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Costly arbitrage and the lead-lag st...

Li, Meng.

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Costly arbitrage and the lead-lag structure between value and glamour stocks.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Costly arbitrage and the lead-lag structure between value and glamour stocks./
作者:	Li, Meng.
面頁冊數:	60 p.
附註:	Adviser: John Doukas.
Contained By:	Dissertation Abstracts International68-08A.
標題:	Business Administration, Accounting. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3280426
ISBN:	9780549218289

Costly arbitrage and the lead-lag structure between value and glamour stocks.
Li, Meng.

Costly arbitrage and the lead-lag structure between value and glamour stocks. - 60 p.

Adviser: John Doukas.

Thesis (Ph.D.)--Old Dominion University, 2007.

Motivated by the findings of Lo and Mackinlay (1990) that size premium can be partially attributed to the lead-lag relation between the returns of large stocks and those of small stocks, in this thesis we hypothesize that a possible lead-lag structure between value and glamour returns can partially explain the value premium anomaly.

ISBN: 9780549218289Subjects--Topical Terms:

1020666
Business Administration, Accounting.

Costly arbitrage and the lead-lag structure between value and glamour stocks.
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245 1 0 $a Costly arbitrage and the lead-lag structure between value and glamour stocks.
300 $a 60 p.
500 $a Adviser: John Doukas.
500 $a Source: Dissertation Abstracts International, Volume: 68-08, Section: A, page: 3519.
502 $a Thesis (Ph.D.)--Old Dominion University, 2007.
520 $a Motivated by the findings of Lo and Mackinlay (1990) that size premium can be partially attributed to the lead-lag relation between the returns of large stocks and those of small stocks, in this thesis we hypothesize that a possible lead-lag structure between value and glamour returns can partially explain the value premium anomaly.
520 $a The thesis consists of three chapters. Chapter I documents a pronounced lead-lag structure between value and glamour stocks: the glamour stocks lead value stocks in terms of both mean returns and residual volatilities, suggesting that value stocks delay in price adjustment to new information. To further explore the issue, we test the lead-lag price reaction to market- and firm-specific information separately in Chapters II and III. The results show that value stocks lag in absorbing both market- and firm-specific information relative to glamour stocks.
520 $a Consistent with the costly arbitrage literature, which posits that arbitrage cost is the major deterrent to market efficiency (Shleifer and Vishny 1997, Pontiff 1996, 2005, and Mendenhall 2004), our results show that value stocks are exposed to higher arbitrage cost than glamour stocks. Specifically, we find that value stocks are associated with high idiosyncratic risk that impedes the prompt price reaction to new information. That is, value stocks are exposed to higher unhedgeable fundamental risk that forces arbitrageurs to refrain form establishing positions in value stocks. This pattern does not gain support in glamour stocks. In addition, the thesis provides evidence that arbitrage risk is priced into value stock returns, suggesting that stocks subject to high arbitrage risk commands a return premium. Accordingly, value premium can be viewed, to certain extent, as compensation for bearing higher arbitrage risk, rather than systematic risk.
590 $a School code: 0418.
650 4 $a Business Administration, Accounting. $3 1020666
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