Three Essays On Asymmetric Information In Imperfect Financial Markets
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Three Essays On Asymmetric Information In Imperfect Financial Markets
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Author : Uptal Bhattacharya
language : en
Publisher:
Release Date : 1990
Three Essays On Asymmetric Information In Imperfect Financial Markets written by Uptal Bhattacharya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Three Essays On Asymmetric Information And Hedging In Financial Markets
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Author : Nilson Teixeira
language : en
Publisher:
Release Date : 1995
Three Essays On Asymmetric Information And Hedging In Financial Markets written by Nilson Teixeira 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 Asymmetric Information And Imperfect Credit Markets
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Author : Basab Dasgupta
language : en
Publisher:
Release Date : 2005
Three Essays On Asymmetric Information And Imperfect Credit Markets written by Basab Dasgupta 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.
Three Essays On Asymmetric Information And Imperfect Credit Markets
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Author : Basab Dasgupta
language : en
Publisher:
Release Date : 2005
Three Essays On Asymmetric Information And Imperfect Credit Markets written by Basab Dasgupta 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.
Essays On Financial Markets With Asymmetric Information
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Author : Robert Lee Heinkel
language : en
Publisher:
Release Date : 1978
Essays On Financial Markets With Asymmetric Information written by Robert Lee Heinkel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with categories.
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/
Three Essays In Financial Economics Under Asymmetric Information
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Author : Günter Strobl
language : en
Publisher:
Release Date : 2005
Three Essays In Financial Economics Under Asymmetric Information written by Günter Strobl 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.
Essays On Margin Requirements Endogenous Illiquidity And Portfolio Choice
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Author : Yajun Wang
language : en
Publisher:
Release Date : 2011
Essays On Margin Requirements Endogenous Illiquidity And Portfolio Choice written by Yajun Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Electronic dissertations categories.
This dissertation includes three essays. The first essay studies the effects of margin requirements. The second essay studies how asymmetric information and imperfect competition affect equilibrium illiquidity. The third essay derives new comparative statics results for the distribution of portfolio payoffs. Margin requirements have long been implemented in almost all financial markets and are often used as an important regulatory tool for improving market conditions. However, their economic impact beyond affecting default risk is still largely unknown. The first essay proposes a tractable and flexible equilibrium model with and without information asymmetry to examine how margin requirements on both long and short stock positions affect asset prices, market volatility, market illiquidity and the welfare of market participants. Most of my main results are obtained in closed-form. Contrary to one of the main regulatory goals, I find that margin requirements can significantly emph{increase} market volatility. In addition, margin requirements always increase market illiquidity (as measured by price impact) and can lead to a greater return reversal exactly when they amplify market volatility. I also find that information asymmetry may reverse or dampen the impact of margin requirements. Moreover, margin requirements always make unconstrained investors worse off and can make constrained investors better off. The model provides new testable implications. The second essay proposes a novel and tractable equilibrium model to study how information asymmetry, competition among market makers, and investors' risk aversion affect asset pricing, market illiquidity and welfare. The main innovation is that market makers compete through choosing simultaneously quantities to buy at the bid and to sell at the ask and accordingly market clears separately at the bid and at the ask. Equilibrium bid and ask prices, bid and ask depths, trading volume and market makers' inventory levels are all derived in closed-form. Our model can help explain some of the puzzling empirical findings, such as bid-ask spreads can be lower with asymmetric information and can be positively correlated with trading volume. In addition, we find that information asymmetry may make informed investors worse off, may reduce the welfare loss due to market power and may increase the competition among market makers in equilibrium. Hart (1975) proved the difficulty of deriving general comparative statics in portfolio weights. Instead, in the third essay, we derive new comparative statics for the distribution of payoffs: A is less risk averse than B iff A's payoff is always distributed as B's payoff plus a non-negative random variable plus conditional-mean-zero noise. If either agent has nonincreasing absolute risk aversion, the non-negative part can be chosen to be constant. The main result also holds in some incomplete markets with two assets or two-fund separation, and in multiple periods for a mixture of payoff distributions over time (but not at every point in time).
Three Essays On The Role Of Information Networks In Financial Markets
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Author : Swasti Gupta-Mukherjee
language : en
Publisher:
Release Date : 2007
Three Essays On The Role Of Information Networks In Financial Markets written by Swasti Gupta-Mukherjee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Capital market categories.
Based on previous evidence that there are information heterogeneities in capital markets, three essays including empirical frameworks for examining the information processes that impact portfolio investments and corporate investments was proposed. The first essay considers information channels among mutual fund managers (fund-fund networks), and between holding companies and fund managers (fund-company networks). Results show that (1) fund-fund (fund-company) information networks help in generating positive risk-adjusted returns from holdings in absence of fund-company (fund-fund) networks; (2) fund-company networks create information advantage only when the networks are relatively exclusive. Superior networks seem to pick stocks which outperform beyond the quarter. The second essay examines mutual fund managers' tendency to deviate from the strategies of their peers. Results indicate a significantly negative relationship between the managers' deviating tendency and fund performance, suggesting that the average fund manager is more likely to make erroneous decisions when they deviate from their peers. The third essay investigates the determinants of target choices in corporate acquisitions. Results reveal the influence of various factors, including information asymmetries, which may drive this behavior, including economic opportunities, anti-takeover regimes, competitive responses to other managers, and acquirers' size and book-to-market ratios.
Essays On Financial Market Design
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Author : Ayan Bhattacharya
language : en
Publisher:
Release Date : 2016
Essays On Financial Market Design written by Ayan Bhattacharya 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.
The many financial crises of the last century-and most recently, the Great Recession of 2008 have highlighted the crucial role that market design can play in exacerbating or dampening a difficult economic situation. An important thrust of the economic discipline in recent years, therefore, has been to understand the merits and flaws in existing financial market designs in order to provide prescriptions for improvement. The three essays in my dissertation contribute to this undertaking. The first essay studies the effect of post-trade transparency reforms in overthe-counter markets. Contrary to received wisdom, I show that such reforms can hurt investors in many situations because potential counterparties may stay away from the market and monitor trades for information before participating, when there is transparency. This can lead to liquidity dry-ups and speculative prices for investors. The second essay is a joint study with Maureen O'Hara and explores the working of exchange traded funds (ETFs). When ETFs were first launched, they were a sideshow to underlying asset markets. Today, however, we have numerous ETFs on assets that are hard-to-trade otherwise. We demonstrate how inter-market information linkages in such ETF markets can lead to market instability and herding. The third essay, joint work with Gideon Saar, is a theoretical investigation of dynamic limit order markets with asymmetric information. This essay throws light on a vexing question in market microstructure-the use of limit orders by informed traders.