Now showing 1 - 10 of 20
  • Publication
    The performance and diversification benefits of funds of hedge funds
    (University College Dublin. School of Business. Centre for Financial Markets, 2004) ;
    We examine the performance and diversification potential of 332 funds of hedge funds (FOHFs) for the period from January 1990 to May 2003. Consistent with prior studies, we find that FOHFs appear to underperform the hedge fund index on a risk-adjusted basis. However, FOHFs have characteristics that offset their apparent underperformance. Their returns do not suffer from negative skewness that is a feature of many hedge fund strategies. In addition, we find that FOHFs have lower correlations (than the hedge fund index) with stock indices in both bull and bear markets, making them a better diversification tool in equity portfolios. For bond portfolios, however, FOHFs have no diversification advantage over hedge fund indexing.
  • Publication
    Competitiveness implications for Ireland of EU enlargement
    (Statistical and Social Inquiry Society of Ireland, 2003) ; ; ;
    Subject to ratification, a further ten states, primarily from Central and Eastern Europe will accede to the EU in May 2004. Another two, and possibly three, CEE states are likely to join in 2007. The present paper assesses the competitiveness implications of this phase of EU expansion for Ireland. Four specific topics are considered: the opportunities for trade and investment expansion, the implications for Ireland's ability to attract FDI, the likely levels and consequences of immigration from Central and Eastern Europe, and the budgetary implications for the Irish Exchequer.
  • Publication
    Takeover bids, share prices, and the expected value hypothesis
    (University of Technology Sydney, School of Finance and Economics, 1994-04) ;
    This paper examines the relationship between the price bid for a takeover target, the probability of the bid succeeding and the target's price over the course of the bid. We test and reject Samuelson and Rosenthal's (1986) expected value hypothesis. We find that over the bid, the price of the target of a successful bid typically rises towards the bid price, but is not observed to converge with the bid price. This lack of observed convergenece appears to be due to an early cessation of trading in many of the bids that succeed. In the case of bids that fail, the target's share price is typically observed to rise above the bid price early in the bid. We consider several explanations for this, and suggest that the expectation of a subsequent bid is the most plausible explanation. This is supported by our empirical evidence. We also find that in the cases where the bids fail, early cessation of trading did not occur in the majority of cases.
  • Publication
    Do private equity buyouts represent value for target shareholders? Premiums in the boom of the early 2000s
    (University College Dublin. School of Business. Centre for Financial Markets, 2008-04) ;
    This study compares the takeover premiums for 55 private equity buyouts with 59 takeovers involving a public acquirer, from the US takeover market between 2004 and 2007. This investigation takes place amidst accusations of anti-competitive behaviour against some of the most active private equity groups in the US. While controlling for several other factors that might affect the takeover premium, we find weak evidence that bid premiums are significantly lower for target firms undergoing a private equity takeover than those subject to takeovers by public companies. We also demonstrate that abnormal returns earned by targets around takeover announcements can be a biased and misleading proxy for takeover premium.
  • Publication
    Information asymmetry and capital structure in SMEs : new technology-based firms in the Irish software sector
    This paper examines the capital structure of 117 new technology-based firms in the Irish software sector. In apparent contradiction to the pecking order hypothesis (POH), most external finance is private equity, and debt is virtually absent. We argue that this is consistent with the spirit of the POH – that firms prefer sources of finance associated with the least information asymmetry. For unlisted technology firms this is private equity. Using information on founders’ perceptions gathered via survey, we confirm that software firm founders perceive greater information asymmetries in debt than in equity markets, and they agree that issuing equity sends a positive signal about the value of their firm. Founders also perceive low tax benefits of debt, and very high levels of business risk.
  • Publication
    Our iron takeover law
    (Financial Services Institute of Australasia (Finsia), 2000)
  • Publication
    Funds of hedge funds : not the poor cousins of the hedge fund industry
    (Financial Services Institute of Australasia (Finsia), 2006)
  • Publication
    Media-expressed negative tone and firm-level stock returns
    We build a corpus of over 5½ million news articles on 20 large US firms over the 10-year period from January 2001 to December 2010, and use it to study the time-varying nature of the relation between media-expressed firm-specific tone and firm-level returns. By estimating a series of separate rolling window vector autoregressive (VAR) models for each firm, we show how media-expressed negative tone impacts firm-level returns episodically in ways that vary across firms and over time. We find that firms experience prolonged periods during which media-expressed tone has no effect on returns, and occasional episodes when it has a significant impact. During the significant episodes, its impacts are sometimes quickly reversed and at other times they endure — implying that media comment and analysis can sometimes be sentiment (or noise), but it can also contain value-relevant information or news. Our findings are in general consistent with efficiently functioning markets in which the media assists with the processing of complex information.
      820Scopus© Citations 48
  • Publication
    The Irish Aviation Authority's cost of capital : report to the Commission for Aviation Regulation
    (Commission for Aviation Regulation, 2007-03) ;
    The weighted average cost of capital (WACC) approach is used to estimate the IAA's cost of capital. To implement this approach, it is necessary to estimate the IAA's cost of equity, its cost of debt and its gearing ratio. Following a brief financial summary, the cost of equity is discussed in Section 3, the cost of debt is discussed in Section 4, the IAA's gearing is discussed in Section 5, and Section 6 brings these together in the WACC calculations to derive the estimate of the IAA's cost of capital.