Three Essays in Investment Management Industry PDF Download

Author: Xu Li
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Category :
Languages : en
Pages : 0

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This note is part of Quality testing.

Author: Xu Li (Researcher in finance and econometrics)
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Category : Bond funds
Languages : en
Pages : 0

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Author: Ali Shahrad
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Category :
Languages : en
Pages :

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"This thesis consists of three essays in empirical asset pricing. In the first essay, I study momentum crashes in emerging equity markets. In particular, I investigate that the momentum crashes are related to volatility, unconditional of the market state. I use emerging stock markets as a laboratory because of their high volatility in both bear and bull markets. My main finding is that momentum crashes are not limited to bear markets, and in fact, one third are experienced in bull markets. These crashes do not fit into the optionality model of Daniel and Moskowitz (2016). Instead, I provide evidence that momentum crashes are linked to the market volatility. In volatile states, the optionality payoff of momentum increases and momentum skewness decreases. Furthermore, I show that the poor performance of momentum in EMs is due to the high volatility in these markets. In the second essay, I investigate whether excessive shortselling is the primary cause for momentum crashes. My hypothesis is that the excessive shortselling of the loser stocks pushes their price below their fundamental values. When the market rebounds, the reversal in the price of the losers leads to momentum crash. I collect the data on shortselling policies across countries, and test whether momentum crashes less in markets with shortselling ban, controlling for the market state and volatility. My results show that the crashes are less severe in markets with shortselling ban, suggesting that shortselling partially explains momentum crashes.In the third essay, I study the mutual fund industry in 77 countries and examine how the fund styles are developed on the aggregate level. I apply textual analysis to the fund names in order to classify funds. I find that the 20 most frequently used words appear in over 50% of all fund names and I define 10 categories (“styles”) based on those (and related) words. These 10 categories are sufficient to classify over 85% of all funds. I find that the menu of funds are remarkably universal. My main result shows how the menu of funds offered to investors in those 77 countries converges over time to a common (“global”) menu of funds. I trace this surprisingly simple and uniform process of global menu convergence to the actions of individual fund families who follow similar growth paths. My results shed new light on the aggregate process of financial innovation and the industrial organization of the asset management industry that appears to produce the same “wholesale” menu around the world"--

Author: Ziwei Zhao (Researcher in economics)
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Category : Exchange traded funds
Languages : en
Pages : 131

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The three essays of my dissertation are in the asset pricing area. The first essay is on the topic of how the popularity of ETFs affects active mutual funds. The second essay is about individuals' risk preferences and how early childhood experience can shape one's risk preference. The third essay is on whether active managers' education can affect their skills. Recently, the media frequently quotes active managers who claim that ETFs impede their ability of generating prots. They argue that ETFs are draining liquidity from the market and making it harder for them to generate alphas. However, a recent paper by Ben-David et al.(2018) argues that ETFs generate new inefficiencies into the underlying stocks in ETFs. Thus the popularity of ETFs should provide more opportunities for active managers to generate alpha. My first essay find that the popularity of ETFs prompts active mutual fund managers to conduct more informed trades that generate alphas. Specifically, the trades of skilled active managers better predict the future performance of stocks after the passive ownership in those stocks increase. This paper directly addresses the question of whether ETF ownership affects market efficiency by considering new inefficiencies caused by passive ETFs and whether those inefficiencies create arbitrage opportunities for active mutual funds. The second essay (co-authored) studies how our early childhood interactions with parents shape our risk preferences. Specifically, recent literature argues that only the more recent macro-economic experiences matters in shaping our risk-taking behaviors (Malmendier and Nagel, 2011), which indicates that one's earlier childhood experience is not important. Using an IV setting, we find that parents' risk-taking positively affects children's risk-taking. More importantly, exploiting a finding that parents spend more quality time with their first child, we find that this effect we identified comes mainly from one's childhood interaction with her parents, confirming a nurturing channel. This parental effect doesn't fade away with time/when children move away from parents. The third essay looks at how a mutual fund manager's early personal experience, education, affects her skills to generate performance. By showing active mutual fund managers perform better in industries that are related to their education major, this paper provides evidence that active managers have skills in those industries that they have expertise in. The first essay focuses on the institutional investors; the second essay focuses on individual investors and their early experience; while the third essay links the first two by looking at one's early experience and how it affects institutional investors such as active fund managers.

Author: Steffen Schaarschmidt
Publisher:
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Category :
Languages : en
Pages : 130

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Author:
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Category :
Languages : en
Pages : 159

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Author: Xiaorong Ma
Publisher:
ISBN: 9781360996561
Category :
Languages : en
Pages :

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This dissertation, "Three Essays on Information Production and Monitoring Role of Institutional Investors" by Xiaorong, Ma, 马笑蓉, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This thesis includes one essay about the information production of institutional investors and two essays about the monitoring role of institutional investors. The first essay empirically examines the association between investor base and information production in the context of stock splits. Using the proportion of 13F filers as the proxy for the size of investor base, we show that three proxies for stock price informativeness, adjusted probability of information-based trading (AdjPIN), price non-synchronicity and probability of information-based trading (PIN), decrease significantly due to enlarged investor base after stock splits. It suggests that institutional investors are less incentivized to gather firm specific information when firm''s investor base expands, which is consistent with the "risk sharing hypothesis," proposed by Peress (2010). Furthermore, we find that the change of the price informativeness around splits is negatively related to the magnitude of positive return drifts following splits. This result is consistent with the notion that less information incorporated in stock prices results in a sluggish response by the market to corporate event. The second essay empirically identifies an external corporate governance mechanism through which the institutional trading improves firm value and disciplines managers from conducting value-destroying behaviors. We propose a reward-punishment intensity (RPI) measure based on institutional investors'' absolute position changes, and find it is positively associated with firm''s subsequent Tobin''s Q. Importantly, we find that firms with higher RPI exhibit less subsequent empire building and earnings management. It suggests that the improved firm values can be attributed to the discipline effect of institutional trading on managers, which is in line with the argument of "Governance Through Trading." Furthermore, we find that the exogenous liquidity shock of decimalization augments the governance effect of institutional trading. We also find that the discipline effect is more pronounced for firms with lower institutional ownership concentration, higher stock liquidity, and higher managers'' wealth-performance sensitivity, which further supports the notion that institutional trading could exert discipline on a manager. The third essay focuses on a particular type of institutional investor, short sellers, and explores the discipline effect of short selling on managerial empire building. Employing short-selling data from 2002-2012, we find a significantly negative association between the lending supply in the short-selling market and the subsequent abnormal capital investment. Besides, we find a positively significant association between the lending supply and the mergers and acquisitions announcement returns of acquiring firms. These results suggest that the short-selling potential could deter managers from conducting over-investment and value-destroying acquisitions. In addition, the discipline effect is stronger for firms with higher managers'' wealth-performance-sensitivity, for firms with lower financial constraints, and for stock-financed acquisition deals. Finally, firms with higher lending supply also have higher Tobin''s Q in the subsequent year. These results indicate that short-selling is another important external governance force. DOI: 10.5353/th_b5066226 Subjects: Institutional i

Author: Luqi Xu
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages :

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Sentiment is an important concept in economics and finance and has been the focus of many studies. Individual investors, professional investors, corporate managers, and households have sentiments on the economy and financial markets which affect their decisions, and hence economic activities and asset prices. Measuring sentiment and determining what factors affect it have significant importance in finance research. My dissertation studies this subject by introducing state-of-the-art methods from artificial intelligence to measure the sentiment in several sources of business text data, that is, public firms disclosures and mutual funds reports. I investigate the information content, determinants, and the effects of the sentiments on asset prices and investment decisions of investors. In chapter one, we use a novel text classification approach from deep learning to accurately measure sentiment in a large sample of 10-Ks. In contrast to prior literature, we find that both positive and negative sentiments predict abnormal returns and abnormal trading volume around the 10-K filing date and future firm fundamentals and policies. Our results suggest that the qualitative information contained in corporate annual reports is richer than previously found. In chapter two, I study the sentiment of mutual fund managers towards the stock market. Using a direct measure of managers market expectations extracted from mutual funds semi-annual reports, I find that fund managers extrapolate their funds past performance into their market outlook. Funds with managers who have higher market expectation take more risk by increasing their equity holdings and the beta of their equity portfolios, but underperform subsequently. In chapter three, we study the sentiment of mutual fund managers about specific stocks in their portfolios. We study some mutual funds practice of voluntarily disclosing investment ideas in their annual reports. The practice involves, at a minimum, expressing views on stocks which fund managers are optimistic about. We find that managers of larger and better performing funds discuss positions that have recently underperformed, those that make up larger portions of their portfolios, and those they have held for longer periods. Our findings suggest that managers disclose these recommendations to boost their own fund performance and to attract additional capital.

Author: David F. Andrade
Publisher:
ISBN:
Category :
Languages : en
Pages : 236

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Author: Marc Antony Via
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Category : Electronic dissertations
Languages : en
Pages : 207

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This dissertation consists of three essays on investments and corporate finance. The first essay is an investment article focused on factors affecting market makers in the trading of securities, the second essay is a corporate finance article which empirically tests theories of what factors motivate executives to innovate, while the third essay is a corporate finance article which empirically tests theories of why returns are higher in firms with high organization capital investments. For the first essay, I evaluate the shift in the duration of legal insider trading and asymmetric information after Sarbanes Oxley, and find that market makers can identify asymmetric trading via the PIN measure and abnormal volumes and adjust spreads accordingly. This study is the first to consider the duration and accuracy of asymmetric trading and their effects on bid ask spreads. The second essay considers executive incentives to innovate based on firm governance and compensation policies. Basically it seeks to empirically test the theoretical predictions of Manso (2011). Manso theorizes that the individual choice of management to innovate is motivated by a firm tolerance for early failure, as innovations often struggle along their development paths. Ultimately, I find empirical support for many of the predictions of Manso. The third essay addresses how the threat of talented employee departure from firms affects firm risk. Eisfeldt and Papanikoloau (2013) introduced the idea that the threat of the loss of key talent may increase risk for firms with high levels of organization capital. However, they do not provide direct evidence that this risk increase is due to this employment threat, and other literature has suggested that SG & A risk is from management inability or unwillingness to reduce costs. I add to this debate by testing the movement of inventors between firms, and find strong support for the theories of Eisfeldt and Papanikolaou (2013).