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Three Essays In Financial Markets And Intermediations
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Book Synopsis Three Essays in Financial Markets and Intermediations by : Liang Song
Download or read book Three Essays in Financial Markets and Intermediations written by Liang Song and published by . This book was released on 2009 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Financial Markets and Banking by : Xiangyi Xie Spencer
Download or read book Three Essays in Financial Markets and Banking written by Xiangyi Xie Spencer and published by . This book was released on 2016 with total page 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 Market Frictions and Financial Intermediation by : Ina Bialova
Download or read book Three Essays on Market Frictions and Financial Intermediation written by Ina Bialova and published by . This book was released on 2019 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thèse. HEC. 2019
Book Synopsis Three Essays on Financial Markets by : Jullavut Kittiakarasakun
Download or read book Three Essays on Financial Markets written by Jullavut Kittiakarasakun and published by . This book was released on 2011 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Microstructure of Financial Markets by : William J. Wilhelm
Download or read book Three Essays on the Microstructure of Financial Markets written by William J. Wilhelm and published by . This book was released on 1988 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Role of Financial Markets and Pension Systems in Economic Growth by : Jeannine N. Bailliu
Download or read book Three Essays on the Role of Financial Markets and Pension Systems in Economic Growth written by Jeannine N. Bailliu and published by . This book was released on 1999 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Emerging Financial Markets by : Ming-Hsiang Chen
Download or read book Three Essays on Emerging Financial Markets written by Ming-Hsiang Chen and published by . This book was released on 2001 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Financial Markets by : Pawan Jain
Download or read book Three Essays on Financial Markets written by Pawan Jain and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is composed of three essays. The first essay investigates the information content of the limit order book (LOB) on the Shanghai Stock Exchange (SHSE), a purely order-driven market, for predicting future stock price volatility. We find that the LOB supply schedule consistently and significantly predicts the future price volatility. But this predictive power of LOB declines during the extreme market wide movements. We also find that buy orders are more informative over future price volatility than sell orders but sell (buy) orders becomes more informative during the extreme market wide down (up) movement days. Finally, we document that predictive power of LOB is short lived and markets are efficient over the longer time horizon. The second essay examines the effect of high frequency trading on market quality, systemic risk and trading strategies. In 2010 the Tokyo Stock Exchange, the largest exchange headquartered outside the US, introduced a new trading platform, Arrowhead, which reduced latency by 99.97% and increased co-located high-frequency trading from zero to 36% of volume. Arrowhead improved market liquidity and reduced volatility, but it also amplified systematic risks factors like quotes to trade ratio, order-flow autocorrelation and cross correlation, and tail risks. Arrowhead also affected trading strategies by increasing trade price predictability and the use of fleeting orders. Cost of immediacy serves as a channel through which reduced latency affects market quality, systematic risks, and trading outcome. The third essay analyzes the links between corporate finance policies and investment clienteles by comparing the cross-sectional variation in the dividend payout policies of companies across 32 countries. Beyond the impact of firm-specific accounting and financial variables, this study investigates how the country level variations: shareholder demand due to demographic variations and consumption needs, agency problems manifested in the extent of minority shareholder protection and business disclosures, and market quality in terms of transparency and liquidity; affect dividend payout policies. We find that firms have generous dividend payout policies when diverse shareholder demands are strong, extents of business disclosures and legal protections are weak, and the market qualities are poor. The empirical evidence supports the presence of strong dividend clienteles in a global setting. .
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 by :
Download or read book Three Essays on Financial Markets written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on International Financial Markets by : Lin Zhao
Download or read book Three Essays on International Financial Markets written by Lin Zhao and published by . This book was released on 2013 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Evolution and Financial Markets by : Emanuela Sciubba
Download or read book Three Essays on Evolution and Financial Markets written by Emanuela Sciubba and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on International Financial Markets by : Jose A. Gutierrez
Download or read book Three Essays on International Financial Markets written by Jose A. Gutierrez and published by . This book was released on 2010 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Frictions in Financial Markets by : Yifei Wang
Download or read book Three Essays on Frictions in Financial Markets written by Yifei Wang and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Financial Markets in Developed and Emerging Countries by : Oladunni Adesanya
Download or read book Three Essays on Financial Markets in Developed and Emerging Countries written by Oladunni Adesanya and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Financial Intermediation in the Open Economy by : Johanna Krenz
Download or read book Three Essays on Financial Intermediation in the Open Economy written by Johanna Krenz and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: