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Essays on Empirical Finance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Empirical Finance./
作者:	Gao, Wei.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
面頁冊數:	151 p.
附註:	Source: Dissertations Abstracts International, Volume: 82-12, Section: B.
Contained By:	Dissertations Abstracts International82-12B.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28416879
ISBN:	9798505545775

Essays on Empirical Finance.
Gao, Wei.

Essays on Empirical Finance. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 151 p.

Source: Dissertations Abstracts International, Volume: 82-12, Section: B.

Thesis (Ph.D.)--Temple University, 2021.

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

This dissertation has two chapters. Each empirically examines one finance topic. The first chapter focuses on behavioral finance. The second chapter focuses on corporate finance. The first chapter is motivated by inconclusive theoretical prediction and lack of empirical evidence on the effect of mood on trading volume. This chapter exploits repeated natural experiments from the occurrence of severe smog in Beijing to test the inertia hypothesis (Bad moods cause inactivity and inertia and thus decrease in trading volume) against the mood regulation hypothesis (Bad moods increase trading volume because investors use trading as a way to combat bad moods). Intra-day analysis in this chapter shows that smog in Beijing causes trading volume of stocks headquartered in Beijing to increase, which contradicts the inertia hypothesis. The effect is more pronounced among large stocks, which rules out the possibility that investors seek gambling thrill during smog. Additionally, the effect is more pronounced among low risk stocks, which reflects the risk aversion associated with depression among investors and supports the mood regulation theory.The second chapter is motivated by the fact that initial public offerings (IPOs) transform private firms into publicly traded ones, thereby improving liquidity of their shares. Better liquidity increases firm value, which I call "liquidity value". I develop a model and hypothesize that issuers and IPO investors bargain over the liquidity value, resulting in a discounted offer price, i.e., IPO underpricing. Consistent with the model, I find that underpricing is positively related to the expected post-IPO liquidity of the issuer. The relation is stronger when firms are financed by venture capital investors, when the underwriter has more bargaining power, or when a smaller fraction of the firm is sold. I also explore two regulation changes as exogenous shocks to issuers' liquidity before and after IPO, respectively. With a difference-in-difference approach, I find that underpricing is more pronounced with better expected post-IPO liquidity or lower pre-IPO liquidity.

ISBN: 9798505545775Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Empirical finance

Essays on Empirical Finance.
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500 $a Source: Dissertations Abstracts International, Volume: 82-12, Section: B.
500 $a Advisor: Bakshi, Gurdip;Bakshi, Xiaohui Gao.
502 $a Thesis (Ph.D.)--Temple University, 2021.
506 $a This item must not be sold to any third party vendors.
520 $a This dissertation has two chapters. Each empirically examines one finance topic. The first chapter focuses on behavioral finance. The second chapter focuses on corporate finance. The first chapter is motivated by inconclusive theoretical prediction and lack of empirical evidence on the effect of mood on trading volume. This chapter exploits repeated natural experiments from the occurrence of severe smog in Beijing to test the inertia hypothesis (Bad moods cause inactivity and inertia and thus decrease in trading volume) against the mood regulation hypothesis (Bad moods increase trading volume because investors use trading as a way to combat bad moods). Intra-day analysis in this chapter shows that smog in Beijing causes trading volume of stocks headquartered in Beijing to increase, which contradicts the inertia hypothesis. The effect is more pronounced among large stocks, which rules out the possibility that investors seek gambling thrill during smog. Additionally, the effect is more pronounced among low risk stocks, which reflects the risk aversion associated with depression among investors and supports the mood regulation theory.The second chapter is motivated by the fact that initial public offerings (IPOs) transform private firms into publicly traded ones, thereby improving liquidity of their shares. Better liquidity increases firm value, which I call "liquidity value". I develop a model and hypothesize that issuers and IPO investors bargain over the liquidity value, resulting in a discounted offer price, i.e., IPO underpricing. Consistent with the model, I find that underpricing is positively related to the expected post-IPO liquidity of the issuer. The relation is stronger when firms are financed by venture capital investors, when the underwriter has more bargaining power, or when a smaller fraction of the firm is sold. I also explore two regulation changes as exogenous shocks to issuers' liquidity before and after IPO, respectively. With a difference-in-difference approach, I find that underpricing is more pronounced with better expected post-IPO liquidity or lower pre-IPO liquidity.
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