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Essays in Asset Bubbles and Financia...

Holt, Harlan.

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Essays in Asset Bubbles and Financial Crises.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in Asset Bubbles and Financial Crises./
Author:	Holt, Harlan.
Description:	122 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.
Contained By:	Dissertation Abstracts International77-03A(E).
Subject:	Economic theory. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3726951
ISBN:	9781339118338

Essays in Asset Bubbles and Financial Crises.
Holt, Harlan.

Essays in Asset Bubbles and Financial Crises. - 122 p.

Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.

Thesis (Ph.D.)--The University of Mississippi, 2015.

The first essay examines insider trading before, during, and after the October, 2008 stock market crash. I show that inside traders did not appear to predict the crash in the aggregate by selling big before the crash. They also were not able to predict whether their stocks would lose especially badly during the crash individually at either long or short horizons. However, insiders bought in very large numbers immediately after the crash, and were especially active buyers in small firms, high book-to-market firms, and high-beta firms. The insiders who bought during this period successfully predicted post-crash returns that are substantially larger and longer-lasting than the prior literature on insider trading shows for normal trading periods. These results are similar to those in a previous study (Seyhun (1990)) on the 1987 crash. This new evidence of no pre-crash prediction followed by large post-crash returns to insider trading portfolios, combined with Seyhun's (1990) results, suggest this may be a pattern in widescale market crashes.

ISBN: 9781339118338Subjects--Topical Terms:

1556984
Economic theory.

Essays in Asset Bubbles and Financial Crises.
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020 $a 9781339118338
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100 1 $a Holt, Harlan. $3 3182793
245 1 0 $a Essays in Asset Bubbles and Financial Crises.
300 $a 122 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.
500 $a Adviser: John R. Conlon.
502 $a Thesis (Ph.D.)--The University of Mississippi, 2015.
520 $a The first essay examines insider trading before, during, and after the October, 2008 stock market crash. I show that inside traders did not appear to predict the crash in the aggregate by selling big before the crash. They also were not able to predict whether their stocks would lose especially badly during the crash individually at either long or short horizons. However, insiders bought in very large numbers immediately after the crash, and were especially active buyers in small firms, high book-to-market firms, and high-beta firms. The insiders who bought during this period successfully predicted post-crash returns that are substantially larger and longer-lasting than the prior literature on insider trading shows for normal trading periods. These results are similar to those in a previous study (Seyhun (1990)) on the 1987 crash. This new evidence of no pre-crash prediction followed by large post-crash returns to insider trading portfolios, combined with Seyhun's (1990) results, suggest this may be a pattern in widescale market crashes.
520 $a The second essay presents a model of rational greater-fool asset bubbles that, unlike previous models, includes risk averse agents. Risk aversion allows us to more realistically examine the welfare implications of using central bank policy to prevent speculative bubbles. This improves on previous models in Allen, Morris, and Postlewaite (1993) and Conlon (2015) because they assume risk neutrality among the agents in the market, and therefore cannot comment on the implications of risk aversion for the welfare effects of bubble policy. This paper's results should better inform policy makers on the full costs and benefits of trying to calm swings in asset markets. Comparative dynamics results suggest that a policy of general deflation of overpriced assets is welfare diminishing for buyers, but has ambiguous effects for sellers. We go on to prove that under the reasonable assumption that utility is diminishing in absolute risk aversion, welfare for buyers in the asset market will always be harmed by the general deflation policy.
590 $a School code: 0131.
650 4 $a Economic theory. $3 1556984
650 4 $a Finance. $3 542899
690 $a 0511
690 $a 0508
710 2 $a The University of Mississippi. $b Economics. $3 3177393
773 0 $t Dissertation Abstracts International $g 77-03A(E).
790 $a 0131
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3726951