Essays On Capital Markets
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Three Essays On Capital Market With Incomplete And Asymmetric Information
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Author : Chaoli Guo
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-26
Three Essays On Capital Market With Incomplete And Asymmetric Information written by Chaoli Guo and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-26 with categories.
This dissertation, "Three Essays on Capital Market With Incomplete and Asymmetric Information" by Chaoli, Guo, 郭朝莉, 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: This thesis includes one essay on incomplete information and two essays on the capital market implications of asymmetric information. The acquisition of information and its dissemination to all economic units are central activities in capital markets. Limits to information diffusion may exist when market participants have limited processing ability or when market structure causes information asymmetry to persist. Merton (1987) proposes a simple capital market equilibrium model with incomplete information, in which difference in a stock's investor recognition affects its cost of capital. Myers and Majluf (1984) lay out the theoretical foundation for the role of asymmetric information in corporate finance and its capital market implications. The first essay tests and offers support to Merton's (1987) theory. In the U.S. market, using the breadth of ownership among retail investors as a proxy for investor recognition, I show that a long-short portfolio based on the annual change of shareholder base earns a compounded annual abnormal return of 6.42% after controlling for the Fama-French three factors. These results are more pronounced among young, low visibility and high idiosyncratic volatility stocks. Moreover, I present evidence that the investor recognition effect can explain approximately 20% of the puzzling net equity issuance effect documented by Pontiff and Woodgate (2008). The second essay suggests a novel signaling mechanism in the framework of asymmetric information. When a firm's convertible debt is issued, it is not only determined by the fundamentals of the firm such as past stock performance, but also related to whether this performance is realized during the tenure of current CEO who decides the issues. I define the performance that the current CEO achieves in the firm ever since the CEO comes to the helm as CEO-specific performance. Higher CEOspecific performance leads to (1) a higher probability of convertible issues, and (2) a less negative abnormal stock return in response to the convertible issue announcement, controlling for other firm characteristics. These evidences indicate that CEO-specific performance serves as a credible information signal to influence the adverse selection costs between the firm and outside investors in convertible bond financing. The third essay explores the possibility of asymmetric information in explaining the pronounced share issue anomaly in the cross-sectional variations of stock returns, as documented by Pontiff and Woodgate (2008). A lot of equity share issue and repurchase actions are actively determined by the decision of corporate stakeholders, such as employees at the stock options exercises. As these stakeholders hold a large amount of private information about the firm, it is in their optimal decisions to try to time the exercise of their share purchase activity, but outside investors are likely to fail to interpret the information revealed from these actions. I present strong evidence that a negative relation between share issues and stock returns is affected to a greater extent when the information asymmetry problem is more severe. DOI: 10.5353/
Essays In Capital Markets
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Author : Leonid Kogan
language : en
Publisher:
Release Date : 1999
Essays In Capital Markets written by Leonid Kogan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Hedging (Finance) categories.
Essays On Capital Markets With Information Frictions
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Author : 孫軼博
language : en
Publisher:
Release Date : 2023
Essays On Capital Markets With Information Frictions written by 孫軼博 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with Capital market categories.
Essays On Capital Markets
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Author : Claire Yi-Chun Liang
language : en
Publisher:
Release Date : 2014
Essays On Capital Markets written by Claire Yi-Chun Liang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business cycles categories.
Capital markets play an important role in the modern economy. This thesis consists of two essays on capital markets. In the first essay (Chapter 1), I study the effect of systematic news on a prominent capital markets anomaly, post-earnings announcement drift (PEAD), and use the effect to examine competing explanations of PEAD. In the second essay (Chapter 2), I study the real effects of capital markets development. The abstracts from each of the essays are as follows: Chapter 1 Recent studies find that post-earnings announcement drift (PEAD) is related to the business cycle. Using quarterly data on U.S. public firms from 1973:Q1 to 2011:Q3, I find that PEAD is stronger when drift-period systematic news agrees with a firm's prior earnings news; PEAD is weaker, insignificant, or even reversed when drift-period systematic news disagrees with a firm's prior earnings news. The relation between systematic news and PEAD is consistent with the rational learning hypothesis, but cannot be explained by conventional behavioral models built on investor irrationality. The study suggests a channel linking PEAD to the business cycle. It provides empirical evidence that helps distinguish the rational learning hypothesis from conventional behavioral models, which previous studies attempting to use the rational learning theory to explain PEAD have found difficult. The findings indicate that anomalies need not imply investor irrationality. The effects of systematic shocks and information uncertainty on asset prices not captured by existing models offer a promising new direction for exploring PEAD as well as other anomalies. Chapter 2 U.S. financial development varies a good deal over the last half century, primarily increasing since the 1980s. We ask whether this variation had consequences for the real economy. Difference-in-difference tests reveal that increases in financial development have disproportionate effects on industries that depend more on external finance. Higher financial development forecasts externally dependent industries using more external finance, having higher turnover of leading businesses, greater variation in firm-growth rates, more new firms entering, more mature firms exiting, lower concentration, and at the aggregate level more innovation and faster growth. The mosaic of our evidence is consistent with a Schumpeterian framework linking the supply of finance to competition, innovation, and growth. Our findings suggest that the growth in finance had some real effects that are socially beneficial.
2 Essays On Capital Markets
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Author : Yao Huang
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-24
2 Essays On Capital Markets written by Yao Huang and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-24 with Business & Economics categories.
This dissertation, "Two Essays on Capital Markets" by Yao, Huang, 黄垚, 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. DOI: 10.5353/th_b4489314 Subjects: Going public (Securities) Conglomerate corporations - Finance
Essays On Capital Markets
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Author : Jeffrey Allen Wurgler
language : en
Publisher:
Release Date : 1999
Essays On Capital Markets written by Jeffrey Allen Wurgler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Capital market categories.
Essays On Capital Markets
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Author : Filippo Taddei
language : en
Publisher:
Release Date : 2005
Essays On Capital Markets written by Filippo Taddei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Other People S Money
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Author : Mario Ronald Christian Bersem
language : en
Publisher:
Release Date : 2012
Other People S Money written by Mario Ronald Christian Bersem 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.
"This dissertation investigates capital market frictions across three themes. The first theme is sovereign debt. Recent experience in the EU shows that it can be complex to enforce the repayment promises of states. Furthermore, governments are better informed about their repayment capacity than creditors are. This dissertation argues that enforcement and information problems explain why states issue simple debt contracts that frequently lead to debt crises. Such contracts are optimal because they save on costly audits by creditors. The second theme concerns collective pension funds. It is often argued that pension funds can enhance the welfare of their participants. This dissertation highlights one rationale for pension funds based on credit constraints. Pension funds' actual ability to increase welfare may be limited due to an agency problem. The third theme concerns political intervention in capital markets. Financial liberalization and expanded access to capital are historically seen as signs of greater freedom. Yet many democratic states choose to restrain the resource allocation called for by free capital markets. This dissertation argues that democracies may choose to introduce restraints on free capital markets-thereby favouring income stability over economic growth-depending on demographical context, the distribution of wealth, and the rate of technological progress."--Achterplat.
Essays On Capital Markets
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Author : Wayne Weifeng Yu
language : en
Publisher:
Release Date : 1997
Essays On Capital Markets written by Wayne Weifeng Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business enterprises categories.
Essays On Capital Markets
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Author : Leoni Eleni Oikonomikou
language : en
Publisher:
Release Date : 2016
Essays On Capital Markets written by Leoni Eleni Oikonomikou 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.