Two Essays On Stock Liquidity
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Two Essays On Stock Liquidity
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Author : Shuming Liu (doctor of finance.)
language : en
Publisher:
Release Date : 2008
Two Essays On Stock Liquidity written by Shuming Liu (doctor of finance.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Institutional investors categories.
This dissertation consists of two empirical essays on investor behavior and liquidity variation. The results demonstrate the important role of investors in affecting liquidity. The first essay examines how the fluctuation in the aggregate stock market liquidity is related to investor sentiment. I find that the stock market is more liquid when investor sentiment is higher. This evidence is consistent with the theoretical prediction that higher investor sentiment increases stock market liquidity. The second essay investigates whether the cross-sectional differences in liquidity are affected by institutional ownership. I document that stocks with larger increases in the number of institutional investors are more liquid than other stocks. This result is consistent with the prediction that information competition among institutional investors increases stock liquidity.
Two Essays On Stock Market Liquidity
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Author : Mohamed Abdel-aziz Mekhaimer
language : en
Publisher:
Release Date : 2014
Two Essays On Stock Market Liquidity written by Mohamed Abdel-aziz Mekhaimer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This dissertation is composed of two essays. In the first essay, we use the introduction of the first transatlantic trading platform NYSE Arca Europe (NAE), as an exogenous shock to examine the impact of market design on commonality in liquidity. We find that commonality in liquidity increases significantly for stocks traded in the NAE, specifically, the introduction of the transatlantic NAE trading platform increases the comovement of NAE stocks with NAE aggregate liquidity while their comovement with the home market aggregate liquidity decreases. Further, we find that the commonality in liquidity remains unchanged for matched non-NAE control sample stocks. Our results are robust to different methods for computing commonality, different liquidity proxies and across size quintiles. We conclude that market design and trading infrastructure has a significant impact on commonality in liquidity. The second essay investigates the impact of internal governance on stock market liquidity. Acharya, Myers and Rajan (2011) develop a model of internal governance where subordinate managers can effectively monitor the CEO to maintain the future of the firm. Using a measure of internal governance based on the difference in horizons between a CEO and his subordinates, we show that firms with better internal governance have lower information asymmetry and higher liquidity. We also show that internal governance is more effective in enhancing liquidity for firms with CEOs close to retirement, firms that require higher firm-specific skills, and firms with experienced subordinate managers. Our results are robust to inclusion of conventional governance measures, alternative model specifications, and different measures of internal governance and liquidity.
Three Essays On Stock Market Liquidity And Earnings Seasons
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Author : Andrei I. Nikiforov
language : en
Publisher:
Release Date : 2009
Three Essays On Stock Market Liquidity And Earnings Seasons written by Andrei I. Nikiforov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Electronic dissertations categories.
In these essays, I identify the effects of earnings seasons (i.e., the clustering of earnings releases), on stock market liquidity and asset pricing. In the first essay, I document strong seasonal regularities associated with aggregate earnings announcements. Applying the large body of literature linking earnings announcements to liquidity effects, I argue that these earnings seasons create market-wide liquidity shocks and I show that both liquidity betas and liquidity risk change during earnings seasons In the second essay, I test the impact of earnings seasons on commonality in liquidity as measured by both spreads and depths. I find that commonality significantly decreases during the four weeks of each calendar quarter when most companies release their earnings. These findings contribute to the literature by identifying and examining the clustering effect of firm-specific information on commonality in liquidity. In the third essay, I extend the study of the liquidity effects of earnings seasons to a sample of 20 countries. I find that the international data corroborate both hypotheses. I also find that the aggregate quality of accounting information, and the duration and frequency of interim reporting periods are important determinants of the liquidity effects (both liquidity betas and commonality in liquidity) during earnings seasons.
Essays On Stock Liquidity
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Author : Francis Sui-Wing Chan
language : en
Publisher:
Release Date : 2000
Essays On Stock Liquidity written by Francis Sui-Wing Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Liquidity (Economics) categories.
Essays On Stock Liquidity
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Author : Ozkan Haykir
language : en
Publisher:
Release Date : 2017
Essays On Stock Liquidity written by Ozkan Haykir 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.
Essays On Liquidity Of U S Common Stocks
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Author : Shalini Nageswaran
language : en
Publisher:
Release Date : 2012
Essays On Liquidity Of U S Common Stocks written by Shalini Nageswaran 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 assets pricing model categories.
In Chapter 1, I find that stock characteristics do predict a stock's time-varying liquidity beta, i.e. its sensitivity to market, with the effect varying according to the assumed holding period using data on 30 small, medium, and large cap stocks between 1997 and 2002. I also find that liquidity is a priced factor for stock return even after controlling for market and stock measures of risk such as estimates of market volatility and stock level volatility. In order to mitigate problems arising from a small panel, I also test the returns model with ARCH errors on a larger sample of 2000 stocks. Chapter 2 accounts for endogenous liquidity in a standard asset pricing model. Loss of liquidity, especially during times of crises, needs to be incorporated into models of financial assets so as to forecast returns correctly. To identify the effect of endogenous stock liquidity on stock returns, an instrument is constructed from the NYSE, AMEX, and NASDAQ's decimalization program, which shrunk tick sizes from one-sixteenth of a dollar to one-hundredth of a dollar. Decimalization led to an increase in liquidity by allowing for narrower bid-ask spreads. Using daily price and quote data on U.S. common stocks, I find that as stocks becomes more illiquid, their future expected returns increase. In Chapter 3, I propose two related measures for algorithmic trading constructed from the Disclosure of Order Execution Statistics data in order to study the effect of algorithmic trading on stock liquidity. The first is the average time taken to fill an order once it arrives in the market, known as fill time, and the second is the proportion of orders executed within ten seconds of order arrival at the NYSE. Since the decision to use algorithms in trading is an endogenous one, I use the NYSE's introduction of autoquotes in 2003 to identify the causal effect of algorithmic trading on a stock's liquidity. Using IV estimation, I find that a one second decrease in fill time narrows spreads by two basis points.
Empirical Essays On Stock Liquidity And Stock Return
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Author : Thị Thu Hương Lê
language : en
Publisher:
Release Date : 2021
Empirical Essays On Stock Liquidity And Stock Return written by Thị Thu Hương Lê and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Two Essays On Corporate Decisions Liquidity And Investment Efficiencies
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Author : Xiaoyun Yu
language : en
Publisher:
Release Date : 2001
Two Essays On Corporate Decisions Liquidity And Investment Efficiencies written by Xiaoyun Yu 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.
International Evidence On The Effect Of Economic Policy Uncertainty On Stock Market Liquidity
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Author : FNU Pratima
language : en
Publisher:
Release Date : 2021
International Evidence On The Effect Of Economic Policy Uncertainty On Stock Market Liquidity written by FNU Pratima and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Economic policy categories.
In this dissertation, I investigate the impact of economic policy uncertainty on stock market liquidity across a broad cross-section of countries. My dissertation is composed of three distinct yet related essays. My first essay examines the impact of economic policy uncertainty on stock liquidity and various firm-level cross-sectional variables explaining the uncertainty-liquidity relationship. The focus of the second essay, using a sample for non-U.S. stocks cross-listed in the U.S., is to examine the role of cross-listing in moderating the above impact. In the third essay, I examine the market liquidity and country-level factors that explain the relationship between economic policy uncertainty and market liquidity.In the first essay, I investigate the impact of economic policy uncertainty on stock liquidity using an international sample of twenty-four countries spanning twenty-three years. The sample countries include fourteen developed and ten emerging countries. In this essay, I initially provide global evidence on the adverse impact of economic policy uncertainty (EPU) on stock liquidity.The result holds for all the countries in the sample except Croatia and Russia. Subsequently, I investigate the role of firms' information environment in explaining the uncertainty-liquidity relationship. Considering informational transparency and quality of information as two aspects of the information environment, I find that firm-level informational transparency plays a significant role in mitigating EPU's effect on stock liquidity, whereas the quality of information does not.In the second essay, I investigate whether cross-listing a non-U.S. stock in the U.S. reduces the detrimental impact of EPU on the liquidity of that stock. My sample of cross-listed stocks includes the stocks from twenty countries, cross-listed in the U.S. In this essay, I first examine how domestic and U.S. EPUs affect the domestic liquidity of cross-listed stocks relative to their non-cross-listed domestic counterparts. Based on the findings, I document that cross-listing helps mitigate the negative impact of economic policy uncertainty on stock liquidity--literature on cross-listing and liquidity documents that the impact of cross-listing on liquidity is contingent upon country characteristics. Using further analysis, I show that the role of cross-listing in mitigating the negative impact of EPU on domestic liquidity is contingent on home country characteristics. I provide evidence that cross-listing helps mitigate the negative impact for the stocks of developed strong governance countries but not for stocks of emerging and weak governance countries. The role of cross-listing in moderating the relationship between EPU and liquidity is stronger for common law countries relative to civil law countries.In the third essay, I examine the impact of economic policy uncertainty on stock market liquidity. Using a broad sample of twenty-four countries, I focus on the country-level characteristics that affect the EPU-liquidity relationship. Specifically, I study the role of market segmentation, financial development, funding constraint, and the country's governance structure in shaping the above relationship. I find that a country's financial development and its governance mechanism help mitigate EPU's negative effect on stock market liquidity. However, market integration, as captured through trade openness and political stability, worsen the impact.
Essays On Stock Liquidity And Stock Return Predictability
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Author : Gregory William Eaton
language : en
Publisher:
Release Date : 2016
Essays On Stock Liquidity And Stock Return Predictability written by Gregory William Eaton 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.
I examine the effects of stock liquidity on asset values and whether aggregate stock liquidity and other forecasting instruments predict stock market returns. In the first chapter, I use tick-size reductions in equity markets as sources of exogenous variation in liquidity to examine the causal effect of transaction costs on firm value. In contrast to the prevailing view, I find that increased liquidity has a marginal or, in some cases, negative impact on firm value. The second chapter evaluates the predictive content of aggregate liquidity for economic activity and stock returns. We decompose illiquidity into a component capturing aggregate volatility and a volatility-adjusted component and find strong evidence that the component of illiquidity uncorrelated with volatility forecasts stock market returns. The third chapter provides new evidence on the stock return forecasting performance of alternative corporate payout yields. We find that the net payout yield forecasts stock returns and generally outperforms the commonly used dividend yield. Additionally, we show that the choice of cash flow used to construct the payout yield is economically significant. An agent relying on the incorrect payout measure as a forecasting instrument is willing to pay an economically significant amount to switch to the optimal policy.