Two Essays on Stock Market Anomalies PDF Download
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Author: Eric Campbell Full Yet Lam
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 96
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Book Description
Author: Eric Campbell Full Yet Lam
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 96
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Book Description
Author: Hui Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 130
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Book Description
Author: Hao Zhang
Publisher:
ISBN:
Category : Stock splitting
Languages : en
Pages : 314
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Book Description
Author: Kathrin Tauscher
Publisher:
ISBN:
Category :
Languages : en
Pages : 162
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Book Description
Author: Elroy Dimson
Publisher: CUP Archive
ISBN: 9780521341042
Category : Business & Economics
Languages : en
Pages : 328
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Author: Jochim Georg Lauterbach
Publisher:
ISBN: 9783000640339
Category :
Languages : en
Pages :
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Author: Lin Yu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author:
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages :
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Author: Ehab Yamani
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages :
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Book Description
This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. Overall, the results show that financial factors are the dominant driver of investment returns and they control the negative relation between investment and stock return. In the second essay, I examine the impact of financial contagion resulting from four global financial crises based on analyses of the global value premium. Results show that equity markets become more integrated after financial crises that exhibit global effects but less integrated after crises that exhibit regional effects. Overall findings support the risk story of the global value premium. The third essay examines the joint dynamics of volume and volatility in the junk bond market during the 2007-2008 financial crisis. Using trading volume information as a proxy for changes in the information set available to investors when financial crises occur, I investigate the impact of the subprime crisis on the informational efficiency of the junk bond market. The overall results show that the crisis does not have an impact on the market efficiency of the junk bond market.
Author: Colbrin Alan Wright
Publisher:
ISBN:
Category :
Languages : en
Pages :
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ABSTRACT: I study the topics of market efficiency and anomalies to market efficiency by focusing on finance professors in their joint roles as both researchers and market participants. I ask three main research questions: (1) how efficient do finance professors believe US stock markets are and does their opinion of market efficiency influence their investing behavior, (2) what really matters to finance professors when they buy and sell stocks, and (3) why do finance professors publish market anomalies?
