Essays On Stock Liquidity And Stock Return Predictability

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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.

Three Essays On Predictability And Seasonality In The Cross Section Of Stock Returns

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Author : Vincent Jean Bogousslavsky
language : en
Publisher:
Release Date : 2017

Three Essays On Predictability And Seasonality In The Cross Section Of Stock Returns written by Vincent Jean Bogousslavsky 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.

Mots-clés de l'auteur: Return Predictability ; Return Seasonality ; Asset Pricing Anomalies ; Intraday Returns ; Liquidity ; Infrequent Rebalancing.

Two Essays On The Cross Section Of Stock Returns

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Author : Peter Wong
language : en
Publisher:
Release Date : 2013

Two Essays On The Cross Section Of Stock Returns written by Peter Wong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

This dissertation studies two distinct topics. First, I examine whether the idiosyncratic volatility discount anomaly documented by Ang, Hodrick, Xing, and Zhang (2006, 2009) is related to earnings shocks, and I find that a substantial portion of the idiosyncratic volatility discount can be explained by earnings momentum and post-formation earnings shocks. When these two effects are accounted for, idiosyncratic volatility has little, if any, return predictability. Second, I propose a parsimonious measure to characterize the severity of the microstructure noise at the individual stock level and assess the impact of this microstructure induced illiquidity on cross-sectional return predictability. One of the main advantages of this measure is that it is very simple to construct (requires only daily stock returns data). Using this measure I find that firms with the largest microstructure bias command a return premium as large as 9.61% per year, even after controlling for the premiums associated with size, book-to-market, momentum, and traditional liquidity price impact and cost measures. In addition, the bias premium is strongest among small, low price, volatile, and illiquid stocks. On the other hand, the premiums associated with size, illiquidity, and return reversal are most pronounced among stocks with the largest bias.

Three Essays On Global Stock Markets

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Author : Mengmeng Dong (Professor of finance)
language : en
Publisher:
Release Date : 2018

Three Essays On Global Stock Markets written by Mengmeng Dong (Professor of finance) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with International finance categories.

My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. In the third chapter “The Impact of Price Limits on Stock Volatility and Price Delay: Evidence from China”, I focus on the Chinese stock market and study how market interventions affect price behaviors. To overcome challenge in identification, I first match firms by characteristics and use difference-in-difference methodology to establish causality. Exploring a Special Treatment policy in China, I show that 5-basis-point tightening in daily price limits (from ±10% to ±5%) significantly reduces annualized volatility by 6.5 basis points (t =5.00) yet increases price delay by 63% from the previous year (t =7.40). Trading activity and liquidity significantly decrease under new limits but return increases by an equal-weighted average of 27% (t = 3.22) in 12 months. Evidence suggests that in the long-run price limits are effective in reducing volatility and improving firm value yet causing delayed price discovery and lower liquidity.

Three Essays On Empirical Asset Pricing

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Author : Fei Fang
language : en
Publisher:
Release Date : 2019

Three Essays On Empirical Asset Pricing written by Fei Fang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

This dissertation focuses on empirical asset pricing, including stock and options pricing. In the first and third chapter, we examine the linkage between stock market and options market at firm level. In Chapter Two, we documents the impact that systematic variance risk has for option prices of individual stocks. In the first chapter, we study the relation between future stock returns and option-based measures. We find that the options-based measure - future stock return relation is strongest for relatively less liquid stocks. After taking transaction costs into consideration, the risk-adjusted returns of the long-short stock portfolios do not differ significantly between stock liquidity groups. This chapter provides better understanding on the options-based stock return predictability. In the second chapter, we construct novel factors to mimic variance risk related to firm characteristics using individual stocks' variance risk premium. We then document that market variance risk premium and variance risk mimicking factors have strong explanatory power for option prices. Our new analytic framework links the variance risk factors related to firm characteristics to the individual equity option price structure. In the third chapter, we provide additional empirical results on how stock price can affect option prices. Our preliminary results reveal a link between the informational inefficiency of stock price and option prices. We find that a greater departure from random walk leads to a lower level of implied volatility (compared to realized volatility) and a steeper implied volatility curve.

Essays On Liquidity And Stock Returns

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Author : Sai-Pang Chan
language : en
Publisher:
Release Date : 2004

Essays On Liquidity And Stock Returns written by Sai-Pang Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Liquidity (Economics) categories.

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.

Three Essays On The Predictability Of Stock Returns

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Author : Amit Goyal
language : en
Publisher:
Release Date : 2001

Three Essays On The Predictability Of Stock Returns written by Amit Goyal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Stocks categories.

Three Essays On Stock Market Volatility And Stock Return Predictability

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Author : Shu Yan
language : en
Publisher:
Release Date : 2000

Three Essays On Stock Market Volatility And Stock Return Predictability written by Shu Yan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Stock exchanges categories.

Essays On Stock Return Predictability And Portfolio Allocation

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Author : Bradley Steele Paye
language : en
Publisher:
Release Date : 2004

Essays On Stock Return Predictability And Portfolio Allocation written by Bradley Steele Paye and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Asset allocation categories.