{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/114003"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/114003","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Essays in empirical finance","abstract":"Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2023-12-01","abstract_html":"Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2023-12-01","abstract_has_math":false,"creators":["Xu, Hao"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Finance","degree_department":null,"school":null,"contributors":["Almeida, Heitor","Pennacchi, George G","Irani, Rustom M","Deryugina, Tatyana"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2022,"date_issued":"2022-04-29T21:46:16Z","date_published":"2022-04-29T21:46:16Z","updated_at":"2026-07-22T22:24:54Z","subjects":["Finance"],"languages":["en","eng"],"rights":["Copyright 2021 Hao Xu"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/114003","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Almeida, Heitor","Pennacchi, George G","Irani, Rustom M","Deryugina, Tatyana"]},{"key":"dc:creator","label":"Author","values":["Xu, Hao"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2022-04-29T21:46:16Z","2024-04-29T21:47:53Z","2021-12","2021-12-03"]},{"key":"dc:type","label":"Dc Type","values":["text","Thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Finance"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Finance"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en","eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2021 Hao Xu"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/114003"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2023-12-01","The student, Hao Xu, accepted the attached license on 2021-12-02 at 16:14.","The student, Hao Xu, submitted this Dissertation for approval on 2021-12-02 at 16:38.","This Dissertation was approved for publication on 2021-12-03 at 15:12.","DSpace SAF Submission Ingestion Package generated from Vireo submission #17368 on 2022-04-06 at 17:17:44","Made available in DSpace on 2022-04-29T21:46:16Z (GMT). No. of bitstreams: 3 XU-DISSERTATION-2021.pdf: 5467507 bytes, checksum: 46077334c5690df49a5abe93745672a5 (MD5) thesis_Hao Xu20211203.zip: 7630310 bytes, checksum: a2296fabd3a445b7520bce771658ab1c (MD5) LICENSE.txt: 4203 bytes, checksum: 15e28c76328a8ae08dab50845dbf9866 (MD5) Previous issue date: 2021-12-03","Embargo set by: Seth Robbins for item 123367 Lift date: 2024-04-29T21:46:25Z Reason: Author requested U of Illinois access only (OA after 2yrs) in Vireo ETD system","Embargo set by: Seth Robbins for item 123367 Lift date: 2024-04-29T21:47:53Z Reason: Author requested U of Illinois access only (OA after 2yrs) in Vireo ETD system","Author requested U of Illinois access only (OA after 2yrs) in Vireo ETD system","U of I Only","In the first chapter, we study the effect of investor sentiment on extreme asset price movements, i.e., return jump dynamics, and also examine the threefold relation among sentiment, news and return jump likelihood. We find that the presence of investor sentiment significantly affects the subsequent likelihood of stock return jumps. In particular, a unit increase in the presence of previous week investor sentiment predicts around 12-62 basis points decrease in the subsequent probability of positive jumps, and around 10-48 basis points increase in the subsequent probability of negative jumps. In terms of the interaction between sentiment and news, the presence of investor sentiment seems to attenuate the positive effect news coverage has in predicting subsequent return jumps, but magnify the positive effect news tone has in predicting subsequent return jumps. Given daily jumps, stronger the magnitude in investor sentiment, the smaller in return size of positive jumps but larger in size of negative jumps. When we look at the potential cross-sectional determinants of the jump sensitivity to sentiment, we find that a few firm characteristics such as size, book-to-market ratio and idiosyncratic volatility are strongly associated with sensitivity betas, albeit not in total consistency with the behavioral story. In the second chapter, we study blockholders’ governance behavior, most notably that of hedge fund activists, given changes in short-sale constraint under the 2005 Regulation SHO (Reg SHO) price tests using difference- in-differences approach. I show that when short-sale constraint is relaxed for pilot stocks in the experiment, hedge funds are about 2% more likely to engage in “voice” (proxied by 13D filings) unconditionally, 1% less likely to engage in “exit” (13G filings) unconditionally, and 10% more likely to engage in “voice” instead of “exit” conditional upon a block. This effect is particularly strong among overvalued target firms and activist hedge funds. In a similar fashion, the market responds to pilot firms’ 13G filing events during Reg SHO by a 2% significant decline in 3-day announcement return relative to control, while still regards 13Ds as equally positive governance events among pilot and controls. Lastly, short-term operating performance of pilot firms experiences a 7% significant increase following 13D events during Reg SHO relative to control while remains the same following 13G events."]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Essays in empirical finance"]}]}],"canonical_facts":{"dc:contributor":["Almeida, Heitor","Pennacchi, George G","Irani, Rustom M","Deryugina, Tatyana"],"dc:creator":["Xu, Hao"],"dc:date":["2022-04-29T21:46:16Z","2024-04-29T21:47:53Z","2021-12","2021-12-03"],"dc:description":["Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2023-12-01","The student, Hao Xu, accepted the attached license on 2021-12-02 at 16:14.","The student, Hao Xu, submitted this Dissertation for approval on 2021-12-02 at 16:38.","This Dissertation was approved for publication on 2021-12-03 at 15:12.","DSpace SAF Submission Ingestion Package generated from Vireo submission #17368 on 2022-04-06 at 17:17:44","Made available in DSpace on 2022-04-29T21:46:16Z (GMT). No. of bitstreams: 3 XU-DISSERTATION-2021.pdf: 5467507 bytes, checksum: 46077334c5690df49a5abe93745672a5 (MD5) thesis_Hao Xu20211203.zip: 7630310 bytes, checksum: a2296fabd3a445b7520bce771658ab1c (MD5) LICENSE.txt: 4203 bytes, checksum: 15e28c76328a8ae08dab50845dbf9866 (MD5) Previous issue date: 2021-12-03","Embargo set by: Seth Robbins for item 123367 Lift date: 2024-04-29T21:46:25Z Reason: Author requested U of Illinois access only (OA after 2yrs) in Vireo ETD system","Embargo set by: Seth Robbins for item 123367 Lift date: 2024-04-29T21:47:53Z Reason: Author requested U of Illinois access only (OA after 2yrs) in Vireo ETD system","Author requested U of Illinois access only (OA after 2yrs) in Vireo ETD system","U of I Only","In the first chapter, we study the effect of investor sentiment on extreme asset price movements, i.e., return jump dynamics, and also examine the threefold relation among sentiment, news and return jump likelihood. We find that the presence of investor sentiment significantly affects the subsequent likelihood of stock return jumps. In particular, a unit increase in the presence of previous week investor sentiment predicts around 12-62 basis points decrease in the subsequent probability of positive jumps, and around 10-48 basis points increase in the subsequent probability of negative jumps. In terms of the interaction between sentiment and news, the presence of investor sentiment seems to attenuate the positive effect news coverage has in predicting subsequent return jumps, but magnify the positive effect news tone has in predicting subsequent return jumps. Given daily jumps, stronger the magnitude in investor sentiment, the smaller in return size of positive jumps but larger in size of negative jumps. When we look at the potential cross-sectional determinants of the jump sensitivity to sentiment, we find that a few firm characteristics such as size, book-to-market ratio and idiosyncratic volatility are strongly associated with sensitivity betas, albeit not in total consistency with the behavioral story. In the second chapter, we study blockholders’ governance behavior, most notably that of hedge fund activists, given changes in short-sale constraint under the 2005 Regulation SHO (Reg SHO) price tests using difference- in-differences approach. I show that when short-sale constraint is relaxed for pilot stocks in the experiment, hedge funds are about 2% more likely to engage in “voice” (proxied by 13D filings) unconditionally, 1% less likely to engage in “exit” (13G filings) unconditionally, and 10% more likely to engage in “voice” instead of “exit” conditional upon a block. This effect is particularly strong among overvalued target firms and activist hedge funds. In a similar fashion, the market responds to pilot firms’ 13G filing events during Reg SHO by a 2% significant decline in 3-day announcement return relative to control, while still regards 13Ds as equally positive governance events among pilot and controls. Lastly, short-term operating performance of pilot firms experiences a 7% significant increase following 13D events during Reg SHO relative to control while remains the same following 13G events."],"dc:format":["application/pdf"],"dc:identifier":["http://hdl.handle.net/2142/114003"],"dc:language":["en","eng"],"dc:rights":["Copyright 2021 Hao Xu"],"dc:subject":["Finance"],"dc:title":["Essays in empirical finance"],"dc:type":["text","Thesis"],"thesis:degree_discipline":["Finance"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Ph.D."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:24:54Z"}