Inter-industry analysis, asset pricing and risk: Trans-national firm perspectives.

摘要

First essay. I analyze the relationship between observed returns on a sample of US-listed foreign firm stocks and the different operational profile of their issuers with respect to the US economy. While firm-level data do not provide significant ground for inference, portfolio analysis confirms that a firm's greater involvement in the US economy results in a higher return correlation with that market's trends. However, higher correlation is inversely correlated to return performance.; Second essay. I present a pricing test of industry-mean comparable firm multiples on initial public offerings. Empirical results are mixed. They suggest that certain industry-means can be used to calculate offer prices as they determine (within certain conditions) lower post IPO returns with reference to market prices. But on average, since firms going public tend to be under-performers in their industry, industry-mean multiples re-assess IPOs' offer prices at a lower level, thereby producing higher than observed return anomalies vis-à-vis market prices. The same type of error can be observed also when multiples are customized through an ad-hoc valuation methodology that capture separate industry-mean (not firm level) growth scales for gross margin and fixed costs.; Third essay. Firms often use financial derivatives to hedge against risks to which they are exposed. This may indicate the existence of incentives inducing firms to manage their risks as a way to internalize positive net gains. I rely on this rationale and I empirically analyze the incentives that justify the corporate use of weather derivatives, focusing on temperature derivatives and their utilization in the energy sector. I perform this analysis in two steps. First, I simulate hedging costs using an equilibrium-pricing model in order to assess the efficiency of a risk-hedging policy grounded in temperature derivatives. Secondly, I survey the corporate profile of energy firms listed in the US, and I draw inference on their continuing interest in this financial product. Simulated hedging prices appear to be high. This may explain the current limited use of temperature derivatives in an industry that, otherwise, appear to be suited to their employment.