Three Essays On Asset Price And Trading Behavior
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Three Essays On Asset Price And Trading Behavior
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Author : Jiaqi Jin
language : en
Publisher:
Release Date : 2015
Three Essays On Asset Price And Trading Behavior written by Jiaqi Jin 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.
Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance
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Author : Ehud Peleg
language : en
Publisher: ProQuest
Release Date : 2008
Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance written by Ehud Peleg and has been published by ProQuest this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital assets pricing model categories.
Three Essays On Informed Trading
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Author : Frank Sensenbrenner
language : en
Publisher:
Release Date : 2013
Three Essays On Informed Trading written by Frank Sensenbrenner 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 consists of three essays examining the behavior of informed traders in financial markets and how they affect asset pricing. It examines informed traders' role in shaping securities prices in three ways. It examines whether on a macro and micro basis insider traders move prices to a different degree than non-insiders. In addition, it uses econometric methods to determine what exchange generates permanent price trends in UK shares. Lastly, it looks at another side effect of fragmentation - how a 'best execution' mandate and related market structure changes affect transactions costs in liquid UK, French, and German shares.These studies expand on current literature in various ways - extant insider trading literature has either primarily focused on daily price movement and volume or had consisted of case studies, the conclusions of which may be idiosyncratic and therefore unrepresentative of typical insider behavior. The new phenomenon of multilateral trading facilities (also known as electronic communications networks) and the proliferation of algorithmic or computer-mediated trading had not been examined in price discovery papers, due to their relative novelty. In addition, despite a bevy of literature offering informed insight into the impact of the European Union's Markets in Financial Instruments Directive (MiFID), there has been a dearth of empirical studies assessing its impact on European securities markets. Chapters 2 and 3 examine MiFID and computerized trading from two different perspectives: that of which trades lead to permanent prices, and that of transactions costs.The conclusions drawn in this dissertation will be of interest to regulators, market operators, and traders, as they offer insight into the impact of market structure and how it impacts informed traders who participate in them.
Three Essays On The Trading Behavior Of Market Participants
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Author : Orkunt Mesut Dalgic
language : en
Publisher:
Release Date : 2003
Three Essays On The Trading Behavior Of Market Participants written by Orkunt Mesut Dalgic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Investments categories.
Asset Pricing And Trading Volume
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Author : Jean-Paul Theler
language : en
Publisher:
Release Date : 1995
Asset Pricing And Trading Volume written by Jean-Paul Theler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Three Essays On Herding And Strategic Usage Of Information In Financial Markets
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Author : Ya Tang
language : en
Publisher:
Release Date : 2010
Three Essays On Herding And Strategic Usage Of Information In Financial Markets written by Ya Tang 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.
Three Essays On Behavioral Finance
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Author : Gabriele M. Lepori
language : en
Publisher:
Release Date : 2008
Three Essays On Behavioral Finance written by Gabriele M. Lepori and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Efficient market theory categories.
Three Essays On Trading Behavior
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Author : Adam Daniel Clark-Joseph
language : en
Publisher:
Release Date : 2013
Three Essays On Trading Behavior written by Adam Daniel Clark-Joseph 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 analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles, but also generate several new testable predictions. Although these three essays differ considerably in methodology and focus, they all address the same basic issue of understanding the foundations of trading behavior.
Essays In Asset Pricing
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Author : Pierre Jacques Jaffard
language : en
Publisher:
Release Date : 2022
Essays In Asset Pricing written by Pierre Jacques Jaffard 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.
This Thesis is devoted to better understand market dynamics and asset pricing anomalies. In Chapter 1, which is co-authored with Andrea Hamaui, we study the effect of investors' market expectations on asset pricing. Given traditional stock returns factor modelling and the prominence of the market factor, beliefs about market returns represent a natural primitive for expectations of stock prices. As the desire to increase market exposure generates excess demand for high beta assets from constrained investors, we connect mutual funds' expectations to the beta (or low vol) anomaly. We show that the beta anomaly is particularly strong for stocks purchased by over-optimistic mutual funds. On the empirical side, we first introduce a mutual fund-level measure of market expectations and confirm the model's predictions for asset prices. In Chapter 2, which is co-authored with Andrea Hamaui, we study mutual funds' trading behavior. In particular, we introduce the concept of "core" vs "satellite" holdings and we characterize positions depending on their longevity and interim return in a fund's portfolio. We show that core positions are relatively protected from selling in times of distress, as managers consolidate their portfolio. Next, we show that this theory has implications for asset prices and liquidity: core positions incur less downward contemporaneous price pressure as a result of outflows and are relatively more liquid. A behavioral model rationalizes those findings and validates the use of interim return and longevity as proxies for the "coreness" of a position. In Chapter 3, I develop a three-period asset pricing model with heterogeneity in firms' size and a government that introduces a policy distortion. I find that large firms can better hedge the political uncertainty associated with this policy change through lobbying, which leads them to earn lower expected returns. I provide two strands of empirical evidence consistent with the model predictions. The first one looks at the behavior of a blue versus red industries around the unexpected results of the 2016 US Presidential election. The second one forms a political risk factor using a matching procedure, and shows that lobbying is indeed associated with a lower exposure to this factor.
Three Essays On The Behavior Of Financial Market Participants
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Author : Andrea Rossi (Ph. D. in finance)
language : en
Publisher:
Release Date : 2018
Three Essays On The Behavior Of Financial Market Participants written by Andrea Rossi (Ph. D. in 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 Finance categories.
In the third chapter, coauthored with Itzhak Ben-David and Justin Birru, we study whether industry familiarity is an advantage in stock trading by exploring the trading patterns of industry insiders in their own personal portfolios. To do so, we identify accounts of industry insiders in a large data set provided by a retail discount broker. We find that insiders trade firms from their own industry more frequently. Furthermore, they earn abnormal returns exclusively when trading own-industry stocks, especially obscure stocks (small, low analyst coverage, high volatility). In a battery of tests, we find no evidence of the use of private information. The results are most consistent with the interpretation that industry familiarity is an advantage in stock trading.