Two Essays On Financial Economics
DOWNLOAD
Download Two Essays On Financial Economics PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Two Essays On Financial Economics book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Two Essays In Financial Economics
DOWNLOAD
Author : Harvey Birtill Westbrook (Jr.)
language : en
Publisher:
Release Date : 2002
Two Essays In Financial Economics written by Harvey Birtill Westbrook (Jr.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Two Essays In Financial Economics
DOWNLOAD
Author : Eric John Osmer
language : en
Publisher:
Release Date : 2013
Two Essays In Financial Economics written by Eric John Osmer 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.
Two Essays In Financial Economics
DOWNLOAD
Author : Suhas Saha
language : en
Publisher:
Release Date : 2008
Two Essays In Financial Economics written by Suhas Saha and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Two Essays In Financial Economics
DOWNLOAD
Author : Judy Lynn Shelton
language : en
Publisher:
Release Date : 1981
Two Essays In Financial Economics written by Judy Lynn Shelton and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Capital categories.
Two Essays On Financial Economics
DOWNLOAD
Author : Tuckchung Lee
language : en
Publisher:
Release Date : 2001
Two Essays On Financial Economics written by Tuckchung Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Two Essays In Financial Economics
DOWNLOAD
Author : Kevin T. Green
language : en
Publisher:
Release Date : 2018
Two Essays In Financial Economics written by Kevin T. Green and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Business logistics categories.
This dissertation consists of two essays in financial economics. The first essay, included in Chapter 2, concerns abnormal stock returns around IPO lockup expiration events. IPO lockup agreements prevent existing shareholders from selling shares for a period of time, usually 180 days, following the initial public offering. Historically stocks exhibit negative returns on the date in which the lockup agreement expires, and thereby allows a previously restricted shareholder group to actively participate in the market. The effect is concentrated in companies backed by venture capital funding prior to going public. Given that the timing and details of the lockup agreement are publicly available, such a pattern should not exist in an efficient market. In this essay I examine the long term return pattern around IPO lockup expirations to determine whether there is evidence of market inefficiency or if market constraints limit arbitrage opportunities. Using a dataset of IPO activity from 1988-2014, I find abnormal returns are highly persistent over the sample period despite a decline in bid-ask spreads and an increase in IPO lockup publicity. This finding is contrary to earlier studies that suggest trading costs and a potentially uninformed market contributed to the abnormal return pattern. I also find suggestive evidence that the effect is not driven by short sale constraints that prohibit arbitrage traders’ ability to trade in the market. Finally, I simulate a trading strategy that allows me to implement liquidity controls and portfolio risk management constraints. I find excess returns endure but are limited in scale due to low market liquidity. This result shows the abnormal return pattern is sensitive to the size of capital investment, which serves as a deterrent to market participants and plays a significant role in the anomaly’s persistence. The second essay, included in Chapter 3, examines the indirect impact of changes in supplier credit ratings on customer procurement decisions. This essay is co-authored with Xuan Tian and Han Xia. Existing research concludes credit ratings convey important information on firms’ credit worthiness. As a result, customers may rely on credit ratings to evaluate supply chain risks. We analyze whether customers modify purchasing behavior as a risk mitigation tool following changes in their suppliers’ credit ratings. Our identification strategy incorporates a quasi-natural experiment around Moody’s 1982 ratings refinement, and allows us to alleviate the potentially endogenous effect of changes to firm financial health that often accompany changes in credit ratings. We find public sector customers respond strongly to supplier rating changes: they increase purchases from upgraded firms, and reduce purchases from downgraded firms. This response, however, is not observed for private sector customers. We show this contrast is likely due to government agents’ desire to respond to ratings, a prevalent and verifiable certification, to signal that their decision-making is aligned with external assessment and to avoid reputational losses. We also find suggestive evidence that powerful politicians use ratings to award government contracts to suppliers located in states they represent.
Two Essays In Financial Economics
DOWNLOAD
Author : Bo Liu
language : en
Publisher:
Release Date : 2006
Two Essays In Financial Economics written by Bo Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Mutual funds categories.
Two Essays In Financial Economics
DOWNLOAD
Author : Evan Jo
language : en
Publisher:
Release Date : 2022
Two Essays In Financial Economics written by Evan Jo 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 focuses on the economics of risk: it studies how to measure, price, and trade risk in financial markets. The first paper "Sharper Alpha" aims to provide a better econometric tool for measuring and studying risk premia. Traditional alpha-based tests face substantial estimation noise when applied to individual stocks. The standard approach of forming diversified portfolios reduces this noise, but also incurs the costs of aggregation errors and information loss. I propose a more efficient statistic, a sharper alpha, that directly reduces estimation noise for single stocks. I find that sharper alphas reveal stock-level patterns that were not visible before. In the second paper "A Supply and Demand Approach to Equity Pricing", joint with Sebastien Betermier and Laurent Calvet, we provide a new theoretical framework to analyze how the general equilibrium relation between risk and return is driven by both supply and demand for risky financial capital. The mantra of "high risk high return" in finance takes the point of view of investors, who require higher expected returns to supply more risky capital. Firms, on the other hand, require lower discount rates to demand more risky capital. We explain how the heterogeneity of supply and demand factors determine whether the risk-return relation is positive or negative, consistent with the empirical evidence and a wide range of asset pricing anomalies. We empirically estimate the supply and demand schedules of individual firms using three-stage-least-squares, and show that the risk-return relation is mainly driven by firm demand factors"--
Two Essays In Financial Economics
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2008
Two Essays In Financial Economics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Two Essays In Financial Economics
DOWNLOAD
Author : Kenneth Daniels
language : en
Publisher:
Release Date : 1991
Two Essays In Financial Economics written by Kenneth Daniels and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.