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![Three Essays on Information and Markets [microform] PDF](https://books.google.com/books/content/images/frontcover/OR6BtgAACAAJ?fife=w150-h200)
Author: Chengjun Li
Publisher: National Library of Canada = Bibliothèque nationale du Canada
ISBN: 9780612412118
Category :
Languages : en
Pages : 172
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![Three Essays on Information and Markets [microform] PDF](https://books.google.com/books/content/images/frontcover/OR6BtgAACAAJ?fife=w80-h100)
Author: Chengjun Li
Publisher: National Library of Canada = Bibliothèque nationale du Canada
ISBN: 9780612412118
Category :
Languages : en
Pages : 172
Get Book Here
Book Description
Author: Chengjun Li
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Iván Blanco
Publisher: Ed. Universidad de Cantabria
ISBN: 8481028770
Category : Business & Economics
Languages : en
Pages : 90
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Book Description
Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author:
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ISBN:
Category :
Languages : en
Pages : 0
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This dissertation contains three essays on the effects of information in online markets. The first essay examines an online market for digital music and how consumers may learn from one another when making their decisions. In markets where a product is of unknown quality and consumers observe information about the previous actions of others, models of observational learning often predict herding behavior. The possible consequences of this herding behavior include consumers ignoring a high quality product and consumers spending resources on a low quality product (i.e., bad herds). In this essay, I estimate the probability of the former (bad herd on a high quality product) in an online digital music market named Amie Street Music. In addition, I examine the effect of moving from a fixed pricing scheme (iTunes, Amazon) to a demand-based pricing scheme (Amie Street) on the probability of a bad herd, expected consumer costs and expected long run revenue. I find that there is a 2% probability that consumers ignore a high quality song in the Amie Street market, compared to a 100% probability with a fixed price as low as 30 cents. Using bid data from 8,000 Chevrolet Corvettes sold on eBay, the second essay empirically tests Akerlof's (1970) hypothesis that the used car market is characterized by low quality and informational problems. The hypothesis states that the used market has a higher proportion of low quality cars than the new market and buyers account for the difference by discounting their value for a used car relative to a new car. This is tested by comparing bids on new and late model used 'Vettes. The paper finds little evidence of a premium for new 'Vettes. Two other tests are performed and results of these tests also show little evidence of information problems on eBay Motors. Finally, in the third essay, I test whether bidders shade their bids for Chevrolet Corvettes in response to changes in the supply of other Corvettes up for auction. The results suggest that bidders are shading their bids, even when the other cars up for auction are not perfect substitutes.
Author: Rodney Benjamin Wallace
Publisher:
ISBN:
Category :
Languages : en
Pages : 145
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Author: Asís Martínez-Jerez
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 340
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Author: Stephen Charles Figlewski
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 204
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Author: Uptal Bhattacharya
Publisher:
ISBN:
Category :
Languages : en
Pages : 198
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Author: Lu Zhang
Publisher:
ISBN:
Category : Depressions
Languages : en
Pages : 137
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Book Description
This thesis consists of three essays. The first essay studies the ability of stock return idiosyncrasy to predict future economic conditions over time. The second essay investigates the technological innovation and creative destruction during the 1920s and the 1930s, one of the most innovative periods in the 20th century. The third essay tests the performance of an investment strategy using information about past market-wide comovement. Stock return idiosyncrasy, defined as the ratio of firm-specific to systematic risk in individual stock returns, contains information about future growth rate in real GDP, industrial production, real fixed assets investment, and unemployment. Forecasts are generally significant one-quarter-ahead, particularly after World War II. These effects persist after controlling for other potential leading economic indicators, both in-sample and out-of-sample. These findings are consistent with information generating firms, presumably uniquely well-informed about economic conditions because their core business is information, adjusting their information production before downturns. The second essay studies the process of creative destruction during the technological revolution in the 1920s and 1930s. Intensified creative destruction magnifies the performance gap between winner and loser firms, and thus elevates firm-specific stock return variation. We find high firm-specific return variation in innovative industries and firms during the 1920s boom and the subsequent depression. We also find some evidence of elevated firm-specific return variation in manufacturing sectors with higher labor productivity, more research staff and more extensive electrification. In the third essay, we define the directional market-wide comovement measure as the proportion of stocks moving up together. Positing that high comovement reflects large fund inflows, we devise an investment strategy of entering the market whenever positive directional market-wide comovement passes a certain threshold. Specifically, this comovement-based investment strategy holds the market index when the market-wide upward comovement in the prior one to four weeks is above the fourth decile of the historical comovement distribution, and invests in the risk-free asset otherwise. During the sample period of 1954 to 2014, this strategy outperforms the NYSE value-weighted market index by 6.42% per year. Out of sample tests using NASDAQ stocks and TSE stocks validate the strategy. Our findings suggest that marketwide upward comovement identifies periods of market run-ups, when unsophisticated investor buying is apt to be driven by herding or information cascades.
