773 0 $t Dissertation Abstracts International $g 79-05A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10682509 $z click for full text (PQDT)