Author: Minrong Zheng Publisher: ISBN: Category : Languages : en Pages : 140
Book Description
In my first essay, I investigate the relationship between IPO long-run underperformance (Ritter, 1991) and the idiosyncratic risk puzzle (Ang, Hodrick, Xing and Zhang, 2006), the phenomenon of abnormally low returns for stocks with high idiosyncratic risk. I show that IPO long-run underperformance is in fact a manifestation of the surprisingly low returns for high idiosyncratic risk stocks. IPO underperformance disappears after I control for the idiosyncratic risk. Specifically, the underperformance of IPO firms only presents following the months in which they are classified into the highest idiosyncratic risk quintile. On the other hand, I find that the idiosyncratic risk puzzle is magnified by the IPO underperformance for two reasons. First, IPOs are over-represented in the highest volatility quintile. Second, while stocks in the highest volatility quintile underperform in general, the intra-quintile underperformance is substantially more severe for the IPO firms. My results are robust to different sample requirements.
Author: Yoon Kang Lee Publisher: ISBN: Category : Arbitrage Languages : en Pages : 157
Book Description
This dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.
Author: Yongli Zhang Publisher: ProQuest ISBN: 9780549269489 Category : Languages : en Pages : 198
Book Description
G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Author: Thomas A. Jacobs Publisher: ISBN: Category : Languages : en Pages :
Book Description
The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.
Author: Zongming Ma Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
Asset pricing has been a focal point among a broad range of financial studies. Traditional asset pricing models are encountering challenges by empirical data and sustainable compliance. For example, the Black-Scholes-Merton (BSM) model exhibits the "volatility smile" puzzle and the role that sustainability plays in accounting for asset pricing remains controversial. Based on these observations, I raise three research questions. First, can an option valuation model with a pricing kernel that depends on market regimes address volatility smile and be consistent with observed market prices? Second, how do the Environment, Social and Governance (ESG) ratings affect asset prices across different economic sectors, firm sizes, and time horizons? Third, since the macroeconomic environment affects firms' strategies and financial performance, how do ESG ratings affect stock returns across market regimes? I address these questions in three essays. The first essay reveals that the proposed model can predict the market option prices more accurate than the alternative models (Black-Scholes-Merton, Heston-Nandi, Hardy) do for both the in-sample and out-of-sample data across regimes. The second essay finds that ESG ratings have a positive effect on stock returns, particularly for sensitive industries (gas, oil, chemical, mining, alcohol, and tobacco, etc.), for large capitalization firms, and for long-term investment horizons. The third essay uses a machine learning method to identify market regime using 134 macroeconomic factors and a factor model to discover a positive relationship between ESG and asset returns in the bear regime. The factor model also show that the impact of ESG rating on stock returns in a sector, given a market regime, depends significantly on the level of demand in that sector under that market regime.
Author: Minrong Zheng
Author: Yoon Kang Lee
Author: Yongli Zhang
Author: Lionel Martellini
Author: Thomas A. Jacobs
Author: Ehud Peleg
Author: Zongming Ma
Author: Selale Tuzel
Author: Zhi Da
Author: Philipp A. Dirkx