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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 : 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 : Dal-Hee Lee
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (244 download)
Download or read book Three Essays on the Volatility of Asset Prices written by Dal-Hee Lee and published by . This book was released on 1983 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yoon Kang Lee
Publisher :
ISBN 13 :
Total Pages : 157 pages
Book Rating : 4.:/5 (18 download)
Download or read book Three Essays in Asset Pricing written by Yoon Kang Lee and published by . This book was released on 2018 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.
Author : 張天惠
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (858 download)
Download or read book Three Essays on Asset Prices, Credit Risk, and Monetary Policy written by 張天惠 and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shi Li
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Three Essays on Asset Pricing written by Shi Li and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on asset pricing. The first essay examines the return information conveyed by a firm's dividend deviation, defined as the difference between a firm's actual dividend per share (DPS) and its target DPS. We find that underpaying stocks (i.e., stocks in the lowest dividend deviation quintile) provide 5.4% more annualized risk-adjusted return compared to overpaying stocks (i.e., stocks in the highest dividend deviation quintile). A dividend deviation factor carries a risk premium of 5.64% per annum and is a proxy for systematic risk that is not captured by existing factor models. Potential explanations include financial constraints and overinvestments. Compared with overpaying firms, underpaying firms are more financially constrained and thus generate higher returns. After large investments, underpaying firms significantly underperform compared to their peers while overpaying firms remain statistically indifferent from their peers. In the second essay, we examine the relationship between firms' individual disagreement and the aggregate disagreement. We find a commonality in firms' individual disagreements exists at the market level, industry level, and geographic level. This commonality increases with firm's asymmetric information, uncertainty, and the degree of coverage, but decreases with firm's accounting information quality. We find a positive relation between the commonality in disagreement and stock returns. A higher disagreement commonality may indicate lower usefulness of firm-specific information that strengthens the synchronicity between firm's stock return and market return. In the third essay, we examine the effect of macro disagreement on stock returns in an international context. All G7 countries except Italy show a significant local disagreement beta effect, which is robust with respect to both size and value effects. Moreover, the macro disagreement on the U.S. economy shows a strong spillover effect on all non-U.S. G7 countries. The degree of a country's spillover effect is largely and positively in line with the magnitude of its trading activities with the U.S. Our paper demonstrates the pervasiveness of a disagreement beta effect, suggesting that investors bet against each other on macro disagreement not only in the U.S., but also in other major G7 countries.
Download or read book Three Essays on Money and Asset Pricing written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Selale Tuzel
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.:/5 (669 download)
Download or read book Three Essays in Asset Pricing written by Selale Tuzel and published by . This book was released on 2005 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Biplab K. Ghosh
Publisher :
ISBN 13 :
Total Pages : 218 pages
Book Rating : 4.:/5 (436 download)
Download or read book Three Essays in Financial Economics written by Biplab K. Ghosh and published by . This book was released on 2009 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emmanuel Leclercq
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (893 download)
Download or read book Three Essays on Asset Pricing written by Emmanuel Leclercq and published by . This book was released on 2014 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anya Khanthavit
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (819 download)
Download or read book Three Essays on Asset Pricing written by Anya Khanthavit and published by . This book was released on 1992 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhi Da
Publisher :
ISBN 13 :
Total Pages : 236 pages
Book Rating : 4.:/5 (836 download)
Download or read book Three Essays on Asset Pricing written by Zhi Da and published by . This book was released on 2006 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wei-Kang Shih
Publisher :
ISBN 13 :
Total Pages : 189 pages
Book Rating : 4.:/5 (693 download)
Download or read book Three Essays of Firm's Fundamentals and Asset Pricing written by Wei-Kang Shih and published by . This book was released on 2010 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my dissertation research, I have three essays discussing the firm's fundamentals and their asset pricing implications. In the first essay entitled "Alternative Equity Valuation Models", we use simultaneous equations estimation and combined forecasting methods to examine future stock prices forecast ability of Ohlson (1995) Model, Feltham and Ohlson (1995) Model, and Warren and Shelton (1971) Model. We also investigate whether comprehensive earnings can provide incremental price-relevant information beyond net income. Overall, we find that the simultaneous equations estimation procedure can produce more accurate future stock price forecasts than the traditional single equation estimation method, and combined forecast method can further reduce the prediction errors by using combination of individual forecasts. We also find supporting evidence that investors can use comprehensive earnings to more accurately forecast future stock prices in these valuation models. My second essay entitled "Technical, Fundamental, and Combined Information for Separating Winners from Losers" jointly use fundamental and technical information to improve the technical momentum strategy. We examine how fundamental accounting information can be used to supplement the technical information, such as past returns and past trading volume data, to separate momentum winners from losers. More specifically, we propose a unified framework of incorporating fundamental indicators FSCORE (Piotroski, 2000) and GSCORE (Mohanram, 2005) into the technical momentum strategy. Our empirical results suggest that the combined momentum strategy outperforms technical momentum strategy for both growth and value stocks. My third essay entitled "The Economic Consequences of Real Earnings Management" examines how real activities based earnings management affect firm's payout and investment decisions. Our paper focuses on real earnings management in a general equilibrium production (GEP) economy setting, and studies the economic implications of this phenomenon on the economy. To formalize the notion of real earnings management, we propose that risk-averse managers "manage" earnings through investment-payout decisions that are conditioned by their history and habits. In addition, we permit habits to change randomly which introduces another source of risk. We explicitly solve for the endogenous asset prices and interest rate, and show how this additional risk from managerial habits is priced in the production economy.
Author : David Tat-Chee Ng
Publisher :
ISBN 13 :
Total Pages : 314 pages
Book Rating : 4.:/5 (464 download)
Download or read book Three Essays on International Asset Pricing written by David Tat-Chee Ng and published by . This book was released on 2000 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yongli Zhang
Publisher : ProQuest
ISBN 13 : 9780549269489
Total Pages : 198 pages
Book Rating : 4.2/5 (694 download)
Download or read book Three Essays on Asset Pricing written by Yongli Zhang and published by ProQuest. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Author : Denada Ibrushi
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.:/5 (115 download)
Download or read book Three Essays on Asset Pricing written by Denada Ibrushi and published by . This book was released on 2018 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
