Essays On Stock Liquidity
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Two Essays On Stock Liquidity
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Author : Shuming Liu (doctor of finance.)
language : en
Publisher:
Release Date : 2008
Two Essays On Stock Liquidity written by Shuming Liu (doctor of finance.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Institutional investors categories.
This dissertation consists of two empirical essays on investor behavior and liquidity variation. The results demonstrate the important role of investors in affecting liquidity. The first essay examines how the fluctuation in the aggregate stock market liquidity is related to investor sentiment. I find that the stock market is more liquid when investor sentiment is higher. This evidence is consistent with the theoretical prediction that higher investor sentiment increases stock market liquidity. The second essay investigates whether the cross-sectional differences in liquidity are affected by institutional ownership. I document that stocks with larger increases in the number of institutional investors are more liquid than other stocks. This result is consistent with the prediction that information competition among institutional investors increases stock liquidity.
Essays On Stock Liquidity
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Author : Francis Sui-Wing Chan
language : en
Publisher:
Release Date : 2000
Essays On Stock Liquidity written by Francis Sui-Wing Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Liquidity (Economics) categories.
Essays On Stock Liquidity
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Author : Ozkan Haykir
language : en
Publisher:
Release Date : 2017
Essays On Stock Liquidity written by Ozkan Haykir and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Three Essays On Stock Market Liquidity And Earnings Seasons
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Author : Andrei I. Nikiforov
language : en
Publisher:
Release Date : 2009
Three Essays On Stock Market Liquidity And Earnings Seasons written by Andrei I. Nikiforov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Electronic dissertations categories.
In these essays, I identify the effects of earnings seasons (i.e., the clustering of earnings releases), on stock market liquidity and asset pricing. In the first essay, I document strong seasonal regularities associated with aggregate earnings announcements. Applying the large body of literature linking earnings announcements to liquidity effects, I argue that these earnings seasons create market-wide liquidity shocks and I show that both liquidity betas and liquidity risk change during earnings seasons In the second essay, I test the impact of earnings seasons on commonality in liquidity as measured by both spreads and depths. I find that commonality significantly decreases during the four weeks of each calendar quarter when most companies release their earnings. These findings contribute to the literature by identifying and examining the clustering effect of firm-specific information on commonality in liquidity. In the third essay, I extend the study of the liquidity effects of earnings seasons to a sample of 20 countries. I find that the international data corroborate both hypotheses. I also find that the aggregate quality of accounting information, and the duration and frequency of interim reporting periods are important determinants of the liquidity effects (both liquidity betas and commonality in liquidity) during earnings seasons.
Two Essays On Stock Market Liquidity
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Author : Mohamed Abdel-aziz Mekhaimer
language : en
Publisher:
Release Date : 2014
Two Essays On Stock Market Liquidity written by Mohamed Abdel-aziz Mekhaimer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This dissertation is composed of two essays. In the first essay, we use the introduction of the first transatlantic trading platform NYSE Arca Europe (NAE), as an exogenous shock to examine the impact of market design on commonality in liquidity. We find that commonality in liquidity increases significantly for stocks traded in the NAE, specifically, the introduction of the transatlantic NAE trading platform increases the comovement of NAE stocks with NAE aggregate liquidity while their comovement with the home market aggregate liquidity decreases. Further, we find that the commonality in liquidity remains unchanged for matched non-NAE control sample stocks. Our results are robust to different methods for computing commonality, different liquidity proxies and across size quintiles. We conclude that market design and trading infrastructure has a significant impact on commonality in liquidity. The second essay investigates the impact of internal governance on stock market liquidity. Acharya, Myers and Rajan (2011) develop a model of internal governance where subordinate managers can effectively monitor the CEO to maintain the future of the firm. Using a measure of internal governance based on the difference in horizons between a CEO and his subordinates, we show that firms with better internal governance have lower information asymmetry and higher liquidity. We also show that internal governance is more effective in enhancing liquidity for firms with CEOs close to retirement, firms that require higher firm-specific skills, and firms with experienced subordinate managers. Our results are robust to inclusion of conventional governance measures, alternative model specifications, and different measures of internal governance and liquidity.
Empirical Essays On Stock Liquidity And Stock Return
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Author : Thị Thu Hương Lê
language : en
Publisher:
Release Date : 2021
Empirical Essays On Stock Liquidity And Stock Return written by Thị Thu Hương Lê 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.
Essays On Stock Liquidity And Stock Return Predictability
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Author : Gregory William Eaton
language : en
Publisher:
Release Date : 2016
Essays On Stock Liquidity And Stock Return Predictability written by Gregory William Eaton 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.
I examine the effects of stock liquidity on asset values and whether aggregate stock liquidity and other forecasting instruments predict stock market returns. In the first chapter, I use tick-size reductions in equity markets as sources of exogenous variation in liquidity to examine the causal effect of transaction costs on firm value. In contrast to the prevailing view, I find that increased liquidity has a marginal or, in some cases, negative impact on firm value. The second chapter evaluates the predictive content of aggregate liquidity for economic activity and stock returns. We decompose illiquidity into a component capturing aggregate volatility and a volatility-adjusted component and find strong evidence that the component of illiquidity uncorrelated with volatility forecasts stock market returns. The third chapter provides new evidence on the stock return forecasting performance of alternative corporate payout yields. We find that the net payout yield forecasts stock returns and generally outperforms the commonly used dividend yield. Additionally, we show that the choice of cash flow used to construct the payout yield is economically significant. An agent relying on the incorrect payout measure as a forecasting instrument is willing to pay an economically significant amount to switch to the optimal policy.
Essays On Stock Market Liquidity
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Author : Chi-Hsiang Huang
language : en
Publisher:
Release Date : 2001
Essays On Stock Market Liquidity written by Chi-Hsiang Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Essays On Stock Options
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Author : Iskra Kalodera
language : en
Publisher: Tectum - Der Wissenschaftsverlag
Release Date : 2011-07
Essays On Stock Options written by Iskra Kalodera and has been published by Tectum - Der Wissenschaftsverlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07 with categories.
This book focuses exclusively on stock options, analyzing their pricing, liquidity, and information transmission empirically. With the help of discrete choice modeling and regression analysis, it offers new insights into the behavior of stock option liquidity as well as the influence of overall market liquidity on option prices. Many observed phenomena find explanation through the market microstructure. The book also provides the most comprehensive analysis of equity options for the German market so far and serves as a guide to up-to-date empirical topics for both researchers and practitioners.
Selected Essays In Stock Market Liquidity
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Author : Tatjana Verrier
language : en
Publisher:
Release Date : 2010
Selected Essays In Stock Market Liquidity written by Tatjana Verrier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.