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Two Essays In Financial Economics
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Book Synopsis Two Essays in Financial Economics by : Harvey Birtill Westbrook (Jr.)
Download or read book Two Essays in Financial Economics written by Harvey Birtill Westbrook (Jr.) and published by . This book was released on 2002 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays on Financial Economics by : Tuckchung Lee
Download or read book Two Essays on Financial Economics written by Tuckchung Lee and published by . This book was released on 2001 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in Financial Economics by : Bo Liu
Download or read book Two Essays in Financial Economics written by Bo Liu and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in Financial Economics by : Eric John Osmer
Download or read book Two Essays in Financial Economics written by Eric John Osmer and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in Financial Economics by : Suhas Saha
Download or read book Two Essays in Financial Economics written by Suhas Saha and published by . This book was released on 2008 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in Financial Economics by : Le Xia
Download or read book Two Essays in Financial Economics written by Le Xia and published by . This book was released on 2007 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Economics by : Marco Rossi
Download or read book Essays in Financial Economics written by Marco Rossi and published by . This book was released on 2010 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in Financial Economics by : Judy Lynn Shelton
Download or read book Two Essays in Financial Economics written by Judy Lynn Shelton and published by . This book was released on 1981 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in Financial Economics by :
Download or read book Two Essays in Financial Economics written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in Financial Economics by : Kenneth Daniels
Download or read book Two Essays in Financial Economics written by Kenneth Daniels and published by . This book was released on 1991 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Why the World Economy Needs a Financial Crash and Other Critical Essays on Finance and Financial Economics by : Jan Toporowski
Download or read book Why the World Economy Needs a Financial Crash and Other Critical Essays on Finance and Financial Economics written by Jan Toporowski and published by Anthem Press. This book was released on 2010-12 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this volume explain the key structural features of financial inflation that give rise to financial crisis. These features include excessive reliance on finance to maintain economic activity through rising asset prices. Reliance on asset inflation induces a preoccupation with property values and a new social divide between the asset-rich and the asset-poor that undermines the culture of the welfare state. When debt can no longer be supported by cash flow from asset markets, excess debt plunges economies into economic depression.
Book Synopsis Essays in Financial Economics by : Amnon Levy
Download or read book Essays in Financial Economics written by Amnon Levy and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays. The first essay provides a theoretical explanation for why capital structure varies with macroeconomic conditions. The second essay provides a rational for why potential competitors get funding from a common active investor.
Book Synopsis Essays in Financial Economics by : Sung Bin Sohn
Download or read book Essays in Financial Economics written by Sung Bin Sohn and published by . This book was released on 2012 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in financial economics. The first two essays explore how initial public offerings are affected by various stock market conditions. In the third essay, I study the meaning of innovations in investor sentiment. In the first essay, I use cointegration techniques to decompose stock market shocks into permanent and transitory shocks, building on the idea that transitory shocks should not have long-run effects on dividends and stock prices. The decomposed shocks improve on existing valuation measures by indicating the extent to which market value is driven by permanent or transitory fluctuations. I then examine the effects of these shocks on several aspects of IPOs, and find that (1) despite the lack of long-run effects on firms' value, more firms go public in response to stronger transitory shocks; (2) firms that go public after stronger transitory shocks underperform their benchmark more severely in the long run; (3) during the book-building period, managers are more likely to limit secondary share sales after stronger transitory shocks; and (4) managers who limit secondary share sales further during the book-building period exhibit more severe long-run underperformance. These findings are consistent with the hypothesis that transitory shocks induce more IPOs that opportunistically exploit temporarily higher market valuation than IPOs that finance profitable projects in better market conditions. The findings are also consistent with the hypothesis that managers are more prone to become overconfident after stronger transitory shocks and that the resulting overconfidence leads to long-run underperformance. The decomposition methodology can also be applied to other corporate finance decisions such as SEOs, mergers and investments. The second essay establishes a model that incorporates both uncertainty and dispersion of opinion to examine how these two factors affect IPO stock performance. The model predicts that, unlike uncertainty, dispersion of opinion has nonlinear effects. There is a threshold of dispersion of opinion below which the dispersion does not affect IPO stock performance. Above the threshold, on the other hand, larger dispersion of opinion bids up the stock price higher and consequently yields the lower long-run return. The level of the threshold is increasing in the amount of free-floating shares in the market. Since IPO firms tend to have relatively small free-floating shares than other listed firms, IPO stocks are more subject to the dispersion of opinion. Thus, empirical researches that do not control the dispersion of opinion can produce misleading results on IPO performance. The model also predicts IPOs observations are subject to self-selection bias. Private firms would decide not to go public under the combination of high uncertainty and small dispersion of opinion, which could actually yield high long-run returns. This prediction helps explain the time variation of IPO volume and the general pattern of IPO long-run underperformance. The third essay tries to understand the meaning of innovations in investor sentiment. The role of investor sentiment in the stock market has attracted attentions of economists. Previous papers show that investor sentiment has return predictability and it is more pronounced among stocks that are more difficult to value and to arbitrage, and emphasize the behavioral role of investor sentiment. However, it still remains unclear whether this predictability is due to a causal effect of autonomous animal spirits or not. Alternatively, investor sentiment may reflect systematic risks and the predictability could be mere coincidence, not causation. For a structural interpretation, I introduce a modified version of the long-run risks model in which sentiment innovations arise from both animal spirit shocks and several risk shocks, and animal spirit shocks could affect stock returns. By matching impulse responses from data simulated according to the theoretical model to those from actual data, I estimate parameters in the model. The estimated model moderately replicates the historical data in the actual stock market. The estimation results show that a substantial amount of variation in investor sentiment is explained by systematic risk shocks as well as by animal spirit shocks, and that animal spirit shocks can have significant effects on stock returns. The findings suggest that investor sentiment is a noisy proxy of animal spirits and that autonomous animal spirits are at least in part responsible for the apparent return predictability of investor sentiment.
Book Synopsis Essays in Financial Economics by : Valery Y. Polkovnichenko
Download or read book Essays in Financial Economics written by Valery Y. Polkovnichenko and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays. First essay focuses on the problem of limited stock market participation. Second essay studies the relationship between the competitiveness of stock trading and stock return volatility.
Book Synopsis Essays in Financial Economics by : Mohammadjavad Pakdel
Download or read book Essays in Financial Economics written by Mohammadjavad Pakdel and published by . This book was released on 2016 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two self-contained essays. The first essay compares out-of-sample performance of asset allocation using forward-looking information and backward-looking information. The existing literature processes forward-looking and backward-looking information using different models and consequently different sets of assumptions. Therefore, one might wonder if superior performance of portfolios using these two sources of information should be attributed to superiority of sources of information or superiority of models underlying them. In contrast, this study uses the identical stochastic volatility model to process both forward-looking and backward-looking information. The empirical results of this study show that the investor will be significantly better off when using the forward-looking information in her asset allocation compared to using the backward-looking information. In the second essay, I investigate the relationship between idiosyncratic risk at industry level and stock prices. The Capital Asset Pricing Model (CAPM) predicts that idiosyncratic risk would not be priced by investors, since investors can avoid it through portfolio diversification. In contrast to CAPM's prediction, the authors of existing literature usually conclude that this type of risk is priced by investors at firm level. I hypothesized that risk at industry level, like risk at firm level, is priced by investors. Surprisingly, I found some evidence that net industry-level volatility innovations are contemporaneously positively correlated to respective industry excess returns in some industries. This positive relation is interpreted as lower prices for industries with higher idiosyncratic risk, in contrast to my assumption.
Book Synopsis Two Essays in Financial Economics by : Kevin T. Green
Download or read book Two Essays in Financial Economics written by Kevin T. Green and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays in financial economics. The first essay, included in Chapter 2, concerns abnormal stock returns around IPO lockup expiration events. IPO lockup agreements prevent existing shareholders from selling shares for a period of time, usually 180 days, following the initial public offering. Historically stocks exhibit negative returns on the date in which the lockup agreement expires, and thereby allows a previously restricted shareholder group to actively participate in the market. The effect is concentrated in companies backed by venture capital funding prior to going public. Given that the timing and details of the lockup agreement are publicly available, such a pattern should not exist in an efficient market. In this essay I examine the long term return pattern around IPO lockup expirations to determine whether there is evidence of market inefficiency or if market constraints limit arbitrage opportunities. Using a dataset of IPO activity from 1988-2014, I find abnormal returns are highly persistent over the sample period despite a decline in bid-ask spreads and an increase in IPO lockup publicity. This finding is contrary to earlier studies that suggest trading costs and a potentially uninformed market contributed to the abnormal return pattern. I also find suggestive evidence that the effect is not driven by short sale constraints that prohibit arbitrage traders’ ability to trade in the market. Finally, I simulate a trading strategy that allows me to implement liquidity controls and portfolio risk management constraints. I find excess returns endure but are limited in scale due to low market liquidity. This result shows the abnormal return pattern is sensitive to the size of capital investment, which serves as a deterrent to market participants and plays a significant role in the anomaly’s persistence. The second essay, included in Chapter 3, examines the indirect impact of changes in supplier credit ratings on customer procurement decisions. This essay is co-authored with Xuan Tian and Han Xia. Existing research concludes credit ratings convey important information on firms’ credit worthiness. As a result, customers may rely on credit ratings to evaluate supply chain risks. We analyze whether customers modify purchasing behavior as a risk mitigation tool following changes in their suppliers’ credit ratings. Our identification strategy incorporates a quasi-natural experiment around Moody’s 1982 ratings refinement, and allows us to alleviate the potentially endogenous effect of changes to firm financial health that often accompany changes in credit ratings. We find public sector customers respond strongly to supplier rating changes: they increase purchases from upgraded firms, and reduce purchases from downgraded firms. This response, however, is not observed for private sector customers. We show this contrast is likely due to government agents’ desire to respond to ratings, a prevalent and verifiable certification, to signal that their decision-making is aligned with external assessment and to avoid reputational losses. We also find suggestive evidence that powerful politicians use ratings to award government contracts to suppliers located in states they represent.