Download or read book Three Essays on Trading Volume written by Youngseog Park and published by . This book was released on 1990 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Trading Volume and Stock Returns written by Andy Chun Wai Chui and published by . This book was released on 1998 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Price Volatility and Trading Volume in Financial Markets written by Percy Siuping Poon and published by . This book was released on 1989 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing and Trading Volume written by Jean-Paul Theler and published by . This book was released on 1995 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Trading Volume written by Guohua Ma and published by . This book was released on 2007 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords. Trading Volume, Heterogeneous Beliefs, Disposition Effect, Informational Trading, Liquidity Trading
Download or read book Three Essays on Trade Barriers and Trade Volumes written by Johannes Moenius and published by . This book was released on 2000 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nature the Utility of Religion and Theism written by John Stuart Mill and published by . This book was released on 1885 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Strategic Trading in Oligopolistic Economies written by Alexei Boulatov and published by . This book was released on 2004 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Trading and Banking written by William Paul Spurlin and published by . This book was released on 2011 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays. The first essay, Short Sales in the NYSE Batch Open and NASDAQ Opening Cross, examines opening-trade short volume's relation to short volume for the rest of the trading day and to overnight, previous-day, and same-day price changes. We find that short volume in the batch open and opening cross increases with short volume for the rest of the day, with previous-day, open-to-close price changes, and with overnight price changes for S & P 500 stocks. Batch-open short volume increases with overnight price changes, and it increases (does not decrease) for firms making positive (negative) overnight earnings announcements. Opening-cross short volume increases with close-to-close, previous-day price changes and is negatively related to same-day price changes. Our second essay, Short Sales around Open-Market Repurchase Announcements, studies short selling of a firm's stock during the five days after it announces an open-market repurchase. We conclude that a firm may be able to mislead normally-informed investors about its quality by announcing an open-market repurchase. Next, we conclude that open-market repurchase size does not possess positive signaling attributes. Lastly, we conclude that short sellers do not predict the repurchasing behavior of firms announcing an open-market repurchase. The third essay, Profit Efficiency and Big Bank Presence in Rural Markets, studies the effect of big-bank presence on the profitability of rural one-market banks. We find that a small rural bank shows decreased profit efficiency and increased return on assets due to higher loan income when it competes with at least one big bank. If multiple big banks are competing with a small rural bank, the small bank shows a smaller decrease in profit efficiency and a smaller increase in return on assets due to a smaller increase in loan income than if it competes with one big bank. From these results, we conclude that big banks choose to remain in rural markets where they possess some degree of market power, enabling them to earn higher returns while operating less efficiently, but market power is restricted when more than one big bank is present in a rural market.
Download or read book Person and Self Value written by Max Scheler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the mysterious powers and forces peculiar to both individual and community that can turn our lives into either good or bad lives, I wish to point to two such powers being at the same time different in their own nature and yet closely related to each other: The powers that emerge from exemplary persons and leaders. Understood as basic to both sociology and the philosophy of history, it comes to us as no surprise that the problem of exemplary persons and leaders - along with the questions of the qualities types, selections and education of leaders; forms of unison existing be tween leaders and their followers, all of which belonging to the subdivisions of this problem - must be a burning problem for a people whose historical leaders from all walks of life have, in part, been swept away by wars and revolutions. This fact we also find in all salient epochs of history characterized more or less by changes in leadership. It is precisely for this reason that in our own time every group appears to struggle ever so hard with this problem, namely, who their leaders should be. This pertains equally to a group within a party, to a class, to occupations, to unions, to various schools or present-day youth movements, and even to religious and ecclesias tical groupings. Beyond any comparison, there is yearning everywhere for lead ership.
Download or read book Essays on Stock Trading Volume Volatility and Information written by Hanfeng Wang and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Essays on Stock Trading Volume, Volatility and Information" by Hanfeng, Wang, 王漢鋒, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Essays on Stock Trading Volume, Volatility and Information Submitted By Hanfeng WANG For the Degree of Doctor of Philosophy at the University of Hong Kong in June 2007 We focus on three topics that relate to trading volume in stock market in this thesis. In the first essay we find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. This pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, indicating that at least empirically there exists a most information-intensive volume for each stock, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetric when the stock price moves up and down, and we attribute this asymmetry to the short-selling constraints. 2 In the second essay we examine the price and trading volume reaction around annual earnings announcements in the Chinese A-share and B-share markets. We document a reverting pattern in the CAR series around earnings announcement in A share market while the behavior of the CAR series in B share market is quite similar to that found in developed markets. We argue that the difference may be due to that some of the A share investors overreact to the information before the earnings announcement. Additionally, abnormally high volume occurs around the earnings announcement, in both A-share and B-share markets, however, contrary to abnormally high volume several days before the announcement in B-share market, abnormally low volume exists several days prior to the announcement in A-share market. Through cross-sectional analysis we find that abnormal trading volume on the announcement day, taken as an index of the surprise of earnings announcement, and the responsiveness of the market are positively correlated, and that the average return before the announcement is negatively correlated with the CAR after the announcement, which supports the A-share investors' overreaction to earnings announcement. We also find some evidence that A-share investors tend to be influenced by the market conditions. In the third essay we review the literature on herding behavior in financial market and build a new empirical model based on stock trading volume to detect the overall market herding behavior. With the model we find that in the Chinese stock market there is herding when the market moves up and there is no or little evidence of herding when the market moves down. For comparison we also extend the test to other international markets. Based on the empirical results we document with the Chinese market data we suggest canceling t
Download or read book Three Essays on Trading Behavior written by Adam Daniel Clark-Joseph and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--Aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles, but also generate several new testable predictions. Although these three essays differ considerably in methodology and focus, they all address the same basic issue of understanding the foundations of trading behavior.
Download or read book Three Essays on Trade and Development written by Tereso S. Tullao and published by . This book was released on 1987 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Financial Markets The Bright Side of Financial Derivatives Options Trading and Firm Innovation written by Iván Blanco and published by Ed. Universidad de Cantabria. This book was released on 2019-02-15 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Download or read book Towards a Better Understanding of Liquidity Trading Behavior and Stock Returns written by Wenjin Kang and published by . This book was released on 2004 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Information Content of Stock Options written by Zekun Wu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that explore the information content embedded in equity options. The results improve our understanding of the cross-section of option returns, informed trading in the options market, and the industry effect of IPOs. In the first essay, we study the relation between option-implied skewness (IS) and the crosssection of option returns under daily hedging to better understand skewness pricing in isolation from lower moments. Creating portfolios of delta-hedged (D-hedged) and delta-vega-hedged (DV-hedged) options with daily rebalancing, we find that IS is negatively (positively) related to call (put) option returns, but the relation to put options is statistically significant only during economic recessions. The relation is more substantial when the underlying stock has a larger market beta and when the firm has more severe information opacity. Our results suggest that investors' skewness preference grows stronger with greater market risk and lower information quality. In the second essay, we examined the informed trading in the options market before FDA drug advisory committee meetings. We find significant abnormal options trading volume before both meeting dates and report creation dates, particularly for small drug firms. Abnormal volume significantly predicts post-meeting stock returns. Informed traders prefer out-of-the-money options and choose maturities to cover the dates when reports are publicly released. They prefer to sell options close to the meeting date, perhaps to capture returns from both expected stock price changes and the sharp drop in implied volatility post-meeting. In the third essay, I investigate the effect of initial public offerings (IPOs) on industry competitors' options market. I find that rival firms' put (call) options volume increases (decreases) around IPOs, leading to price pressure on call options relative to put options as measured by the implied volatility spread. Rival firms' reaction in the options market also predicts the IPO firms' post-IPO stock performance. Lastly, rival firms with strong operating income experience less negative impact in the options market, suggesting competitive operation performance help stabilize rival firms' options market around IPOs.
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. .
