Essays in Insider Trading, Informational Efficiency, and Asset Pricing

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ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (897 download)

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Book Synopsis Essays in Insider Trading, Informational Efficiency, and Asset Pricing by : Stephen Rhett Clark

Download or read book Essays in Insider Trading, Informational Efficiency, and Asset Pricing written by Stephen Rhett Clark and published by . This book was released on 2014 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: While significant deviations between initial forecasts and actual box-office outcomes exist, prices nonetheless evolve in accordance with efficient updating. Further, convergence rates appear independent of both the average initial forecast error and the level of disagreement in forecasts. Lastly, the third chapter revisits the theoretical justifications for Bossaerts's (2004) ELM, with the goal of providing clear, intuitive proofs of the key results underlying the methodology. The seemingly biggest hurdle to garnering more widespread adoption of the ELM methodology is the confusion that surrounds the use of weighted modified returns when testing for rational asset pricing restrictions. I attack this hurdle by offering a transparent justification for this approach. I then establish how and why Bossaerts's results extend from the case of digital options to the more practically relevant class of all limited-liability securities, including equities. I conclude by showing that the ELM restrictions naturally lend themselves to estimation and testing of asset pricing models, using weighted modified returns, in a Generalized Method of Moments (GMM) framework.

Essays on empirical asset pricing and insider trading

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)

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Book Synopsis Essays on empirical asset pricing and insider trading by : Chao Jiang

Download or read book Essays on empirical asset pricing and insider trading written by Chao Jiang and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Insider Trading

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Publisher : CRC Press
ISBN 13 : 1420074032
Total Pages : 452 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Insider Trading by : Paul U. Ali

Download or read book Insider Trading written by Paul U. Ali and published by CRC Press. This book was released on 2008-08-22 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Insider trading has long been considered an endemic feature of the world's financial markets. It is unsurprising that the recent growth in mergers and acquisitions worldwide has been accompanied by a growth in insider trading, on a scale not witnessed since the 1980's takeovers boom. Insider Trading: Global Developments and Analysis brings together the latest law and finance research on insider trading. It provides expert coverage on the established US, European, and Asia-Pacific securities markets, as well as the key emerging markets of Brazil and the greater China region. Providing high interest and up-to-date content, the book features several recent cases, including that of Martha Stewart.

Three Essays on Informed Trading

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Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Three Essays on Informed Trading by : Frank Sensenbrenner

Download or read book Three Essays on Informed Trading written by Frank Sensenbrenner and published by . This book was released on 2013 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays examining the behavior of informed traders in financial markets and how they affect asset pricing. It examines informed traders' role in shaping securities prices in three ways. It examines whether on a macro and micro basis insider traders move prices to a different degree than non-insiders. In addition, it uses econometric methods to determine what exchange generates permanent price trends in UK shares. Lastly, it looks at another side effect of fragmentation - how a 'best execution' mandate and related market structure changes affect transactions costs in liquid UK, French, and German shares.These studies expand on current literature in various ways - extant insider trading literature has either primarily focused on daily price movement and volume or had consisted of case studies, the conclusions of which may be idiosyncratic and therefore unrepresentative of typical insider behavior. The new phenomenon of multilateral trading facilities (also known as electronic communications networks) and the proliferation of algorithmic or computer-mediated trading had not been examined in price discovery papers, due to their relative novelty. In addition, despite a bevy of literature offering informed insight into the impact of the European Union's Markets in Financial Instruments Directive (MiFID), there has been a dearth of empirical studies assessing its impact on European securities markets. Chapters 2 and 3 examine MiFID and computerized trading from two different perspectives: that of which trades lead to permanent prices, and that of transactions costs.The conclusions drawn in this dissertation will be of interest to regulators, market operators, and traders, as they offer insight into the impact of market structure and how it impacts informed traders who participate in them.

Three essays in finance

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Publisher :
ISBN 13 :
Total Pages : 131 pages
Book Rating : 4.:/5 (414 download)

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Book Synopsis Three essays in finance by : Leslie Ann Jeng

Download or read book Three essays in finance written by Leslie Ann Jeng and published by . This book was released on 1998 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Insider Trading at the Turn of the Century

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (61 download)

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Book Synopsis Insider Trading at the Turn of the Century by : Semih Tartaroglu

Download or read book Insider Trading at the Turn of the Century written by Semih Tartaroglu and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Insider trading may convey information to the market and promote accurate pricing of stocks. In this dissertation, I investigate insider trading at the turn of the century. In the first essay, I investigate insider trading activity in technology stocks during the high price - high volatility period of the late 1990s. I document that insiders of technology firms were heavy sellers during the ten month pre-peak period in which stock prices more than doubled. The technology stocks that were sold by insiders more extensively in the pre-peak period had lower returns in the post-peak period. I furthermore investigate the relation between the net order flows (buyer initiated minus seller initiated trades) and abnormal insider trading activity. I document that the net order flow is positively related to abnormal insider trading activity. However, this positive relation becomes weaker in the peak period; which implies less price discovery through insider trading during the rise of technology stock prices. In the second essay, I document that disclosure requirements significantly affect insider trading behavior. The Sarbanes-Oxley Act of 2002 requires expedited and on-line disclosure of insider transactions. This increase in the visibility of insider trading reduces informational advantage of insiders and increases the likelihood of facing legal sanctions for insiders. I document that insider purchases significantly declined after the Sarbanes- Oxley Act. In addition, the incidences of insider purchases (sales) prior to positive (negative) earnings surprises declined after the Act. Finally, I document that the earnings announcements become more informative after the Act, which is consistent with less price discovery through insider trading prior to earnings announcements. However, the evidence that the decline in insider trading contributes to more informative earnings announcements is pronounced for insider purchases but not for insider sales.

Insiders and Market Efficiency

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Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.L/5 ( download)

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Book Synopsis Insiders and Market Efficiency by : Joseph E. Finnerty

Download or read book Insiders and Market Efficiency written by Joseph E. Finnerty and published by . This book was released on 1974 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Dissecting the Relation Between Insider and Institutional Trading

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Publisher :
ISBN 13 :
Total Pages : 113 pages
Book Rating : 4.:/5 (11 download)

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Book Synopsis Dissecting the Relation Between Insider and Institutional Trading by : He Wang

Download or read book Dissecting the Relation Between Insider and Institutional Trading written by He Wang and published by . This book was released on 2017 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays. In the first essay, we examined the relation between insider trades and institution demand. The literature documents a strong inverse relation between insider trading and institutional demand, suggesting that institutions provide liquidity for insider trading. Motivated by empirical evidence that there is considerable variation of informativeness among institutions and insiders, this paper further examines the relation between insider trading and institutional trading by classifying insiders as opportunistic vs. routine traders and institutions as short-term vs. long-term investors. We find that the inverse relation between insider trading and institutional demand is mainly driven by long-term institutions. In fact, short-term institutions tend to trade in the same direction as opportunistic insiders whose trades are more informative of future stock price changes. The results are stronger for trades on small cap stocks. Further separating officers and directors vs. other insiders, we show that our findings are driven primarily by trades from opportunistic officers and directors.

Essays on Insider Trading

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ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (111 download)

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Book Synopsis Essays on Insider Trading by : Valeriya Vitalyevna Posylnaya

Download or read book Essays on Insider Trading written by Valeriya Vitalyevna Posylnaya and published by . This book was released on 2018 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay explores relations between political affiliations and illegal insider trading. Assessing illegal insider trading is challenging due to the nature of the activity. Researchers observe and evaluate only the detected portion of illegal trading, not all illegal transactions. This presents a problem when using traditional empirical techniques to investigate such activity. In our analysis we employ a bivariate probit model that takes into account the partial observability nature of insider trading and provides estimates for the determinants of both the commission and the detection of illegal insider trading. Among our findings, most notable is the influence of the SEC's political structure on insider trading detection. We show that the political party affiliation within the SEC, past indictments by the SEC, and SEC budget play a crucial role in determining current prosecution. Past SEC indictments significantly decrease the likelihood to engage in illegal insider trading as well. Essay two investigates insider trading returns by corporate insiders in light of their firms' lobbying activities. Lobbying is a channel firms often use to influence regulatory change. Firms also use lobbying to obtain information on upcoming legislative and regulatory changes that are significant to the firms' future. Establishing and maintaining these political connections provides informational advantage not only to the firms engaged in lobbying but also to the insiders of these firms who receive an opportunity to base their trading decision on this potentially valuable information. Using data on firm lobbying activities, we provide evidence of an informational advantage acquired by corporate insiders of firms that develop these connections with policymakers. We find that insiders of lobbying firms gain additional return of 138 (156) basis points on their buys (sells) trades relative to transactions placed by insiders of firms that are not engaged in lobbying activities. We also document that the role of establishing and fostering lobbying contacts and the amounts spent on lobbying differ with type of insider transactions and length of investment horizons. The focus of the third essay is the impact of actual trading on material non-public information on firms' securities. Finance and law scholars present theoretical arguments both in favor of and against trading on material non-public information. However, investigating empirically the actual impact of insider trading on the insider's firm poses significant challenges due to the lack of precision in identifying from publically available data trades that are based on private information. In this study, we utilize Securities Exchange Commission (SEC) indictments of illegal insider trading to examine the impact of illegal insider trading on the firm. We provide evidence suggesting that illegal insider trading increases stock market liquidity for the involved firms. Our results imply that bid-ask spread following transactions based on private information is narrower for long-run windows. However, we also find results implying that informed trading is associated with reduced liquidity, when estimated with Amihud Illiquidity proxy, reflecting price impact of trades based on private information.

Does Insider Trading Raise Market Volatility?

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Publisher : International Monetary Fund
ISBN 13 : 1451847130
Total Pages : 43 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Does Insider Trading Raise Market Volatility? by : Mr.Julan Du

Download or read book Does Insider Trading Raise Market Volatility? written by Mr.Julan Du and published by International Monetary Fund. This book was released on 2003-03-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitively significant when compared with the effect of economic fundamentals.

Stochastic Analysis And Applications To Finance: Essays In Honour Of Jia-an Yan

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Publisher : World Scientific
ISBN 13 : 9814489158
Total Pages : 465 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Analysis And Applications To Finance: Essays In Honour Of Jia-an Yan by : Tusheng Zhang

Download or read book Stochastic Analysis And Applications To Finance: Essays In Honour Of Jia-an Yan written by Tusheng Zhang and published by World Scientific. This book was released on 2012-07-17 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory.It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance.

Essays on International Asset Pricing in Partially Segmented Markets

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Publisher :
ISBN 13 :
Total Pages : 356 pages
Book Rating : 4.:/5 (319 download)

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Book Synopsis Essays on International Asset Pricing in Partially Segmented Markets by : Sundaram Janakiramanan

Download or read book Essays on International Asset Pricing in Partially Segmented Markets written by Sundaram Janakiramanan and published by . This book was released on 1986 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Market Microstructure

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Publisher : John Wiley & Sons
ISBN 13 : 1119952786
Total Pages : 194 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Market Microstructure by : Frédéric Abergel

Download or read book Market Microstructure written by Frédéric Abergel and published by John Wiley & Sons. This book was released on 2012-04-03 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.

Three Essays on Emerging Capital Markets

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ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Three Essays on Emerging Capital Markets by : Qi Li

Download or read book Three Essays on Emerging Capital Markets written by Qi Li and published by . This book was released on 2004 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Markets Theory

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Publisher : Springer
ISBN 13 : 1447173228
Total Pages : 843 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Financial Markets Theory by : Emilio Barucci

Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer. This book was released on 2017-06-08 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS

Efficiency and Anomalies in Stock Markets

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Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)

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Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Essays in Financial Economics

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Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (34 download)

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Book Synopsis Essays in Financial Economics by : Joel M. Vanden

Download or read book Essays in Financial Economics written by Joel M. Vanden and published by . This book was released on 1999 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: