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A generalized econometric model for ...

Lin, Ginchung.

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A generalized econometric model for testing signalling hypotheses in the presence of sequential signal verification.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	A generalized econometric model for testing signalling hypotheses in the presence of sequential signal verification./
作者:	Lin, Ginchung.
面頁冊數:	213 p.
附註:	Source: Dissertation Abstracts International, Volume: 53-01, Section: A, page: 0250.
Contained By:	Dissertation Abstracts International53-01A.
標題:	Economics, Commerce-Business. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9216071

A generalized econometric model for testing signalling hypotheses in the presence of sequential signal verification.
Lin, Ginchung.

A generalized econometric model for testing signalling hypotheses in the presence of sequential signal verification. - 213 p.

Source: Dissertation Abstracts International, Volume: 53-01, Section: A, page: 0250.

Thesis (Ph.D.)--The University of Mississippi, 1991.

This dissertation will try to explain the puzzling empirical results generated by employing the event-study methodology originated by Fama, Fisher, Jensen and Roll (1969) in the tests of signalling hypothesis. A signalling model with sequential signal verification is constructed to show that the security price reactions to the same kind of signal could vary cross-sectionally, if market participants verify the current signal with previous signals and the signals are not independent. In contrast to the prior researches, this dissertation investigates the price-signal relations given correlated investors' prior information and insiders' signal which is a function of a firm's latency asset value. The sequential signalling model decomposes the net signalling effect of a new signal into the lagged effect of the prior information (prior signals) and the true signalling effect. The lagged effect of the prior information on the security at the time a(n) favorable (unfavorable) new signal released is positive (negative). The true signalling effect of a(n) favorable (unfavorable) new signal on security price could vary from positive (negative) given bad (good) prior information to negative (positive) given good (bad) prior information. Besides the model also predicts that security price upward (downward) reaction to a(n) favorable (unfavorable) new signal given bad (good) prior signals is greater than that to a(n) favorable (unfavorable) new signal given good (bad) prior signals. Empirical tests are also conducted to justify these hypotheses.Subjects--Topical Terms:

626649
Economics, Commerce-Business.

A generalized econometric model for testing signalling hypotheses in the presence of sequential signal verification.
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245 1 2 $a A generalized econometric model for testing signalling hypotheses in the presence of sequential signal verification.
300 $a 213 p.
500 $a Source: Dissertation Abstracts International, Volume: 53-01, Section: A, page: 0250.
500 $a Director: Dennis Tosh.
502 $a Thesis (Ph.D.)--The University of Mississippi, 1991.
520 $a This dissertation will try to explain the puzzling empirical results generated by employing the event-study methodology originated by Fama, Fisher, Jensen and Roll (1969) in the tests of signalling hypothesis. A signalling model with sequential signal verification is constructed to show that the security price reactions to the same kind of signal could vary cross-sectionally, if market participants verify the current signal with previous signals and the signals are not independent. In contrast to the prior researches, this dissertation investigates the price-signal relations given correlated investors' prior information and insiders' signal which is a function of a firm's latency asset value. The sequential signalling model decomposes the net signalling effect of a new signal into the lagged effect of the prior information (prior signals) and the true signalling effect. The lagged effect of the prior information on the security at the time a(n) favorable (unfavorable) new signal released is positive (negative). The true signalling effect of a(n) favorable (unfavorable) new signal on security price could vary from positive (negative) given bad (good) prior information to negative (positive) given good (bad) prior information. Besides the model also predicts that security price upward (downward) reaction to a(n) favorable (unfavorable) new signal given bad (good) prior signals is greater than that to a(n) favorable (unfavorable) new signal given good (bad) prior signals. Empirical tests are also conducted to justify these hypotheses.
590 $a School code: 0131.
650 4 $a Economics, Commerce-Business. $3 626649
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
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710 2 $a The University of Mississippi. $3 1019522
773 0 $t Dissertation Abstracts International $g 53-01A.
790 1 0 $a Tosh, Dennis, $e advisor
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792 $a 1991
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