Assistant Professor of Finance
Jon M. Huntsman School of Business
Utah State University
3565 Old Main Hill
Logan, UT 84322
Office: BUS 618
Price Discovery in the Treasury-Bill When-Issued Market with Jeffrey M. Mercer, Mark E. Moore, and Drew B. Winters, Financial Review, 2013, 48, 1-24.
When-issued (i.e., forward) trading in T-bills yet to be auctioned provides a unique environment for examining price discovery. T-bills are auctioned in a sealed-bid process so participants in concurrent when-issued trading cannot observe a spot market price, yet the forward price ultimately must converge on the auction outcome price. While the evidence in this study indicates that traders in the when-issued market “discover” the ultimate auction price, little evidence is found showing that standard order flow variables contribute to price discovery. Instead, the ability to observe a few trades with relatively small volume in the when-issued market is sufficient to learn the ultimate auction price from the sealed-bid process.
Market Responses to Sale-and-Leasebacks, Real Estate Finance, 2013, 29(6).
A sale-and-leaseback occurs when an asset that was previously purchased by a company is sold to a third party and then simultaneously leased back from the third party. Historically, the majority of sale-and-leaseback transactions have involved real estate. This paper examines the market response of publicly traded firms that announce a sale-and-leaseback transaction. Transactions are also separated by the type of asset, the declared motive, and the property type involved. The market responds more favorably to transactions involving real estate and especially to real estate associated with manufacturing, retail, and hotels. Furthermore, the market also responds more favorably to transactions motivated by debt reduction compared to alternative motives.
Do Leases Expand Debt Capacity? (2013) with James Schallheim and Kyle Wells
Theoretically and empirically, debt and leases have been shown to be both substitutes and complements. To explore the relation, we divide our sample into two subsets: those that exhibit a complementary relation (43% increase debt after increasing leases), and those that exhibit a substitutionary relation (57% decrease debt after increasing leases). For complement firms, we find a significant negative relation between leasing and the firm’s size, marginal tax rate, and z-score, consistent with “complementary” theories. For substitute firms, we find a positive and significant relation between leasing, the marginal tax rate and changes in cash. We also find a significant positive stock market reaction to the announcement of the SLB, which is stronger for the complement subset of firms
Gambling in the Options Market and the Stability of Underlying Stock Prices (2013) with Ben Blau and T. Boone Bowles
Skewness, Price Convexity, and Short-Sale Constraints (2013) with Ben Blau and J. Michael Pinegar