Essays on Investments, Corporate Governance and Stock Market Seasonality




Kapalczynski, Anna

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Dollar-Cost Averaging investment strategy has been widely criticized by academics for decades. We propose an Augmented Dollar-Cost Averaging (ADCA) strategy that conditions investment to the prevailing market environment. The strategy is more aggressive if the economy is expanding and more conservative if the economy is contracting. We use changes in market volatility, unemployment rate and capacity utilization to determine whether the economy is expanding or contracting. Using the Sharpe ratio, coupled with first- and second-order stochastic dominance criteria, we show the risk-reducing benefits of ADCA.

In my next chapter, we observe that directors in countries with greater corruption receive greater pay. We test whether this relation is due to higher pay mitigating the negative effects of corruption, or due to directors in corrupt countries expropriating firm value. We examine abnormal returns around acquisitions, CEO turnover sensitivity to firm performance and firm value. We find that higher independent director pay moderates the negative effects of country-level corruption implying better monitoring in more corrupt countries.

In my last chapter, we revisit factors associated with seasonality of stock markets. We find that interest rates and their seasonal components exhibit a strong relationship with returns and that association is more pronounced in countries, where interest rate seasonality is generally small. Additionally, using difference-in-difference estimation, we add to the growing evidence of increased synchronicity among countries belonging to the European Monetary Union. While we find strong evidence for stock market relationship with economic factors, our sample exhibits little indication that changing risk preferences throughout the year affect seasonality in stock returns.


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corporate governance, director compensation, investment, retirement, seasonality, stock market