subject:(Trading volume in financial markets)

Brunel University

1. Seerattan, Dave Arnold. The effectiveness of central bank interventions in the foreign exchange market.

Degree: PhD, 2012, Brunel University

URL: http://bura.brunel.ac.uk/handle/2438/7361 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.569676

► The global foreign exchange market is the largest financial market with turnover in this market often outstripping the GDP of countries in which they are… (more)

▼ The global foreign exchange market is the largest financial market with turnover in this market often outstripping the GDP of countries in which they are located. The dynamics in the foreign exchange market, especially price dynamics, have huge implications for financial asset values, financial returns and volatility in the international financial system. It is therefore an important area of study. Exchange rates have often departed significantly from the level implied by fundamentals and exhibit excessive volatility. This reality creates a role for central bank intervention in this market to keep the rate in line with economic fundamentals and the overall policy mix, to stabilize market expectations and to calm disorderly markets. Studies that attempt to measure the effectiveness of intervention in the foreign exchange market in terms of exchange rate trends and volatility have had mixed results. This, in many cases, reflects the unavailability of data and the weaknesses in the empirical frameworks used to measure effectiveness. This thesis utilises the most recent data available and some of the latest methodological advances to measure the effectiveness of central bank intervention in the foreign exchange markets of a variety of countries. It therefore makes a contribution in the area of applied empirical methodologies for the measurement of the dynamics of intervention in the foreign exchange market. It demonstrates that by using high frequency data and more robust and appropriate empirical methodologies central bank intervention in the foreign exchange market can be effective. Moreover, a framework that takes account of the interactions between different central bank policy instruments and price dynamics, the reaction function of the central bank, different states of the market, liquidity in the market and the profitability of the central bank can improve the effectiveness of measuring the impact of central bank policy in the foreign exchange market and provide useful information to policy makers.

Subjects/Keywords: 332.4; Non-linear time series dynamics; Multivariate garch; Markov switching models; Market microstructure; Trading volume in financial markets

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APA (6^th Edition):

Seerattan, D. A. (2012). The effectiveness of central bank interventions in the foreign exchange market. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/7361 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.569676

Chicago Manual of Style (16^th Edition):

Seerattan, Dave Arnold. “The effectiveness of central bank interventions in the foreign exchange market.” 2012. Doctoral Dissertation, Brunel University. Accessed December 06, 2019. http://bura.brunel.ac.uk/handle/2438/7361 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.569676.

MLA Handbook (7^th Edition):

Seerattan, Dave Arnold. “The effectiveness of central bank interventions in the foreign exchange market.” 2012. Web. 06 Dec 2019.

Vancouver:

Seerattan DA. The effectiveness of central bank interventions in the foreign exchange market. [Internet] [Doctoral dissertation]. Brunel University; 2012. [cited 2019 Dec 06]. Available from: http://bura.brunel.ac.uk/handle/2438/7361 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.569676.

Council of Science Editors:

Seerattan DA. The effectiveness of central bank interventions in the foreign exchange market. [Doctoral Dissertation]. Brunel University; 2012. Available from: http://bura.brunel.ac.uk/handle/2438/7361 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.569676

University of Southern California

2. Xiouros, Costas. Asset prices and trading in complete market economies with heterogeneous agents.

Degree: PhD, Business Administration, 2009, University of Southern California

URL: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/222611/rec/959

► This thesis examines how and to what extend certain types of heterogeneity of agents in an economy with complete financial markets can explain the variation… (more)

▼ This thesis examines how and to what extend certain types of heterogeneity of agents in an economy with complete financial markets can explain the variation in aggregate prices and the volume of trade that we observe. There are a number of characteristics of the financial markets that have been particularly puzzling researchers; most important of which are the fact that the level of the market is on average low in comparison to interest rates, it varies a lot over time while the fundamentals of the economy do not and the fact that agents trade too much to be justified by the standard view that we hold for the economy. One clue that is found in the data is that the amount of trading is related to prices in a couple of ways like volatility or whether the market is moving upwards or downwards. This implies that the market is moved partly by the same forces that make agents to trade and at the basis of it is that agents are heterogeneous. I consider two types of heterogeneities in three separate studies. I first analyze an economy where agents differ in their risk preferences and I find with a realistic set of parameters that it cannot be a noticeable driver of the phenomena that I examine. In the other two studies I look at economies where agents differ in their beliefs about the future. These two studies yield a number of positive results: (i) high variation in the level of the prices can be explained by variations in the level of heterogeneity of beliefs and in particular the phenomenal increase in prices over the 1990s, (ii) price characteristics can be connected with trading volume through sentiment risk which determines how volatile individual beliefs are and (iii) both heterogeneity of beliefs as well as sentiment risk could possibly explain the low level of prices. The studies are mostly theoretical but some empirical support is provided. Advisors/Committee Members: Zapatero, Fernando (Committee Chair), Jones, Christopher S. (Committee Member), Sangvinatsos, Antonios (Committee Member), Magill, Michael (Committee Member).

Subjects/Keywords: financial prices; trading volume; complete markets; heterogeneous agents

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APA (6^th Edition):

Xiouros, C. (2009). Asset prices and trading in complete market economies with heterogeneous agents. (Doctoral Dissertation). University of Southern California. Retrieved from http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/222611/rec/959

Chicago Manual of Style (16^th Edition):

Xiouros, Costas. “Asset prices and trading in complete market economies with heterogeneous agents.” 2009. Doctoral Dissertation, University of Southern California. Accessed December 06, 2019. http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/222611/rec/959.

MLA Handbook (7^th Edition):

Xiouros, Costas. “Asset prices and trading in complete market economies with heterogeneous agents.” 2009. Web. 06 Dec 2019.

Vancouver:

Xiouros C. Asset prices and trading in complete market economies with heterogeneous agents. [Internet] [Doctoral dissertation]. University of Southern California; 2009. [cited 2019 Dec 06]. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/222611/rec/959.

Council of Science Editors:

Xiouros C. Asset prices and trading in complete market economies with heterogeneous agents. [Doctoral Dissertation]. University of Southern California; 2009. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/222611/rec/959

University of New South Wales

3. Smales, Lee. Dynamics of the Australian interest rate futures market.

Degree: Banking & Finance, 2013, University of New South Wales

URL: http://handle.unsw.edu.au/1959.4/52865 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11538/SOURCE01?view=true

► This thesis forms a comprehensive empirical study of the dynamics of the Australian interest rate futures market, focusing on market efficiency and trading activity in… (more)

▼ This thesis forms a comprehensive empirical study of the dynamics of the Australian interest rate futures market, focusing on market efficiency and trading activity in the period encapsulating the release of macroeconomic announcements. High-frequency data for the period January 2004-December 2010 is utilised.The first study in this thesis focuses on the price adjustment process around major scheduled macroeconomic announcements. Following Ederington and Lee (1993) eight announcements are identified as major; they have a statistically significant impact on market volatility. The Australian interest rate futures market is efficient in the sense that there is no information leakage and prices react swiftly to macroeconomic news, with the response complete within 30secs. Coincident with the price reaction there is a sharp increase in volatility and market activity. Results are driven by the news component of macroeconomic announcements.The second study considers the impact of RBA target rate news and accompanying monetary policy statements. A novel method is employed to explicitly determine market expectations. Interest rate futures react to the news component of monetary policy announcements, the response is asymmetric, and the news impact declines as the tenor of the security increases. RBA news is disaggregated into a target-factor and a path-factor; monetary policy statements drive the path-factor while modification to monetary policy communication have improved the ability of the RBA to influence market expectations.The third empirical study considers price discovery following RBA policy announcements in the special case of interbank futures. A 3-stage process is identified whereby low volume and wider spreads are common prior to the announcement, rapid price changes and large increases in trading volume meet the announcement, and volume subsides as spreads revert to normal following the announcement. While the events of 2007 have impacted the price discovery process, it is market uncertainty that plays a greater role in determining market activity.The final study examines the relationship between trading activity and market returns. Order imbalance is identified as a powerful determinant of price action, with contemporaneous order imbalance exerting a significant impact on market returns; excess buy (sell) orders drive prices up (down) and yields down (up). Advisors/Committee Members: Moshirian, Fariborz, Banking & Finance, Australian School of Business, UNSW, Zhang, Bohui, Banking & Finance, Australian School of Business, UNSW.

Subjects/Keywords: Trading Behaviour; Financial markets; Market Efficiency; Macroeconomic Announcements; Monetary Policy; Trading Activity

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APA (6^th Edition):

Smales, L. (2013). Dynamics of the Australian interest rate futures market. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/52865 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11538/SOURCE01?view=true

Chicago Manual of Style (16^th Edition):

Smales, Lee. “Dynamics of the Australian interest rate futures market.” 2013. Doctoral Dissertation, University of New South Wales. Accessed December 06, 2019. http://handle.unsw.edu.au/1959.4/52865 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11538/SOURCE01?view=true.

MLA Handbook (7^th Edition):

Smales, Lee. “Dynamics of the Australian interest rate futures market.” 2013. Web. 06 Dec 2019.

Vancouver:

Smales L. Dynamics of the Australian interest rate futures market. [Internet] [Doctoral dissertation]. University of New South Wales; 2013. [cited 2019 Dec 06]. Available from: http://handle.unsw.edu.au/1959.4/52865 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11538/SOURCE01?view=true.

Council of Science Editors:

Smales L. Dynamics of the Australian interest rate futures market. [Doctoral Dissertation]. University of New South Wales; 2013. Available from: http://handle.unsw.edu.au/1959.4/52865 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11538/SOURCE01?view=true

4. Zhu, Xiaotian. Two Essays on Lead-Lag Patterns Between Trading Volume and Stock Return in China Stock Markets.

Degree: PhD, 2007, Old Dominion University

URL: 9780549329312 ; https://digitalcommons.odu.edu/businessadministration_etds/94

► This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through… (more)

▼ This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan's (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China's B share markets best fit the expectations of Statman, Thorley, and Vorkink's (2006) overconfidence bias hypothesis, in which market investors are overly confident about the precision of their private information and such biased self-attribution causes the degree of confidence to increase when realized market returns are high, even when those returns are simultaneously enjoyed by the entire market. The second part of this dissertation further investigate the relations between trading volume and profitability of contrarian/momentum strategies under the empirical framework of Lee and Swaminathan's (2000) Momentum Life Cycle; Daniel, Hirshleifer, and Subrahmanyam's (1998) overconfidence bias on glamour stocks; and Hong and Stein's (1999) public information diffusion effect. The results reconfirm that Lee and Swaminathan's (2000) Momentum Life Cycle hypothesis provides the best explanation not only on the strong negative lead-lag patterns between lagged trading volume and subsequent returns, but also on the profitability of momentum/contrarian strategies for winner/loser stocks with different levels of trading volumes in China A share market. In particular, late stage momentum performers, including high (low) volume winners (losers), will experience contrarian profits, whereas early stage momentum performers, including low (high) volume winners (losers), will experience momentum profits. Advisors/Committee Members: Mohammad Najand, Kenneth Yung, Vinod B. Agarwal.

Subjects/Keywords: Behavioral finance; China; Lead-lag patterns; Stock markets; Trading volume; Economic Theory; Finance and Financial Management

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APA (6^th Edition):

Zhu, X. (2007). Two Essays on Lead-Lag Patterns Between Trading Volume and Stock Return in China Stock Markets. (Doctoral Dissertation). Old Dominion University. Retrieved from 9780549329312 ; https://digitalcommons.odu.edu/businessadministration_etds/94

Chicago Manual of Style (16^th Edition):

Zhu, Xiaotian. “Two Essays on Lead-Lag Patterns Between Trading Volume and Stock Return in China Stock Markets.” 2007. Doctoral Dissertation, Old Dominion University. Accessed December 06, 2019. 9780549329312 ; https://digitalcommons.odu.edu/businessadministration_etds/94.

MLA Handbook (7^th Edition):

Zhu, Xiaotian. “Two Essays on Lead-Lag Patterns Between Trading Volume and Stock Return in China Stock Markets.” 2007. Web. 06 Dec 2019.

Vancouver:

Zhu X. Two Essays on Lead-Lag Patterns Between Trading Volume and Stock Return in China Stock Markets. [Internet] [Doctoral dissertation]. Old Dominion University; 2007. [cited 2019 Dec 06]. Available from: 9780549329312 ; https://digitalcommons.odu.edu/businessadministration_etds/94.

Council of Science Editors:

Zhu X. Two Essays on Lead-Lag Patterns Between Trading Volume and Stock Return in China Stock Markets. [Doctoral Dissertation]. Old Dominion University; 2007. Available from: 9780549329312 ; https://digitalcommons.odu.edu/businessadministration_etds/94

University of Ghana

5. Mensah Ababio , J.O. Financial Inclusion, Financial Sector Development and Inclusive Development: Evidence from Frontier and Emerging Markets .

Degree: 2017, University of Ghana

URL: http://ugspace.ug.edu.gh/handle/123456789/24812

► This thesis analyzes financial inclusion, financial sector development and inclusive development with evidence from frontier and emerging markets. It employed the dynamic panel Generalized Methods… (more)

Subjects/Keywords: Financial Sector Development; financial inclusion in frontier markets; human development

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APA (6^th Edition):

Mensah Ababio , J. O. (2017). Financial Inclusion, Financial Sector Development and Inclusive Development: Evidence from Frontier and Emerging Markets . (Doctoral Dissertation). University of Ghana. Retrieved from http://ugspace.ug.edu.gh/handle/123456789/24812

Chicago Manual of Style (16^th Edition):

Mensah Ababio , J O. “Financial Inclusion, Financial Sector Development and Inclusive Development: Evidence from Frontier and Emerging Markets .” 2017. Doctoral Dissertation, University of Ghana. Accessed December 06, 2019. http://ugspace.ug.edu.gh/handle/123456789/24812.

MLA Handbook (7^th Edition):

Mensah Ababio , J O. “Financial Inclusion, Financial Sector Development and Inclusive Development: Evidence from Frontier and Emerging Markets .” 2017. Web. 06 Dec 2019.

Vancouver:

Mensah Ababio JO. Financial Inclusion, Financial Sector Development and Inclusive Development: Evidence from Frontier and Emerging Markets . [Internet] [Doctoral dissertation]. University of Ghana; 2017. [cited 2019 Dec 06]. Available from: http://ugspace.ug.edu.gh/handle/123456789/24812.

Council of Science Editors:

Mensah Ababio JO. Financial Inclusion, Financial Sector Development and Inclusive Development: Evidence from Frontier and Emerging Markets . [Doctoral Dissertation]. University of Ghana; 2017. Available from: http://ugspace.ug.edu.gh/handle/123456789/24812

University of Oklahoma

6. Cao, Wenbin. Essays in Financial Markets.

Degree: PhD, 2016, University of Oklahoma

URL: http://hdl.handle.net/11244/34889

► This dissertation is a collection of three essays that analyze the impact of economic uncertainty on financial market activities and evaluate alternative quantitative models for… (more)

▼ This dissertation is a collection of three essays that analyze the impact of economic uncertainty on financial market activities and evaluate alternative quantitative models for economic uncertainty based on financial asset prices. Chapter 1 is motivated by the fact that major economic and political shocks, such as the Cuban missile crisis, the 9/11 terrorist attacks, and the 2008 financial crisis, trigger spikes in market-wide uncertainty. It develops a dynamic trading model to analyze the impacts of these uncertainty shocks on the behaviors of market liquidity and shows how such impacts differ from those caused by shocks to economic conditions. According to my model, an uncertainty shock triggers a temporary decline in market liquidity, because an uncertainty shock introduces ambiguity and learning can resolve this ambiguity. Meanwhile, incorporating the notion of time-varying uncertainty aversion, my model implies that a shock to economic condition generates a persistent decline in market liquidity, since learning does not affect uncertainty aversion. My VAR estimations using monthly US data for 1962 – 2013 lend support to my model implications. An uncertainty shock generates a rapid drop and rebound in overall stock market liquidity for around five months on average, while a shock to economic condition leads to a persistent decline in market liquidity for up to a year. Chapter 2 examines the ability of five basis alternative option pricing models to price the early exercise premium (EEP) in American put prices: Black-Scholes model, Heston (1993) stochastic volatility model, and three jump pricing models – Merton (1976), Madan et al. (1998), and Carr and Wu (2003). After duly accounting for the market implied value of the Fleming and Whaley (1993) wild card option, we find that jump models perform best in pricing observed EEP. Importantly, all models consistently and significantly underprice observed EEP, where this underpricing is more pronounced for short term in-the-money EEP. We argue and empirically demonstrate that trading costs in the option market generate a significant EEP by incentivizing and rewarding early exercise of American options that would alternatively have been “sold” in the market. Chapter 3 examines the frequency and character of price jumps in front month oil and natural gas futures prices, where prices are sampled every five seconds over the period 2006-2014. We find that an infinite activity jump diffusion process describes crude oil and natural gas futures returns combined with a process involving much larger but less frequent jumps. We further find that jumps account for respectively 36 and 41 percent of the realized variances of the crude oil and the natural gas returns. Advisors/Committee Members: Yadav, Pradeep (advisor), Dauffenbach, Robert (committee member), Bakke, Tor-Erik (committee member), Linn, Scott (committee member), Mahmudi, Hamed (committee member).

Subjects/Keywords: financial markets

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APA (6^th Edition):

Cao, W. (2016). Essays in Financial Markets. (Doctoral Dissertation). University of Oklahoma. Retrieved from http://hdl.handle.net/11244/34889

Chicago Manual of Style (16^th Edition):

Cao, Wenbin. “Essays in Financial Markets.” 2016. Doctoral Dissertation, University of Oklahoma. Accessed December 06, 2019. http://hdl.handle.net/11244/34889.

MLA Handbook (7^th Edition):

Cao, Wenbin. “Essays in Financial Markets.” 2016. Web. 06 Dec 2019.

Vancouver:

Cao W. Essays in Financial Markets. [Internet] [Doctoral dissertation]. University of Oklahoma; 2016. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/11244/34889.

Council of Science Editors:

Cao W. Essays in Financial Markets. [Doctoral Dissertation]. University of Oklahoma; 2016. Available from: http://hdl.handle.net/11244/34889

University of Manchester

7. Ahmed, Kabir. Shariah Principles for Islamic Capital Markets and the Regulation of Market Abuse in UK and the US: Common Grounds, Divergences and Proposal for Reform.

Degree: 2013, University of Manchester

URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:199081

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ABSTRACTInvestor protection is the essence of Islamic banking and capital markets. Shariah aims to promote fairness in the exchange mechanism, prohibit abuse, exploitation and harm,… (more)

▼

ABSTRACTInvestor protection is the essence of Islamic banking and capital markets. Shariah aims to promote fairness in the exchange mechanism, prohibit abuse, exploitation and harm, protect investors and safeguard public interest. The purpose of this thesis is to explore and compare Shariah’s principles for investor protection from market abuse with the rationales and theories of prohibition underpinning the UK and US legal market abuse framework in securities markets. Shariah takes a completely different and a very comprehensive approach in combating market abuse. It takes a two pronged approach. Firstly, it propounds compliance and incorporation of ethical principles, Quranic proscription, and Prophetic commandments in the legal framework which prohibit market abuse before it occurs. Secondly, its unique contractual structures facilitate fair exchange. The product innovation incorporates ancient contractual structures as building blocks with inbuilt safety features to curb abusive speculation, manipulation and distortion in the price formation mechanisms. These principles and contractual structures successfully safeguarded the interest of participants in one to one transactions in barter based ancient markets in Mecca and Medina. The thesis analyses the validity of the aforementioned approach in regulating market abuse in impersonal trading in the context of emerging technologically advanced Shariah compliant stock exchanges. It also explores how Shariah’s approach facilitates the smooth interplay of market forces and uninterrupted natural equilibrium devoid of exploitation and harm. In the light of the antiquity of Shariah’s ethical principles and contractual structures and the modern securities markets offering a sophisticated electronic trading platform, it presents a particularly challenging task to put together a coherent theoretical Shariah based market abuse framework for the smooth operation of advanced equity, debt and derivative products. The thesis also comprehensively analyses the speculative nature of modern equity, debt and derivative products and illustrates how, in contrast, long standing Shariah compliant contractual structures provide inbuilt safety features to reduce the potential for volatility and distortion in the price formation mechanism. It further highlights non-Islamic features and practices in the conventional spot, forward and futures markets and illustrates their susceptibility to facilitate abusive and excessive speculation, distortion and manipulation. Based on the comparative analysis of the rationales of UK and US market abuse regimes and Shariah principles, the thesis concludes by highlighting common ethical approaches, divergences and how Shariah based market abuse approach could be used to improve the integrity and stability of the UK and US securities Market.

See Full Text Above

None

Advisors/Committee Members: MCGEE, ANDREW A, Avgouleas, Emilios, Mcgee, Andrew.

Subjects/Keywords: Investor Protection in Islamic Capital Markets; Market Abuse framework in Shariah compliant securities markets; Prohibition of Insider trading; market manipulation and abusive speculation in Shariah compliant securities markets.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Ahmed, K. (2013). Shariah Principles for Islamic Capital Markets and the Regulation of Market Abuse in UK and the US: Common Grounds, Divergences and Proposal for Reform. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:199081

Chicago Manual of Style (16^th Edition):

Ahmed, Kabir. “Shariah Principles for Islamic Capital Markets and the Regulation of Market Abuse in UK and the US: Common Grounds, Divergences and Proposal for Reform.” 2013. Doctoral Dissertation, University of Manchester. Accessed December 06, 2019. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:199081.

MLA Handbook (7^th Edition):

Ahmed, Kabir. “Shariah Principles for Islamic Capital Markets and the Regulation of Market Abuse in UK and the US: Common Grounds, Divergences and Proposal for Reform.” 2013. Web. 06 Dec 2019.

Vancouver:

Ahmed K. Shariah Principles for Islamic Capital Markets and the Regulation of Market Abuse in UK and the US: Common Grounds, Divergences and Proposal for Reform. [Internet] [Doctoral dissertation]. University of Manchester; 2013. [cited 2019 Dec 06]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:199081.

Council of Science Editors:

Ahmed K. Shariah Principles for Islamic Capital Markets and the Regulation of Market Abuse in UK and the US: Common Grounds, Divergences and Proposal for Reform. [Doctoral Dissertation]. University of Manchester; 2013. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:199081

Brunel University

8. Abuhommous, Ala’a Adden Awni. Financial constraints, capital structure and dividend policy : evidence from Jordan.

Degree: 2013, Brunel University

URL: http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186

► The economic reforms in Jordan during the last two decades have highlighted and promoted the role that non-financial firms play within the Jordanian economy. The… (more)

▼ The economic reforms in Jordan during the last two decades have highlighted and promoted the role that non-financial firms play within the Jordanian economy. The ability of firms to play this role is in major part determined by the structure of the financial system in which they operate, and in particular whether this financial system is able to make capital available efficiently to those firms that need it. Whether this is the case can be investigated by analysing the impact of firm characteristics on some of the most important financial decisions taken by these firms, and how these decisions are influenced by the presence of market imperfections. The thesis examines the relation between the financing and investment decisions, where the effect of financial constraints on the firm’s investment decision is investigated. In particular, this thesis focuses on how financial constraints affect different firms by investigating the extent to which the reliance on internal cash flow is affected by firm characteristics such as size, age, dividend payout ratio, and market listing. We find that Jordanian firms are financially constrained, but that these constraints do not appear to be related to firm characteristics. Further, results show that Jordanian firms use debt rather than equity to finance their investment. The second empirical chapter focuses on the main determinants of firms’ capital structure. Here the results show that Jordanian firms follow the pecking order theory, where profitability and liquidity have a negative impact on the level of debt. Size and market to book value have a positive impact, supporting the view that there are significant constraints on debt financing since indicators of the financial health of the firms affect their capital structure ratio. There is also evidence that ownership structure affects the firm’s access to debt. The final empirical chapter examines the impact of firm characteristics on dividend policy, and shows that profitability and market to book value have a positive impact on dividend policy, implying that firms with better access to capital or credit pay dividends. This implies that firms retain earnings in order to ensure that they have sufficient capital to invest, confirming the initial result that Jordanian firms are financially constrained. There is also evidence of the impact of ownership structure, consistent with the predictions of agency cost theory, while institutional investors appear to follow the prudent-man restrictions, being positively associated with firms that pay dividends. This thesis confirms the presence of market imperfections that have a significant influence on the financial decisions taken by Jordanian firms. The consistent evidence of the importance of retained earnings shows that these firms face substantial constraints in terms of their access to external funds, despite the reforms to the Jordanian financial system over the last two decades.

Subjects/Keywords: Financial theory; Investment; Financial markets; Emerging markets

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APA (6^th Edition):

Abuhommous, A. A. A. (2013). Financial constraints, capital structure and dividend policy : evidence from Jordan. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186

Chicago Manual of Style (16^th Edition):

Abuhommous, Ala’a Adden Awni. “Financial constraints, capital structure and dividend policy : evidence from Jordan.” 2013. Doctoral Dissertation, Brunel University. Accessed December 06, 2019. http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186.

MLA Handbook (7^th Edition):

Abuhommous, Ala’a Adden Awni. “Financial constraints, capital structure and dividend policy : evidence from Jordan.” 2013. Web. 06 Dec 2019.

Vancouver:

Abuhommous AAA. Financial constraints, capital structure and dividend policy : evidence from Jordan. [Internet] [Doctoral dissertation]. Brunel University; 2013. [cited 2019 Dec 06]. Available from: http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186.

Council of Science Editors:

Abuhommous AAA. Financial constraints, capital structure and dividend policy : evidence from Jordan. [Doctoral Dissertation]. Brunel University; 2013. Available from: http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186

Georgia Tech

9. Zhang, Teng. Essays on integration vs. segmentation of financial markets.

Degree: PhD, Business, 2018, Georgia Tech

URL: http://hdl.handle.net/1853/60190

► Essay I: Uniform Mortgage Regulation and Distortion in Capital Allocation The U.S. economy is significantly influenced by local features, but most federal policies are national.… (more)

▼ Essay I: Uniform Mortgage Regulation and Distortion in Capital Allocation The U.S. economy is significantly influenced by local features, but most federal policies are national. In this essay, I study the unintended consequences of the uniformity of the national conforming loan limit (CLL) before 2008 on bank lending in local jumbo mortgage markets. When the national CLL increased, the jumbo share of residential mortgage markets in low-income counties was significantly reduced relative to high-income counties. I find that banks responded to the exogenous national shock by significantly increasing jumbo approval rates in low-income counties. The economic magnitude is large: a county with a \10,000 lower median income is associated with, on average, a 6 percentage-point (or 11.77%) higher jumbo loan approval rate compared to a county with a \10,000 higher median income. The results are not driven by credit supply changes, borrower quality changes, home price anticipation, or the demand channel. Consistent with the competition mechanism in which lenders expand jumbo credit to defend market share, I also find that banks in low-income counties lower jumbo mortgage rates and later suffer from worse mortgage performance. Furthermore, smaller and less informed banks expand jumbo credit more aggressively, and, as a result, riskier borrowers receive more credit. Overall, my results highlight negative consequences of the uniformity of federal policy in mortgage markets by showing how it can lead to distorted bank lending and reduce efficiency of credit allocation across regions. Essay II: Housing Market Integration and Economic Convergence In this essay, I find that the increasing housing market integration in recent decades has contributed significantly to the convergence of output, income, and total employment growth across U.S. states. States with integrated housing markets also converge in their utilization of the home equity line of credit and in the prevalence of real-estate secured loans, which suggests the collateral channel as a key transmission mechanism through which housing market integration contributes to the economic convergence. To establish causality, I identify exogenous variations in state-level house prices using real estate related foreign direct investments that are orthogonal to state economic conditions. My findings are robust to controls for banking integration and geographic proximity, and are not driven by the performance of the real estate industry or changes in local demand. I also obtain similar results at the MSA level. Essay III: Global Diversification with Local Stocks: A Road Less Traveled In this essay, I document a great heterogeneity in the degree of global financial integration at the firm-level and delve into its implications for international portfolio diversification. Specifically, I estimate the degree of integration for about 14,000 sample firms per year, on average, from major developed markets over the period 1995-2014, using the R-square method. The key findings… Advisors/Committee Members: Eun, Cheol (advisor), Jayaraman, Narayanan (committee member), Danis, Andras (committee member), Kim, Soohun (committee member), Ganduri, Rohan (committee member).

Subjects/Keywords: Financial markets; Integration

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APA (6^th Edition):

Zhang, T. (2018). Essays on integration vs. segmentation of financial markets. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/60190

Chicago Manual of Style (16^th Edition):

Zhang, Teng. “Essays on integration vs. segmentation of financial markets.” 2018. Doctoral Dissertation, Georgia Tech. Accessed December 06, 2019. http://hdl.handle.net/1853/60190.

MLA Handbook (7^th Edition):

Zhang, Teng. “Essays on integration vs. segmentation of financial markets.” 2018. Web. 06 Dec 2019.

Vancouver:

Zhang T. Essays on integration vs. segmentation of financial markets. [Internet] [Doctoral dissertation]. Georgia Tech; 2018. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/1853/60190.

Council of Science Editors:

Zhang T. Essays on integration vs. segmentation of financial markets. [Doctoral Dissertation]. Georgia Tech; 2018. Available from: http://hdl.handle.net/1853/60190

University of Arkansas

10. Adarov, Amat. Essays on International Trade and Finance.

Degree: PhD, 2012, University of Arkansas

URL: https://scholarworks.uark.edu/etd/307

► The dissertation consists of three papers exploring the macroeconomic implications of heterogeneity of countries in financial development, economic interconnectedness via trade and financial linkages.… (more)

▼ The dissertation consists of three papers exploring the macroeconomic implications of heterogeneity of countries in financial development, economic interconnectedness via trade and financial linkages. Chapter 1 examines whether countries which are more centrally located in the global trade network have more synchronized stock markets. Global trade data is used to construct a novel measure of random walk betweenness centrality (RWBC), measuring the extent to which a country lies on random pathways in-between other countries and is therefore likely to be a conduit in the transmission of a shock across global markets. Based on a panel dataset of 58 countries over the period 1990-2000, the study finds that higher centrality of a country in the world trade network is indeed associated with greater stock market synchronicity, ceteris paribus. Chapter 2 uses aggregate macroeconomic experiences of 118 countries over the period 1994-2008 to establish benchmark relationships between macroeconomic fundamentals and levels of financial development of the banking sector, equity markets, and private bond markets. The analysis quantifies the extent to which de-facto financial development of emerging market economies (EMEs) deviates from the levels predicted by their macroeconomic stance. While financial markets in Latin American EMEs are found to be well aligned with their macroeconomic fundamentals, Asian EMEs exceed their reference levels, and European EMEs are found to be systematically financially underdeveloped. No support is found for the argument that these misalignments are caused by heterogeneity in institutional development. Finally, chapter 3 studies the properties and evolution of the product space – a network of relatedness between products. We use bilateral trade data for 187 countries to construct the product space and export specialization of individual countries over the period 1965 – 2000. The study shows that the product space changed significantly during the 20th century and represents a highly uneven core-periphery structure. The highly interconnected core consists of three industries – chemicals, industrial machinery, and crude materials, each forming around 20% of all linkages. Product synergies that these "commanding heights" industries yield are strategically important for industrialization policies. Regression analysis confirms that specialization in these industries is associated with higher real income levels. Advisors/Committee Members: Raja Kali, Javier A. Reyes, Gary D. Ferrier.

Subjects/Keywords: Social sciences; Financial contagion; Financial development; Financial markets; International finance; International trade; Networks in economics; Finance; International Economics; Macroeconomics

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APA (6^th Edition):

Adarov, A. (2012). Essays on International Trade and Finance. (Doctoral Dissertation). University of Arkansas. Retrieved from https://scholarworks.uark.edu/etd/307

Chicago Manual of Style (16^th Edition):

Adarov, Amat. “Essays on International Trade and Finance.” 2012. Doctoral Dissertation, University of Arkansas. Accessed December 06, 2019. https://scholarworks.uark.edu/etd/307.

MLA Handbook (7^th Edition):

Adarov, Amat. “Essays on International Trade and Finance.” 2012. Web. 06 Dec 2019.

Vancouver:

Adarov A. Essays on International Trade and Finance. [Internet] [Doctoral dissertation]. University of Arkansas; 2012. [cited 2019 Dec 06]. Available from: https://scholarworks.uark.edu/etd/307.

Council of Science Editors:

Adarov A. Essays on International Trade and Finance. [Doctoral Dissertation]. University of Arkansas; 2012. Available from: https://scholarworks.uark.edu/etd/307

Virginia Tech

11. Edmonds, Christopher Thomas. Market Reactions To Analysts' Forecasts And Mandatory Disclosures.

Degree: PhD, Accounting and Information Systems, 2010, Virginia Tech

URL: http://hdl.handle.net/10919/38615

► This dissertation investigates the effects of changes in the accounting environment on the capital markets. Included are three manuscripts, each of which, make an important… (more)

Subjects/Keywords: IFRS; Trading Volume; Debt; Analystsâ Forecasts

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APA (6^th Edition):

Edmonds, C. T. (2010). Market Reactions To Analysts' Forecasts And Mandatory Disclosures. (Doctoral Dissertation). Virginia Tech. Retrieved from http://hdl.handle.net/10919/38615

Chicago Manual of Style (16^th Edition):

Edmonds, Christopher Thomas. “Market Reactions To Analysts' Forecasts And Mandatory Disclosures.” 2010. Doctoral Dissertation, Virginia Tech. Accessed December 06, 2019. http://hdl.handle.net/10919/38615.

MLA Handbook (7^th Edition):

Edmonds, Christopher Thomas. “Market Reactions To Analysts' Forecasts And Mandatory Disclosures.” 2010. Web. 06 Dec 2019.

Vancouver:

Edmonds CT. Market Reactions To Analysts' Forecasts And Mandatory Disclosures. [Internet] [Doctoral dissertation]. Virginia Tech; 2010. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/10919/38615.

Council of Science Editors:

Edmonds CT. Market Reactions To Analysts' Forecasts And Mandatory Disclosures. [Doctoral Dissertation]. Virginia Tech; 2010. Available from: http://hdl.handle.net/10919/38615

Boston University

12. Li, Wei. Statistical physics approaches to complex systems.

Degree: PhD, Physics, 2013, Boston University

URL: http://hdl.handle.net/2144/15162

► This thesis utilizes statistical physics concepts and mathematical modeling to study complex systems. I investigate the emergent complexities in two systems: (i) the stock volume… (more)

Subjects/Keywords: Physics; Interdependent; Networks; Percolation; Scaling; Trading volume

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APA (6^th Edition):

Li, W. (2013). Statistical physics approaches to complex systems. (Doctoral Dissertation). Boston University. Retrieved from http://hdl.handle.net/2144/15162

Chicago Manual of Style (16^th Edition):

Li, Wei. “Statistical physics approaches to complex systems.” 2013. Doctoral Dissertation, Boston University. Accessed December 06, 2019. http://hdl.handle.net/2144/15162.

MLA Handbook (7^th Edition):

Li, Wei. “Statistical physics approaches to complex systems.” 2013. Web. 06 Dec 2019.

Vancouver:

Li W. Statistical physics approaches to complex systems. [Internet] [Doctoral dissertation]. Boston University; 2013. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/2144/15162.

Council of Science Editors:

Li W. Statistical physics approaches to complex systems. [Doctoral Dissertation]. Boston University; 2013. Available from: http://hdl.handle.net/2144/15162

University of Manchester

13. Diaz Solis, David Alejandro. Financial market monitoring and surveillance systems framework : a service systems and business intelligence approach.

Degree: PhD, 2012, University of Manchester

URL: https://www.research.manchester.ac.uk/portal/en/theses/financial-market-monitoring-and-surveillance-systems-frameworka-service-systems-and-business-intelligence-approach(47e568f8-3024-4ca3-8114-5d183be3edb8).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553427

► The thesis introduces a framework for analysing market monitoring and surveillance systems in order to provide a common foundation for researchers and practitioners to specify,… (more)

Subjects/Keywords: 658.83; Market Monitoring; Market Surveillance; Market Manipulation; Financial Markets; Business Intelligence; Service Systems; Service Dominant Logic; High Frequency Trading; Insider Trading; Market Abuse; Data Mining; Text Mining; Service Value Networks; Financial Taxonomy

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APA (6^th Edition):

Diaz Solis, D. A. (2012). Financial market monitoring and surveillance systems framework : a service systems and business intelligence approach. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/financial-market-monitoring-and-surveillance-systems-frameworka-service-systems-and-business-intelligence-approach(47e568f8-3024-4ca3-8114-5d183be3edb8).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553427

Chicago Manual of Style (16^th Edition):

Diaz Solis, David Alejandro. “Financial market monitoring and surveillance systems framework : a service systems and business intelligence approach.” 2012. Doctoral Dissertation, University of Manchester. Accessed December 06, 2019. https://www.research.manchester.ac.uk/portal/en/theses/financial-market-monitoring-and-surveillance-systems-frameworka-service-systems-and-business-intelligence-approach(47e568f8-3024-4ca3-8114-5d183be3edb8).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553427.

MLA Handbook (7^th Edition):

Diaz Solis, David Alejandro. “Financial market monitoring and surveillance systems framework : a service systems and business intelligence approach.” 2012. Web. 06 Dec 2019.

Vancouver:

Diaz Solis DA. Financial market monitoring and surveillance systems framework : a service systems and business intelligence approach. [Internet] [Doctoral dissertation]. University of Manchester; 2012. [cited 2019 Dec 06]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/financial-market-monitoring-and-surveillance-systems-frameworka-service-systems-and-business-intelligence-approach(47e568f8-3024-4ca3-8114-5d183be3edb8).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553427.

Council of Science Editors:

Diaz Solis DA. Financial market monitoring and surveillance systems framework : a service systems and business intelligence approach. [Doctoral Dissertation]. University of Manchester; 2012. Available from: https://www.research.manchester.ac.uk/portal/en/theses/financial-market-monitoring-and-surveillance-systems-frameworka-service-systems-and-business-intelligence-approach(47e568f8-3024-4ca3-8114-5d183be3edb8).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553427

The Ohio State University

14. Watkins, Boyce Dewhite. Investor Sentiment, Trading Patterns and Return Predictability.

Degree: PhD, Business Administration, 2002, The Ohio State University

URL: http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045

► Many unanswered questions remain when attempting to determine the motivating factors behind investor trade. Also, contemporary asset pricing models continue to be challenged by seemingly… (more)

▼ Many unanswered questions remain when attempting to determine the motivating factors behind investor trade. Also, contemporary asset pricing models continue to be challenged by seemingly irrational return predictability and additional trading that does not appear to be motivated by information arrival or heterogeneous processing of private and public signals. This dissertation dissects the reasons that investors trade, and also presents evidence of return predictability related to trading and past stock returns. In the first dissertation essay, I analyze the factors that explain trading volume growth in equity securities. It is found that technical and statistical factors are strong explanatory factors for trading volume growth in the cross-section, while statistical and macro factors are strong sources of time variation. The second dissertation essay analyzes the first three moments of trading volume growth and determines that there is a link between these moments and future stock returns. It is found that stocks with high mean trading volume growth during the past 12 months experience strong positive excess returns that do not reverse themselves over the next 5 years. This result holds true for both NYSE/AMEX and Nasdaq stocks. The third dissertation essay analyzes return consistency and determines if consistency is able to predict time-variation in expected returns. I analyze the degree to which return consistency in the past predicts future returns. It is discovered here that consistency is a strong predictor of future returns. In a portfolio context, positively consistent stocks exhibit higher future risk-adjusted returns than other securities in the cross-section, and negatively consistent stocks exhibit lower future risk-adjusted returns. It is also determined that high consistency enhances momentum when the two factors are allowed to interact. Thus, there appears to be strong path dependence in the momentum effect. Advisors/Committee Members: Karolyi, Andrew (Advisor).

Subjects/Keywords: Business Administration, Banking; trading volume returns predictability momentum consistency turnover markets stock stocks exchange investors sentiment; Investor sentiment; stock market; Trading volume

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APA (6^th Edition):

Watkins, B. D. (2002). Investor Sentiment, Trading Patterns and Return Predictability. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045

Chicago Manual of Style (16^th Edition):

Watkins, Boyce Dewhite. “Investor Sentiment, Trading Patterns and Return Predictability.” 2002. Doctoral Dissertation, The Ohio State University. Accessed December 06, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045.

MLA Handbook (7^th Edition):

Watkins, Boyce Dewhite. “Investor Sentiment, Trading Patterns and Return Predictability.” 2002. Web. 06 Dec 2019.

Vancouver:

Watkins BD. Investor Sentiment, Trading Patterns and Return Predictability. [Internet] [Doctoral dissertation]. The Ohio State University; 2002. [cited 2019 Dec 06]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045.

Council of Science Editors:

Watkins BD. Investor Sentiment, Trading Patterns and Return Predictability. [Doctoral Dissertation]. The Ohio State University; 2002. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045

University of Cincinnati

15. MA, GUOHUA. THREE ESSAYS ON TRADING VOLUME.

Degree: PhD, Business Administration : Finance, 2007, University of Cincinnati

URL: http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828

► Trading volume, a stochastic process that is closely related to returns, has received far less attention in modern finance. Because of the joint hypothesis problem… (more)

▼ Trading volume, a stochastic process that is closely related to returns, has received far less attention in modern finance. Because of the joint hypothesis problem of asset returns, trading volume can often provide unique evidence on financial studies. In Essay 1, I examine the cross-sectional and time series behavior of trading volume for an extended period from 1963 to 2004 on all stocks listed on NYSE/AMEX/NASDAQ exchanges. The cross-sectional analysis shows that trading volume is not linearly related to market capitalization and stock beta. Specially, an inverted U-shape relation represents the relation between stock turnover and market capitalization. Essay 2 provides some empirical evidence on the motivation of investor trades by conducting an event study on analyst recommendation date. I divide data into two event groups: the recommendation reversal group and the recommendation continuation group. I test heterogeneous-belief model by examining the event date share turnover of two event groups. My empirical tests contradict the major implications of Harris and Raviv (1993)’s heterogeneous belief model and are mostly consistent with Wang (1994)’s hypothesis that investors trade for liquidity and informational reasons. In Essay 3, I test market-wide disposition impact by examining the trading volume on historical high and historical low days during a period of 84, 168, 252, and 504 trading days respectively. I hypothesize that abnormal trading volume is the highest on historical high days, lower for normal trading days and lowest for historical low trading days if there is a market-wide disposition effect. My empirical evidence suggests the following: abnormal trading volume is much higher for historical high days, lower for historical low days and lowest for normal trading days. On average, abnormal trading volume on historical low days is about twice as much as that of normal trading days. The evidence supports the hypothesis that the market has strong propensity to realize gains, but the evidence contradicts the hypothesis that investors are unwilling to cut losses. Advisors/Committee Members: Wyatt, Dr. Steve (Advisor).

Subjects/Keywords: Business Administration, General; Trading Volume; Heterogeneous Beliefs; Disposition Effect; Informational Trading; Liquidity Trading

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APA (6^th Edition):

MA, G. (2007). THREE ESSAYS ON TRADING VOLUME. (Doctoral Dissertation). University of Cincinnati. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828

Chicago Manual of Style (16^th Edition):

MA, GUOHUA. “THREE ESSAYS ON TRADING VOLUME.” 2007. Doctoral Dissertation, University of Cincinnati. Accessed December 06, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828.

MLA Handbook (7^th Edition):

MA, GUOHUA. “THREE ESSAYS ON TRADING VOLUME.” 2007. Web. 06 Dec 2019.

Vancouver:

MA G. THREE ESSAYS ON TRADING VOLUME. [Internet] [Doctoral dissertation]. University of Cincinnati; 2007. [cited 2019 Dec 06]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828.

Council of Science Editors:

MA G. THREE ESSAYS ON TRADING VOLUME. [Doctoral Dissertation]. University of Cincinnati; 2007. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828

University of New South Wales

16. Goldberg , Louis Michael. Greed, fear and irrational exuberance - the deep play of financial and cultural speculation.

Degree: Art, 2012, University of New South Wales

URL: http://handle.unsw.edu.au/1959.4/52763 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11436/SOURCE01?view=true

► This thesis is based on a body of work completed between 2001 and 2009, comprisingperformance/installations that addressed the impacts of global financial speculation and themechanisms… (more)

▼ This thesis is based on a body of work completed between 2001 and 2009, comprisingperformance/installations that addressed the impacts of global financial speculation and themechanisms of a free-market economy. Arguably, financial speculation has either driven, orprofoundly influenced, political policy and social behaviour ‘from Wall Street to Main Street’;from the corporate boardrooms of developed nations to the informal markets of nations stillstruggling to come to terms with the demise of classical socialism in the postmodern world.Each 24-hour cycle of global financial markets, comprising millions of transactions, representsnot only objectively calculated risk management, but also a spectrum of speculators’emotions ranging between greed, fear, and ‘irrational exuberance’. Theperformance/installations included in this thesis address the motivations behind speculativemarket activity, as well as the interaction between the human and technological processesembedded in the markets. Art and cultural critic Brian Holmes posits this interaction as ‘deepplay’, or ‘the aestheticized exploration of the actions and gestures unfolding within a globalmicrostructure’. The microstructure referred to in this thesis is that of the global financialmarket, its foundations, development and impacts on contemporary society. My explorationwill unpack aspects of the history and current manifestations of the free-market economy, andwhile it is not the intention of this thesis to theorise economics, nor the phenomenon ofglobalization, certain premises will be addressed as relevant to the projects. In the process,shared borders between the financial market and art practice have inevitably become blurred.The methodological enquiry that underscores this thesis does not reject the free-marketeconomy, nor speculative financial activity. Instead, I have suggested that they might becritiqued by means of cultural intervention. I imply that by direct participation in capital flows,and through exposure to the fears and anxieties bred in the financial market’s domain, thecomplex elements that have produced, and continue to produce significant impacts onsociety, might be better understood. Advisors/Committee Members: Mcneill, David , Art History & Art Education, College of Fine Arts, UNSW.

Subjects/Keywords: Site specific installation; Contemporary art; Site specific performance; Financial markets and art; Democratisation of media; Democratisation of financial markets; Online trading and art; Computer simulation and online trading; Remote predictive viewing and art; Financial speculation and art; Remote predictive viewing and financial markets; Capital flows and art; Globalism and art; Neo-liberalism and art; Technical analysis and art; Irrational exuberance; Candlestick charting and art; Art intervention; Free-market economy and art; Complex systems and art; Virtual money market and art; Booms; Busts and art

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APA (6^th Edition):

Goldberg , L. M. (2012). Greed, fear and irrational exuberance - the deep play of financial and cultural speculation. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/52763 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11436/SOURCE01?view=true

Chicago Manual of Style (16^th Edition):

Goldberg , Louis Michael. “Greed, fear and irrational exuberance - the deep play of financial and cultural speculation.” 2012. Doctoral Dissertation, University of New South Wales. Accessed December 06, 2019. http://handle.unsw.edu.au/1959.4/52763 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11436/SOURCE01?view=true.

MLA Handbook (7^th Edition):

Goldberg , Louis Michael. “Greed, fear and irrational exuberance - the deep play of financial and cultural speculation.” 2012. Web. 06 Dec 2019.

Vancouver:

Goldberg LM. Greed, fear and irrational exuberance - the deep play of financial and cultural speculation. [Internet] [Doctoral dissertation]. University of New South Wales; 2012. [cited 2019 Dec 06]. Available from: http://handle.unsw.edu.au/1959.4/52763 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11436/SOURCE01?view=true.

Council of Science Editors:

Goldberg LM. Greed, fear and irrational exuberance - the deep play of financial and cultural speculation. [Doctoral Dissertation]. University of New South Wales; 2012. Available from: http://handle.unsw.edu.au/1959.4/52763 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11436/SOURCE01?view=true

Coventry University

17. Sun, P.-C. A core broking model for e-markets.

Degree: PhD, 2011, Coventry University

URL: http://curve.coventry.ac.uk/open/items/7e2581d6-c089-47ed-baff-dc819e7fdd13/1 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.628930

► Coalition problems in e-markets attract attention from the research communities and industry. This research focuses on e-trading models relating to online coalitions. A new Core… (more)

▼ Coalition problems in e-markets attract attention from the research communities and industry. This research focuses on e-trading models relating to online coalitions. A new Core Broking Model (CBM), for online group-trading is presented. This aims not only to bring lower prices for buyers but also to create higher profits for providers. The survey of current online shopping sites in this thesis shows that it is almost impossible to find a site designed specifically for group-trading, although there are plenty of joint-selling activities and also many online group-buying sites. The former increases competitive advantages and benefits providers. However it allows cartels to take control of price and to disadvantage customers. Recently, the latter have become very popular. The major problem of these models is that they lack the ability to deal with the stability issue in coalitions, which therefore fall apart easily. The core, a concept from economics, provides solutions to ensure a stable coalition (Gillies 1953), but its certain problems have hindered researchers from applying it to a real-world market. Building an online group-trading model is essential. Developing such a new model for e-markets can be a real challenge. Three factors, namely (a) incentive compatibility, (b) distributed computing, and (c) less computational complexity, all have to be considered at the same time. The new model is based on the core and adopts some other solution concepts to resolve group-trading problems in e-markets. It involves bundle selling of multiple goods from several providers, offering volume discounts to many different buyers in group-buying on e-marketplaces. The CBM successfully creates a win-win-win situation for customers, providers and brokers in e-markets. The comparison between the results of the new model and the core shows the CBM is superior to the core in terms of the three factors mentioned above. The results of the simulation presented in this thesis demonstrate that the CBM can attract customers and deal with online group-trading problems in a large coalition. An extensive evaluation of the techniques in the CBM has been made and shows that all of them produced the desired results in the CBM effectively and efficiently.

Subjects/Keywords: 658.8; e-trading models, e-markets, online coalitions, group trading, electronic trading; Electronic commerce

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APA (6^th Edition):

Sun, P. -. (2011). A core broking model for e-markets. (Doctoral Dissertation). Coventry University. Retrieved from http://curve.coventry.ac.uk/open/items/7e2581d6-c089-47ed-baff-dc819e7fdd13/1 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.628930

Chicago Manual of Style (16^th Edition):

Sun, P -C. “A core broking model for e-markets.” 2011. Doctoral Dissertation, Coventry University. Accessed December 06, 2019. http://curve.coventry.ac.uk/open/items/7e2581d6-c089-47ed-baff-dc819e7fdd13/1 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.628930.

MLA Handbook (7^th Edition):

Sun, P -C. “A core broking model for e-markets.” 2011. Web. 06 Dec 2019.

Vancouver:

Sun P-. A core broking model for e-markets. [Internet] [Doctoral dissertation]. Coventry University; 2011. [cited 2019 Dec 06]. Available from: http://curve.coventry.ac.uk/open/items/7e2581d6-c089-47ed-baff-dc819e7fdd13/1 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.628930.

Council of Science Editors:

Sun P-. A core broking model for e-markets. [Doctoral Dissertation]. Coventry University; 2011. Available from: http://curve.coventry.ac.uk/open/items/7e2581d6-c089-47ed-baff-dc819e7fdd13/1 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.628930

Queen Mary, University of London

18. Scherrer, Cristina Mabel. Essays on price discovery.

Degree: PhD, 2013, Queen Mary, University of London

URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198

► Financial asset prices reflect investor's perspectives over the current and future situation of a firm, an industry, a country and ultimately, the entire economy. For… (more)

▼ Financial asset prices reflect investor's perspectives over the current and future situation of a firm, an industry, a country and ultimately, the entire economy. For this reason, how financial asset prices are driven has been a fundamental economic question. Specific market characteristics such as the number of sellers and buyers, investors valuation perceptions, market availability of other assets and legal and technical properties are some of the features that affect asset prices. When the same asset is traded at different venues, these specific characteristics may vary, following a certain degree of heterogeneity across buyers and sellers. The direct consequence is that transaction prices of the same asset differ across markets. However, prices will also not drift apart, since arbitrage opportunities would arise, reducing or even eliminating the differences. Prices of similar securities linked to a single latent price, as derivative markets, for instance, present the same behaviour. Price differences among markets observed at high frequencies are an indication that venues incorporate new information in an unlike way. The structure and design of a market impacts its behaviour, liquidity, effciency, and hence how prices are discovered. The task of identifying the leading markets and understanding how the price dynamics occurs are the main objectives of the price discovery analysis. Chapter 1 introduces the research subject of price discovery, motivating the importance of what this thesis proposes and the results and conclusions obtained. Chapter 2 explains in details the main methodologies used to measure price discovery and the important results in the empirical literature. Chapter 3 motivates the data set this thesis uses, with institutional background details and specific market and firm characteristics. We also present in details the steps we follow to deal with standard issues of high frequency data, such as outliers and errors on a tick-by-tick database and non synchronicity of prices at different markets. Chapter 4 extends the standard price discovery model to estimate the information share (IS) accounting for the information content of both common and preferred non US stocks, their American Depositary Receipts (ADRs) counterparts traded on the New York Stock Exchange and ARCA, and the exchange rate. We gauge the significance of price discovery in the home and foreign markets, through common or preferred stocks. One of the main critiques on the IS methodology is that it does not deliver a single measure when there is contemporaneous correlation among markets. We propose an ordering invariant methodology that delivers a single measure of IS.We find that the foreign market is more important than the home market for the price discovery of Petrobras, the Brazilian stated-owned oil giant, and Vale, one of the largest mining companies in the world. Additionally, the Brazilian market has lost significant importance after the 2008/2009 financial crisis. During this period, common and preferred stocks shared a single…

Subjects/Keywords: 658.8; Economics; Finance; Stock markets; Financial markets

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APA (6^th Edition):

Scherrer, C. M. (2013). Essays on price discovery. (Doctoral Dissertation). Queen Mary, University of London. Retrieved from http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198

Chicago Manual of Style (16^th Edition):

Scherrer, Cristina Mabel. “Essays on price discovery.” 2013. Doctoral Dissertation, Queen Mary, University of London. Accessed December 06, 2019. http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198.

MLA Handbook (7^th Edition):

Scherrer, Cristina Mabel. “Essays on price discovery.” 2013. Web. 06 Dec 2019.

Vancouver:

Scherrer CM. Essays on price discovery. [Internet] [Doctoral dissertation]. Queen Mary, University of London; 2013. [cited 2019 Dec 06]. Available from: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198.

Council of Science Editors:

Scherrer CM. Essays on price discovery. [Doctoral Dissertation]. Queen Mary, University of London; 2013. Available from: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198

The Ohio State University

19. Rossi, Andrea. Three Essays on the Behavior of Financial Market Participants.

Degree: PhD, Business Administration, 2018, The Ohio State University

URL: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895

► In this dissertation, I explore different aspects of the behavior of financial markets participants, specifically, private equity fund managers, hedge fund investors, and corporate insiders.… (more)

▼ In this dissertation, I explore different aspects of the behavior of financial markets participants, specifically, private equity fund managers, hedge fund investors, and corporate insiders. In the first chapter, I try to understand why in private equity fund data there exists an economically large negative association between fund growth and performance at the partnership level. This empirical relation is usually interpreted as evidence of decreasing returns to scale. I argue that this inference is unwarranted. In essence, Bayesian-informed expectations reveal that the partnerships whose funds have grown the most were on average lucky in the past; as that luck reverts to zero, a spurious negative association between growth and returns is generated in the data. Controlling for this bias, the effect of growth on performance is about 80% smaller and statistically insignificant for both buyout and venture capital funds. Furthermore, I show that, historically, decreasing returns do not seem to have played a major role in the erosion of performance persistence in private equity. These results have implications for fund managers’ and investors’ decisions, and for our understanding of the private equity industry.In the second chapter, I focus on an important, yet overlooked, implication of the compensation structure of hedge funds. Hedge fund managers are usually compensated with an incentive fee equal to 20% of profits, often defined as returns in excess of a high-water mark. This compensation scheme is asymmetric: hedge funds don’t pay their investors when performance deteriorates, nor they return fees already earned. This means that, ex-post, incentive fees paid on a portfolio of hedge fund investments can amount to more than 20% of profits. I show that, historically, the effective percentage of aggregate profits paid as incentive fees has been more than twice as large as the nominal percentage. As a result, over the last two decades, investors have paid fees for one third of a trillion dollars more than they would have if incentive fees had been symmetric. These results are attributable to two main factors, i.e., ill-advised investment timing by investors and poor fund performance.In the third chapter, coauthored with Itzhak Ben-David and Justin Birru, we study whether industry familiarity is an advantage in stock trading by exploring the trading patterns of industry insiders in their own personal portfolios. To do so, we identify accounts of industry insiders in a large data set provided by a retail discount broker. We find that insiders trade firms from their own industry more frequently. Furthermore, they earn abnormal returns exclusively when trading own-industry stocks, especially obscure stocks (small, low analyst coverage, high volatility). In a battery of tests, we find no evidence of the use of private information. The results are most consistent with the interpretation that industry familiarity is an advantage in stock trading. Advisors/Committee Members: Weisbach, Michael (Committee Chair).

Subjects/Keywords: Finance; Financial Markets, Private Equity

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APA (6^th Edition):

Rossi, A. (2018). Three Essays on the Behavior of Financial Market Participants. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895

Chicago Manual of Style (16^th Edition):

Rossi, Andrea. “Three Essays on the Behavior of Financial Market Participants.” 2018. Doctoral Dissertation, The Ohio State University. Accessed December 06, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895.

MLA Handbook (7^th Edition):

Rossi, Andrea. “Three Essays on the Behavior of Financial Market Participants.” 2018. Web. 06 Dec 2019.

Vancouver:

Rossi A. Three Essays on the Behavior of Financial Market Participants. [Internet] [Doctoral dissertation]. The Ohio State University; 2018. [cited 2019 Dec 06]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895.

Council of Science Editors:

Rossi A. Three Essays on the Behavior of Financial Market Participants. [Doctoral Dissertation]. The Ohio State University; 2018. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895

Boston University

20. Mok, Junghwan. Essays on financial markets and macroeconomic activities.

Degree: PhD, Economics, 2014, Boston University

URL: http://hdl.handle.net/2144/15286

► This thesis consists of three papers addressing different aspects of financial markets and macroeconomic activities. Firm Risks, Credit, and Labor Market Fluctuations studies the effect… (more)

Subjects/Keywords: Economics; Macroeconomics; Financial markets

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APA (6^th Edition):

Mok, J. (2014). Essays on financial markets and macroeconomic activities. (Doctoral Dissertation). Boston University. Retrieved from http://hdl.handle.net/2144/15286

Chicago Manual of Style (16^th Edition):

Mok, Junghwan. “Essays on financial markets and macroeconomic activities.” 2014. Doctoral Dissertation, Boston University. Accessed December 06, 2019. http://hdl.handle.net/2144/15286.

MLA Handbook (7^th Edition):

Mok, Junghwan. “Essays on financial markets and macroeconomic activities.” 2014. Web. 06 Dec 2019.

Vancouver:

Mok J. Essays on financial markets and macroeconomic activities. [Internet] [Doctoral dissertation]. Boston University; 2014. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/2144/15286.

Council of Science Editors:

Mok J. Essays on financial markets and macroeconomic activities. [Doctoral Dissertation]. Boston University; 2014. Available from: http://hdl.handle.net/2144/15286

21. Driss, Hamdi. Three Essays on Information Intermediaries in Financial Markets.

Degree: PhD, Administration, 2015, York University

URL: http://hdl.handle.net/10315/28222

► This dissertation examines novel issues related to information intermediaries in financial markets and consists of three essays on the following three distinct topics: (1) the… (more)

Subjects/Keywords: Finance; Financial markets; Information; Intermediary

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APA (6^th Edition):

Driss, H. (2015). Three Essays on Information Intermediaries in Financial Markets. (Doctoral Dissertation). York University. Retrieved from http://hdl.handle.net/10315/28222

Chicago Manual of Style (16^th Edition):

Driss, Hamdi. “Three Essays on Information Intermediaries in Financial Markets.” 2015. Doctoral Dissertation, York University. Accessed December 06, 2019. http://hdl.handle.net/10315/28222.

MLA Handbook (7^th Edition):

Driss, Hamdi. “Three Essays on Information Intermediaries in Financial Markets.” 2015. Web. 06 Dec 2019.

Vancouver:

Driss H. Three Essays on Information Intermediaries in Financial Markets. [Internet] [Doctoral dissertation]. York University; 2015. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/10315/28222.

Council of Science Editors:

Driss H. Three Essays on Information Intermediaries in Financial Markets. [Doctoral Dissertation]. York University; 2015. Available from: http://hdl.handle.net/10315/28222

Kent State University

22. Goodell, John W. Three Essays on the Cross-National Impact of Trust and Social Factors on Culture of Equity.

Degree: PhD, College of Business Administration / Department of Finance, 2008, Kent State University

URL: http://rave.ohiolink.edu/etdc/view?acc_num=kent1210195277

► Nations have broadly varying cultures of equity financing. This dissertation examines both cross-national differences in the price of equity risk and cross-national differences in… (more)

▼ Nations have broadly varying cultures of equity financing. This dissertation examines both cross-national differences in the price of equity risk and cross-national differences in preference for equity financing, with a view toward how social factors such as trust, in the sense of actual and perceived contract reliability, affects nations’ cultures of equity. As a planning measure for long-term investments, the equity premium is an important estimate. Nevertheless, there is little agreement on the empirical estimates of the equity premium in various countries or on the methods most appropriate for estimating the equity premium. Using improved and consistent methodologies, for the first time this dissertation provides equity premium estimates using two different estimation procedures for wide sample of countries covering a recent eight-year period. While Residual Income Growth (RIV) and Abnormal Earnings Growth (AEG) estimates follow similar trends though time, it is found that AEG estimates are consistently lower and less variable. Next, unlike prior studies, this dissertation assesses national characteristics as determinants of cross-border differences in equity premia. It is found that country equity premia narrow with greater concentration of equity ownership and greater economic inequality. Country equity premia widen with more uncertainty avoidance as well as more stock and bond market development, and better legal protection and regulatory quality. Results point to non-pecuniary benefits to holding equity or to controlling ownerships having preferential access to capital. Further, there is little research on the degree to which nations’ reliance on markets versus institutions is determined by cultural, legal, and other national characteristics. This dissertation documents that national preference for market financing is associated with increased private monitoring of banks, market openness, and market concentration. Less national preference for market financing is associated with measures reflecting greater anti-self dealing laws, more ambiguity aversion and greater official supervision of banking. Overall, this dissertation makes important new contributions to a better understanding of the nature and role of equity financing in wide range of countries. Given the importance of returns on long range corporate equity investments and corporate equity as a source of investments, these contributions should be of much interest to scholars, managers, and policymakers. Advisors/Committee Members: Aggarwal, Raj (Committee Co-Chair), Thornton, John (Committee Co-Chair).

Subjects/Keywords: Finance; equity premium; financial markets; financial institutions

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APA (6^th Edition):

Goodell, J. W. (2008). Three Essays on the Cross-National Impact of Trust and Social Factors on Culture of Equity. (Doctoral Dissertation). Kent State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=kent1210195277

Chicago Manual of Style (16^th Edition):

Goodell, John W. “Three Essays on the Cross-National Impact of Trust and Social Factors on Culture of Equity.” 2008. Doctoral Dissertation, Kent State University. Accessed December 06, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=kent1210195277.

MLA Handbook (7^th Edition):

Goodell, John W. “Three Essays on the Cross-National Impact of Trust and Social Factors on Culture of Equity.” 2008. Web. 06 Dec 2019.

Vancouver:

Goodell JW. Three Essays on the Cross-National Impact of Trust and Social Factors on Culture of Equity. [Internet] [Doctoral dissertation]. Kent State University; 2008. [cited 2019 Dec 06]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=kent1210195277.

Council of Science Editors:

Goodell JW. Three Essays on the Cross-National Impact of Trust and Social Factors on Culture of Equity. [Doctoral Dissertation]. Kent State University; 2008. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=kent1210195277

Rice University

23. Gualtieri, James N. Essays Investigating Extreme Events in Financial Markets.

Degree: PhD, Social Sciences, 2015, Rice University

URL: http://hdl.handle.net/1911/87829

► This thesis, through three empirical applications, provides an analysis of extreme events in financial markets. Robust growth in financial markets has greatly increased the ability… (more)

▼ This thesis, through three empirical applications, provides an analysis of extreme events in financial markets. Robust growth in financial markets has greatly increased the ability of economic agents to share risk according to their preferences or tastes. Despite this, many markets have demonstrated extreme instability at times. These events have the potential to shake the confidence of investors and this fear can lead to inefficient outcomes with respect to risk sharing and resource allocation. By investigating the dynamics of securities during extreme events one can gain intuition as to their root causes and a better understanding of the inherent risk. The first chapter analyzes how international equity markets interact during extreme events. Using a novel set of high-frequency data on exchange traded funds (ETFs), designed to track international equity markets, I examine the dynamics of intra-day returns between 11 countries. Using non-parametric tests designed to identify jumps in the price process I examine the dynamics across markets during jumps, as well as continuous movements. Contrary to other literature that uses coarser data, I find a high-degree of commonality in the jump components. Specifically, there are many instances when different markets co-jump and returns are significantly more correlated on jump days. I also find substantial evidence of self and cross excitation across markets and that international markets respond to US macroeconomic news announcements. These findings suggest that international financial markets are heavily intertwined and that shocks propagate across markets. This information is valuable from a modeling perspective as it provides evidence of channels through which economies are linked that must be accounted for. Further, it provides valuable information to investors into the benefits and risks associated with international diversification that allows them to take a more proactive, rather than a reactionary, approach to risk management. The second chapter, based on Gualtieri and Sizova (2015), investigates the joint dynamics of portfolios considered to represent priced risk in asset markets. Specifically, it considers the joint modeling of the market return, and two zero net cost portfolios that are used as proxies for systematic risk factors: Value and Momentum. As in the case of chapter 1, we allow for a separation between continuous and jump dynamics. We find a number of interesting relationships between factor dynamics that have implications for risk-based explanations of factor risk premia as well as factor investing. Specifically, we find that although volatilities are highly correlated, the orthogonal (to the Market volatility) component of Momentum volatility contains information about the Market's dynamics. With respect to extreme events, we find that volatility co-jumps are present in both-return pairs (Market-Momentum and Market-Value). We find that Value does not jump independent of the Market, whereas Momentum does. We also find that a number of the Momentum… Advisors/Committee Members: Sickles, Robin C. (advisor), Sizova, Natalia M (committee member), Weston, James P (committee member).

Subjects/Keywords: Financial Econometrics; Financial Markets; Tail events

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APA (6^th Edition):

Gualtieri, J. N. (2015). Essays Investigating Extreme Events in Financial Markets. (Doctoral Dissertation). Rice University. Retrieved from http://hdl.handle.net/1911/87829

Chicago Manual of Style (16^th Edition):

Gualtieri, James N. “Essays Investigating Extreme Events in Financial Markets.” 2015. Doctoral Dissertation, Rice University. Accessed December 06, 2019. http://hdl.handle.net/1911/87829.

MLA Handbook (7^th Edition):

Gualtieri, James N. “Essays Investigating Extreme Events in Financial Markets.” 2015. Web. 06 Dec 2019.

Vancouver:

Gualtieri JN. Essays Investigating Extreme Events in Financial Markets. [Internet] [Doctoral dissertation]. Rice University; 2015. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/1911/87829.

Council of Science Editors:

Gualtieri JN. Essays Investigating Extreme Events in Financial Markets. [Doctoral Dissertation]. Rice University; 2015. Available from: http://hdl.handle.net/1911/87829

Penn State University

24. Thevenot, Maya Alexandrova. An Empirical Analysis of Insider Trading in Firms with Violation of the Generally Accepted Accounting Principles.

Degree: PhD, Business Administration, 2008, Penn State University

URL: https://etda.libraries.psu.edu/catalog/8490

► The increase in financial statement restatements in recent years has spurred attention from market participants, academics, and regulators. This thesis is motivated by this interest… (more)

Subjects/Keywords: insider trading; restatements; fraud; litigation; financial reporting

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APA (6^th Edition):

Thevenot, M. A. (2008). An Empirical Analysis of Insider Trading in Firms with Violation of the Generally Accepted Accounting Principles. (Doctoral Dissertation). Penn State University. Retrieved from https://etda.libraries.psu.edu/catalog/8490

Chicago Manual of Style (16^th Edition):

Thevenot, Maya Alexandrova. “An Empirical Analysis of Insider Trading in Firms with Violation of the Generally Accepted Accounting Principles.” 2008. Doctoral Dissertation, Penn State University. Accessed December 06, 2019. https://etda.libraries.psu.edu/catalog/8490.

MLA Handbook (7^th Edition):

Thevenot, Maya Alexandrova. “An Empirical Analysis of Insider Trading in Firms with Violation of the Generally Accepted Accounting Principles.” 2008. Web. 06 Dec 2019.

Vancouver:

Thevenot MA. An Empirical Analysis of Insider Trading in Firms with Violation of the Generally Accepted Accounting Principles. [Internet] [Doctoral dissertation]. Penn State University; 2008. [cited 2019 Dec 06]. Available from: https://etda.libraries.psu.edu/catalog/8490.

Council of Science Editors:

Thevenot MA. An Empirical Analysis of Insider Trading in Firms with Violation of the Generally Accepted Accounting Principles. [Doctoral Dissertation]. Penn State University; 2008. Available from: https://etda.libraries.psu.edu/catalog/8490

Louisiana State University

25. Rauterkus, Stephanie Yates. The interrelations between investor beliefs, information and market liquidity.

Degree: PhD, Finance and Financial Management, 2004, Louisiana State University

URL: etd-11022004-113244 ; https://digitalcommons.lsu.edu/gradschool_dissertations/3874

► I use two datasets to test the relation between trading volume, the heterogeneity of beliefs and the heterogeneity of belief revisions. The first dataset allows… (more)

Subjects/Keywords: trading volume; liquidity; information

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APA (6^th Edition):

Rauterkus, S. Y. (2004). The interrelations between investor beliefs, information and market liquidity. (Doctoral Dissertation). Louisiana State University. Retrieved from etd-11022004-113244 ; https://digitalcommons.lsu.edu/gradschool_dissertations/3874

Chicago Manual of Style (16^th Edition):

Rauterkus, Stephanie Yates. “The interrelations between investor beliefs, information and market liquidity.” 2004. Doctoral Dissertation, Louisiana State University. Accessed December 06, 2019. etd-11022004-113244 ; https://digitalcommons.lsu.edu/gradschool_dissertations/3874.

MLA Handbook (7^th Edition):

Rauterkus, Stephanie Yates. “The interrelations between investor beliefs, information and market liquidity.” 2004. Web. 06 Dec 2019.

Vancouver:

Rauterkus SY. The interrelations between investor beliefs, information and market liquidity. [Internet] [Doctoral dissertation]. Louisiana State University; 2004. [cited 2019 Dec 06]. Available from: etd-11022004-113244 ; https://digitalcommons.lsu.edu/gradschool_dissertations/3874.

Council of Science Editors:

Rauterkus SY. The interrelations between investor beliefs, information and market liquidity. [Doctoral Dissertation]. Louisiana State University; 2004. Available from: etd-11022004-113244 ; https://digitalcommons.lsu.edu/gradschool_dissertations/3874

University of Illinois – Urbana-Champaign

26. Wang, Xiaoyang. Price volatility and liquidity cost in grain futures markets.

Degree: PhD, 5273, 2014, University of Illinois – Urbana-Champaign

URL: http://hdl.handle.net/2142/50729

► Significant changes have taken place in grain futures markets. This dissertation consists of three essays investigating issues in the price volatility and liquidity cost in… (more)

▼ Significant changes have taken place in grain futures markets. This dissertation consists of three essays investigating issues in the price volatility and liquidity cost in grain futures markets influenced by these changes. The first essay examines the sources of long memory in three major grain futures contracts, and assesses its usefulness to forecast price volatility in periods of moderate and heightened uncertainty. Using data from corn, soybeans and wheat futures contracts in 1989-2011, statistical tests and estimation results indicate that much of the long memory patterns arise from seasonality and structural breaks. After accounting for these factors, a less pronounced but still significant long memory effect exists in corn and wheat, but it disappears in soybeans. Directly modeling structural breaks through a semi-parametric method generally fails to improve forecast accuracy due to likely estimation errors that can arise in over-parameterized models. During recent heightened structural breaks, a simple long memory model provides the best forecasts especially at distant horizons, but the forecast performance of all models in this period is poor. Our findings suggest that though long memory models can be used as a parsimonious specification for structural breaks in forecasting, the reduction in forecast errors is limited. While long memory forecasts have slightly fewer rejections of unbiasness, their improvement relative to short memory forecasts is marginal. Modeling seasonality is important for better forecasting performance in these markets. The second essay is the first paper to analyze liquidity costs in agricultural futures markets based on the observed bid-ask spread (BAS) faced by market participants. Using the order book for electronically-traded corn futures contracts, this study reveals a highly liquid corn market, which with few exceptions offers order execution at minimum cost. BAS responds negatively to volume and positively to price volatility, but also affects volume traded and price volatility. While statistically significant, these responses on a cents/bushel or a percentage basis are generally small. Liquidity costs are also virtually impervious to short-term changes in demand for spreading and trend-following trader activity, as well as differences from day-of-the-week changes in market activity. Much larger cents/bushel and percentage changes in BAS occur during commodity index roll periods and on USDA report release days. The roll period findings point to a sunshine trading effect, while announcement effects identify the importance of unexpected information and adverse selection on order execution costs. Overall, the research demonstrates that the move to an electronic corn market has led to low and stable liquidity costs even in a recent period of market turbulence. The third essay pioneers research on the high frequency quoting noise in electronically traded agricultural futures markets. High frequency quoting – quickly canceling posted limit orders and replacing them with new ones –… Advisors/Committee Members: Garcia, Philip (advisor), Garcia, Philip (Committee Chair), Irwin, Scott H. (committee member), Mallory, Mindy L. (committee member), Peterson, Paul E. (committee member), Sanders, Dwight (committee member).

Subjects/Keywords: Grain Futures Markets; Volatility; Liquidity Cost; High Frequency Trading

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Wang, X. (2014). Price volatility and liquidity cost in grain futures markets. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/50729

Chicago Manual of Style (16^th Edition):

Wang, Xiaoyang. “Price volatility and liquidity cost in grain futures markets.” 2014. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed December 06, 2019. http://hdl.handle.net/2142/50729.

MLA Handbook (7^th Edition):

Wang, Xiaoyang. “Price volatility and liquidity cost in grain futures markets.” 2014. Web. 06 Dec 2019.

Vancouver:

Wang X. Price volatility and liquidity cost in grain futures markets. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2014. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/2142/50729.

Council of Science Editors:

Wang X. Price volatility and liquidity cost in grain futures markets. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2014. Available from: http://hdl.handle.net/2142/50729

Rice University

27. Liu, Ruomeng. Essays on Asset Pricing.

Degree: PhD, Business, 2018, Rice University

URL: http://hdl.handle.net/1911/105838

► This dissertation studies asset pricing from three perspectives. The first chapter takes the view of a long-run buy-and-hold investor, and offers an an explanation to… (more)

▼ This dissertation studies asset pricing from three perspectives. The first chapter takes the view of a long-run buy-and-hold investor, and offers an an explanation to prominent cross-sectional return anomalies. A commonality shared by these anomalies is that their returns are negatively correlated with the market. I show that this negative covariance implicitly embeds the mispricing of the CAPM beta – the first and one of the most robust asset pricing puzzles – in these cross-sectional anomalies. Taking into account the exposure to the beta mispricing either attenuates or eliminates the economic and statistical significance of risk-adjusted returns to a large set of asset pricing puzzles. Given the presence of well-documented cross-sectional return anomalies, the second chapter examines whether and how institutional investors trade to profit, and thereby to mitigate these anomalies. Consistent with the literature, I find that institutions in aggregate do not trade to take advantage of most of these cross-sectional return predictabilities. However, I present evidence that institutions in fact correctly trade to capture the beta risk-premium when and only when it is present in the market. Findings support the view that institutions are the more rational set of investors that seem to capture and correct mispricing caused by opportunistic noise trading. The third chapter takes a closer look at one particular type of asset markets – the over-the-counter (OTC) markets, and analyzes how trade disclosure impacts market participants' optimal game-strategic behaviors. My co-authors and I show that mandatory trade disclosure makes a market intermediary engage in costly signaling, which reduces transaction prices for investors and equivalently rent per transaction for the intermediary. Investors as a result benefit, and are more likely to trade. The intermediary, however, could benefit too if the increase in trading volume is sufficient to offset the reduction in rent per transaction. Advisors/Committee Members: Back, Kerry E. (advisor), Xing, Yuhang (committee member), Butler, Alexander W. (committee member), Loch-Temzelides, Ted P. (committee member).

Subjects/Keywords: Asset pricing; cross-sectional returns; institutional trading; OTC markets

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APA (6^th Edition):

Liu, R. (2018). Essays on Asset Pricing. (Doctoral Dissertation). Rice University. Retrieved from http://hdl.handle.net/1911/105838

Chicago Manual of Style (16^th Edition):

Liu, Ruomeng. “Essays on Asset Pricing.” 2018. Doctoral Dissertation, Rice University. Accessed December 06, 2019. http://hdl.handle.net/1911/105838.

MLA Handbook (7^th Edition):

Liu, Ruomeng. “Essays on Asset Pricing.” 2018. Web. 06 Dec 2019.

Vancouver:

Liu R. Essays on Asset Pricing. [Internet] [Doctoral dissertation]. Rice University; 2018. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/1911/105838.

Council of Science Editors:

Liu R. Essays on Asset Pricing. [Doctoral Dissertation]. Rice University; 2018. Available from: http://hdl.handle.net/1911/105838

Brunel University

28. Mashoka, Tareq Zaki. Earnings management and loss reversal.

Degree: 2010, Brunel University

URL: http://bura.brunel.ac.uk/handle/2438/4619 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.520997

► This research aims to detect and measure earnings management using a newly modified version of the standard Jones model (Jones, 1991). The standard model is… (more)

▼ This research aims to detect and measure earnings management using a newly modified version of the standard Jones model (Jones, 1991). The standard model is extended to include a measure of discretionary accruals as an additional regressor instead of using the residuals. The variable used to measure discretionary accruals is a composite variable that consists of two components, one that represents the incentive and the other represents the tool of manipulation. The model is applied to detect earnings management in loss reversal companies for listed companies in Jordan and examine the market reaction to the loss reversal. The model is also applied on loss reversal companies for listed companies in the UK and the US. In chapter three, the new model is applied on listed companies in Amman Stock Exchange (ASE). The ASE is structured into two markets: the first market and the second market. Companies are motivated to be listed or remain listed in the first market since it only lists profitable companies. Companies reporting losses more frequently are listed in the second market. Results provide evidence of earnings management for companies listed in the first market. Companies that report a loss in a previous period manipulate in the following period to report profits. As a result of loss reversal, they preserve their place in the first market and avoid dropping back to the second market. This research conducts statistical simulation tests to compare the extended Jones model with the standard model. Results show that the extended model detects earnings management better than the standard one. This new model also separates discretionary accruals from measurement error (i.e. residuals) and makes it possible to accurately measure the whole amount of manipulation. Chapter four examines the investor reaction to the manipulation taking place in the first market. Results show that the market is pricing the discretionary accruals (the manipulation) as a component of net income, although they result only from earnings management. In chapter five, the model is applied on loss reversal firms listed in the UK and in the US. Results show that the companies manipulate to reverse losses and the manipulation depends on to the presence of R&D activities and the changing level in these activities.

Subjects/Keywords: 332; Financial accounting; Accruals manipulation; Pricing accruals; Financial reporting; Financial markets

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Mashoka, T. Z. (2010). Earnings management and loss reversal. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/4619 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.520997

Chicago Manual of Style (16^th Edition):

Mashoka, Tareq Zaki. “Earnings management and loss reversal.” 2010. Doctoral Dissertation, Brunel University. Accessed December 06, 2019. http://bura.brunel.ac.uk/handle/2438/4619 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.520997.

MLA Handbook (7^th Edition):

Mashoka, Tareq Zaki. “Earnings management and loss reversal.” 2010. Web. 06 Dec 2019.

Vancouver:

Mashoka TZ. Earnings management and loss reversal. [Internet] [Doctoral dissertation]. Brunel University; 2010. [cited 2019 Dec 06]. Available from: http://bura.brunel.ac.uk/handle/2438/4619 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.520997.

Council of Science Editors:

Mashoka TZ. Earnings management and loss reversal. [Doctoral Dissertation]. Brunel University; 2010. Available from: http://bura.brunel.ac.uk/handle/2438/4619 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.520997

University of Florida

29. Aktas, Elvan. Essays in financial economics.

Degree: PhD, Finance, Insurance and Real Estate, 2004, University of Florida

URL: http://ufdc.ufl.edu/AA00037135

Subjects/Keywords: Arithmetic mean; Auctions; Call options; Financial securities; Macroeconomics; Put options; Repurchase agreement; Securities markets; Securities trading; Yield curves

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Aktas, E. (2004). Essays in financial economics. (Doctoral Dissertation). University of Florida. Retrieved from http://ufdc.ufl.edu/AA00037135

Chicago Manual of Style (16^th Edition):

Aktas, Elvan. “Essays in financial economics.” 2004. Doctoral Dissertation, University of Florida. Accessed December 06, 2019. http://ufdc.ufl.edu/AA00037135.

MLA Handbook (7^th Edition):

Aktas, Elvan. “Essays in financial economics.” 2004. Web. 06 Dec 2019.

Vancouver:

Aktas E. Essays in financial economics. [Internet] [Doctoral dissertation]. University of Florida; 2004. [cited 2019 Dec 06]. Available from: http://ufdc.ufl.edu/AA00037135.

Council of Science Editors:

Aktas E. Essays in financial economics. [Doctoral Dissertation]. University of Florida; 2004. Available from: http://ufdc.ufl.edu/AA00037135

University of Minnesota

30. Chu, Yinxiao. Information Acquisition and Revelation in the Financial Markets.

Degree: PhD, Economics, 2018, University of Minnesota

URL: http://hdl.handle.net/11299/200215

► Information plays an important role in financial markets. In this dissertation, first, we consider how traders choose different information. Second, we ask when traders acquire… (more)

▼ Information plays an important role in financial markets. In this dissertation, first, we consider how traders choose different information. Second, we ask when traders acquire information under competition. Finally, we analyze how ambiguous information affects traders' incentives to trade and reveal their private information. There is information not only about the payoff but also concerning the supply and demand of an asset. In Chapter 1, we study how traders choose to process different information while asset prices are conveying some information. We show that traders decide to process different types of information depends on their initial belief and the informativeness of asset prices. In particular, when the return to each type of information is increasing, traders choose to learn only one type of information. Those who have more precise initial belief about the asset payoff (supply) choose to learn more about the asset payoff (supply). In Chapter 2, we study when traders decide to acquire information under competition. Traders consider two effects of competition in information acquisition: one is that an informed trader's profitability is affected by the presence of another informed trader, the other is the spillover of the information from the informed trader to the uninformed. We show that, when the former effect dominates, then traders tend to acquire information earlier. If the otherwise, then traders tend to delay their information acquisition. In Chapter 3, we study traders' behavior when information is ambiguous, which gives rise to multiple probability models to describe uncertainty. We demonstrate that ambiguity will reduce traders' incentive to trade and reveal their private information. When there is a moderate level of ambiguity, informed traders start to trade randomly, whereas they trade for sure when there is no or a little uncertainty. When ambiguity is sufficiently large, informed traders choose not to trade any more, and no additional information will be revealed in the market.

Subjects/Keywords: Ambiguity; Asymmetric Information; Attention; Financial Markets; Timing

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Chu, Y. (2018). Information Acquisition and Revelation in the Financial Markets. (Doctoral Dissertation). University of Minnesota. Retrieved from http://hdl.handle.net/11299/200215

Chicago Manual of Style (16^th Edition):

Chu, Yinxiao. “Information Acquisition and Revelation in the Financial Markets.” 2018. Doctoral Dissertation, University of Minnesota. Accessed December 06, 2019. http://hdl.handle.net/11299/200215.

MLA Handbook (7^th Edition):

Chu, Yinxiao. “Information Acquisition and Revelation in the Financial Markets.” 2018. Web. 06 Dec 2019.

Vancouver:

Chu Y. Information Acquisition and Revelation in the Financial Markets. [Internet] [Doctoral dissertation]. University of Minnesota; 2018. [cited 2019 Dec 06]. Available from: http://hdl.handle.net/11299/200215.

Council of Science Editors:

Chu Y. Information Acquisition and Revelation in the Financial Markets. [Doctoral Dissertation]. University of Minnesota; 2018. Available from: http://hdl.handle.net/11299/200215

Open Access Theses and Dissertations