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Essays on Empirical Corporate Finance
Title
Essays on Empirical Corporate Finance
Creator
Yang, Zihao
Date
2020
Description
This thesis consists of two essays on empirical corporate finance. The first essay examines the influence of corporate tax on corporate social...
Show moreThis thesis consists of two essays on empirical corporate finance. The first essay examines the influence of corporate tax on corporate social responsibility (CSR) investment. This essay takes advantage of the dynamic changes on state corporate taxes from 2003 to 2016 and explores the causal effects of the tax changes on firms’ CSR outcomes. Applying a difference-in-difference approach, I find that tax effects on CSR are asymmetric. Tax cuts lead to significant improvement of CSR ratings, especially in the concern issues. Tax hikes, on the other hand, lead to deterioration of CSR strength, but have no effect on CSR concerns. I also find that CSR investment from financial constrained firms is more sensitive to tax changes. The second essay studies the financial effect of suppliers’ initial public offering (IPO) on their customer companies. By analyzing matched supplier companies and their large customers, I find that customer companies lose value in both short-run and long-run time periods after suppliers’ IPO events. These customer companies also have higher risk compared to those whose suppliers do not go public. Moreover, I explore the channels of suppliers’ IPO effect on their customers. The results show that suppliers diversify customers and reduce trade credit after IPO. Finally, I find that the supply chain relationships are more likely to terminate after suppliers going public.
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Two Essays on Mergers and Acquisitions
Title
Two Essays on Mergers and Acquisitions
Creator
Xu, Yang
Date
2024
Description
This dissertation is composed of two self-contained chapters that both relate to mergers and acquisitions (M&A). In the first essay, we...
Show moreThis dissertation is composed of two self-contained chapters that both relate to mergers and acquisitions (M&A). In the first essay, we examine the Delaware (DE) reincorporation effect on firms’ post-IPO behaviors on mergers and acquisitions. We find that firms’ DE reincorporation decisions enhance the likelihood of engaging in M&A as targets. However, as a tradeoff, DE reincorporated firms get lower takeover valuations compared to stay-at-home-state firms, and the acquisition of reincorporated firms is less likely to be successful. Our second essay aims to explore the role of the options market in price discovery for M&A. We find that the predictive power of the changes in implied volatility of the target firm stock for the takeover outcome is statistically and economically significant. The risk arbitrage portfolios incorporating filters derived from the options on stocks of the target firms generate annualized risk-adjusted abnormal returns between 2.6% and 5%, depending on the portfolio weighting method, the threshold of filters for the implied volatility change, and the asset pricing models applied for abnormal returns. The results are robust to different empirical setups and are not explained by traditional factors.
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Two Essays on Mergers and Acquisitions
Title
Two Essays on Mergers and Acquisitions
Creator
Xu, Yang
Date
2024
Description
This dissertation is composed of two self-contained chapters that both relate to mergers and acquisitions (M&A). In the first essay, we...
Show moreThis dissertation is composed of two self-contained chapters that both relate to mergers and acquisitions (M&A). In the first essay, we examine the Delaware (DE) reincorporation effect on firms’ post-IPO behaviors on mergers and acquisitions. We find that firms’ DE reincorporation decisions enhance the likelihood of engaging in M&A as targets. However, as a tradeoff, DE reincorporated firms get lower takeover valuations compared to stay-at-home-state firms, and the acquisition of reincorporated firms is less likely to be successful. Our second essay aims to explore the role of the options market in price discovery for M&A. We find that the predictive power of the changes in implied volatility of the target firm stock for the takeover outcome is statistically and economically significant. The risk arbitrage portfolios incorporating filters derived from the options on stocks of the target firms generate annualized risk-adjusted abnormal returns between 2.6% and 5%, depending on the portfolio weighting method, the threshold of filters for the implied volatility change, and the asset pricing models applied for abnormal returns. The results are robust to different empirical setups and are not explained by traditional factors.
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