Download or read book Essays on empirical asset pricing and insider trading written by Chao Jiang and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Insider Trading Informational Efficiency and Asset Pricing written by Stephen Rhett Clark and published by . This book was released on 2014 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: While significant deviations between initial forecasts and actual box-office outcomes exist, prices nonetheless evolve in accordance with efficient updating. Further, convergence rates appear independent of both the average initial forecast error and the level of disagreement in forecasts. Lastly, the third chapter revisits the theoretical justifications for Bossaerts's (2004) ELM, with the goal of providing clear, intuitive proofs of the key results underlying the methodology. The seemingly biggest hurdle to garnering more widespread adoption of the ELM methodology is the confusion that surrounds the use of weighted modified returns when testing for rational asset pricing restrictions. I attack this hurdle by offering a transparent justification for this approach. I then establish how and why Bossaerts's results extend from the case of digital options to the more practically relevant class of all limited-liability securities, including equities. I conclude by showing that the ELM restrictions naturally lend themselves to estimation and testing of asset pricing models, using weighted modified returns, in a Generalized Method of Moments (GMM) framework.
Download or read book Two Essays in Empirical Financial Economics written by Lisa Katrine Meulbroek and published by . This book was released on 1990 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Download or read book Two Essays on Empirical Asset Pricing written by Liang Zhang and published by . This book was released on 2008 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Empirical Asset Pricing written by Chishen Wei and published by . This book was released on 2011 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two essays that use empirical techniques to shed light on open questions in the asset pricing literature. In the first essay, I investigate whether foreign institutional investors affect stock liquidity in domestic equity markets. The evidence indicates that stocks with higher foreign institutional ownership subsequently experience higher liquidity. However, it is difficult to interpret the causal relation of this finding because institutional investors self-select into more liquid stocks. To solve this problem, I exploit a provision in the 2003 US dividend tax cut which extends tax-relief to dividends from US tax-treaty countries but not to dividends from non-treaty countries. This natural experiment suggests a causal link between foreign institutional investors and liquidity. Consistent with the predictions of theoretical models, I find that liquidity improves due to foreign institutional investors increasing information competition. In the second essay, I introduce a new measure of difference of opinion using mutual fund portfolio weights to test prominent competing theories of the effect of heterogeneous beliefs on asset prices. The over-valuation theory (Miller (1977)) proposes that in the presence of short-sale constraints stock prices reflects only the view of optimistic investors which implies lower subsequent returns. Alternatively, neo-classical asset pricing models (Williams (1977), Merton (1987)) suggest that differences of opinions indicate high levels of information uncertainty or risk which implies higher expected returns. My initial result finds no support for the over-valuation theory. Instead, the measure used in this study finds that high differences of opinion stocks weakly outperform low differences of opinion stocks by 2.42% annually which is more consistent with the information uncertainty explanation.
Download or read book Two Essays on Empirical Asset Pricing written by Yangqiulu Luo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays on empirical asset pricing. The first essay examines if the idiosyncratic risk is priced. Theories such as Merton (1987) predict that idiosyncratic risk should be priced when investors do not diversify their portfolio. However, the previous literature has presented a mixed set of results of the pricing of idiosyncratic risk. We find strong evidence that idiosyncratic risk is priced differently across bull and bear markets. For the sample period from June 1946 to the end of 2010, a factor portfolio long on stocks with high idiosyncratic volatility and short on stocks with low idiosyncratic volatility yields an equal-weighted monthly return of 1.59% for bull markets but -1.29% for bear markets. These evidences support the hypothesis that investors are rewarded for betting on individual stocks during bull markets and holding more diversified portfolios during bear markets. The second essay examines the role of the limits to arbitrage in the negative effect of liquidity on subsequent stock returns. I hypothesize that if the negative effect persists because of the limits to arbitrage, the effect should be more pronounced when there are more severe limits to arbitrage. My empirical evidence supports the hypothesis. In addition, I find that the effect of the limits to arbitrage on the liquidity anomaly is not correlated to the liquidity risk.
Download or read book Essays on Empirical Asset Pricing written by Steffen Windmüller and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Empirical Asset Pricing written by 向鴻 and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Empirical Asset Pricing written by John Robert Vogel and published by . This book was released on 2014 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays of empirical asset pricing. In the first essay, The Value/Growth Anomaly and Hard to Value Firms, I show that combining quality signals (firm fundamentals) and hard to value measures increases the return spread between value and growth portfolios. A portfolio that is long high quality value firms that are hard to value and short low quality growth firms that are hard to value yields a 4-factor alpha of up to 1.41% per month. Second, ex-ante observed quality signals are better at predicting high performance and low performance growth stocks as compared to value stocks. This growth stock mispricing can be explained by extreme quality measures, and enhanced by focusing on hard to value growth firms. In the second essay, Using Maximum Drawdowns to Capture Tail Risk, I, along with my co-author Wesley R. Gray, propose the use of maximum drawdown, the maximum peak to trough loss across a time series of compounded returns, as a simple method to capture an element of risk unnoticed by linear factor models: tail risk. Unlike other tail-risk metrics, maximum drawdown is intuitive and easy-to-calculate. We look at maximum drawdowns to assess tail risks associated with market neutral strategies identified in the academic literature. Our evidence suggests that academic anomalies are not anomalous: all strategies endure large drawdowns at some point in the time series. Many of these losses would trigger margin calls and investor withdrawals, forcing an investor to liquidate. In the third essay, Analyzing Valuation Measures: A Performance Horse Race over the Past 40 Years, I, along with my co-author Wesley R. Gray, show that EBITDA/TEV has historically been the best performing valuation metric and outperforms many investor favorites such as price-to-earnings, free-cash-flow to total enterprise value, and book-to-market. We also explore the investment potential of long-term valuation ratios, which replaces one-year earnings with an average of long-term earnings. In contrast to prior empirical work, we find that long-term ratios add little investment value over standard one-year valuation metrics.
Download or read book Essays on Empirical Asset Pricing written by Niels Joachim Christfort Gormsen and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Empirical Asset Pricing written by Johan Parmler and published by . This book was released on 2005 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Empirical Asset Pricing written by Weike Xu and published by . This book was released on 2016 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two essays. The first essay examines how changes in ownership breadth affect the profitability of 21 anomaly-based strategies. I find that the profitability of these strategies is weaker following a growth in ownership breadth in the prior quarter. The return pattern is primarily attributed to the insignificant returns in the short portfolios. In addition, reduction in short-sale constraints due to increase in the ownership breadth can explain the insignificant return in the short portfolio. The conclusions stay the same after controlling for the common risk factors including the Fama-French three factors and the momentum factor. My results are robust to different size groups, different portfolio weighting methods, an alternative measure of active institutional investors and cross-sectional regression tests. These findings indicate that active institutional investors improve market efficiency. In the second essay, I examine how the relaxation of short-sale constraints affects the readability in financial disclosures using a natural experiment. From 2005 to 2007, the SEC implemented a pilot program in which one-third of the Russell 3000 stocks were randomly selected as pilot stocks and were exempted from short-sale price tests. I find that the readability of 10-K reports for the pilot stocks significantly decreases during the program period. Moreover, the relation between a reduction in short-sales constraint and annual report readability is not uniform in the cross-section. I find that the results are more pronounced for firms that are smaller, less profitable or riskier; for firms that have lower institutional ownership or analyst coverage; and for firms with worse corporate governance or corporate social responsibility. I conclude that Regulation SHO leads to lower readability in the context of financial disclosures.
Download or read book Three Essays in Empirical Asset Pricing written by Alessio Alberto Saretto and published by . This book was released on 2006 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Empirical Asset Pricing written by Stephen Szaura and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis comprises three essays in empirical asset pricing. My first essay entitled "Are stock and corporate bond markets integrated? A Big Data Approach" I document the existence a growing Factor Zoo of discovered characteristics and factors that predict the cross-section of corporate bond returns and generate a significant high minus low portfolio alpha. I determine a higher statistical benchmark, by accounting for those characteristics and factors that have been discovered in published and working papers and find that in cross-sectional regressions and portfolio sorts of over a hundred characteristics and factors, on average 2.4% predict the cross-section of corporate bond returns when adjusting for higher benchmarks. A multivariate horse-race of all characteristics and factors in cross-sectional regressions finds a higher number of corporate bond, rather than stock, characteristics and factors that predict the cross-section of corporate bond returns when adjusting for higher benchmarks. In addition to the lower number of corporate bond characteristics and factors that predict the cross-section of stock returns, my results show that the stock and corporate bond markets are more segmented than previously documented.My second essay is based on a joint working paper entitled "Do Option Implied Measures of Stock Mispricing Find Investment Opportunities or Market Frictions" where we find that existing option implied stock mis-pricing measures, the portfolios identified as being the most mispriced (highest quintile), typically have the highest shorting fee. When those stocks are omitted, the average abnormal returns of the long-short stock portfolios are insignificant or greatly reduced in economic magnitude. We propose a new measure, IPD, using a novel intra-day options trades data set, circumvents this and does not require shorting hard to borrow firms.My third essay is based on a joint working paper entitled "Accounting Transparency and the Implied Volatility Skew". We show theoretically and empirically that firms with higher accounting transparency have an implied volatility smirk that is more sensitive to leverage (vice versa). The more clear the accounting information the more skewed the implied volatility smirk. Our theoretical predictions rely on extending the Duffie and Lando [2001] credit risk model to stock option pricing whereby incomplete accounting information and the risk of bankruptcy together act as an economic source of jump risk for stocks. Empirical tests confirm the theoretical predictions of the model and the model can be solved in closed form solution up to Bivariate Standard Normal Cumulative Distribution Function"--
Download or read book Essays in Empirical Asset Pricing written by Lorne Dwight Johnson and published by . This book was released on 2000 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Empirical Asset Pricing written by Baolian Wang and published by . This book was released on 2014 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
