Three Essays On Market Efficiency
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Three Essays On Market Efficiency
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Author : José María Marín Vigueras
language : en
Publisher:
Release Date : 1993
Three Essays On Market Efficiency written by José María Marín Vigueras and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Three Essays On Market Efficiency And Corporate Diversification
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Author : Fawzi J. Hyder
language : en
Publisher:
Release Date : 2017
Three Essays On Market Efficiency And Corporate Diversification written by Fawzi J. Hyder 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.
In my first essay, I use additions to the S&P 500 index as a laboratory to investigate how the interaction between arbitrageurs and arbitrage risk affects security prices. I find that the price effect is strong when there is high arbitrage risk (as measured by the lack of close substitutes) and low presence of arbitrageurs (as measured by low ownership by active institutions). Furthermore, a strong presence of arbitrageurs moderates the effect of arbitrage risk on the post-addition price reaction of added stocks. I also find a significant decrease in arbitrageurs' ownership in the added stocks post addition. More importantly, this decrease is accompanied by a significant increase in arbitrageurs' ownership in the added stocks' close substitutes.
Three Essays On Market Anomalies And Efficient Market Hypothesis
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Author : Ehab Yamani
language : en
Publisher:
Release Date : 2014
Three Essays On Market Anomalies And Efficient Market Hypothesis written by Ehab Yamani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Efficient market theory categories.
This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. Overall, the results show that financial factors are the dominant driver of investment returns and they control the negative relation between investment and stock return. In the second essay, I examine the impact of financial contagion resulting from four global financial crises based on analyses of the global value premium. Results show that equity markets become more integrated after financial crises that exhibit global effects but less integrated after crises that exhibit regional effects. Overall findings support the risk story of the global value premium. The third essay examines the joint dynamics of volume and volatility in the junk bond market during the 2007-2008 financial crisis. Using trading volume information as a proxy for changes in the information set available to investors when financial crises occur, I investigate the impact of the subprime crisis on the informational efficiency of the junk bond market. The overall results show that the crisis does not have an impact on the market efficiency of the junk bond market.
Three Essays On Market Efficiency On The Tokyo Stock Exchange
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Author : 陳濤
language : en
Publisher:
Release Date : 2009
Three Essays On Market Efficiency On The Tokyo Stock Exchange written by 陳濤 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Efficient market theory categories.
Three Essays On Innovation Intervention And Market Efficiency
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Author : 王友珊
language : en
Publisher:
Release Date : 2005
Three Essays On Innovation Intervention And Market Efficiency written by 王友珊 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.
Market Efficiency And Market Anomalies
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Author : Colbrin Alan Wright
language : en
Publisher:
Release Date : 2007
Market Efficiency And Market Anomalies written by Colbrin Alan Wright and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
ABSTRACT: I study the topics of market efficiency and anomalies to market efficiency by focusing on finance professors in their joint roles as both researchers and market participants. I ask three main research questions: (1) how efficient do finance professors believe US stock markets are and does their opinion of market efficiency influence their investing behavior, (2) what really matters to finance professors when they buy and sell stocks, and (3) why do finance professors publish market anomalies?
Three Essays On Market Efficiency
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Author : Thanasin Tanompongphandh
language : en
Publisher:
Release Date : 2011
Three Essays On Market Efficiency written by Thanasin Tanompongphandh 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 tackles the concept of market efficiency from three distinct topics in applied economics, from microfinance, to agriculture commodity market, and further to market microstructure of the most advanced economy. The first essay, entitled "Market Efficiency and Price Discovery Among Leading Rice Exporting Countries", focuses on the issue of rice market efficiency. The study establishes, under Johansen's procedure, that there are long-run price co-movements existing among the three major rice-exporting countries, and within the United States domestic markets, the long-run efficient linkage between spot and future prices of rough rice, as Chicago Board of Trade rough rice futures converge to United States Department of Agriculture rough rice prices in a cash market. Regarding the efficiency among the export market prices, results show that the hypothesis of market efficiency are rejected in two of the three pairs, namely Thai-Vietnam and ThaiUS(Arkansas). The Gonzalo & Granger (1995) decomposition method finds that the Thai and United States rice are dominant in the price discovery process. Within the United States domestic markets, the dominant is the futures market followed by the cash market of the rough rice and then the milled rice export price. The second essay, entitled "Determinants for Formal Credit and Informal Credit Access: The Case of Thai Farm Households", examines determinants for Thai agricultural households' participation in formal and its informal parallel credit markets. The study follows Heckman's two-stage selection model (1979) approach to determine the informal loan participation of Thai agricultural households. Results reveal that households tend to 'stick' to the credit market in which they were previously engaged. This finding reinforces the vicious cycle which makes it more difficult for farmers to get out of debt. Secondly, the study finds that wealthier households are less likely to access credit, and are more likely to participate in formal credits than their less wealthy peers. Results also show less probability of credit access between May and December coinciding with the planting and harvesting season accentuating the nature of loans as working-capital rather than consumption loans. Finally, the study discovers that households with owned farmland are more likely to participate in the formal credit market, while households with rented farmland are more likely to participate in the informal credit market stressing the use of owned land as collateral to participate in the former. The final essay, entitled "On the Challenge of Testing Weak-Form Market Efficiency using High Frequency Data", explores the issue of efficiency in microstructure of the Exchange-Traded-Fund (ETF). This essay shows that the profitability of a simple technical trading strategy hinges heavily on the way the Trades And Quotes (TAQ) dataset is filtered for mistakes and outliers. This paper uses ultra-high-frequency TAQ data that cover the time-span since the inception of the S & P 500 ETF from January 1993 to December 2006. First, a widely used filtering methodology proposed by Hasbrouck (2003) is adopted. Under this methodology, the technical trading strategy clearly outperforms the buy-and-hold benchmark. However, when a more appropriate (stringent) filtering methodology is used, the technical trading strategy clearly underperforms the buy-and-hold benchmark. This evidence suggests that studies that based their methodology on Hasbrouck's (2003) less stringent filtering criterion could produce misleading results.
Three Essays On Short Selling Margin Trading And Market Efficiency
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Author : Song Wang
language : en
Publisher:
Release Date : 2012
Three Essays On Short Selling Margin Trading And Market Efficiency written by Song Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
My dissertation contains three essays on short-selling, margin trading, and market efficiency. The first essay uses a unique exogenous event, the introduction of short selling in the Chinese stock market, to examine the direct link between idiosyncratic risk and short selling. Based on Shleifer and Vishny (1997), I hypothesize that idiosyncratic risk deters arbitrageurs with negative information from taking short positions in overvalued stocks. Consequently, the stocks with high idiosyncratic risk are more overvalued at the onset of the introduction of short sale and perform worse in the subsequent period. The second essay examines the impact of the introduction of margin trading and short selling in the Chinese stock market on market quality. The third essay examines the relationship between short selling and SEO discount under the SEC's amendment to Rule 105. If the amendment is binding, the short-selling prior to seasoned equity offering (SEO) should correctly reflect negative information and promote price efficiency. Thus the winner's curse problem during SEO process is reduced and the value discount of a SEO should be less.
Three Essays On The Industrial Organization Of Financial Markets
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Author : David F. Andrade
language : en
Publisher:
Release Date : 1997
Three Essays On The Industrial Organization Of Financial Markets written by David F. Andrade and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Three Essays On Fairness Liquidity And Efficiency In Modern Financial Markets
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Author : Jiang Zhang
language : en
Publisher:
Release Date : 2020
Three Essays On Fairness Liquidity And Efficiency In Modern Financial Markets written by Jiang Zhang 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.
This dissertation research comprises three essays. In the first essay, we study the impact of high-frequency trading on market fairness and efficiency. The implementation of the Arrowhead Renewal on the Tokyo Stock Exchange (TSE) in 2015 reduced latency from 1 millisecond to less than 0.5 milliseconds and led to an increase in high-frequency tradingas proxied by the cancel-to-trade ratioof 34%, We find that the number of incidents of marking-the-close declined by 17%, indicating that market fairness improves. We find that for high-tick-size and high-market-capitalization stocks market efficiency improves, but for low-tick-size and low-market-capitalization stocks, it does not. In the second essay, we test the implications of competing theories on liquidity dynamics during extreme price movements (EPMs). Our findings indicate that market makers strategically allow for price pressures and earn compensation from pricing errors. As a result, liquidity provision intensifies towards the end of an average EPM. This goes counter to a widespread concern that market-making constraints cause the deterioration of liquidity as EPMs develop. Finally, we demonstrate that limit order book dynamics during EPMs are in line with a socially beneficial equilibrium. In the third essay, we revisit the tax-loss selling hypothesis as a potential explanation of the well-known January effect in securities markets. We expand the empirical evidence from municipal bond closed-end funds by extending the sample period by almost 20 years and adding exchange-traded funds to the sample. Our updated sample covers the recent growth of municipal bond ETFs and a significant increase in municipal bond trading volume and liquidity. Both developments reduce arbitrage costs and thus are expected to increase tax-loss selling in the funds and increase the transmission of price effects to the underlying bonds. We find that the January effect of municipal bond closed-end funds becomes stronger in more recent years, and show evidence that largely supports the tax-loss hypothesis. We also find some evidence indicating a smaller discrepancy between the abnormal returns of the funds and underlying bonds..