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Three essays on international finance.

Xu, Yan.

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Three essays on international finance.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Three essays on international finance./
Author:	Xu, Yan.
Description:	185 p.
Notes:	Advisers: Greg Niehaus; Solomon Tadesse.
Contained By:	Dissertation Abstracts International68-07A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3272504
ISBN:	9780549129073

Three essays on international finance.
Xu, Yan.

Three essays on international finance. - 185 p.

Advisers: Greg Niehaus; Solomon Tadesse.

Thesis (Ph.D.)--University of South Carolina, 2007.

This dissertation consists of three essays in international finance. In the first essay, I study the time series relation between financial development and economic growth volatility, and find positive Granger causality from financial development to expectation of growth and negative Granger causality from financial development to volatility of growth. These empirical regularities, however, are detected in emerging countries only and not in advanced economies. Country specific economic environment and structural factors are related to the likelihood of both Granger causalities from financial development to growth and growth volatility. In the second essay, we model the strategic behavior of a firm manager's disclosure policy and propose that risk-averse investors charge higher expected returns when expected cash flows decrease, leading to a negative correlation between expected cash flows and expected returns. Moreover, stock returns exhibit stronger reversal than they do when full disclosure is enforced. We provide consistent evidence using a panel of foreign firms that list ADRs. We find significant shifts in the time-series properties of stock returns for firms that undergo large changes in disclosure environments. In the third essay I reexamine the forward premium puzzle using weekly spot and forward exchange rates for 19 currencies from 1997 to 2004. Focusing on the emerging country currencies, I investigate the excess return predictability and the cross section of excess returns on the forward market.

ISBN: 9780549129073Subjects--Topical Terms:

1018458
Business Administration, Banking.

Three essays on international finance.
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100 1 $a Xu, Yan. $3 1266985
245 1 0 $a Three essays on international finance.
300 $a 185 p.
500 $a Advisers: Greg Niehaus; Solomon Tadesse.
500 $a Source: Dissertation Abstracts International, Volume: 68-07, Section: A, page: 3015.
502 $a Thesis (Ph.D.)--University of South Carolina, 2007.
520 $a This dissertation consists of three essays in international finance. In the first essay, I study the time series relation between financial development and economic growth volatility, and find positive Granger causality from financial development to expectation of growth and negative Granger causality from financial development to volatility of growth. These empirical regularities, however, are detected in emerging countries only and not in advanced economies. Country specific economic environment and structural factors are related to the likelihood of both Granger causalities from financial development to growth and growth volatility. In the second essay, we model the strategic behavior of a firm manager's disclosure policy and propose that risk-averse investors charge higher expected returns when expected cash flows decrease, leading to a negative correlation between expected cash flows and expected returns. Moreover, stock returns exhibit stronger reversal than they do when full disclosure is enforced. We provide consistent evidence using a panel of foreign firms that list ADRs. We find significant shifts in the time-series properties of stock returns for firms that undergo large changes in disclosure environments. In the third essay I reexamine the forward premium puzzle using weekly spot and forward exchange rates for 19 currencies from 1997 to 2004. Focusing on the emerging country currencies, I investigate the excess return predictability and the cross section of excess returns on the forward market.
590 $a School code: 0202.
650 4 $a Business Administration, Banking. $3 1018458
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710 2 $a University of South Carolina. $3 1017477
773 0 $t Dissertation Abstracts International $g 68-07A.
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790 1 0 $a Niehaus, Greg, $e advisor
790 1 0 $a Tadesse, Solomon, $e advisor
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3272504