Essays in Market Efficiency and Empirical Asset Pricing PDF Download
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Author: Jianan Liu
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Jianan Liu
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Chee Tong Lee
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Mehboob Uddin Ahmed
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 434
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Author: Christian Funke
Publisher: Springer Science & Business Media
ISBN: 3834998141
Category : Business & Economics
Languages : en
Pages : 123
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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: Bruce N. Lehmann
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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The efficient markets hypothesis has dominated modern research on asset prices. Asset prices and their intrinsic values differ in inefficient financial markets but difficulties in the measurement of intrinsic value greatly complicate market efficiency tests. Reflections on the measurement of intrinsic value provide insight into the interpretation of existing evidence and suggestions for generating new evidence on market efficiency. This review essay on the state of knowledge about market efficiency focuses on quot;A Reappraisal of the Efficiency of Financial Marketsquot;, analyzing the research areas from this perspective: (1) short-run stock return predictability; (2) asset pricing anomalies; and (3) excess volatility and present value relations.
Author: Katerina Straznicka
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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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.
Author: Steve L. Slezak
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 402
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Author: Arthur Ritter
Publisher: GRIN Verlag
ISBN: 3656972001
Category : Business & Economics
Languages : en
Pages : 14
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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.
Author: Arthur Ritter
Publisher: GRIN Verlag
ISBN: 3656894086
Category : Business & Economics
Languages : en
Pages : 13
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Essay from the year 2014 in the subject Business economics - Investment and Finance, grade: 16,0, University of St Andrews (School of Management), course: Research Methods in 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.
Author: Weike Xu
Publisher:
ISBN:
Category : Institutional investors
Languages : en
Pages : 93
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Book Description
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.
