1,260 research outputs found
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The impact of changes in the FTSE 100 index
This paper examines both the long-term and short-term impact associated with
changes in the constituents of the FTSE 100 Index. We find that stocks exhibit positive
(negative) abnormal long-run performance following their inclusion in (deletion from)
the index. There is also evidence of significant short-term cumulative abnormal returns
around the event. The reversal of these price effects suggests that short-term buying
(selling) pressure (possibly from index trackers) moves prices temporarily away from
equilibrium. An analysis of stock liquidity implies speculators may trade in advance of
the announcement, while index trackers trade between the announcement and event
dates. Finally, the organisation of the FTSE 100 Index enables us to conduct an analysis
of stocks that just avoid being relegated from (fail to be promoted to) the FTSE 100
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A Change of Focus: Stock Market Classification in the UK
This paper examines the impact of a change of focus by a firm, as signified by stock market
reclassification. It distinguishes between sector reclassifications that are motivated by
information specific to a particular firm, and those that result from sector redefinitions and
reorganisations. The direction of the price effects following reclassification depends
significantly upon this distinction. Moreover, for firm-specific reclassifications, the negative
price effect is greater where the firm has been underperforming its sector, suggesting that
investors may be sceptical about the motives underlying a change of focus. Furthermore, a
stock’s return comovement with the FTSE All-Share Index may be affected by it being
reclassified into a new sector. This change in return comovement is consistent with the
allocation of stocks into categories, as discussed by Barberis and Shleifer (2003).
Reclassification can induce common factors in the returns to stocks in an index without there
being any change in these stocks’ fundamental cash flows
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The Information Contained in The Exercise of Executive Stock Options
This paper investigates the use by insiders of private information in their decision to
exercise executive stock options. It is the first to categorise the exercise of an executive stock
option by the proportion of stock sold at exercise. Consistent with existing research, exercises
overall do not yield subsequent abnormal returns. However, we find a marked and significant
difference in subsequent performance between exercises categorised as ‘high’ and ‘low’ sale
proportion respectively. Therefore, while the exercise decision may appear uninformed, this
study demonstrates that executives do use private information in their exercise and
corresponding sale decisions. Further, near-the-money exercises produce negative abnormal
returns, consistent with such exercises being relatively expensive. These results need to be
reflected in the valuation of executive stock options, and hence the compensation executives
derive from them
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Executive Stock Option Exercises and the Predictive Ability of Transaction Value
This paper investigates the predictive ability of executives’ stock option
exercises by categorising all exercises by the overall value of the transaction.
This measure incorporates the cost to the executive of exercising the option,
together with the income generated by the associated sale of stock at the time
of exercise. As a result, we show that, in contrast to the existing literature,
executive stock option exercises do have predictive ability for future stock
returns. This is, however, limited to transactions that generate net revenue for
the executive, a finding that is the reverse of the evidence relating to standard
executive transactions
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The Equity Premium
Recent research on the equity risk premium has questioned the ability of historical
estimates of the risk premium to provide reliable estimates of the expected risk
premium. We calculate the equity risk premium for a number of countries over longer
horizons than has been attempted to date. We show that the realised US equity
premium is consistent with the premia obtained elsewhere. Furthermore, using well
over a century of data, we find that current estimates of the equity premia are close to
those observed during the pre-1914 era. This is of particular relevance given the
argument that the financial environment during that period bears a closer resemblance
to today than the 1914-1945 period, and possibly also the 1945-1971 period. This
points to a current equity risk premium that is considerably lower than consensus
forecasts (Welch 2001)
Model free variable importance for high dimensional data
A model-agnostic variable importance method can be used with arbitrary
prediction functions. Here we present some model-free methods that do not
require access to the prediction function. This is useful when that function is
proprietary and not available, or just extremely expensive. It is also useful
when studying residuals from a model. The cohort Shapley (CS) method is
model-free but has exponential cost in the dimension of the input space. A
supervised on-manifold Shapley method from Frye et al. (2020) is also model
free but requires as input a second black box model that has to be trained for
the Shapley value problem. We introduce an integrated gradient (IG) version of
cohort Shapley, called IGCS, with cost . We show that over the
vast majority of the relevant unit cube that the IGCS value function is close
to a multilinear function for which IGCS matches CS. Another benefit of IGCS is
that is allows IG methods to be used with binary predictors. We use some area
between curves (ABC) measures to quantify the performance of IGCS. On a problem
from high energy physics we verify that IGCS has nearly the same ABCs as CS
does. We also use it on a problem from computational chemistry in 1024
variables. We see there that IGCS attains much higher ABCs than we get from
Monte Carlo sampling. The code is publicly available at
https://github.com/cohortshapley/cohortintgra
Evaluating and analyzing firms' investment decisions : a study of UK domestic and cross-border acquisitions
This thesis consists of four essays or chapters that investigate acquisitions made by UK firms. The main focus of the research is the acquirers’ abnormal returns that are associated with the announcement of domestic and cross-border acquisitions. The research provides empirical evidence on some of the significant issues that have been raised in the literature, particularly focusing on measuring operating performance for domestic and cross-border acquisitions over the long-term. The first essay investigates acquirers’ announcement abnormal returns for acquisitions that have been conducted by UK firms, either domestically or internationally. The principal finding is that acquisitions of domestic firms appear to generate larger returns, whereas acquisitions classified as cross-border do not appear to add value to the acquiring firm. The second essay examines the characteristics of the deal, and how these impact the acquirers’ returns for both domestic and cross-border acquisitions. The characteristics considered are the method of payment, the industrial relationship between the acquirer and the target, the relative size of the acquirer to the target, the type of the target firm and the Book-to-Market ratio of the acquiring firm. The third essay investigates the directors’ overconfidence and its impact on the acquirers’ returns. Directors’ overconfidence is examined depending on the self-attribution bias by distinguishing between the abnormal returns to frequent and infrequent acquirers. The fourth essay examines insider trading via studying the relationship between the private investment decisions of the directors and the firm’s investment in respect of acquisitions it makes over the announcement date of the acquisition. Two different methods are proposed to classify directors into optimistic and neutral based on these personal portfolio trades. The fifth empirical chapter focuses on domestic and cross-border acquisitions with public targets, and studies their synergy gains and operating performance for a 3-year period after the announcement year. The aim is to try to understand what these firms gain from such acquisitions, given the apparent absence of a gain in value at the announcement of the investment. It is essential to add that the importance of this thesis comes from shedding a light on the role of acquisition activity in UK market within last 10 years domestically and internationally. Furthermore, providing a significant advice to firms not to allocate their capital in acquisitions with public targets because there is not benefit from investing in these types of investment.EThOS - Electronic Theses Online ServiceGBUnited Kingdo
Georgia Rural Hospital Tax Credit
Background
Eight rural hospitals have closed in Georgia within the last decade, and more are financially distressed. In 2016, Georgia legislation created a state income tax credit for individuals and corporations that donate to qualifying non-profit rural hospitals of their choice. This law, the first of its kind in the US, was intended to provide struggling hospitals with financial support to improve viability. Using a mixed- methods approach, this study assessed the perspective of hospital executives concerning the program, examined community awareness of the program, and evaluated how hospitals used the money to enhance access to care for rural populations
Performance of LED-Based Fluorescence Microscopy to Diagnose Tuberculosis in a Peripheral Health Centre in Nairobi.
Sputum microscopy is the only tuberculosis (TB) diagnostic available at peripheral levels of care in resource limited countries. Its sensitivity is low, particularly in high HIV prevalence settings. Fluorescence microscopy (FM) can improve performance of microscopy and with the new light emitting diode (LED) technologies could be appropriate for peripheral settings. The study aimed to compare the performance of LED-FM versus Ziehl-Neelsen (ZN) microscopy and to assess feasibility of LED-FM at a low level of care in a high HIV prevalence country
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