Essays In Asset Pricing And Institutional Investors
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Essays In Asset Pricing And Institutional Investors
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Author : Qi Shang
language : en
Publisher:
Release Date : 2012
Essays In Asset Pricing And Institutional Investors written by Qi Shang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
The thesis includes three papers: 1. Limited Arbitrage Analysis of CDS Basis Trading By modeling time-varying funding costs and demand pressure as the limits to arbitrage, the paper shows that assets with identical cash-flows have not only different expected returns, but also different expected returns in excess of funding costs. I solve the model in closed-form to show that the arbitrage on the CDS and corporate bond market is a risky arbitrage. The sign of the expected excess return of the arbitrage is decided by the sign and size of market frictions rather than the observed price discrepancy. The size and risk of the arbitrage excess return are increasing in market friction levels and assets' maturities. High levels of market frictions also destruct the positive predictability of credit spread term structure on credit spread changes. Results from the empirical section support the above-mentioned model predictions. 2. General Equilibrium Analysis of Stochastic Benchmarking This paper applies a closed-form continuous-time consumption-based general equilibrium model to analyze the equilibrium implications when some agents in the economy promise to beat a stochastic benchmark at an intermediate date. For very risky benchmark, these agents increase volatility and risk premium in the equilibrium. On the other hand, when they promise to beat less risky benchmark, they decrease volatility and risk premium in the equilibrium. In both cases, the degree of effect is state-dependent and stock price rises. 3. Institutional Asset Pricing with Heterogenous Belief (Co-authored) We propose an equilibrium asset pricing model in which investors with heterogeneous beliefs care about relative performance. We find that the relative performance concern leads agents to trade more similarly, which has two effects. First, similar trading directly decreases volatility. Second, similar trading decreases the impact of the dominant agents. When the economy is extremely good or bad, the second effect is dominant so that the relative performance concern enlarges the excess volatility caused by heterogeneous beliefs. When the first effect is dominant, which corresponds to a normal economy, the volatility is lower than without the relative performance concern. Moreover, this paper shows that the relative performance concern also influences investors' holdings, stock prices and risk premia.
Empirical Essays On Cross Sectional Asset Pricing And Institutional Investors
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Author :
language : en
Publisher:
Release Date : 2016
Empirical Essays On Cross Sectional Asset Pricing And Institutional Investors written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Essays In Asset Pricing
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Author : Yousuf Haque
language : en
Publisher:
Release Date : 2015
Essays In Asset Pricing written by Yousuf Haque and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Essays On Institutional Investors Central Banks And Asset Pricing
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Author : Diogo Duarte Garcia Pires
language : en
Publisher:
Release Date : 2016
Essays On Institutional Investors Central Banks And Asset Pricing written by Diogo Duarte Garcia Pires and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Essays On Empirical Asset Pricing
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Author : Chishen Wei
language : en
Publisher:
Release Date : 2011
Essays On Empirical Asset Pricing written by Chishen Wei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
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.
Essays In Empirical Asset Pricing
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Author : Weike Xu
language : en
Publisher:
Release Date : 2016
Essays In Empirical Asset Pricing written by Weike Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Institutional investors categories.
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.
Essays On Institutional Investors Portfolio Choice And Asset Prices
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Author : Kristy A.E. Jansen
language : en
Publisher:
Release Date : 2021
Essays On Institutional Investors Portfolio Choice And Asset Prices written by Kristy A.E. Jansen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Two Essays On Demand Based Asset Pricing
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Author : Paul Huebner
language : en
Publisher:
Release Date : 2023
Two Essays On Demand Based Asset Pricing written by Paul Huebner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
In Chapter 1, I develop a framework to quantify which features of investors' trading strategies lead to momentum in equilibrium. Specifically, I distinguish two channels: persistent demand shocks, capturing underreaction, and the term structure of demand elasticities, representing an intensity of arbitrage activity that decreases with investor horizon. I introduce both aspects of dynamic trading into an asset demand system and discipline the model using the joint behavior of portfolio holdings and prices. I estimate the demand of institutional investors in the U.S. stock market between 1999 and 2020. On average, investors respond more to short-term than longer-term price changes: the term structure of elasticities is downward-sloping. My estimates suggest that this channel is the primary driver of momentum returns. Moreover, in the cross-section, stocks with more investors with downward-sloping term structures of elasticities exhibit stronger momentum returns by 7% per year. In Chapter 2 (with Valentin Haddad and Erik Loualiche), we develop a framework to theoretically and empirically analyze how investors compete with each other in financial markets. In the classic view that markets are fiercely competitive, if a group of investors changes its behavior, other investors adjust their strategies such that nothing happens to prices. We propose a demand system with a flexible degree of strategic response and estimate it for institutional investors in the U.S. stock market. Investors react to the behavior of others in the market: when less aggressive traders surround an investor, she trades more aggressively. However, this strategic reaction is not nearly as strong as the classic view. Our estimates suggest that when a group of investors changes its behavior, the response of other investors only counteracts half of the direct impact. This result implies that the rise in passive investing over the last 20 years has led to substantially more inelastic aggregate demand curves for individual stocks by about 15%.
Three Essays On Empirical Asset Pricing
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Author : Wenqing Wang
language : en
Publisher:
Release Date : 2004
Three Essays On Empirical Asset Pricing written by Wenqing Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Investments categories.
Essays In Corporate Finance And International Asset Pricing
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Author : Xiangdong Mao
language : en
Publisher:
Release Date : 2000
Essays In Corporate Finance And International Asset Pricing written by Xiangdong Mao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.