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Reassessing anomalies and puzzles.

Li, Keming.

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Reassessing anomalies and puzzles.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Reassessing anomalies and puzzles./
Author:	Li, Keming.
Description:	137 p.
Notes:	Source: Dissertation Abstracts International, Volume: 75-10(E), Section: A.
Contained By:	Dissertation Abstracts International75-10A(E).
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3626832
ISBN:	9781321018875

Reassessing anomalies and puzzles.
Li, Keming.

Reassessing anomalies and puzzles. - 137 p.

Source: Dissertation Abstracts International, Volume: 75-10(E), Section: A.

Thesis (Ph.D.)--The University of Texas at Arlington, 2014.

This item must not be sold to any third party vendors.

While standard asset pricing models assume a frictionless environment and investors are risk-averse individuals who maximize their utility based on all the available information in real time. The asset pricing literature has empirically documented numerous anomalies and puzzles, which cannot be explained by the traditional finance theory. Investors are exposed to these entire abnormal phenomenons, but at the same time investors do not fully understand them. This problem motives numbers of recent publications and also my dissertation.

ISBN: 9781321018875Subjects--Topical Terms:

626650
Economics, Finance.

Reassessing anomalies and puzzles.
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020 $a 9781321018875
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100 1 $a Li, Keming. $3 3170329
245 1 0 $a Reassessing anomalies and puzzles.
300 $a 137 p.
500 $a Source: Dissertation Abstracts International, Volume: 75-10(E), Section: A.
500 $a Adviser: John D. Diltz.
502 $a Thesis (Ph.D.)--The University of Texas at Arlington, 2014.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a While standard asset pricing models assume a frictionless environment and investors are risk-averse individuals who maximize their utility based on all the available information in real time. The asset pricing literature has empirically documented numerous anomalies and puzzles, which cannot be explained by the traditional finance theory. Investors are exposed to these entire abnormal phenomenons, but at the same time investors do not fully understand them. This problem motives numbers of recent publications and also my dissertation.
520 $a My dissertation is consisting of three essays. The first essay looks at the components of information uncertainty. Specically, I decompose information uncertainty into fundamental uncertainty and valuation uncertainty and find these components of information uncertainty are systematically related to financial distress. The second essay focus on an empirical puzzle: the distress puzzle. While the distress literature shows that there is a negative relationship between distress risk and expected stock returns, the reason is not fully understood. This essay provides empirical evidence that rejects the strategy action hypothesis and supports the risk shifting hypothesis in reconciling this puzzle. The third essay examines the effect of acquirer likelihood on future stock returns. In sharp contrast to prior findings, acquirer likelihood is a strong and negative predictor of cross-sectional future returns after controlling for target likelihood, which casts doubt on the rational risk explanation.
590 $a School code: 2502.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 $a The University of Texas at Arlington. $b Finance and Real Estate. $3 3170330
773 0 $t Dissertation Abstracts International $g 75-10A(E).
790 $a 2502
791 $a Ph.D.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3626832