Essays on financial market imperfections
| Autor: | Wu, Ding, Ph. D. Massachusetts Institute of Technology |
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| Jazyk: | angličtina |
| Rok vydání: | 2007 |
| Předmět: | |
| Druh dokumentu: | Diplomová práce |
| Popis: | Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2007. Includes bibliographical references. This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance - the momentum anomaly. Properly adjusting stock returns for adverse selection by using data on trading volume substantially mitigates momentum-based arbitrage profits for the sample period from 1983 to 2004. Chapter 2 studies how information asymmetry prevents perfect risk-sharing and offers insights on stock return behavior. Chapter 3 explores the idea of Tobin's tax in the context of an emerging market and in particular examines the cost effects on speculation in the Chinese stock market. by Ding Wu. Ph.D. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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