Three Essays On Capital Markets And Information Economics
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Three Essays On Capital Markets And Information Economics
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Author : Asís Martínez-Jerez
language : en
Publisher:
Release Date : 2002
Three Essays On Capital Markets And Information Economics written by Asís Martínez-Jerez and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Capital market 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/
Kreps S Three Essays On Capital Markets Almost Ten Years Later
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Author : Ramon Marimon
language : en
Publisher:
Release Date : 1987
Kreps S Three Essays On Capital Markets Almost Ten Years Later written by Ramon Marimon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Economics categories.
Three Essays On Capital Markets And Economic Growth
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Author : Eric Ofori
language : en
Publisher:
Release Date : 2013
Three Essays On Capital Markets And Economic Growth written by Eric Ofori 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.
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.
Three Essays On Emerging Capital Markets
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Author : Qi Li
language : en
Publisher:
Release Date : 2004
Three Essays On Emerging Capital Markets written by Qi Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Capital market categories.
Three Essays On The Economics Of Earnings Management In Capital Markets
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Author : Miró Fabrizio Emmanuele Feller
language : en
Publisher:
Release Date : 2020
Three Essays On The Economics Of Earnings Management In Capital Markets written by Miró Fabrizio Emmanuele Feller and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Three Essays On Capital Market With Incomplete And Asymmetric Information
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Author : Chaoli Guo (Ph. D.)
language : en
Publisher:
Release Date : 2012
Three Essays On Capital Market With Incomplete And Asymmetric Information written by Chaoli Guo (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Capital market categories.
Three Essays On Capital Market With Incomplete And Asymmetric Information
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Author : Chaoli Guo (Ph. D.)
language : en
Publisher:
Release Date : 2012
Three Essays On Capital Market With Incomplete And Asymmetric Information written by Chaoli Guo (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Capital market categories.
Three Essays On Financial Relationships In Credit Markets With Adverse Selection
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Author : Charl Kengchon
language : en
Publisher:
Release Date : 1989
Three Essays On Financial Relationships In Credit Markets With Adverse Selection written by Charl Kengchon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.