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 14 of 14 for “"short-sale constraints"”.
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Essays on the Role of Informed Trading in Stock Markets
… perceive a new information uncertainty risk when short-sale constraints are binding and informed trading is absent. Stock prices become less informative when short-sale constraints keep informed investors out of the market. The less informative prices create a new information uncertainty risk for …
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Derivative pricing and logarithmic portfolio optimization in incomplete markets
… respects: Firstly, we allow for random convex constraints, for instance, the case of short sale constraints. Secondly, the consumption clock may be stochastic as well.
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International Financial Markets
… information asymmetry, financial development, short sale and age distribution are also closely related to the volume-variability relation. Specifically, the return-variability relation is stronger in less financially-developed countries with short-sale constraints and high information …
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Essays in macroeconomics, corporate finance, and social learning
… aggregate state is high, managers will be given short-term incentives, delaying the release of information. When the belief about the aggregate state is low, long-term incentives will be prevalent and information will be released without delay. This produces asymmetric learning dynamics for the …
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Two essays on institutional investors
… second essay examines the equity loan supply for short selling. Using detailed stock lending data, we show that active equity funds, on average, are informed, stock lenders. The stocks they lend outperform those that they do not. The stocks they recall and sell perform worse in the future than …
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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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Essays in financial economics
… is different from others (e.g. borrowing and short-sale constraints) in that VaR constraint is relevant only when price is moderate. We find that when some investors follow a VaR rule, realistically high or low prices reveal more information than intermediate prices. We illustrate how the …
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Two Essays on Shelf-registered Corporate Equity Offerings
… of seasoned offer discounting to pre-offer short sale constraints (Rule 10b-21; adopted in 1988). This study provides insights about the effect of Rule 10b-21 by exploiting the fact that shelf-registered offerings were exempt from this regulation until September 2004. The analysis uses the …
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Three Essays on the Impact of Analysts on Financial Markets
… chapter studies the relation between dispersion, short sale constraints, and stock returns. The main contribution is to analyze the high returns of a portfolio formed by unconstrained and low opinion divergence stocks. Such portfolio contains stocks with low total and idiosyncratic risks and low …
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Essays on Empirical Asset Pricing and Behavioural Finance
… and Investment Premia: Evidence from the Short-selling Activity', we highlight the different effects of short-selling activity on the profitability and investment premia. We find that the profitability premium disappears among the stocks with high short-selling activity, whereas the …
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Essays on Empirical Asset Pricing and Behavioural Finance
… and Investment Premia: Evidence from the Short-selling Activity', we highlight the different effects of short-selling activity on the profitability and investment premia. We find that the profitability premium disappears among the stocks with high short-selling activity, whereas the …
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Three Essays on Market Efficiency and Limits to Arbitrage
… volatility as a primary arbitrage cost for short sellers. Previous studies document (i) negative abnormal returns for high relative short interest (RSI) stocks, and (ii) positive abnormal returns for low RSI stocks. We examine whether these market inefficiencies can be explained by arbitrage …
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Passive Institutional Ownership, Firm Disclosure, and Post-earnings Announcement Drift
… an increase in lending supply and a decrease in short-sale constraints. Higher passive ownership should lead to stronger initial market reactions and lower drifts. Consistent with the prediction, I show that higher passive institutional ownership is associated with a higher earnings response …
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Essays on the relations between derivatives and underlying asset or commodity markets
… can exploit these price declines either by short selling in the underlying stock market or by establishing synthetic short positions in the option markets prior to the lockup expiration date. If the existence of option trading relaxes short sale constraints then the prices of optionable …