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Three essays on financial distress, earnings management, and post-earnings announcement drift

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TypeOfResource
Text
TitleInfo (ID = T-1)
Title
Three essays on financial distress, earnings management, and post-earnings announcement drift
Identifier
ETD_2988
Identifier (type = hdl)
http://hdl.rutgers.edu/1782.1/rucore10002600001.ETD.000056103
Language
LanguageTerm (authority = ISO639-2); (type = code)
eng
Genre (authority = marcgt)
theses
Subject (ID = SBJ-1); (authority = RUETD)
Topic
Management
Subject (ID = SBJ-2); (authority = ETD-LCSH)
Topic
Bankruptcy--Forecasting
Subject (ID = SBJ-3); (authority = ETD-LCSH)
Topic
Corporations--Finance
Subject (ID = SBJ-4); (authority = ETD-LCSH)
Topic
Multivariate analysis
Abstract (type = abstract)
Essay I: Alternative Approaches to Business Failure Prediction Models The main purpose of this essay is to compare the prediction accuracy of the widely used bankruptcy forecasting models: Altman’s Multivariate Discriminant Analysis (MDA) (1968), Ohlson’s Logit model (1980), Zmijewski’s Probit model (1984), and Shumway’s Hazard model (2001). Since Hazard model is able to solve theoretically and empirically the inconsistency sample selection problem and to capture the time-varying covariates in the bankruptcy data, our empirical results show with cautiously chosen cutoff at 0.021 implied bankruptcy probability level, the out-of-sample hazard model with stepwise methodology results in classifying 82.7% of default firms and 82.8% of non-default firms. Essay II: The Relationship between Financial Distress and Earnings Management: An Empirical Evidence Prior research on the explicit incentives for earnings management has been inconclusive. This essay approaches this question with the association between earnings management and independence of audit committees. To this end, we test the monitoring effectiveness of earnings management by fully and/or partially independent audit committees especially for financially distressed firms, for which managers have a strong motivation to manipulate reported earnings to camouflage the firm’s weak performance. Our results show that independent audit committees monitor earnings management, especially upward adjustment of reported earnings, of financially distressed firms more strictly than that of financially non-distressed firms. The results also show that fully independent audit committees are more effective in constraining earnings management than partially independent audit committees, supporting the requirement of 2002 Sarbanes-Oxley Act for fully independent audit committees. Essay III: Re-Examining the Phenomenon of Post-Earnings Announcement Drift: Quadratic and Quantile Regression Approach Previous studies show that there is model misspecification problem with the market model, which is failing to capture the revision of systematic risk on earnings announcement. Nevertheless, the misspecification of the market model employed to estimate abnormal returns has been identified in many studies as a possible source that causes the drift. The empirical results show that the post-earnings announcement drift is no longer exist after we incorporate the estimated abnormal returns with the 50th quantile coefficients median coefficients (instead of the mean coefficients from OLS) into a quadratic market model to monitor how the market revises its assessment of systematic risk on the quarterly earnings announcement.
PhysicalDescription
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electronic resource
Extent
x, 219 p. : ill.
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Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references
Note (type = vita)
Includes vita
Note (type = statement of responsibility)
by Shin-Ying Mai
Name (ID = NAME-1); (type = personal)
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Mai
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Shin-Ying
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1979-
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Shin-Ying Mai
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Lee
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Cheng-Few
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chair
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Cheng-Few Lee
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Jaggi
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Bikki
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Bikki Jaggi
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Patrick
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Robert
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Robert Patrick
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Chen
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Ren-Raw
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Ren-Raw Chen
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Lee
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Picheng
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Picheng Lee
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Mizrach
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Bruce
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Bruce Mizrach
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Rutgers University
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degree grantor
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Graduate School - Newark
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school
OriginInfo
DateCreated (qualifier = exact)
2010
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2010-10
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xx
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Title
Rutgers University Electronic Theses and Dissertations
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ETD
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Title
Graduate School - Newark Electronic Theses and Dissertations
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rucore10002600001
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NjNbRU
Identifier (type = doi)
doi:10.7282/T3HD7VD8
Genre (authority = ExL-Esploro)
ETD doctoral
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The author owns the copyright to this work.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
RightsHolder (ID = PRH-1); (type = personal)
Name
FamilyName
Mai
GivenName
Shin-Ying
Role
Copyright Holder
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Type
Permission or license
DateTime
2010-10-01 20:40:46
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Copyright holder
Name
Shin-Ying Mai
Affiliation
Rutgers University. Graduate School - Newark
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Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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