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Thesis defences

PhD Oral Exam - Yunfei Zhao, Business Administration

Three Essays on Sustainability, Bank Solvency, and Stock Price Returns


Date & time
Friday, November 12, 2021 (all day)
Cost

This event is free

Organization

School of Graduate Studies

Contact

Dolly Grewal

Where

Online

When studying for a doctoral degree (PhD), candidates submit a thesis that provides a critical review of the current state of knowledge of the thesis subject as well as the student’s own contributions to the subject. The distinguishing criterion of doctoral graduate research is a significant and original contribution to knowledge.

Once accepted, the candidate presents the thesis orally. This oral exam is open to the public.

Abstract

My dissertation consists of three essays in which I explore the effect of various types of news announcements (presidential tweets, natural disasters, and corporate innovations) on the stock price performance of firms and the solvency of banks.

Using event-study methodology and cross-sectional regression analysis, my first essay explores the effects of U.S. President Donald Trump's messages (tweets) on the stock prices of media and non-media companies. For media firms, we find that positive tweets have a pronounced positive stock price impact, whereas negative and neutral tweets have little or no effect. For non-media firms, we observe the opposite: negative tweets tend to be associated with significant stock price declines whereas neutral and positive tweets incur weekly positive stock price reactions. The paper provides important insights re. the ability of political figureheads to move stock prices on one hand and investors’ ability to differentiate between presidential statements that are inconsequential for the affected firms or may have long-lasting implications on the other hand.

My second essay is based on a comprehensive dataset on natural catastrophes around the world and detailed financial statements for 9,928 banks that operate in 149 countries from 1990 to 2017. We use a variety of empirical analyses to explore (1) whether and how natural disasters affect bank solvency, (2) how accounting and regulatory measures of bank solvency reflect a bank’s true affectedness, and (3) whether the effects differ across different types of banks. This study adds to the discussion of what type of capital and capital ratio best reflects a bank’s sensitivity to risk. The main finding is that damages from disasters matter: they negatively affect capital ratios, and the severity of their impact depends on a bank’s location, capitalization, and business model. In addition, the results show that accounting measures of solvency are more sensitive to disasters than are regulatory measures.

My third essay employs data on patents and trademarks collected from the United States Patent and Trademark Office (USPTO) and on disaster data collected from the Spatial Hazard Events and Losses Database for the United States (SHELDUS) covering 12,897 publicly traded firms from 1990 to 2015. By using multiple measurements of innovation and estimating a variety of different models, we show that natural disasters have a negative impact on corporate innovations in general, with important differences among different industries. We also find several channels through which natural disasters can influence firms' innovation ability.

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