Business, Dhillon School of

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The 2007-2008 financial crisis and accrual anomaly
(Lethbridge, Alta. : University of Lethbridge, Faculty of Management., 2015) Wang, Ye; University of Lethbridge. Faculty of Management; Li, Yutao; Asem, Ebenezer
This paper investigates how the 2008 financial crisis affects the accrual anomaly documented by Sloan (1996). I find that the accrual anomaly increases during the financial crisis period and the increase in accrual anomaly does not differ between firms relying and not relying on external financing. Additional analysis shows that arbitrage risk and transaction costs could have contributed to the increase in accrual anomaly during the financial crisis period.
Bank loan price reaction to dividend announcements: an empirical analysis of the secondary loan market
(Lethbridge, Alta. : University of Lethbridge, Dhillon School of Business, 2018) Gonzalez Rodriguez, Karen Pamela; University of Lethbridge. Dhillon School of Business; Asem, Ebenezer; Shao, Pei
In this thesis, I examine the secondary loan price reaction to dividend announcements. Using a sample of loans from 254 US firms covering the period between 2000 and 2016, I find that loans are associated with significantly negative abnormal returns around dividend cut announcements, consistent with the information content hypothesis. In contrast, there are no abnormal returns around dividend increase announcements. Further analysis shows that the information content effect of dividend increases is offset by the wealth transfer effect. The results provide evidence that the information content and the wealth redistribution hypotheses are not mutually exclusive, and loan prices react according to the combination of both hypotheses. Additionally, empirical evidence indicates that cash holdings, monitoring incentives, the structure of debt contracts, and covenants can help mitigate the costs arising from agency conflicts.
A comparative study of the market reaction to dividend changes by banking firms and industrial firms
(Lethbridge, Alta. : University of Lethbridge, Dhillon School of Business, 2020) Siddika, Samira; University of Lethbridge. Dhillon School of Business; Asem, Ebenezer; Tian, Gloria
This study compares the market reaction to dividend changes (increases and decreases) by banking firms and industrial firms from 1980 to 2017. Our findings show that there is no statistically significant difference between the abnormal returns associated with dividend changes by banks and industrial firms over the last 37 years. Several different categories of the sample were tested. The majority of the scenarios show that the market reaction to dividend changes by banks was not different from the industrial firms. This result is inconsistent with previous literature that identified during short-run or crisis periods, abnormal return to dividend changes is higher for banks than industrial firms. This is the first study that uncovers that the market does not necessarily react differently to dividend change announcements by the two groups. The distinct characteristics of banks do not result in a different market reaction to their dividend changes compared to those of the industrial firms.
Dynamic moment analysis of non-stationary temperature data in Alberta
(Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010, 2010) Zhou, Qixuan; Asem, Ebenezer
Strong seasonality is observed in the volatile hourly Alberta temperature and its low- and high-order statistical moments. We propose a time series model consisting of a linear combination of an annual sinusoidal model, a diurnal sinusoidal model and a fractional residual model, to study the characteristics of these spatial and time-dependent Alberta temperatures. Wavelet multi-resolution analysis is used to measure Hurst exponents of the temperature series. Our empirical results show that these Hurst exponents vary over various time scales, indicating the existence of multi-fractality in the temperatures. Such temperature models are of importance for the pricing and insurance of agricultural crops, of tourist resorts and of all forms of energy extraction and generation of importance to the resource-based economy of Alberta. Of particular interests are the observed extreme volatilities in the winters, caused by the unpredictable Chinook winds, which may be an important reason to introduce a Chinook insurance option.
The effects of capital structure on accrual- and cash-flow-based performance of US banks
(Lethbridge, Alta. : University of Lethbridge, Dhillon School of Business, 2019) Hoque, Moksidul; University of Lethbridge. Dhillon School of Business.; Asem, Ebenezer; Alam, Shamsul
This study investigates the inverted-U effects of capital structure on accrual- and cash-flow-based performance of US banks from 1980 to 2017. Capital structure is measured by the debt to assets ratio, accrual-based performance is measured by return on assets, and cash-flow-based performance by cash-flow on assets. We use panel data analysis - pooled ordinary least square, fixed effects, and random-effects models. Collectively, our results support the inverted-U effects of capital structure on accrual- and cash-flow-based performance. Cash-flow-based performance is higher than accrual-based performance at all levels of debt. Cash-flow-based performance recommends a higher level of debt in the optimum capital structure. We also find that the following bank characteristics are significant in explaining the relationship between capital structure and bank performance: size, asset turnover, net loans to deposits, and loan loss reserves to assets.
Role of market microstructure in the relationship between market co-movement and market efficiency
(Lethbridge, Alta. : University of Lethbridge, Faculty of Management, c2012, 2012) Zhang, Xiaofei; University of Lethbridge. Faculty of Management; Asem, Ebenezer; Yalamova, Rossitsa
This study examines the effects of changes in stock market microstructure on internal market efficiency and explores the relations among internal market efficiency, market co-movement and cross-market efficiency using evidence from Shanghai and Hong Kong stock exchanges. The results show that changes in the market microstructure have significant effects on the internal market efficiencies of the two markets. Second, the developed market (Hong Kong stock exchange) is not always more efficient than the emerging market (Shanghai stock exchange). Third, the cross-market efficiency is only affected by the internal market efficiency of the emerging market during normal economic conditions, but is determined by the internal market efficiency of the emerging market and the market co-movement during the financial crisis period. Finally, this study confirms Dwyer and Wallace's (1992) statement that strong market co-movement does not apply cross-market inefficiency.
The relationship between cost of equity and ESG: the effect of COVID-19
(Lethbridge, Alta. : University of Lethbridge, Dhillon School of Business, 2024) Fan, Ruijie; University of Lethbridge. Dhillon School of Business; Tian, Gloria; Asem, Ebenezer
Several prior studies report that environmental, social, and governance (ESG) initiatives temper the cost of equity. More recent studies show that COVID-19 increased the cost of equity. It is unclear whether the ESG mitigated the higher cost of capital during the COVID period. I focus on studying this using ESG and basic financial data for the period ranging from 2015 to 2022 based on U.S. and Canadian firms listed on NYSE, AMEX, and NASDAQ. The results show that the increase in the cost of equity during the COVID period concentrates less on firms with high ESG performance scores, suggesting ESG mitigated the increase in the cost of equity. This is consistent with the insurance-like effect of ESG on the cost of capital, cushioning the increase in the cost of capital during uncertain periods. In addition, my study reveals that the amplified ESG benefit in cost of equity reduction can be moderated by levels of industrial GDP growth and the stringency of the COVID-19 government policy.