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Three essays in financial economics.

Wei, Bin.

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Three essays in financial economics.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Three essays in financial economics./
作者:	Wei, Bin.
面頁冊數:	187 p.
附註:	Adviser: S. Viswanathan.
Contained By:	Dissertation Abstracts International68-06A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3267449
ISBN:	9780549065555

Three essays in financial economics.
Wei, Bin.

Three essays in financial economics. - 187 p.

Adviser: S. Viswanathan.

Thesis (Ph.D.)--Duke University, 2007.

In the first chapter, "Managerial Ability and Open-End Fund Flows", I propose a managerial-ability-based theory to study open-end fund flows. Previous empirical research documents a convex cross-sectional relationship between past performance and mutual fund flows. Using a dynamic rational expectations equilibrium model with endogenous portfolio management, I propose a new economic theory to explain the convex flow-performance relationship. The proposed theory highlights the importance of incorporating active portfolio management into economic analysis of fund flows. A quantitative analysis shows that the fully calibrated model accounts for several empirical regularities of mutual funds.

ISBN: 9780549065555Subjects--Topical Terms:

626650
Economics, Finance.

Three essays in financial economics.
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520 $a In the first chapter, "Managerial Ability and Open-End Fund Flows", I propose a managerial-ability-based theory to study open-end fund flows. Previous empirical research documents a convex cross-sectional relationship between past performance and mutual fund flows. Using a dynamic rational expectations equilibrium model with endogenous portfolio management, I propose a new economic theory to explain the convex flow-performance relationship. The proposed theory highlights the importance of incorporating active portfolio management into economic analysis of fund flows. A quantitative analysis shows that the fully calibrated model accounts for several empirical regularities of mutual funds.
520 $a In the second chapter, "A Unified Theory of Open-End Fund Flows and Closed-End Fund Discounts", I investigate the relationship between open-end fund flows and closed-end fund discounts. I build rational expectations equilibrium model similar to the one in the first chapter and develop a unified theory of open-end fund flows and closed-end fund discounts. I theoretically show that open-end fund flows and closed-end fund discounts are tightly connected and are both driven by investors' perceptions of managerial ability of fund managers. In such a unified framework, I show that the model predicts a convex "premium-performance" relationship in the case of closed-end funds. I empirically test and confirm this novel prediction.
520 $a In the third chapter, "Endogenous Events and Long Run Returns", we analyze event abnormal returns when returns predict events. In fixed samples we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided that the process of the number of events is stationary. Non-stationarity in the number of events process is needed to generate a large negative bias. We present simulation and small sample evidence for the specific case of a lognormal model to characterize the magnitude of the small sample bias. Using IPO and SEO data, we find that the results of standard unit root tests are mixed. We also show that the confidence intervals are much larger when events are endogenous and when correlation in event returns is correctly accounted for.
520 $a In the fourth chapter, "Picking-Off Risk and Liquidity in a Dynamic Limit Order Market", I study the optimal order placement strategy in the presence of picking-off risk under a dynamic model of a limit order market. The picking-off risk arises as public limit orders often turn "stale". I show that the difference in the extent of picking-off risks drives a wedge in the order submission strategies and affects the equilibrium liquidity supply and demand in a profound way. Investors who have higher picking-off risks tend to place market orders, demanding liquidity whereas those with lower picking-off risk tend to place limit orders and supply liquidity. The model yields several interesting empirical implications.
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790 1 0 $a Viswanathan, S., $e advisor
791 $a Ph.D.
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