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Item Trans-Tasman transmission of fiscal shocks : a thesis submitted in partial fulfilment of the requirements for the Master of Business Studies (Financial Economics) at Massey University, Albany(Massey University, 2006) Bodle, MichaelThis paper investigates how shocks to government spending and income taxes in Australia affects both Australia and New Zealand economies and looks at the channels through which these effects are transmitted from one economy to the other. A semi-structural vector auto regressive (VAR) approach is used to analyse quarterly data from the period: 1974:3 – 2005:4. The empirical results show that a shock to Australian income tax revenues leads to a decrease in both Australian and New Zealand output, and a shock to Australian government consumption leads to an increase in both Australian and New Zealand output. The impact of government expenditure shocks is transmitted through the interest rate channel only. The empirical results also suggest that the impact of an income tax shock is transmitted through the interest rate channel, which dominates the effect of the exchange rate channel.Item An examination of stock split and special dividend announcements in relation to market-timing opportunities, business cycles, and monthly patterns : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, School of Economics and Finance, College of Business, Massey University(Massey University, 2012) Hu, MayThis dissertation investigates the explanations for the aggregate corporate activities of stock split and special dividend announcements in the United States (US) listed firms between 1926 and 2008. The study is motivated by the limitation of understanding of these two types of events, which have previously only been focused at the firm-specific level. Further, by studying stock splits and special dividends, this research seeks to find an answer to the debate regarding explanations of corporate event waves between neoclassical efficiency reasons and modern market-timing hypothesis. The study is also motivated by the lack of a link between the extensively documented January Effect and Halloween Effect in stock markets and corporate practice. In addition to the contribution of the extended dataset provided in this research, the study has examined corporate decisions to announce stock splits and special dividends from a macro-perspective, especially in relation to market-timing opportunities, economic efficiency reasons, and calendar monthly effects. Chapter 1 is the introduction of this dissertation. Chapter 2 provides a comprehensive critical literature review on this topic. Chapter 3 is the research framework, hypothesis development, data and methodology used in this research. Chapter 4 is the initial results of the patterns and frequencies for stock split and special dividend announcements. Chapter 5 first investigates whether market conditions and investor sentiment affect the aggregate activities of stock splits and special dividends. These findings indicate that firms time the market to split shares during bull markets with positive and increasing sentiment to achieve higher abnormal returns. On the other hand, special dividend distributions are more likely to happen in bear markets when sentiment decreases. Firms paying special dividends in bear markets are better performers than their counterparts in bull markets. Chapter 6 then examines whether stock split and special dividend activities are driven by the business cycle. Stock splits are more likely to happen in the economic growth stage rather than in the mature stage. On the contrary, firms tend to distribute extra cash dividends to alleviate agency problems in economic declines when profitable investment opportunities are low. Chapter 7 explores the relationship between the patterns of stock splits and special dividend announcements and the calendar anomalies of the January Effect and the Halloween Effect. Firms are more likely to split shares in January and Halloween period than in other months of a year. However, firms have a commonality to pay special dividends to their shareholders in November and December. Lastly, Chapter 8 assesses which macro-determinant has the strongest explanatorypower on stock splits and special dividend activities, and the results show that the businesscycle effect is the quantitatively strongest along with all the additional and robustness checks. Chapter 9 is the conclusion and remarks of this dissertation, including future research ideas in the related areas.Item An empirical examination of industry returns for evidence of cyclical performance : a thesis presented in partial fulfillment of the requirements for the degree Doctor of Philosophy at School of Economics and Finance, Massey University, Albany(Massey University, 2012) Stangl, Jeffrey ScottThis dissertation provides three empirical studies of industry performance related to different financial market cycles. Popular belief holds that industries provide systematic cyclical performance. Such systematic performance would present a challenge to basic assumptions of market efficiency. The three industry cycles investigated are sentiment cycles, political cycles, and business cycles. The first study investigates the interaction between three popular investor-sentiment measures and industry performance. Investor sentiment has a widespread and systematic effect on industry performance. Similar to prior market studies, investor sentiment predicts short-term industry mispricing. Predictable long-term industry reversals are weaker. Moreover, the effect of investor sentiment is widespread, with limited evidence of cross-sectional industry differences. Unlike prior market studies, there is no evidence of a relationship between investor sentiment and industry characteristics that serve as a proxy for valuation uncertainty. Lastly, an industry rotation strategy based on investor sentiment generates marginal outperformance, which turnover and transaction costs would consume. Results generally show that investor sentiment has a market-wide effect, questioning its usefulness in timing industry investments. The second study examines industry returns for presidential election cycles. Risk adjusted industry returns provide no evidence of political cycles previously documented in the U.S. stock market. In spite of the existence of market-wide effects, realized industry returns exhibit neither systematic nor persistent outperformance related to a president’s political affiliation or the year of a president’s term. Expected industry performance is equally unaffected by political cycles, exhibiting no systematic response to presidential elections and indicating that the market does not systematically price a president’s political affiliation in industry returns. The study’s results question the popular belief that certain industries systematically perform better under Democrats or Republicans and provide evidence that political cycles are solely a market-wide phenomenon best explained at a macroeconomic level. The third study investigates industry returns for systematic business-cycle performance. Popular guidance holds that sectors/industries provide systematic performance and that business-cycle rotation strategies generate excess market performance. The study tests these two fundamental assumptions of popular rotation strategies. Initially, the study assumes investors can perfectly anticipate business cycles and implement conventional sector rotation. However, there is no evidence of systematic sector performance where popular belief anticipates it will occur. At best, conventional sector rotation generates 2.3 percent annual excess returns. This performance quickly diminishes after an allowance for transaction costs and incorrectly timing business cycles. An examination of all sectors across all business-cycle stages produces evidence of in-sample systematic sector performance, but an out-of-sample alternative rotation strategy fails to generate excess performance. Overall, the study documents unsystematic sector performance across business cycles, questioning the popularity of sector rotation as a viable investment strategy.