Download or read book Three Essays on Environmental Social and Governance Transparency written by Hendijani Zadeh Mohammad and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three essays on determinants and consequences of Environmental, Social, and Governance (ESG) Transparency. Transparency refers to high quantity of material and value relevant information about ESG issues. In the first essay, we explore the relationship between our two variables of interest (i.e., audit quality and public media exposure) and ESG transparency on a sample of publicly listed Canadian firms in in the S&P/TSX Index of the Toronto Stock Exchange. Results show that audit quality and public media exposure are two main drivers of ESG transparency, hence, commitment to high quality audits and exposure to high public media coverage drive firms to be more transparent about ESG issues. Finally, as a consequence of ESG transparency, we find a negative association between ESG transparency and firm-level investment inefficiency. The second essay examine whether the transparency of environmental and social (E&S) information affects financial analysts' forecast properties that reflect their information set. Focusing on a sample of non-financial and non-utility U.S. firms from the S&P 500 index, results suggest that the level of transparency vis-à-vis both E&S information is negatively related to analysts' forecast errors as well as forecast dispersion. These negative relationships become more pronounced for firms with low financial reporting quality, low media coverage, and for those with weak governance. Finally, we find that E&S transparency relates with investment efficiency essentially via analysts` information environment, which thus acts as a mediating variable. This finding is consistent with financial analysts also playing a monitoring role in capital markets. The third essay, we investigate how a firm's (E&S) transparency relates with its cash holdings. Focusing on a large sample of S&P 500 firms, results show that a higher level of E&S transparency implies lower firm-level cash holdings. The negative relationship is more pronounced for firms suffering from high information asymmetry, with low financial reporting quality, and for those with weak governance. Further analyses document that the two channels and mechanisms by which E&S transparency affect firm-level cash holdings are the cost of debt and financial constraints. Finally, our findings suggest that E&S transparency increases the market value relevance of an additional dollar in cash holdings.

Download or read book Essays on Transparency Systemic Risk and Liquidity in Real Estate Markets written by Daniel Ruf and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on transparency, systemic risk, and liquidity in real estate markets. The first essay proposes a benchmark portfolio that contains property markets with a higher level of pre-trade transparency to assess expected returns in opaque commercial real estate markets. We find empirical evidence of abnormal returns in opaque markets relative to the benchmark portfolio. Based on pre-trade transparency, we test for information-based co-movements between transparent and less transparent property markets. Revealed post-trade information of how changes in macroeconomic fundamentals affect the valuation of commercial real estate in transparent markets leads to spillover effects to less transparent markets. We also test for learning externalities from the benchmark portfolio to opaque markets. These externalities can be related to different learning-based investment strategies such as cultural familiarity or information advantages from specializing in opaque markets. The second essay analyzes systemic risk in financial center office markets. Based on the expected capital shortfall of financial institutions, we compute the total systemic risk in the banking sector of financial centers. We show that cross-sectional dependence and return co-movements among financial center office markets arise due to the systemic banking sector risk during financial turmoil periods. As crisis periods, we use the dotcom bubble burst in 2001 and the recent financial crisis 2007/2008. Exploiting spatial econometrics, we test for return co-movements among office markets during normal times as a placebo test and among counterfactual retail markets. We also show that the decline in office market returns during financial turmoil is larger in financial centers compared to non-financial centers. The last essay analyzes the impact of nearby located urban agglomeration centers on local rental housing market liquidity. The empirical.

Download or read book Essays on the Role of Financial Transparency Analyst Follow up and Other Firm Attributes in Explaining Stock Returns written by Birgül Caramanolis and published by . This book was released on 2000 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Transparancy and Financial Markets written by Petra Maria Geraats and published by . This book was released on 2000 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Financial Market Design written by Ayan Bhattacharya and published by . This book was released on 2016 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The many financial crises of the last century-and most recently, the Great Recession of 2008 have highlighted the crucial role that market design can play in exacerbating or dampening a difficult economic situation. An important thrust of the economic discipline in recent years, therefore, has been to understand the merits and flaws in existing financial market designs in order to provide prescriptions for improvement. The three essays in my dissertation contribute to this undertaking. The first essay studies the effect of post-trade transparency reforms in overthe-counter markets. Contrary to received wisdom, I show that such reforms can hurt investors in many situations because potential counterparties may stay away from the market and monitor trades for information before participating, when there is transparency. This can lead to liquidity dry-ups and speculative prices for investors. The second essay is a joint study with Maureen O'Hara and explores the working of exchange traded funds (ETFs). When ETFs were first launched, they were a sideshow to underlying asset markets. Today, however, we have numerous ETFs on assets that are hard-to-trade otherwise. We demonstrate how inter-market information linkages in such ETF markets can lead to market instability and herding. The third essay, joint work with Gideon Saar, is a theoretical investigation of dynamic limit order markets with asymmetric information. This essay throws light on a vexing question in market microstructure-the use of limit orders by informed traders.

Download or read book Two Essays on Transparency in Corporate Finance written by Yung Ling Lo and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: In this dissertation, I examine whether low transparency (LT) firms have more market-timing opportunities and are able to earn higher market-timing profits than high transparency (HT) firms in two separate essays: 1) Essay on Transparency in Mergers Market and 2) Essay on Market-Timing Ability of Low Transparency Firms through Stock Repurchase Activities.

Download or read book Three Essays on the Crisis in Transparency Arising from the Financial Crisis of 2007 2008 written by John Zhang and published by . This book was released on 2012 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: A lesson learned by regulators from the 2007-2008 financial crisis is that the stability and efficiency of capital markets rely on the transparency of financial statements (Casey 2009; Shapiro 2010). The financial crisis of 2007 revealed a crisis in transparency. This thesis examines three important accounting Issues related to the crisis in transparency.

Download or read book Three Essays in Monetary Economics written by Qiao Zhang and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, my research aims at dwelling on the questions, at understanding and explaining -- as a follow of current strand of literature on financial frictions -- the mechanisms that allowed the imperfect and perfect credit intermediation to affect the dynamics of economy and the transmission of monetary policy, and providing a new theoretical formulation for evaluating the unconventional monetary policy. To do this, I first considered the impact of financial intermediation on the analysis of central bank transparency issue (Chapter 2). ln Chapter 3, I focused on the role played by the imperfect financial intermediation/financial frictions in the transmission of shocks : through which mechanisms, do the presence of balance-sheet constraint financial intermediaries affect the effect of shocks on the macroeconomy? Finally, in Chapter 4, 1 construct an theoreticalmodel to analyze an important issue which have net been carried out in existing literature: the transmission mechanism of the central bank's large-scale purchase of mortgage-backed securities. ln this chapter, I first simulated a financial crisis to see if the model is able to replicate some of the most important stylized facts of the Great Recession. Then, basing on the simulated crisis, I examine the efficacy and transmission mechanism of large scale purchases of MBS through comparing these purchases to the purchases of corporate bonds. This experiment is conducted in two credit market configurations, i.e., a partially and a totally segmented credit market. The latter case of market condition is considered by many economists as main obstacle that impedes the nominal functioning of the financial markets. ln this work, we have obtained rich and important findings for guiding the use of unconventional monetary policy. The following parts briefly present the findinqs of the thesis.

Download or read book Essays on Market Transparency and Price Discovery written by Chi-Chen Chiu and published by . This book was released on 2010 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Markets written by Pawan Jain and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is composed of three essays. The first essay investigates the information content of the limit order book (LOB) on the Shanghai Stock Exchange (SHSE), a purely order-driven market, for predicting future stock price volatility. We find that the LOB supply schedule consistently and significantly predicts the future price volatility. But this predictive power of LOB declines during the extreme market wide movements. We also find that buy orders are more informative over future price volatility than sell orders but sell (buy) orders becomes more informative during the extreme market wide down (up) movement days. Finally, we document that predictive power of LOB is short lived and markets are efficient over the longer time horizon. The second essay examines the effect of high frequency trading on market quality, systemic risk and trading strategies. In 2010 the Tokyo Stock Exchange, the largest exchange headquartered outside the US, introduced a new trading platform, Arrowhead, which reduced latency by 99.97% and increased co-located high-frequency trading from zero to 36% of volume. Arrowhead improved market liquidity and reduced volatility, but it also amplified systematic risks factors like quotes to trade ratio, order-flow autocorrelation and cross correlation, and tail risks. Arrowhead also affected trading strategies by increasing trade price predictability and the use of fleeting orders. Cost of immediacy serves as a channel through which reduced latency affects market quality, systematic risks, and trading outcome. The third essay analyzes the links between corporate finance policies and investment clienteles by comparing the cross-sectional variation in the dividend payout policies of companies across 32 countries. Beyond the impact of firm-specific accounting and financial variables, this study investigates how the country level variations: shareholder demand due to demographic variations and consumption needs, agency problems manifested in the extent of minority shareholder protection and business disclosures, and market quality in terms of transparency and liquidity; affect dividend payout policies. We find that firms have generous dividend payout policies when diverse shareholder demands are strong, extents of business disclosures and legal protections are weak, and the market qualities are poor. The empirical evidence supports the presence of strong dividend clienteles in a global setting. .

Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Download or read book Essays on Applied Mircoeconomics and Finance written by Fei Song (Ph. D.) and published by . This book was released on 2019 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of four chapters. Chapter 1 studies the effect of online review manipulations on review systems. Chapter 2 and Chapter 3 are co-authored with Ali Kakhbod and focus on post-trade transparency in dynamic over-the-counter markets. Chapter 4 is co-authored with Umut Dur, Parag A. Pathak and Tayfun Sönmez and studies the effect of the Taiwan mechanism, a mechanism that allocates high school seats to applicants. Chapter 1 shows that the conventional impression holds in the short-run that review manipulation makes review systems less informative. In the long-run, however., a manipulated review system can contain the same level of information as an un-manipulated counterpart. I develop a dynamic programming model with fixed product quality and naive buyers who are unaware of manipulation. I then extend it to consider endogenous product quality and sophisticated buyers. I also identify an unexpected effect of a policy to target sellers and check for manipulation. Chapter 2 studies how mandatory transparency (through TRACE), along with the long-term incentive of informed dealers, affects market price informativeness, liquidity and welfare in dynamic over-the-counter (OTC) markets. We show that the public disclosure of additional information about past trades, paradoxically, makes the markets more opaque, by reducing the market price informativeness. Thus, surprisingly, transparency requirements such as U.S. Dodd-Frank Act may make markets more opaque. However, this market opacity creates liquidity and increases welfare. To enhance financial transparency and improve the price informativeness as well as the market liquidity and welfare, an effective approach is to randomly audit dealers. Chapter 3 then studies how public disclosure of past trade details affects price discovery dynamics under asymmetric information with heterogenous hedging motives. We model that an informed buyer (informed trader) sequentially trades with a series of uninformed sellers (hedgers). The informed buyer is forward-looking and risk-neutral, and uninformed sellers are myopic and heterogeneously risk-averse. We discover that sellers' price discovery over the underlying fundamentals is crucially affected by what they can observe about past trade details. Specifically, (i) post-trade price transparency delays price discovery, but once it happens, it is always perfect. (ii) In contrast, when only past order information is available, price discovery can never be perfect, and can even be in the wrong direction. (iii) The availability of past trade details, paradoxically, makes it easier for the informed buyer to hide her private information and offer opaque prices. We establish that, under some minor regularity conditions, our equilibrium characterization achieves the maximal degree of ignorance among all pure-strategy PBE. Hence, this chapter can be viewed as a worst case analysis for regulators who care about market transparency. Moreover, we show that our findings are robust when the informed party's bargaining power decreases along the length of past trade history. Finally, we extend our results to the case where the informed buyer has a non-zero outside option, and the case where both parties switch their trading positions. Chapter 4 analyzes the properties of the Taiwan mechanism, used for high school placement nationwide starting in 2014. In the Taiwan mechanism, points are deducted from an applicant's score with larger penalties for lower ranked choices. Deduction makes the mechanism a new hybrid between the well-known Boston and deferred acceptance mechanisms. Our analysis sheds light on why Taiwan's new mechanism has led to massive nationwide demonstrations and why it nonetheless still remains in use.

Download or read book Financial Turmoil in Europe and the United States written by George Soros and published by Public Affairs. This book was released on 2012-01-01 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addresses the need for the United States to restructure the banking and financial system, anticipates the globalization of the crisis, and calls for international action.

Download or read book Three Essays on Financial Markets written by Andrey G. Zagorchev and published by . This book was released on 2010 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third essay examines the impact of government ownership and financial markets on corporate governance using 1327 firms from fourteen EU countries in the period 2003 to 2008. The results show that aggregate government ownership measured through privatization and financial markets lead to improvements in the corporate governance practices of firms.

Download or read book Essays on Amplification Mechanisms in Financial Markets written by Marco Di Maggio and published by . This book was released on 2013 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Chapter 1, I explore how speculators can destabilize financial markets by amplifying negative shocks in periods of market turmoil, and confirm the main predictions of the theoretical analysis using data on money market funds (MMFs). I propose a dynamic trading model with two types of investors - long-term and speculative - who interact in a market with search frictions. During periods of turmoil created by an uncertainty shock, speculators react to declining asset prices by liquidating their holdings in hopes of buying them back later at a gain, despite the asset's cash flows remaining the same throughout. Interestingly, I show that a reduction in trading frictions leads to more severe fluctuations in asset prices. At the root of this result are the strategic complementarities between speculators expected to follow similar strategies in the future. Using a novel dataset on MMFs' portfolio holdings during the European debt crisis, I gauge the strength of funds' strategic interactions as the number of funding relationships each issuer has with MMFs. I show that funds are more likely to liquidate the securities of issuers that have fewer funding relationships with other funds, obliging them to borrow at shorter maturity and higher interest rates. In Chapter 2, co-authored with Marco Pagano, I study a model where some investors ("hedgers") are bad at information processing, while others ("speculators") have superior information-processing ability and trade purely to exploit it. The disclosure of financial information induces a trade externality: if speculators refrain from trading, hedgers do the same, depressing the asset price. Market transparency reinforces this mechanism, by making speculators' trades more visible to hedgers. As a consequence, asset sellers will oppose both the disclosure of fundamentals and trading transparency. This is socially inefficient if a large fraction of market participants are speculators and hedgers have low processing costs. But in these circumstances, forbidding hedgers' access to the market may dominate mandatory disclosure. In Chapter 3, I show that reputation concerns are important sources of discipline for institutional investors, but their effectiveness varies along the business cycle. I propose a dynamic model of reputation formation in which investors learn about fund managers' skill upon observing past returns. Managers can generate active returns at a disutility and determine the fund's exposure to tail risk. The model delivers rich dynamics for managers' behavior. Good reputation managers exploit their status by extracting higher rents from investors, while intermediate reputation managers tend to improve their returns to attract more funds. Finally, for bad performers there exists a reputation trap: their perceived low quality prevents them from attracting investors' capital and then also from improving their track record. Furthermore, when the economy is subject to aggregate shocks, fund managers tend to exacerbate fluctuations by exposing the fund to tail risk to increase short-term returns. The model provides a framework to analyze the investment strategies adopted by mutual funds and hedge funds during the recent financial crisis.

Download or read book Essays in Finance written by Shaun William Davies and published by . This book was released on 2013 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation I present three theoretical papers, each as an individual chapter. The first paper is titled "The Economics of Discretion in Multi-Agent Decision Problems." It is premised on the idea that discretion is valuable when knowledge mismatches lead principals to delegate decisions to agents with specialized knowledge. In the paper, I consider a team setting, and I characterize the optimal delegated choice set that is offered to agents when an agency conflict is present. I show that the amount of discretion increases with the value of an agent's private information, with the degree of alignment between the principal and agents, and with the ex ante uncertainty faced by the principal and agents. The latter finding implies that discretion may be used by agents to hedge the risk that they face. Nevertheless, I demonstrate that when all participants have rational expectations, it is never optimal for agents to add strategic uncertainty to receive more discretion ex post. I conclude the paper by applying the theory to delegated portfolio management, which yields novel empirical implications in this setting. The second paper is co-authored with Bruce I. Carlin and Andrew Iannaccone and it is titled "Competition, Comparative Performance, and Market Transparency." In the paper, we study how competition affects market transparency, taking into account that comparative performance is assessed via tournaments and contests. Extending Dye (1985) to a multi-firm setting in which top performers are rewarded, we show that increased competition usually makes disclosure less likely, which lowers market transparency and may decrease per capita welfare. This result appears to be robust to several model variations and as such, has implications for market regulation. The final paper is co-authored with Bruce. I. Carlin and is titled "Political Influence and the Regulation of Consumer Financial Products." In the paper, we explore a theoretical model of product regulation in which the social planner chooses an optimal level of market complexity, given that people have varied sophistication. We investigate how several dimensions affect the quality of regulation: the skill of the social planner, imperfect information, lobbying efforts, voting behavior in elections, and political philosophy. We find that both sophisticated and unsophisticated market participants often vote to elect the least informed and educated planners, which erodes social welfare. Further, when concerns regarding equality are sufficiently large (i.e., a socialistic agenda), the social planner limits the market to one product. In such case, adequacy suffers and all market participants are equally worse off.

Download or read book Essays in Financial Economics written by Adem Dugalic and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores effects of trading frictions due to the over-the-counter nature of some financial markets on asset prices, trading activity, market structure and efficiency. The first chapter analyses how the introduction of post-trade transparency affected dealers' trading and market liquidity in the secondary U.S. corporate bond market. Using the TRACE dataset with a novel variable identifying different dealers in the market, I quantify dealers' centrality in the context of the trading network and estimate a differential response to the reform across dealers of different centrality. I show that the introduction of transparency reduced the estimated bid-ask spreads of peripheral dealers by about 24 basis points, while spreads of core dealers remained unaffected. The trading volume of high-yield bonds fell by 6.7% for core dealers and by an insignificant amount for peripheral dealers. There was no effect on dealers' capital commitment and inventory behavior. To rationalize these findings, I propose a dynamic model of trade with asymmetric information and search frictions that gives rise to endogenous heterogeneity in dealers' trading activity and explains the empirical evidence. Three mechanisms through which transparency may affect the market are outlined: marketwise reduction in adverse selection, higher demand for immediacy by informed traders, and interaction between liquidity and informed traders. Further effects of transparency and welfare implications in the context of the model are discussed. The second chapter is co-authored with Diego Torres Patino. We study how short sale constraints on the lending side of the market affect asset prices in an equilibrium model with multiple assets. We endow investors with heterogeneous beliefs in order to generate short selling demand. We obtain a CAPM-like equation that links asset-specific excess returns with the market equity premium. In the presence of short sale constraints in the market, the model gives rise to asset-specific alphas that are explained by both asset-specific and market-wide short sale constraints; unconstrained stocks have higher risk-adjusted expected returns relative to the market portfolio, whereas the opposite holds for constrained stocks. In the absence of short sale constraints, the model reduces to the standard CAPM. We test the model using extensive data on short interest and borrow fees. The model is able to empirically explain asset prices for 10 portfolios sorted by the degree to which they are short sale constrained, as opposed to the CAPM and factor models which produce unexplained alphas that are significantly different from zero for the portfolios consisting of highly constrained stocks. In the final chapter, I study financial intermediation in a model of entry and competition between an over-the-counter market and exchange. The over-the-counter market is characterized by search, bargaining and capacity to intermediate trade of securities customized to individual investors. The exchange can support trading of a subset of standardized securities at prices quoted to all investors. I compute explicitly asset prices and volume at each trading venue and analyze efficiency of the resulting market structure. Bargaining power of investors in the OTC market and cost associated with trading non-customized securities at the exchange have ambiguous effects on the relative volume across the trading venues. The market outcome is inefficient due to bargaining in the OTC market and imperfect competition of specialist at the exchange. The model is well suited for quantitative analysis provided sufficiently detailed trading data from both types of trading venues.