Two Essays On Financial Markets And Institutional Investors
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Two Essays On Financial Markets And Institutional Investors
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Author : Haoyu Xu
language : en
Publisher:
Release Date : 2016
Two Essays On Financial Markets And Institutional Investors written by Haoyu Xu 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.
My thesis consists two studies on financial markets and institutional investors. In Chapter 2, I study the trades immediately after the market open and immediately before the market close. The trades in the morning positively predict future returns and cause price continuation. The trades in the afternoon negatively predict future returns and cause price reversals. The momentum trading strategies based on morning returns and the reversal trading strategies based on afternoon returns generate significant abnormal returns, which cannot be explained by standard risk factors including momentum and reversal factors. The results provide strong evidence that trades in the morning are mostly information driven and trades in the afternoon are mostly liquidity driven. In Chapter 3, we explore the properties of equity mutual funds that experience a loss of assets after poor performance. We document that both inflows and outflows are less sensitive to performance because performance-sensitive investors leave or decide not to invest after bad performance. Consistent with the idea that attrition measures the sorting of performance-sensitive investors, we find that attrition has less of an impact on the fundâ s flow-performance sensitivity for institutional funds where there is less dispersion in investor performance-sensitivity. Also, attrition has no effect on the flow- performance sensitivity when attrition arises after good performance or investors invest for non-performance reasons.
Two Essays On Institutional Investors Essay One
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Author : Jian Huang
language : en
Publisher:
Release Date : 2010
Two Essays On Institutional Investors Essay One written by Jian Huang 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.
Two Essays On Institutional Investors
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Author : Jian Huang
language : en
Publisher:
Release Date : 2010
Two Essays On Institutional Investors written by Jian Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Financial institutions categories.
Two Essays On Herding In Financial Markets
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Author :
language : en
Publisher:
Release Date : 2004
Two Essays On Herding In Financial Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
The dissertation consists of two essays. In the first essay, we measure herding by institutional investors in the new economy (internet) stocks during 1998-2001 by examining the changes in the quarterly institutional holdings of internet stocks relative to an average stock. More than 95% of the stocks that are examined are listed on NASDAQ. The second essay attempts to detect intra-day herding using two new measures in an average NYSE stock during 1998-2001. In the second essay, rather than asking whether institutional investors herd in a specific segment of the market, we endeavor to ask if herding occurs in an average stock across all categories of investors. The first essay analyzes herding in one of the largest bull runs in the history of U.S. equity markets. Instead of providing a corrective stabilizing force, banks, insurance firms, investment companies, investment advisors, university endowments, hedge funds, and internally managed pension funds participated in herds in the rise and to a lesser extent in the fall of new economy stocks. In contrast to previous research, we find strong evidence of herding by all categories of institutional investors across stocks of all sizes of companies, including the stocks of large companies, which are their preferred holdings.
Three Essays On Financial Markets And Institutional Investors
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Author : Blake Phillips
language : en
Publisher:
Release Date : 2009
Three Essays On Financial Markets And Institutional Investors written by Blake Phillips and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Investment analysis categories.
Informed Institutional Investors Trades And Hedge Funds Role In The Financial Markets
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Author : Blerina Reca
language : en
Publisher:
Release Date : 2011
Informed Institutional Investors Trades And Hedge Funds Role In The Financial Markets written by Blerina Reca and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Capitalists and financiers categories.
The Behavior Of Institutional Investors
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Author : Alexander Pütz
language : en
Publisher:
Release Date : 2012
The Behavior Of Institutional Investors written by Alexander Pütz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Index mutual funds categories.
Institutional investors such as mutual funds and hedge funds play an important role in today's financial markets. This thesis consists of three essays which empirically study the behavior of active fund managers. In particular, the first essay investigates whether managers behave rationally or if some of them unconsciously make wrong investment decisions due to behavioral biases. The second essay examines whether some managers intentionally act to solely advance their own interests by strategically valuing the security positions in their portfolio. The third essay analyzes what the managers' education reveals about their investment behavior.
Three Essays On Information Production And Monitoring Role Of Institutional Investors
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Author : Xiaorong Ma
language : en
Publisher:
Release Date : 2017-01-26
Three Essays On Information Production And Monitoring Role Of Institutional Investors written by Xiaorong Ma and has been published by 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 Information Production and Monitoring Role of Institutional Investors" by Xiaorong, Ma, 马笑蓉, 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 about the information production of institutional investors and two essays about the monitoring role of institutional investors. The first essay empirically examines the association between investor base and information production in the context of stock splits. Using the proportion of 13F filers as the proxy for the size of investor base, we show that three proxies for stock price informativeness, adjusted probability of information-based trading (AdjPIN), price non-synchronicity and probability of information-based trading (PIN), decrease significantly due to enlarged investor base after stock splits. It suggests that institutional investors are less incentivized to gather firm specific information when firm''s investor base expands, which is consistent with the "risk sharing hypothesis," proposed by Peress (2010). Furthermore, we find that the change of the price informativeness around splits is negatively related to the magnitude of positive return drifts following splits. This result is consistent with the notion that less information incorporated in stock prices results in a sluggish response by the market to corporate event. The second essay empirically identifies an external corporate governance mechanism through which the institutional trading improves firm value and disciplines managers from conducting value-destroying behaviors. We propose a reward-punishment intensity (RPI) measure based on institutional investors'' absolute position changes, and find it is positively associated with firm''s subsequent Tobin''s Q. Importantly, we find that firms with higher RPI exhibit less subsequent empire building and earnings management. It suggests that the improved firm values can be attributed to the discipline effect of institutional trading on managers, which is in line with the argument of "Governance Through Trading." Furthermore, we find that the exogenous liquidity shock of decimalization augments the governance effect of institutional trading. We also find that the discipline effect is more pronounced for firms with lower institutional ownership concentration, higher stock liquidity, and higher managers'' wealth-performance sensitivity, which further supports the notion that institutional trading could exert discipline on a manager. The third essay focuses on a particular type of institutional investor, short sellers, and explores the discipline effect of short selling on managerial empire building. Employing short-selling data from 2002-2012, we find a significantly negative association between the lending supply in the short-selling market and the subsequent abnormal capital investment. Besides, we find a positively significant association between the lending supply and the mergers and acquisitions announcement returns of acquiring firms. These results suggest that the short-selling potential could deter managers from conducting over-investment and value-destroying acquisitions. In addition, the discipline effect is stronger for firms with higher managers'' wealth-performance-sensitivity, for firms with lower financial constraints, and for stock-financed acquisition deals. Finally, firms with higher lending supply also have higher Tobin''s Q in the subsequent year. These results indicate that short-selling is another important external governance force. DOI: 10.5353/th_b5066226 Subjects: Institutional i
Two Essays On Institutional Investors
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Author : Hoang Huy Nguyen
language : en
Publisher:
Release Date : 2007
Two Essays On Institutional Investors written by Hoang Huy Nguyen 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.
This dissertation consists of two essays investigating the trading by institutions and its impact on the stock market. In the first essay, I investigate why changes in institutional breadth predict return. I first show that changes in breadth are positively associated with abnormal returns over the following four quarters. I then demonstrate that this return predictability can be attributed to the information about the firms' future operating performance. When I examine different types of institutions independently, I find that the predictive power varies across the population of institutions. More specifically, institutions that follow active management style are better able to predict future returns than the passive institutions, and their predictive power appears to be associated with information about future earnings growth. These findings are consistent with the information hypothesis that changes in breadth of institutional ownership can predict return because they contain information about the fundamental value of firms. In the second essay, I examine institutional herding behavior and its impact on stock prices. I document that herds by institutions usually last for more than one quarter and that herds occur more frequently for small and medium size stocks. I find that after herds end, there are reversals in stocks returns for up to four quarters. The magnitude of reversals is positively related to the duration of herding, and negatively related to the price impact of current herding activity. This pattern in returns prevails for all sub-periods examined and is concentrated in small and medium size stocks. My findings suggest that institutional herding may destabilize stock prices.
Institutional Investors And Financial Statement Analysis
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Author : Nicole Yunjeong Choi
language : en
Publisher:
Release Date : 2009
Institutional Investors And Financial Statement Analysis written by Nicole Yunjeong Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Institutional investments categories.