{"id":{"repo_id":"rice","oai_identifier":"oai:repository.rice.edu:1911/105838"},"canonical_url":"https://search.dev.ndltd.org/etd/rice/oai:repository.rice.edu:1911/105838","repository":{"repo_id":"rice","name":"Rice University","base_url":"https://repository.rice.edu/server/oai/request"},"display":{"title":"Essays on Asset Pricing","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Liu, Ruomeng"],"institution":"Rice University","degree_name":"Doctor of Philosophy","degree_level":"Doctoral","degree_discipline":"Business","degree_department":null,"school":null,"contributors":[],"advisors":["Back, Kerry E."],"committee_chairs":[],"committee_members":["Xing, Yuhang","Butler, Alexander W.","Loch-Temzelides, Ted P."],"year":2018,"date_issued":"2018-08-01","date_published":"2018-08-01","updated_at":"2026-07-24T04:10:39Z","subjects":["Asset pricing","cross-sectional returns","institutional trading","OTC markets"],"languages":["eng"],"rights":["Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder."],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://hdl.handle.net/1911/105838","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Back, Kerry E."]},{"key":"dc:contributor.committeemember","label":"Committee Member","values":["Xing, Yuhang","Butler, Alexander W.","Loch-Temzelides, Ted P."]},{"key":"dc:creator","label":"Author","values":["Liu, Ruomeng"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2019-05-17T16:06:04Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2019-05-17T16:06:04Z"]},{"key":"dc:date.issued","label":"Date","values":["2018-08-01"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Business"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Doctoral"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Doctor of Philosophy"]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["Rice University"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Asset pricing","cross-sectional returns","institutional trading","OTC markets"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder."]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["https://hdl.handle.net/1911/105838"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:format.mimetype","label":"Dc Format Mimetype","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Essays on Asset Pricing"]}]}],"canonical_facts":{"dc:contributor.advisor":["Back, Kerry E."],"dc:contributor.committeemember":["Xing, Yuhang","Butler, Alexander W.","Loch-Temzelides, Ted P."],"dc:creator":["Liu, Ruomeng"],"dc:date.accessioned":["2019-05-17T16:06:04Z"],"dc:date.available":["2019-05-17T16:06:04Z"],"dc:date.issued":["2018-08-01"],"dc:description.abstract":["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."],"dc:format.mimetype":["application/pdf"],"dc:identifier.uri":["https://hdl.handle.net/1911/105838"],"dc:language.iso":["eng"],"dc:rights":["Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder."],"dc:subject":["Asset pricing","cross-sectional returns","institutional trading","OTC markets"],"dc:title":["Essays on Asset Pricing"],"dc:type":["Thesis"],"thesis:degree_discipline":["Business"],"thesis:degree_level":["Doctoral"],"thesis:degree_name":["Doctor of Philosophy"],"thesis:institution_name":["Rice University"]},"updated_at":"2026-07-24T04:10:39Z"}