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Essays On The Efficiency Of Financial Markets
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Book Synopsis Essays on the Efficiency of Financial Markets by : Tal Moshe Fishman
Download or read book Essays on the Efficiency of Financial Markets written by Tal Moshe Fishman and published by . This book was released on 2007 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation presents theory and evidence from three independent perspectives on the informational efficiency of financial markets.
Book Synopsis Essays on the Efficiency of Financial Markets by : Bernd Schlusche
Download or read book Essays on the Efficiency of Financial Markets written by Bernd Schlusche and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Efficiency of Selected Financial Markets by : Fabian Ackermann
Download or read book Three Essays on the Efficiency of Selected Financial Markets written by Fabian Ackermann and published by . This book was released on 2014 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Information Efficiency in Financial Markets and Product Market Interaction by : Haina Ding
Download or read book Three Essays on Information Efficiency in Financial Markets and Product Market Interaction written by Haina Ding and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three independent essays. The first two essays look at the informational role of stock prices and its impact on the real economy. The last one explores the relationship between managerial incentive and product market competition. In the first essay, two firms compete in a product market and have an opportunity to invest in a risky technology either early on as a leader or later once stock prices reveal the value of the technology. Information leakage thus introduces an option of waiting, which enhances production efficiency. A potential leader may nevertheless be discouraged from investing upfront, when anticipating its competitor to invest later in response to good news. I show that an increase in product market competition increases the option value of waiting but has an ambiguous effect on information production. It may thus be the case that intense competition leads to more leakage such that no firm would invest, especially so in a smaller market. Given a moderate level of competition, price informativeness may improve investment outcome when investment profitability and the market size are relatively large. The second essay examines the feedback effects of certifications in financial markets. A firm has to decide whether to monitor (or to ascertain) internally the prospect of a potential investment or to delegate this task to a certifier who reveals his evaluations to the outsiders. The investment decision is then taken based on all of the information available in the market. The information asymmetry between the firm and lenders is alleviated under delegation, and hence the firm enjoys a lower cost of capital at the financing stage. Delegation however reduces the information advantage of speculators who then make less effort to acquire information. This results in a potential information crowding-out effect. We show that the firm may prefer to delegate when the prior belief about the investment prospect is relatively high, and to choose in-house information production when its own signal is more precise and when its current assets in place generate a higher expected payoff. The third essay considers a spatial competition model with horizontal and vertical differentiation. Two firms are assigned to exogenous locations on a circular city. Consumers, distributed on the circle, need to pay a transportation cost for purchasing. Anticipating a future uncertainty in product quality, firms simultaneously offer incentive contracts to managers to induce an optimal effort level. I show that competition may adversely affects incentives, as a lower transportation cost impairs a firm's local market power and consequently reduces a firm's marginal benefit from producing a high quality product, particularly when its competitor also produces a high quality product. On the other hand, greater competition reduces a firm's profit if it fails to improve product quality. This effect increases the optimal effort level and becomes dominant if the quality improvement is relatively large compared to the effort cost. Moreover, a large decrease in the transportation cost may change the market structure, such that the firm with better quality goods attracts all the demand, and thus the positive effect of competition on managerial effort becomes more significant.
Book Synopsis Essays on the Financial Market Efficiency of Emerging Markets by : Chiwon Yom
Download or read book Essays on the Financial Market Efficiency of Emerging Markets written by Chiwon Yom and published by . This book was released on 2001 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Fairness, Liquidity, and Efficiency in Modern Financial Markets by : Jiang Zhang
Download or read book Three Essays on Fairness, Liquidity, and Efficiency in Modern Financial Markets written by Jiang Zhang and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation research comprises three essays. In the first essay, we study the impact of high-frequency trading on market fairness and efficiency. The implementation of the Arrowhead Renewal on the Tokyo Stock Exchange (TSE) in 2015 reduced latency from 1 millisecond to less than 0.5 milliseconds and led to an increase in high-frequency tradingas proxied by the cancel-to-trade ratioof 34%, We find that the number of incidents of marking-the-close declined by 17%, indicating that market fairness improves. We find that for high-tick-size and high-market-capitalization stocks market efficiency improves, but for low-tick-size and low-market-capitalization stocks, it does not. In the second essay, we test the implications of competing theories on liquidity dynamics during extreme price movements (EPMs). Our findings indicate that market makers strategically allow for price pressures and earn compensation from pricing errors. As a result, liquidity provision intensifies towards the end of an average EPM. This goes counter to a widespread concern that market-making constraints cause the deterioration of liquidity as EPMs develop. Finally, we demonstrate that limit order book dynamics during EPMs are in line with a socially beneficial equilibrium. In the third essay, we revisit the tax-loss selling hypothesis as a potential explanation of the well-known January effect in securities markets. We expand the empirical evidence from municipal bond closed-end funds by extending the sample period by almost 20 years and adding exchange-traded funds to the sample. Our updated sample covers the recent growth of municipal bond ETFs and a significant increase in municipal bond trading volume and liquidity. Both developments reduce arbitrage costs and thus are expected to increase tax-loss selling in the funds and increase the transmission of price effects to the underlying bonds. We find that the January effect of municipal bond closed-end funds becomes stronger in more recent years, and show evidence that largely supports the tax-loss hypothesis. We also find some evidence indicating a smaller discrepancy between the abnormal returns of the funds and underlying bonds..
Book Synopsis Essays on the Efficiency of Pension Funds and Financial Markets by :
Download or read book Essays on the Efficiency of Pension Funds and Financial Markets written by and published by . This book was released on 2018 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Laboratory Investigation of Asset Market Efficiency by : Katerina Straznicka
Download or read book Laboratory Investigation of Asset Market Efficiency written by Katerina Straznicka and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contains three essays that focus on asset market inefficiency using the experimental method. Financial market efficiency is crucial for good performance of the economy as a whole. Research in behavioral finance has shown that investors do not always behave fully rationally and systematically violate the assumptions of the traditional framework. It is therefore important to fully understand how individuals create their expectations regarding financial decisions, what influences them, how they affect the global market, and therefore financial market efficiency.Individual expectations about a financial decision are influenced by the manner assets are determined. The first essay investigates the impact of skewness of traded assets on first, aggregate market development, second, the way individuals perceive risky assets according to their risk preferences, and third, the stability of the assets' risk perception in time. Our results suggest that assets' skewness influences only marginally the asset market development, but directly effects the individual risk perception.Agents interacting in financial markets are not fully rational. Their decisions are influenced by their preferences, personality traits and the degree they are prone to behavioral biases. We suppose that the personal profile influences individual market behavior, such as trading activity, stock accumulation and performance, and also the aggregate market development, such as price dynamic or turnover of traded assets. This is the objective of the second essay. We find that the personality traits are the best predictors of both individual and aggregate market behavior.The third essay examines whether competitive incentives do contribute to the increase of mispricing in financial markets. If they do, does the extended time horizon of performance comparison help to improve the control against excessive risk-taking and therefore improve financial market efficiency. We find that the bonuses with extended time horizon help to diminish mispricing and improve the financial market efficiency.
Book Synopsis Three Essays on the Efficiency of Financial Markets by :
Download or read book Three Essays on the Efficiency of Financial Markets written by and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Financial Market Efficiency by : Peter Schmidt
Download or read book Essays on Financial Market Efficiency written by Peter Schmidt and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Theory and Reality in Financial Economics by : George M. Frankfurter
Download or read book Theory and Reality in Financial Economics written by George M. Frankfurter and published by World Scientific. This book was released on 2007 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.
Book Synopsis Essays in Financial Economics by : Rita Biswas
Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Book Synopsis Three Essays on Financial Markets by : Cagdas Tahaoglu
Download or read book Three Essays on Financial Markets written by Cagdas Tahaoglu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that address recent topics in financial markets that concern for scholars, policymakers, and investors. The first essay examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996 -July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country's companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed. The second essay looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single stock circuit breaker rule (SSCB) in February 2012, to replace the short-sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade-by-trade data constructed on 5-minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the ten-minute trading interval surrounding the halts. While circuit breakers provide a limited "safety net" for investors when their stocks are subject to severe volatility, they do not provide for a quick turnaround for stocks experiencing severe price decline events. The last essay re-examines the historical vs implied volatility spread anomaly, reported by Goyal and Saretto (2009) using a second-order stochastic dominance (SSD) criterion. The approach incorporates transaction frictions, and is robust to model specification problems, return distributions, as well as preferences. It is found that option trading frictions such as cash collateral requirements and option trading costs significantly reduce but do not eliminate returns to a long-short straddle trading strategy pre-2006 period. However, the anomaly disappears after 2006, consistent with market efficiency. The SSD test results confirm the findings.
Book Synopsis Three Essays on Financial Markets and Monetary Policy by : Conglin Xu
Download or read book Three Essays on Financial Markets and Monetary Policy written by Conglin Xu and published by . This book was released on 2011 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Selected Essays in Empirical Asset Pricing by : Christian Funke
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.
Book Synopsis Three Essays on the Industrial Organization of Financial Markets by : David F. Andrade
Download or read book Three Essays on the Industrial Organization of Financial Markets written by David F. Andrade and published by . This book was released on 1997 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Information Diffusion and Stock Markets by : Aaron Paul Burt
Download or read book Essays on Information Diffusion and Stock Markets written by Aaron Paul Burt and published by . This book was released on 2017 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation is a compilation of three separate research studies that explore how information diffuses in financial markets. The first chapter examines how non-uniform information diffusion through distinct networks segments U.S. financial markets. Using changes in newspaper ownership networks, I document that a network link between different geographic areas leads to increased comovement of turnover and returns between stocks headquartered in those areas. Consistent with delayed content sharing within a network, the largest increase in comovement is observed using weekly data. I show that the network-driven comovement is not driven by fundamentals and is weaker for large firms with high institutional ownership and decreases over time. I also document that a network link causes price levels of linked stocks to become more similar. My findings show that segmented information networks lead to segmented financial markets with implications for market efficiency, home bias, and the effects of changes in the U.S. media landscape on financial markets. The second chapter shows that investors do not fully monitor the information about directors available in the past prices of firms within the network the directors oversee. A long-short portfolio using this information yields an annual alpha of 6.6%. This predictability is limited to when firms share a director and is not driven by industry or previously identified economic links between firms. The predictability is largest in the long end, when small firms predict big firms, and when information on shared directors is costlier to obtain. Trading by the shared directors is a key mechanism: filtering on their trades increases the annual alpha to 15%. The third chapter studies the econometric properties of a commonly used network-based measure of information diffusion between economically linked firms. Previous studies use this measure to document failures of market efficiency with price discovery requiring up to a year. The measure is constructed as the long-short alpha of portfolios formed sorting on the preceding returns of firms economically linked to portfolio firms. We show that correlated alphas between linked firms bias these measures. Existing studies have monthly biases as large as a factor of two. This bias creates predictability even after price discovery completes. Subtracting the predicted return from the sorting firms' returns removes this bias. Eliminating this bias reveals a more efficient market than previously documented: price discovery takes one month.
