東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Essays in corporate finance and inst...

Hu, Gang.

FindBook

Google Book

Amazon

博客來

Essays in corporate finance and institutional trading.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in corporate finance and institutional trading./
作者:	Hu, Gang.
面頁冊數:	163 p.
附註:	Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1888.
Contained By:	Dissertation Abstracts International66-05A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3176664
ISBN:	9780542161964

Essays in corporate finance and institutional trading.
Hu, Gang.

Essays in corporate finance and institutional trading. - 163 p.

Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1888.

Thesis (Ph.D.)--Boston College, 2005.

My Ph.D. dissertation consists of three chapters. In the first chapter, I provide a simple yet previously unexplored explanation for the buy-sell asymmetry phenomenon: it is because previous studies use pre-trade benchmark prices to measure implicit trading costs. Buy-sell asymmetry is mainly driven by mechanical characteristics of measures of implicit trading costs. I further argue that different measures of implicit trading costs serve very different purposes: pre-trade measures are suitable for measuring trading costs of investment strategies, and during-trade-measures are suitable for measuring execution quality. I showy that a pre-trade measure can be decomposed into a market movement component and a during-trade measure, and empirically the market movement component is the dominant component.

ISBN: 9780542161964Subjects--Topical Terms:

626650
Economics, Finance.

Essays in corporate finance and institutional trading.
LDR:03237nmm 2200313 4500 001 1822429
005 20061129132711.5
008 130610s2005 eng d
020 $a 9780542161964
035 $a (UnM)AAI3176664
035 $a AAI3176664
040 $a UnM $c UnM
100 1 $a Hu, Gang. $3 1910855
245 1 0 $a Essays in corporate finance and institutional trading.
300 $a 163 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1888.
500 $a Chair: Thomas Chemmanur.
502 $a Thesis (Ph.D.)--Boston College, 2005.
520 $a My Ph.D. dissertation consists of three chapters. In the first chapter, I provide a simple yet previously unexplored explanation for the buy-sell asymmetry phenomenon: it is because previous studies use pre-trade benchmark prices to measure implicit trading costs. Buy-sell asymmetry is mainly driven by mechanical characteristics of measures of implicit trading costs. I further argue that different measures of implicit trading costs serve very different purposes: pre-trade measures are suitable for measuring trading costs of investment strategies, and during-trade-measures are suitable for measuring execution quality. I showy that a pre-trade measure can be decomposed into a market movement component and a during-trade measure, and empirically the market movement component is the dominant component.
520 $a In the second chapter, I analyze the profitability and informativeness of institutional trading in IPOs, using a large sample of proprietary transaction-level trading data. My results can be summarized as follows. First, institutions sell most of their IPO allocations within the first year after the IPO. Second, institutions realize most of the "money left on the table" for IPO allocations sold within the first year. Third, post-IPO institutional trading outperforms a buy-and-hold investment strategy in IPOs. Fourth, institutional trading has predictive power for subsequent long-run IPO performance, even after controlling for publicly available information. Overall, my results indicate that institutions do possess private information about IPOs and receive considerable compensation for participating in these IPOs.
520 $a In the third chapter (with David McLean), we analyze the daily trades of a large sample of investment managers. We find that opinion divergence among managers arises in different types of stocks than it does with analysts. We test whether various trading patterns can predict stock returns. When managers trade together, future returns are similar regardless if they are buying or selling, however when managers trade against each other, subsequent returns are low, especially for stocks that are difficult to short. A plot of this disagreement-return relationship resembles a smile. This result is consistent with the hypothesis that opinion divergence can cause an upward bias in prices.
590 $a School code: 0016.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Business Administration, General. $3 1017457
690 $a 0508
690 $a 0770
690 $a 0310
710 2 0 $a Boston College. $3 1017525
773 0 $t Dissertation Abstracts International $g 66-05A.
790 1 0 $a Chemmanur, Thomas, $e advisor
790 $a 0016
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3176664