Date of Award

Spring 1998

Document Type


Degree Name

Doctor of Philosophy (PhD)


Business Administration-Finance

Committee Director

Mohammad Najand

Committee Member

Kenneth Yung

Committee Member

Eric Anderson


Essay I. Intra-industry contagion and competitive effects associated with corporate liquidation announcements: Does shareholder governance influence the results? This essay extends earlier research by investigating the role shareholder governance may play in the abnormal stock returns of the liquidating firms' competitors. The empirical model used for analyzing the abnormal returns includes variables to capture the influence of: leverage, Tobin's q, the Herfindahl index, Book Equity-to-Market Equity ratio, the level of institutional stock ownership, and the level of stock ownership by insiders.

The conclusion is leverage of the liquidating firm as well as its competitors is the major factor affecting the stock returns of the competitor firms. Additionally, there are significantly negative returns for the rival firms when institutional investors held more than 21% of the liquidating firm's equity.

Essay II: Investors' pricing of exchange rate risk in U.S. firms that file for bankruptcy. The thesis of this essay is those firms that file for bankruptcy are more sensitive to changes in the exchange rate, as well as changes in the overall economy, than other firms. Using the 48-month period preceding the bankruptcy announcement, we examine the relationship between abnormal returns and changes in: (1) the economy, and (2) the foreign exchange rate.

Applying a couple of filters to the data resulted in a significant relationship for changes in both the industrial production index--our proxy for the economy--and foreign exchange rate for years three and four preceding the bankruptcy announcement, but not years one or two. One may conclude that: (1) financially weakened firms are sensitive to changes in the foreign exchange rate and industrial production index, or (2) not just the financially weakened, but all firms are sensitive to changes in these two economic barometers. In either case, when it becomes obvious that bankruptcy is a strong likelihood, the forthcoming bankruptcy overshadows other economic influences.


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