Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 60 for “"Mispricing"”.
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Examination of IPO mispricing in four markets
… actually being overpriced. In the US, the mean mispricing is 34.90%, and the median is 2.40%, with 35.50% of IPOs being overpriced. In Australia, the mean mispricing is 25.51%, the median is 10%, and 37.70% of IPOs are overpriced. In China, the mean mispricing is 112.10%, the median is 71.40%, …
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Mispricing and the Demand for Fundamental Information
… due to forced mutual fund sales, I find that mispricing triggers an increase in the consumption of accounting information, especially among institutional investors. This increase in information consumption subsequently predicts both the speed and extent to which prices return to their …
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Three essays on mispricing and market efficiency
… that the outperformance of EW indexes comes from mispricing, we find that this outperformance concentrates in stocks with greater mispricing, as measured by deviation of stock prices from random walk. Findings in this essay not only imply a potentially winning investment strategy, but also provide …
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Mispricing income growth : exploring inefficiencies in commercial real estate pricing
This paper is an investigation into the relationship between real estate capitalization rates and income growth. The paper includes a cross-sectional analysis of approximately 25 markets in the United States. The paper analyzes apartment and office markets separately, for two different periods of …
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Which version of the equity market timing affects capital structure, perceived mispricing or adverse selection?
… the two versions of market timing: perceived mispricing and adverse selection. The main purpose of this dissertation is to empirically identify the relative importance of these two explanations. First, I retest Baker and Wurgler's theory by using insider trading as an alternative to …
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An Investigation Of The R&D Anomaly In The U.S. And Europe: Implications For Mispricing Theory
Belonging in the city of Cape Town is a contested and ambivalent terrain. The past spatial injustices of colonial and apartheid rule have left deep scars and practices embedded in the city. Much has been researched and written about the role of women in land and housing struggles in the Cape. …
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Behavioral explanation for mispricing of IPO's discretionary current accruals and impact of firm's information environment of information asymmetry
… these findings are difficult to reconcile with mispricing as an outcome of investor behavioral biases correlated across individuals. Chapter Two examines how financial statement informativeness, analyst following, and company news relate to the information asymmetry between insiders and …
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Investor preferences in the securities options market
Systematic mispricing by the state-of-the-art option pricing models is a paradox in financial economics as both the magnitude and direction of the mispricing is debated. The models have been found to overprice out-of-the-money and deep-in-the-money call options while underpricing in-the-money and …
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The price differential between identical assets trading in different markets : a case study of Mondi Holdings
… the possible explanatory factors behind the mispricing in dual traded assets, using Mondi Holdings (the PLC listed on the London Stock Exchange and the LTD listed on the Johannesburg Stock Exchange) as a case study. The study documents the existence of substantial mispricing between the Mondi …
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Essays in Financial Econometrics
… panel data models, as well as one paper on ETF mispricing and authorized participants' inventory. In the first 2 papers, I proposed two new methods and applied them to the applications including macroeconomic forecast reconciliation, Covid policy analysis, and portfolio choices. In the last …
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On the waterfront : a 25 year study of the relative risk & return of Florida single-family waterfront and inland homes (1977-2002)
… to determine the potential existence of a "mispricing" in the home market. Using single-family home transaction data from four coastal Florida counties, this thesis uses a repeat-sales regression technique to estimate annual home price changes and to construct home price indices for the …
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Essays on Asset Pricing
… 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 …
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Three Essays in Financial Econometrics
… to factor models significantly reduces mispricing and estimation errors. We also show that our news-implied linkages provide a comprehensive and integrated proxy for firm-to-firm connectivity, and it out-performs other existing networks in the literature. Dynamic Peer Groups of Arbitrage …
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Semiparametric Characteristics-based Models of Asset Returns
… analyses whether characteristics are relevant as mispricing components and factor loadings in an asset pricing factor model. Finally, this thesis develops an optimal portfolio selection method based on the constructed characteristics-based asset pricing model. Methodologies in this thesis are …
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How Well Do Commodity Based ETFs Track Underlying Assets?
… risk, and error magnitude. Additionally, a mispricing analysis is conducted as an alternative form of error measurement Results indicate that tracking error is small on average, however CORN shows average excess returns significantly smaller than zero. The CORN ETF is returning a smaller …
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Index participation units and the performance of index futures markets and index options markets
… Cost of Carry model, we find that the positive mispricing is reduced when SPDRs are introduced. When the absolute values of the differences are used as the measure of efficiency, the results also show an improvement in the pricing efficiency of the futures markets. Using an …
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Essays on Fundamental Analysis
… being particularly informative with respect to mispricing.
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The influence of the stock market on corporate investment
… has found that investment is sensitive to equity mispricing where both the stock is undervalued and the firm is dependent on equity. Under these conditions the firm would need to issue undervalued equity to fund new investment. The suggestion is that the investment behaviours of equity dependent …
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Closed-end funds: Discounts, premia and performance.
… discounts and premia can be explained by the mispricing of restricted and illiquid securities. Finally, results of time series regressions over a 21 year period show that closed-end fund discounts and premia cannot be explained by the general level of stock prices. This conclusion contradicts …
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