Essays on Environmental Behavior of the Firm and Financial Market Evaluation PDF Download

Author: Akimi Matsuda
Publisher:
ISBN:
Category :
Languages : en
Pages : 170

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Author: Thomas A. Becker
Publisher:
ISBN:
Category :
Languages : en
Pages : 238

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This dissertation is comprised of three chapters, each of which contributes to the field of behavioral finance. Two of the chapters focus on topics in environmental economics and the third on U.S. household finance. All of the papers analyze the incentives and behavior of individuals (or firms in the case of the first chapter) to provide insight into macro phenomena. "The Effects of Carbon Markets on Equity Prices and Volatility" uses a firm-level dataset of carbon assets and liabilities between 2005 and 2007 to examine the impact of volatile carbon prices on equity prices. I find that the changes to firms' market capitalizations during a period of falling carbon prices are explained by the change in the net present value of emission permit holdings. Equity prices respond to changes in the mark-to-market value of firms' carbon permit shortfalls or surpluses and carbon price volatility increases the volatility of equity prices. I also document considerable delays in the equity and options markets responses to developments in carbon markets and attribute these lagged responses to information constraints and the novelty of carbon markets. "Outstanding Debt and the Household Portfolio," co-written with my classmate Reza Shabani, alters a simple portfolio choice model to allow households to retire outstanding debt and realize a risk-free rate of return equal to the interest rate on that debt. Using the Survey of Consumer Finances we find that households with mortgage debt are 10 percent less likely to own stocks and 37 percent less likely to own bonds compared to similar households with no outstanding mortgage debt. To show that our results are not driven by irrational behavior amongst a subset of households, we construct two proxy variables for financial naivete. Finally we calculate the costs of non-optimal investment decisions in the presence of various forms of household debt including mortgages, home equity loans and credit card debt. We find that 26 percent of households should forego equity market participation on account of the high interest rates that they pay on their debt. "Crude Drilling: An Analysis of Incentives and Behavior in the Oil Industry During the 1860s" explains why rates of oil extraction in the nascent oil industry far exceeded the profit maximizing levels predicted by the economic theory of non-renewable resources. The analysis combines historical narrative accounts with property sale and lease data and information on oil well owners to explain how individual incentives led to aggregate over-drilling. In particular, I focus on the incentives of under-capitalized wildcat drillers as an explanation for the excessive waste and under-investment that characterized the early oil market. I find that these poorer prospectors were incentivized to extract oil at higher than optimal rates because of the characteristics of their property lease contracts and the low-cost drilling technology they used to bore exploratory wells. Low barriers to entry in the early oil drilling business led to an influx of wildcat drillers into the nascent oil market and delayed the entry of additional well-capitalized drillers. The result was a market characterized by cyclical supply shocks, low levels of investment in storage and conservation, and corresponding price instability.

Author:
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ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 634

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Abstracts of dissertations available on microfilm or as xerographic reproductions.

Author: Magdalena Ziolo
Publisher: Springer Nature
ISBN: 3031073983
Category : Science
Languages : en
Pages : 183

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The aim of this volume is to foster more sustainable business models through financial markets. To that end, it is necessary to know the main global challenges facing financial markets and their impact on creating sustainable value in business models of enterprises in the context of sustainable adaptation. The book focuses on assessing the decision criteria adopted by financial markets in the process of transaction risk valuation, in terms of the presence of Environmental, Social, and Governance (ESG) criteria, and by assessing the impact of including these criteria in the risk assessment process by financial markets in business decisions, leading as a consequence to building new value in the form of a sustainable business model. The book presents global ESG risks facing the financial markets, and discusses how ESG risks are managed and monitored, and how financial markets can measure and operationalize extra-financial risks in its assessment process. The book also analyses ESG risk implications and influences on company behavior, and the actions that companies should take considering the ESG assessment requirements of financial markets. Finally, it provides a comprehensive, structured, and systematic view of how financial markets and companies should adapt and improve their business models. The book provides unique challenges for investors, companies, financial markets, and for our society as a whole, advancing traditional risk management approaches to address global risks.

Author: Muhammad Ullah
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Sonia Labatt
Publisher: Wiley
ISBN: 0471447382
Category : Business & Economics
Languages : en
Pages : 384

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An engaging and comprehensive look at the intersection of financial innovation and the environment This unique book provides readers with a comprehensive look at the new markets being created to help companies manage environmental risks, including weather derivatives, catastrophe bonds, and emission trading permits. Filled with real-world case studies and timely advice, Environmental Finance contains corporate strategies that financial service professionals as well as their clients must understand in order to proactively improve a company's environmental performance.

Author: Andreanne Tremblay Simard
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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This dissertation consists of three essays that examine the effects of corporate culture and investor psychology on corporate decisions and financial markets. The first essay focuses on the role of corporate culture in acquisitions, whereas the last two essays investigate deviations from market efficiency. The first essay uses textual analysis of firms annual reports to develop an estimate of the differences in corporate cultures of the combining firms, and finds that greater cultural differences between the firms lead to higher synergistic gains, but only when the acquirer has a stronger culture than its target. The synergy gains concentrate among deals where the acquirers values are not antagonistic to the targets. Further analysis of profitability and productivity (measured as earnings per employee) around the acquisition transaction corroborates these findings. Overall, the evidence suggests that differences in corporate culture are an important driver of announcement returns in mergers and acquisitions. The second essay investigates whether stock misvaluation drives industry-level merger waves by examining intra-wave patterns in acquirers valuation levels in a sample of acquisitions during 1981-2010. The essay contrasts two types of merger waves: stock waves defined on pure stock acquisitions, and cash waves formed on pure cash offers. Consistent with the misvaluation hypothesis, the essay finds that the occurrence of stock merger waves is tightly associated with industry stock valuation, and bidder stock valuation is negatively associated with long-run abnormal returns, especially so during waves of stock mergers. In contrast, there is little evidence of such patterns using the cash wave definition. The third essay investigates the effects of sunshine, wind, rain, snow, and temperature on daily index returns of 49 countries from 1973 to 2012. The paper finds pervasive weather effects that vary across temperature regions (cold, hot, and mild) and months. A hedge strategy that exploits the return predictability of daily weather generates up to 25% (11.8%) annualized out-of-sample gross (net) profits during 1993-2012. The systematic patterns of weather effects together with the relationship between their strength and timing and individuals seasonal propensity to spend time outdoors, suggest a plausible mechanism through which weather-induced mood influences index returns.

Author: Smita Bhatnagar
Publisher:
ISBN:
Category : Competition, International
Languages : en
Pages : 224

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Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 398

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Author: Mihir Tirodkar
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 181

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This thesis comprises of three empirical studies that examine separate interactions between environmental variables and financial markets. Set within a U.S. backdrop, the studies integrate and analyse relationships between asset pricing, corporate finance, behavioural finance, and environmental economics. The first chapter examines whether low frequency temperature risk, a component of climate risk, is a priced risk factor in equity markets. Rising temperatures are associated with states of poor consumption and potential disasters; consumption-based asset pricing theories suggest investors prefer investments which pay off in these poor states. I estimate low frequency temperature shocks and employ them in asset pricing tests. Results provide no evidence of a low frequency temperature risk premium in U.S. equity markets. I discuss possible reasons as to why results may diverge from the asset pricing theory. The second chapter tests whether institutional investors are reluctant to own polluter ‘sin’ stocks. I hypothesise that sensitivity to social norms restricts institutional ownership of polluters. Using toxic emissions data from the Toxic Release Inventory, I find results that are consistent with the hypothesis. Furthermore, I find that institutions with long-term investment horizons and exposure to public scrutiny display a stronger reluctance to own polluters. I find no evidence of positive abnormal performance of polluter stocks, as hypothesised by the ‘shunned-stock’ theory. The final chapter examines security analyst earnings forecasts for polluter firms. Polluters are negatively exposed to increased regulations and consumer backlash; however, security analysts may misestimate associated costs. Tests show that analysts generate systematically pessimistic forecasts for polluter firm earnings on average; behavioural theories suggest that this pessimism is due to cognitive constraints. I also find evidence of persistent analyst bias for polluters, consistent with the conservatism bias theory. Results provide no evidence of polluter abnormal returns resulting from positive earnings surprises around earnings announcements.