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.
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Showing 1 to 20 of 21 for “"short sales"”.
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Investor Behavior Surrounding Trading Halts: Short Sales, Predation and Contagion Effects
… between exchange-mandated trading halts and short selling activity in the financial markets. In the first essay, the behavior of short sellers is examined surrounding interruptions in trading to determine if informed short sellers alter their trading patterns prior to and/or following a …
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Mortgage Default in Southern California: Examining Distressed Borrower's Decision Making and Market Contagion
… paper adds to the default literature by adding short sale as another possible outcome of mortgage default.</p> <p>The primary goal is to analyze the determinants of mortgage default to assist in understanding the conditions under which strategic behavior of home sales is most likely to occur. …
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Three Essays on Trading and Banking
… consists of three essays. The first essay, Short Sales in the NYSE Batch Open and NASDAQ Opening Cross, examines opening-trade short volume's relation to short volume for the rest of the trading day and to overnight, previous-day, and same-day price changes. We find that short volume in the …
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Tax effects and term structure measurement.
… S. M. Schaefer proved that a prohibition on short sales will give rise to tax-induced clienteles. Thus, bonds classified into groups by price and maturity may be held by investors in different tax brackets. Because of the tax advantages associated with discount bonds, there should be a …
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Symbiotic transfer, arbitrage, and equilibrium
… assets which can be traded on unlimited short sales. The conceptual framework we develop for the existence problem is simple. Consider an economy consisting of two agents. If there were a commodity bundle which is always desirable to one agent and always undesirable to the other agent, …
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Salesperson Intuition: Its Critical Role and Antecedents
Salespeople’s ability to accurately assess customer needs is clearly important for successful salesperson-customer interactions. While adaptive selling is a popular sales approach for assessing customer needs, its foundation appears incomplete. Building on thin slices of behavior research from …
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AN IN-DEPTH LOOK AT EXCHANGE TRADED NOTES
… determined segment of trading, the short sales market, I find support for institutions' role as suppliers to the securities lending market. Chapter 3 looks at the types of ETNs that mutual funds are attracted to, the characteristics of the mutual funds that are investing in ETNs, and …
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Robust beta estimation and applications
… managers were not allowed to participate in short sales (selling a share one does not own). This practice is now quite common in most developed markets and any portfolio formulation model needs to be generalised to allow for this. Empirical studies have shown that share returns and the …
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Three essays in finance and macroeconomics
… an infinite horizon continuous time model with short sale constraints and heterogeneous beliefs along the lines of Scheinkman and Xiong (2003) and obtain closed form solutions for all quantities involved. I show that market based q and investment are increased, even though such investment is not …
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The Value of Analyst Recommendations: An International Perspective
… exposure. However, countries with more binding short-sales constraints do not show lower future market returns. Finally, the third study takes a broader perspective and investigates whether the short-term value impact of analyst recommendations varies across countries, and whether these …
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Essays on asset market and differential information economies
… core. In order to capture the case of arbitrary short sales we provide a core existence proof for the case of consumption sets with no lower bound. Further, we show that the two stage core is non empty in the Hart (1975) example where a rational expectations equilibrium fails to exist. Finally, …
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Using big data for decisions in agricultural supply chain
… and produced months in advance of a very short sales window. With improved demand forecasting based on abundantly-available data, Dow AgroSciences, the manufacturer of AgChem, can make better production and distribution decisions. We analyzed various data to identify factors that influence …
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Three essays on mortgage foreclosures
… may not be reflected in the prices of nearby sales. This paper uses new data from Boston, Massachusetts on constituent complaints and requests for public services made to City government departments, matched with sale transactions, mortgage performance, and multiple listings service data to …
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Advances in Risk Parity Portfolio Optimization
… risk and reward appetite and its prohibition of short sales. We propose a generalized risk parity framework where the investor's risk and reward appetite define our objective, while still enforcing a desirable degree of risk-based diversification. Moreover, we propose an algorithm that allows us …
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An analysis of the income tax treatment of realised gains and losses from the use of short positions in South African hedge fund portfolio fundamental paired trades
… revenue) of the proceeds arising from the use of short positions in South African hedge fund fundamental paired trades. Hedge funds, which typically avail themselves of an array of alternative investment strategies such as short selling in addition to the traditional asset classes, were recently …
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Essays on Microeconomics with Incomplete Information
… horizon model with asymmetric information and short sales constraints, I show that the following results hold for any finite number of agents. First, under the implicit assumption of perfect memory, common strong bubbles never exist in any rational expectations equilibrium. Second, it is …
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Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice
… examine how margin requirements on both long and short stock positions affect asset prices, market volatility, market illiquidity and the welfare of market participants. Most of my main results are obtained in closed-form. Contrary to one of the main regulatory goals, I find that margin …
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Essays in empirical asset pricing and portfolio construction
… public disclosures of large net short positions can be profitably used to build portfolios. These disclosures do not form the basis of a profitable trading strategy for UK stocks. Long-short portfolios based on these disclosures typically make a profit, but it is statistically …
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The predictive nature of short interest on market returns and the effect of short selling on volatility, liquidity and price discovery with some international evidence
… countries. This in turn means I look at whether short sellers are informed traders and if there is evidence that short sellers engage in market manipulation. I also look at whether and to what extent short sales affect liquidity, price discovery, volatility and cross-section of stock returns. The …
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Three essays in empirical finance
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-05-01
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