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Author : Jianan Liu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays in Market Efficiency and Empirical Asset Pricing written by Jianan Liu and published by . This book was released on 2019 with total page 0 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 : Weike Xu
Publisher :
ISBN 13 :
Total Pages : 93 pages
Book Rating : 4.:/5 (976 download)
Download or read book Essays in Empirical Asset Pricing written by Weike Xu and published by . This book was released on 2016 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two essays. The first essay examines how changes in ownership breadth affect the profitability of 21 anomaly-based strategies. I find that the profitability of these strategies is weaker following a growth in ownership breadth in the prior quarter. The return pattern is primarily attributed to the insignificant returns in the short portfolios. In addition, reduction in short-sale constraints due to increase in the ownership breadth can explain the insignificant return in the short portfolio. The conclusions stay the same after controlling for the common risk factors including the Fama-French three factors and the momentum factor. My results are robust to different size groups, different portfolio weighting methods, an alternative measure of active institutional investors and cross-sectional regression tests. These findings indicate that active institutional investors improve market efficiency. In the second essay, I examine how the relaxation of short-sale constraints affects the readability in financial disclosures using a natural experiment. From 2005 to 2007, the SEC implemented a pilot program in which one-third of the Russell 3000 stocks were randomly selected as pilot stocks and were exempted from short-sale price tests. I find that the readability of 10-K reports for the pilot stocks significantly decreases during the program period. Moreover, the relation between a reduction in short-sales constraint and annual report readability is not uniform in the cross-section. I find that the results are more pronounced for firms that are smaller, less profitable or riskier; for firms that have lower institutional ownership or analyst coverage; and for firms with worse corporate governance or corporate social responsibility. I conclude that Regulation SHO leads to lower readability in the context of financial disclosures.
Author : Riccardo Sabbatucci
Publisher :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (95 download)
Download or read book Essays in Empirical Asset Pricing written by Riccardo Sabbatucci and published by . This book was released on 2016 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of my dissertation is the study of stock market predictability. More precisely, I use econometric tools to understand, explain, and predict aggregate and cross-sectional patterns in stock prices. Predictability of aggregate stock market returns and dividend growth is a widely studied topic, of great interest to both academics and practitioners. It is related to theories of market efficiency and information diffusion, both rational and behavioral. It also allows us to determine which types of information generate the movements in stock prices that we observe. Understanding why stock prices move and what factors drive their variation is critical from theoretical and policy-making perspectives. Chapter 1 of my dissertation revisits one of the main findings of the predictability literature, namely that all variation in aggregate stock prices is explained by changes in aggregate risk through discount rates and none by news about firms' expected cash flows. I propose a more comprehensive measure of dividends that includes M&A cash flows and show that dividend growth is predictable and that cash flow news explains around 60% of the observed variation in prices, while the remaining 40% is accounted for by discount rate news. Chapter 2 shows that information about fundamentals of the aggregate economy derived from closely held firms help predict stock returns of public firms. A common feature of most stock market predictors is that they are constructed using financial data of public firms. I construct a new economy-wide dividend-price ratio that takes into account dividends and market capitalization of both listed (public) and non-listed (private) U.S. companies and show that it strongly predicts stock returns both in-sample and out-of-sample. I also find that changes in dividends of private firms lead those of public firms and that the economy-wide dividend-price ratio subsumes the standard dividend-price ratio in predictive regressions. Chapter 3, co-authored with Christopher A. Parsons and Sheridan Titman, explores geographic momentum: a positive lead-lag stock return relation between neighboring firms operating in different sectors. It shows that a portfolio of firms headquartered in the same area, but operating in different sectors, strongly forecasts individual stock returns up to one year ahead. The economic significance of a city-momentum trading strategy is of similar magnitude to that observed with industry momentum. However, while industry momentum is strongest among thinly traded, small firms, and/or those with scant analyst following, geographic momentum is unrelated to these proxies for information processing. We propose an explanation linking this to the structure of the investment analyst business, which is organized by sector, rather than by geographic region.
Author : Birgit Charlotte Müller
Publisher : Springer Gabler
ISBN 13 : 9783658354787
Total Pages : 147 pages
Book Rating : 4.3/5 (547 download)
Download or read book Three Essays on Empirical Asset Pricing in International Equity Markets written by Birgit Charlotte Müller and published by Springer Gabler. This book was released on 2021-08-20 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Author : Yangqiulu Luo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Two Essays on Empirical Asset Pricing written by Yangqiulu Luo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays on empirical asset pricing. The first essay examines if the idiosyncratic risk is priced. Theories such as Merton (1987) predict that idiosyncratic risk should be priced when investors do not diversify their portfolio. However, the previous literature has presented a mixed set of results of the pricing of idiosyncratic risk. We find strong evidence that idiosyncratic risk is priced differently across bull and bear markets. For the sample period from June 1946 to the end of 2010, a factor portfolio long on stocks with high idiosyncratic volatility and short on stocks with low idiosyncratic volatility yields an equal-weighted monthly return of 1.59% for bull markets but -1.29% for bear markets. These evidences support the hypothesis that investors are rewarded for betting on individual stocks during bull markets and holding more diversified portfolios during bear markets. The second essay examines the role of the limits to arbitrage in the negative effect of liquidity on subsequent stock returns. I hypothesize that if the negative effect persists because of the limits to arbitrage, the effect should be more pronounced when there are more severe limits to arbitrage. My empirical evidence supports the hypothesis. In addition, I find that the effect of the limits to arbitrage on the liquidity anomaly is not correlated to the liquidity risk.
Author : Johan Parmler
Publisher :
ISBN 13 : 9789172586918
Total Pages : 163 pages
Book Rating : 4.5/5 (869 download)
Download or read book Essays in Empirical Asset Pricing written by Johan Parmler and published by . This book was released on 2005 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ali Shahrad
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book Three Essays in Empirical Asset Pricing written by Ali Shahrad and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis consists of three essays in empirical asset pricing. In the first essay, I study momentum crashes in emerging equity markets. In particular, I investigate that the momentum crashes are related to volatility, unconditional of the market state. I use emerging stock markets as a laboratory because of their high volatility in both bear and bull markets. My main finding is that momentum crashes are not limited to bear markets, and in fact, one third are experienced in bull markets. These crashes do not fit into the optionality model of Daniel and Moskowitz (2016). Instead, I provide evidence that momentum crashes are linked to the market volatility. In volatile states, the optionality payoff of momentum increases and momentum skewness decreases. Furthermore, I show that the poor performance of momentum in EMs is due to the high volatility in these markets. In the second essay, I investigate whether excessive shortselling is the primary cause for momentum crashes. My hypothesis is that the excessive shortselling of the loser stocks pushes their price below their fundamental values. When the market rebounds, the reversal in the price of the losers leads to momentum crash. I collect the data on shortselling policies across countries, and test whether momentum crashes less in markets with shortselling ban, controlling for the market state and volatility. My results show that the crashes are less severe in markets with shortselling ban, suggesting that shortselling partially explains momentum crashes.In the third essay, I study the mutual fund industry in 77 countries and examine how the fund styles are developed on the aggregate level. I apply textual analysis to the fund names in order to classify funds. I find that the 20 most frequently used words appear in over 50% of all fund names and I define 10 categories (“styles”) based on those (and related) words. These 10 categories are sufficient to classify over 85% of all funds. I find that the menu of funds are remarkably universal. My main result shows how the menu of funds offered to investors in those 77 countries converges over time to a common (“global”) menu of funds. I trace this surprisingly simple and uniform process of global menu convergence to the actions of individual fund families who follow similar growth paths. My results shed new light on the aggregate process of financial innovation and the industrial organization of the asset management industry that appears to produce the same “wholesale” menu around the world"--
Author : Amir Akbari
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (953 download)
Download or read book Three Essays on Empirical Asset Pricing written by Amir Akbari and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis explores the role of borrowing frictions, exchange rate risk, and intertemporal demand in stock prices across international financial markets. Specifically, I study how global asset prices are governed, considering the constraints and incentives that investors face when making investment decisions. The first essay adds a new dimension to the research on the dynamics of global market integration, providing an explanation for reversals in market integration via funding illiquidity. I show that when funding capital dries out, investors, unable to borrow and trade freely, fail to facilitate the integration process. Therefore, international asset prices during these periods are explained more by country-specific asset pricing factors than by global asset pricing factors. The second essay explores the role of exchange rate risk and intertemporal demand in international markets. These sources of risk are linked via the interest rate channel and are both likely proxies of the state variables that affect asset prices over time. We carefully disentangle the two risk factors and study the international equity market indices with multiple risk factors in a large cross-section through time. We show that the evidence of global pricing of risk crucially hinges on pooling assets with substantial cross-sectional variation. The third essay introduces a methodological innovation to study the dynamics of the compensation for the intertemporal risk in business cycles. Specifically, we contribute to the empirical asset pricing literature by studying the relative importance of prices of intertemporal risk during recessions, recoveries, and expansions." --
Author : John Robert Vogel
Publisher :
ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.:/5 (88 download)
Download or read book Essays on Empirical Asset Pricing written by John Robert Vogel and published by . This book was released on 2014 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays of empirical asset pricing. In the first essay, The Value/Growth Anomaly and Hard to Value Firms, I show that combining quality signals (firm fundamentals) and hard to value measures increases the return spread between value and growth portfolios. A portfolio that is long high quality value firms that are hard to value and short low quality growth firms that are hard to value yields a 4-factor alpha of up to 1.41% per month. Second, ex-ante observed quality signals are better at predicting high performance and low performance growth stocks as compared to value stocks. This growth stock mispricing can be explained by extreme quality measures, and enhanced by focusing on hard to value growth firms. In the second essay, Using Maximum Drawdowns to Capture Tail Risk, I, along with my co-author Wesley R. Gray, propose the use of maximum drawdown, the maximum peak to trough loss across a time series of compounded returns, as a simple method to capture an element of risk unnoticed by linear factor models: tail risk. Unlike other tail-risk metrics, maximum drawdown is intuitive and easy-to-calculate. We look at maximum drawdowns to assess tail risks associated with market neutral strategies identified in the academic literature. Our evidence suggests that academic anomalies are not anomalous: all strategies endure large drawdowns at some point in the time series. Many of these losses would trigger margin calls and investor withdrawals, forcing an investor to liquidate. In the third essay, Analyzing Valuation Measures: A Performance Horse Race over the Past 40 Years, I, along with my co-author Wesley R. Gray, show that EBITDA/TEV has historically been the best performing valuation metric and outperforms many investor favorites such as price-to-earnings, free-cash-flow to total enterprise value, and book-to-market. We also explore the investment potential of long-term valuation ratios, which replaces one-year earnings with an average of long-term earnings. In contrast to prior empirical work, we find that long-term ratios add little investment value over standard one-year valuation metrics.
Author : Alessio Alberto Saretto
Publisher :
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays in Empirical Asset Pricing written by Alessio Alberto Saretto and published by . This book was released on 2006 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wenqing Wang
Publisher :
ISBN 13 :
Total Pages : 342 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays on Empirical Asset Pricing written by Wenqing Wang and published by . This book was released on 2004 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chee Tong Lee
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (685 download)
Download or read book Essays on Market Efficiency and Asset Pricing written by Chee Tong Lee and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jiantao Huang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Essays in Empirical Asset Pricing written by Jiantao Huang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Irina Pimenova
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (129 download)
Download or read book Essays in Empirical Asset Pricing written by Irina Pimenova and published by . This book was released on 2018 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I revisit two problems in empirical asset pricing. In Chapter 1, I propose a methodology to evaluate the validity of linear asset pricing factor models under short sale restrictions using a regression-based test. The test is based on the revised null hypothesis that intercepts obtained from regressing excess returns of test assets on factor returns, usually referred to as alphas, are non-positive. I show that under short sale restrictions a much larger set of models is supported by the data than without restrictions. In particular, the Fama-French five-factor model augmented with the momentum factor is rejected less often than other models. In Chapter 2, I investigate patterns of equity premium predictability in international capital markets and explore the robustness of common predictive variables. In particular, I focus on predictive regressions with multiple predictors: dividend-price ratio, four interest rate variables, and inflation. To obtain precise estimates, two estimation methods are employed. First, I consider all capital markets jointly as a system of regressions. Second, I take into account uncertainty about which potential predictors forecast excess returns by employing spike-and-slab prior. My results suggest evidence in favor of predictability is weak both in- and out-of-sample and limited to a few countries. The strong predictability observed on the U.S. market is rather exceptional. In addition, my analysis shows that considering model uncertainty is essential as it leads to a statistically significant increase of investors' welfare both in- and out-of-sample. On the other hand, the welfare increase associated with considering capital markets jointly is relatively modest. However, it leads to reconsider the relative importance of predictive variables because the variables that are statistically significant predictors in the country-specific regressions are insignificant when the capital markets are studied jointly. In particular, my results suggest that the in-sample evidence in favor of the interest rate variables, that are believed to be among the most robust predictors by the literature, is spurious and is mostly driven by ignoring the cross-country information. Conversely, the dividend-price ratio emerges as the only robust predictor of future stock returns.
Author : Niels Joachim Christfort Gormsen
Publisher :
ISBN 13 : 9788793579897
Total Pages : pages
Book Rating : 4.5/5 (798 download)
Download or read book Essays on Empirical Asset Pricing written by Niels Joachim Christfort Gormsen and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arthur Ritter
Publisher : GRIN Verlag
ISBN 13 : 3656972001
Total Pages : 14 pages
Book Rating : 4.6/5 (569 download)
Download or read book The Market Anomaly "Size Effect". Literature Review, Key Theories and Empirical Methods written by Arthur Ritter and published by GRIN Verlag. This book was released on 2015-06-02 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2014 in the subject Business economics - Business Management, Corporate Governance, grade: 16 (1,7), University of St Andrews (School of Management), course: Research Methods for Finance and Management, language: English, abstract: The size effect is a market anomaly in asset pricing according to the market efficiency theory. According to the current body of research, market anomalies arise either because of inefficiencies in the market or the underlying pricing model must be flawed. Anomalies in the financial markets are typically discovered form empirical tests. These tests usually rely jointly on one null hypothesis H0= markets are efficient AND they perform according to a specified equilibrium model (usually CAPM). Thus, if the empirical study rejects the H0, the reason could either be due to market inefficiency or due to the incorrect model. Market efficiency theory says that the price of an asset fully reflects all current information and is not predictable (Fama 1970). Fama (1997) states that market anomalies, even long‐term anomalies, are not an indicator for market inefficiencies due to the reason that they randomly split between “underreaction and overreaction, (so) they are consistent with market efficiency” (p. 284), they happen by chance and it is always possible to beat the market by chance. This essay will give an overview of the literature of the size effect and will stress the key theories, empirical methods and findings, as well as the existing body of research about this particular anomaly.
