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Information Content Of Revised Earnings Forecasts, Market Learning, And Analyst Behavior, Lifei Xue
Information Content Of Revised Earnings Forecasts, Market Learning, And Analyst Behavior, Lifei Xue
Open Access Theses & Dissertations
In my first essay, I examine how the quality of private information and the quality of public information contained in analyst revised one-year-ahead earnings forecasts issued right after a quarterly earnings announcement affect the post-earnings announcement drift (PEAD). I find that high precision of private information contained in revised forecasts reduces the level of PEAD and that the precision of public information contained in the revised one-year-ahead earnings forecasts partially offset the reduction in PEAD. Moreover, I find the effect of precision of private information on PEAD decreases after Reg FD, which required in the year 2000 that analysts could …
Essay On Asset Pricing, Fei Gao
Essay On Asset Pricing, Fei Gao
Dissertations and Theses Collection (Open Access)
We uncover a novel stock return predictor from the options market, the volume-weighted strike-spot price ratio (VWKS) across all traded option contracts. High (low) VWKS indicates that the mass of options volume on an underlying stock centers at the out-of-the-money region of call (put) options. Empirically, VWKS has positive and robust predictive ability for underlying returns after controlling for a long list of variables including known return predictors from the options market, stock illiquidity, and past stock returns, and has more persistent and stronger predictive power for stocks with higher information asymmetry and arbitrage costs. We also find that VWKS …
Security Design That Addresses Agency Conflicts And Information Asymmetry, Manish Tewari
Security Design That Addresses Agency Conflicts And Information Asymmetry, Manish Tewari
Electronic Theses and Dissertations
This study focuses on the role of structured derivative securities to meet diverse corporate financing objectives in the light of agency theory and asymmetric information. The focus is on the nonconvertible callable-puttable fixed-coupon bonds. The primary objective is to discern the marginal role of the put and put-deferred features in addressing the agency issues and asymmetric information. A sample of (159) securities issued over the period (1977-2005) are examined using Merton's (1974) structural contingent claims valuation model. The put option as well as the deferred put option incorporated in these securities is found to mitigate the asset substitution issue. It …
The Interrelations Between Investor Beliefs, Information And Market Liquidity, Stephanie Yates Rauterkus
The Interrelations Between Investor Beliefs, Information And Market Liquidity, Stephanie Yates Rauterkus
LSU Doctoral Dissertations
I use two datasets to test the relation between trading volume, the heterogeneity of beliefs and the heterogeneity of belief revisions. The first dataset allows me to construct two groups that proxy for ‘holders’ and ‘non-holders’ of a traded asset. This construct allows me to test the relation between changes in trading volume and changes in the dispersion of beliefs both within and across these two groups. I examine changes in within- and across-group dispersion separately and simultaneously. The second dataset allows me to examine belief revisions more closely by analyzing only those prior and posterior beliefs surrounding an information …