Three Essays In Stock Price Crash Risk And Institutional Trading
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Three Essays In Stock Price Crash Risk And Institutional Trading
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Author : Hung Dong Cao
language : en
Publisher:
Release Date : 2024
Three Essays In Stock Price Crash Risk And Institutional Trading written by Hung Dong Cao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024 with categories.
Despite a longstanding debate over the pros and cons of imposing legal liability on corporate directors and officers, there is limited research on how managerial litigation affects a firm0́9s future stock price crash risk. Essay 1 examines how the change in Nevada corporate law in 2001, which lowers the legal liability of corporate managers of Nevada-incorporated firms, affects the likelihood of future stock price crashes. We find that such a legal change leads to a decrease in stock price crash risk, and the effect is more pronounced for small, young, and weakly governed firms. Further analysis indicates that the decrease in crash risk is driven by reduced earnings management and enhanced quality of corporate information disclosures. Overall, our evidence suggests that lower managerial legal liability encourages managers to improve corporate information environment that decreases stock price crash risk. In Essay 2, exploiting the staggered adoption of data breach notification (DBN) laws, which obligate firms to disclose data breaches when they occur, as an exogenous shock to data breach disclosures, we find that the adoption of these laws leads to higher future stock price crash risk. The positive relation between DBN laws and crash risk is more pronounced for firms with weaker corporate governance, higher financial constraints, and higher information asymmetry. Our findings suggest that investors0́9 concerns about the consequences of data breaches and the vulnerability of breached firms0́9 data security heighten stock price crash risk. Essay 3 investigates the impact of psychological barriers on institutional trading behaviors. We find that net institutional demand is positively associated with proximity to the 52-week highs, while it is negatively associated with proximity to the historical highs. Conditioning these price-to-high ratios, we further show that institutional trading can strongly predict future stock returns. Overall, these findings support behavioral exploitation hypothesis, suggesting that institutional investors capitalize on other investors0́9 behavioral biases.
Three Essays On Price Discovery Stock Liquidity And Crash Risk
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Author : Marco Seruset
language : en
Publisher:
Release Date : 2022
Three Essays On Price Discovery Stock Liquidity And Crash Risk written by Marco Seruset and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Three Essays On Noise And Institutional Trading
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Author : Dr. Yan Luo
language : en
Publisher:
Release Date : 2010
Three Essays On Noise And Institutional Trading written by Dr. Yan Luo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mutual funds categories.
Two Essays On Customer Concentration And Stock Price Crash Risk
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Author : Chenxing Meng
language : en
Publisher:
Release Date : 2018
Two Essays On Customer Concentration And Stock Price Crash Risk written by Chenxing Meng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Financial crises categories.
Three Essays On Noise And Institutional Trading
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Author : Yan Luo
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-24
Three Essays On Noise And Institutional Trading written by Yan Luo 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 categories.
This dissertation, "Three Essays on Noise and Institutional Trading" by Yan, Luo, 罗妍, 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_b4454924 Subjects: Rate of return - Mathematical models Stocks - Prices - Mathematical models Mutual Funds - Mathematical models
Investors Horizon And Stock Prices
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Author : Sahar Parsa
language : en
Publisher:
Release Date : 2011
Investors Horizon And Stock Prices written by Sahar Parsa 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 consists of three essays on the relation between investors' trading horizon and stock prices. The first chapter explores the theoretical relation between the horizon of traders and the negative externality generated by their activity on the information revealed by stock prices. The last two chapters focus on the empirical relation between institutional investors trading frequency and stock prices behaviour. The first chapter examines how short term trading impacts the aggregation of information in financial markets. I develop a model where short-term traders, in an attempt to learn about the average beliefs of future market participants, make the price relatively more noisy. This typically introduces a negative informational externality on long-term investors. I show that (i) as the horizon of the informed traders decreases, the price becomes relatively less precise; (ii) an inflow of informed traders in the market can decrease the informativeness of the price when the traders have a relatively short horizon or the market is expected to be thin in the future; (iii) finally, as rational informed short-term traders have access to an extra source of information about the future price, they end up creating more noise and a decrease in the informativeness of the price might result. Thus, paradoxically, more informed trading could lead to a less informative price. Among scholars, practitioners and policy makers, investor short-termism and high frequency trading have been associated with excess volatility in financial markets and with a disconnect between asset prices and fundamentals. Motivated by this observation, in Chapter 2 I construct a novel measure of the intrinsic frequency of trading for each of the large US institutional investors (13-F institutions) using Thomson-Reuters Institutional Holdings quarterly data for the period 1980-2005. This measure controls for the market and portfolio characteristics and identifies an investor-specific fixed effect in the frequency of trading. I then study how the composition of these fixed effects impacts stock price behavior through their forecasting role in explaining the return and the return on equity (cash flow of a company) in the short run as well as the long run. I show that (i) the securities in which investors exhibit higher intrinsic trading frequency exhibit higher volatility, but (ii) this volatility is mainly driven by the cashflow component of the security prices. Further, (iii) the prices of the securities held by investors with a higher intrinsic trading frequency do not forecast the long-run return as opposed to the securities held by investors with a lower intrinsic trading frequency. As such, the prices mainly respond to the long-run return on equity. Overall, the results challenge the view that higher frequency of trading-a commonly used proxy for investor short-termnism-causes a disconnect between asset prices and fundamentals. Finally, in Chapter 3 (co-auhtored with Fernando Duarte) we show a novel relation between the institutional investors' intrinsic trading frequency-a commonly used proxy for the investors's investment horizon- and the cross-section of stock returns. We show that the 20$ of stocks with the lowest trading frequency earn mean returns that are 6 percentage points per year higher than the 20% of stocks that have the highest trading frequency. The magnitude and predictability of these returns persist or even increase when risk-adjusted by common indicators of systematic risks such as the Fama-French, liquidity or momentum factors. Our results show that the characteristics of stockholders affect expected returns of the very securities they hold, supporting the view that heterogeneity among investors is an important dimension of asset prices.
Three Essays On Information Volatility And Crises In Equity Markets
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Author : Shane K. Clark
language : en
Publisher:
Release Date : 2015
Three Essays On Information Volatility And Crises In Equity Markets written by Shane K. Clark 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.
Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Capitalizing China
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Author : Joseph P. H. Fan
language : en
Publisher: University of Chicago Press
Release Date : 2013
Capitalizing China written by Joseph P. H. Fan and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
La 4e de couverture indique : "Despite a vast accumulation of private capital, China is not embracing capitalism. Deceptively familiar capitalist features disguise the profoundly unfamiliar foundations of "market socialism with Chinese characteristics." The Chinese Communist Party (CCP), by controlling the career advancement of all senior personnel in all regulatory agencies, all state-owned enterprises (SOEs), and virtually all major financial institutions state-owned enterprises (SOEs), and senior Party positions in all but the smallest non-SOE enterprises, retains sole possession of Lenin's Commanding Heights. The chapters in this volume examine China's high savings rate, banking system, financial markets, financial regulations, corporate governance, and public finances; and consider policy alternatives the CCP might consider if its goal is China's elevation into the ranks of high income countries."
Corporate Social Responsibility
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Author : Andrew Crane
language : en
Publisher: Routledge
Release Date : 2014
Corporate Social Responsibility written by Andrew Crane and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business & Economics categories.
As a relatively young subject matter, corporate social responsibility has unsurprisingly developed and evolved in numerous ways since the first edition of this textbook was published. Retaining the features which made the first edition a top selling text in the field, the new edition continues to be the only textbook available which provides a ready-made, enhanced course pack for CSR classes. Authoritative editor introductions provide accessible entry points to the subjects covered - an approach which is particularly suited to advanced undergraduate and postgraduate teaching that emphasises a research-led approach. New case studies are integrated throughout the text to enable students to think and analyze the subject from every angle. The entire textbook reflects the global nature of CSR as a discipline and further pedagogical features include chapter learning outcomes; study questions; ‘challenges for practice’ boxes and additional ‘further reading’ features at the end of each chapter. This highly rated textbook now also benefits from a regularly updated companion website which features a brand new 'CSR Case Club' presenting students and lecturers with further case suggestions with which to enhance learning; lecture slides; updates from the popular Crane and Matten blog, links to further reading and career sites, YouTube clips and suggested answers to study questions. An Ivey CaseMate has also been created for this book at https://www.iveycases.com/CaseMateBookDetail.aspx?id=335.
Slow Moving Capital
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Author : Mark L. Mitchell
language : en
Publisher:
Release Date : 2010
Slow Moving Capital written by Mark L. Mitchell 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.
We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.