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Author : Francesco Sangiorgi
Publisher :
ISBN 13 :
Total Pages : 93 pages
Book Rating : 4.:/5 (84 download)
Download or read book Essays in Information and Asset Pricing written by Francesco Sangiorgi and published by . This book was released on 2007 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Hasler
Publisher :
ISBN 13 :
Total Pages : 139 pages
Book Rating : 4.:/5 (849 download)
Download or read book Essays in Information-Based Asset Pricing written by Michael Hasler and published by . This book was released on 2013 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Funke
Publisher : Springer Science & Business Media
ISBN 13 : 3834998141
Total Pages : 123 pages
Book Rating : 4.8/5 (349 download)
Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author : Xin Zhou
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (271 download)
Download or read book Three Essays on Information and Asset Pricing written by Xin Zhou and published by . This book was released on 2008 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay examines the effect of a short-sale constraint on risky asset price in a rational expectations model with asymmetric information. Imposing a short-sale constraint creates two competing effects. On one hand, it reduces the risky asset supply and exerts upward pressure on asset price. On the other hand, it forces investors with negative views on asset payoff to be sidelined. The latter effect can reduce the informational efficiency of asset price, which in turn decreases investors' demand for the risky asset. Consequently, imposing a short-sale constraint can bias equilibrium asset price in either direction depending on which effect dominates. Empirical analysis using short interest and institutional ownership data suggests that an increase in short interest relative to shares outstanding for individual stocks reduces informational efficiency measured by the probability of information-based trading and leads to lower risk adjusted stock returns. The effect of short-sale constraint on return volatility is ambiguous.
Author : Gang Li
Publisher :
ISBN 13 :
Total Pages : 218 pages
Book Rating : 4.:/5 (34 download)
Download or read book Three Essays on Information and Asset Prices written by Gang Li and published by . This book was released on 2003 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tian Liang
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.:/5 (465 download)
Download or read book Essays on Asset Pricing written by Tian Liang and published by . This book was released on 2008 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : 郑伟男
Publisher :
ISBN 13 :
Total Pages : 125 pages
Book Rating : 4.:/5 (126 download)
Download or read book Essays on Information and Asset Pricing written by 郑伟男 and published by . This book was released on 2021 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brian Louis Betker
Publisher :
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on Information and Asset Prices written by Brian Louis Betker and published by . This book was released on 1991 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vassilios Dimitrakas
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays in asset pricing and information economics written by Vassilios Dimitrakas and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yan Wang
Publisher :
ISBN 13 :
Total Pages : 304 pages
Book Rating : 4.:/5 (855 download)
Download or read book Essays on Asset Pricing with Incomplete Or Noisy Information written by Yan Wang and published by . This book was released on 2011 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing -- information quality risk.
Author : Paul Marmora
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (128 download)
Download or read book Essays on Information Acquisition and Asset Pricing written by Paul Marmora and published by . This book was released on 2015 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I explore different mechanisms by which information is generated in financial markets, and whether these mechanisms can account for empirical anomalies that models without information choice have difficulty explaining. In the first chapter, I survey the theoretical literature on perfectly competitive asset markets, with a particular focus on rational expectations models with endogenous information acquisition. In the second chapter, ``The Distribution of Information, the Market for Financial News, and the Cost of Capital", I present a rational expectations model with a competitive market for financial news that provides an explanation for why stocks with a higher degree of information asymmetry tend to earn higher expected returns. I demonstrate that when a small fraction of investors hold a large fraction of a firm's private information, few investors demand a copy of firm-specific news in equilibrium. As a result, each investor must incur a larger share of the fixed cost of news production to obtain a copy, which deters investors from learning more about the firm and therefore raises their required risk premium. This result hinges crucially on the ability of investors to share in the fixed cost of news production, which suggests that the financial news media plays an important role in determining how the cost of capital varies with the inequality of information across investors. In the third chapter, ``Learning About Noise" (with Oleg Rytchkov), we study theoretical implications of endogenous acquisition of non-fundamental information in financial markets. We develop a rational expectations model with heterogeneous information and multidimensional costly learning and demonstrate that i) investors specialize in information acquisition, that is, those who are endowed with high (low) quality information about fundamentals learn only about fundamentals (noise), ii) learning about fundamentals increases the asymmetry of information, whereas learning about noise decreases it, and iii) the opportunity to learn about noise unambiguously increases price informativeness.
Author : Xiaofei Zhao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Two Essays on Asset Pricing written by Xiaofei Zhao and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qingqing Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (432 download)
Download or read book Essays on Asset Pricing written by Qingqing Chen and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Danilo Antonino Giannone
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Essays on Asset Pricing with Big and Unconventional Data written by Danilo Antonino Giannone and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexandros P. Vardoulakis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (779 download)
Download or read book Essays in Asset Pricing Under Asymetric Information and Default written by Alexandros P. Vardoulakis and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Aytek Malkhozov
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (143 download)
Download or read book Essays in Asset Pricing written by Aytek Malkhozov and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jingjing Chen
Publisher :
ISBN 13 :
Total Pages : 121 pages
Book Rating : 4.5/5 (381 download)
Download or read book Information Transmission and Investor Reactions written by Jingjing Chen and published by . This book was released on 2021 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays that study the effects of information transmission on asset pricing under dynamic settings. My first essay studies the pricing of earnings announcement risk. Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be consistently priced in stocks. However, I find that stocks with high earnings announcement risk earn significantly higher returns only during months when firms have earnings or M&A announcements. Moreover, the higher returns are realized mostly around the date of announcements. The findings seem to suggest that the risk premium is accrued concurrently when investors adjust stock valuation in response to significant information events. I provide additional evidence to substantiate the conjecture based on the effects of information updates and investor information consumption.My second essay investigates market excess returns around scheduled macroeconomic news announcements. Prior literature documents significantly positive market excess returns implied from CAPM (i.e., the coefficient of market beta) and significantly positive realized market excess returns on scheduled macroeconomic announcement days. In this study, I find that market excess return swings from negative on the day before, to positive on the day of, and negative again on the day after announcements. The average market excess returns, both implied and realized, over the three-day announcement window are insignificant. I show that market excess returns around macroeconomic announcements are primarily driven by a mood swing, i.e., changes of investor appetite toward risk. Specifically, investors become highly risk-averse prior to announcement but are much less so on the announcement day. I also show that uncertainty resolution at best partially accounts for the swing of market excess returns.
