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This thesis consists of three essays on various topics in empirical financial studies. In Chapter 1, I study the profitability of momentum trading from evidence in mutual fund performance. I find that mutual funds that exhibit a strong momentum trading pattern earn significant risk-adjusted...
Persistent link: https://www.econbiz.de/10009432187
This thesis consists of three chapters exploring predictability of stock returns. In the first chapter, I suggest a new approach to analysis of stock return predictability. Instead of relying on predictive regressions, I employ a state space framework. Acknowledging that expected returns and...
Persistent link: https://www.econbiz.de/10009432390
I analyze the intertemporal portfolio problem of an investor who has access to both taxable and tax-deferred (retirement) accounts. In a complete-market setting, through a tax-arbitrage argument, I show that tax-deferred accounts have only a wealth effect on overall portfolio decisions through...
Persistent link: https://www.econbiz.de/10009433010
This thesis consists of three chapters that investigate the complex relation between security prices and trades of market participants. In the first chapter, I study the evolution of stock prices after trades with different underlying motives using a novel data set of portfolio transitions....
Persistent link: https://www.econbiz.de/10009433123
This thesis consists of three essays on various topics in Financial Economics. Underwriter analysts issue recommendations that are on average more favorable than recommendations of other analysts. In Chapter 1, I investigate whether this bias matters for returns, and whether it matters for...
Persistent link: https://www.econbiz.de/10009433148
The first part of the thesis studies the impact of liquidity crashes on asset prices. In financial markets, liquidity could have large downward jumps. The thesis proposes a dynamic model where investors face the risk of potential liquidity crises. We find that investors choose optimal portfolios...
Persistent link: https://www.econbiz.de/10009433161
We develop a multi-period model of stock trading in which investors receive differential information concerning the underlying value of the stock. Investors trade competitively in the market based on their own private information and the information revealed by the market clearing prices as well...
Persistent link: https://www.econbiz.de/10005476299
This study examines the effect of financial reporting quality on risk shifting, an investment distortion that is caused by shareholders' incentives to engage in high-risk projects that are detrimental to debt holders. I use asymmetric timeliness to proxy for a dimension of accounting quality...
Persistent link: https://www.econbiz.de/10009432062
I study the evolution of Statement of Financial Accounting Standard (SFAS) # 142, which uses unverifiable fair-value estimates to account for acquired goodwill. I find evidence consistent with the Financial Accounting Standards Board (FASB) issuing SFAS 142 in response to political pressure over...
Persistent link: https://www.econbiz.de/10009432068
Hybrid organizations combine institutional logics, often in a search for novel solutions to complex problems such as climate change. This dissertation explores the conditions under which hybrid organizations are effective in realizing such solutions, along with the processes that strengthen or...
Persistent link: https://www.econbiz.de/10009432088