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Full-Text Articles in Social and Behavioral Sciences
Institutional Management And Institutional Trading, Jingi Ha
Institutional Management And Institutional Trading, Jingi Ha
Dissertations and Theses Collection (Open Access)
This dissertation consists of three papers in mutual fund governance or market microstructure that analyze the causal effect of board independence on mutual fund performance or the trading behavior of institutional trading and informed trading.
Chapter I studies how board independence affects fund performance, in relation to investment experience of independent directors. Using the SEC amendment in 2001 as an exogenous shock, I find that board independence does not improve or damage fund performance on average. When a fund board has independent directors with investment experience, however, it boosts fund performance. I also find that a fund manager is less …
Three Essays On Information Diffusion And Market Friction, Li Guo
Three Essays On Information Diffusion And Market Friction, Li Guo
Dissertations and Theses Collection (Open Access)
How markets impound information into asset prices is one of the most important concerns of financial economics. Due to behavioural bias and transaction friction, information could be mispriced in the real world, thus driving market anomalies and return predictability of behavioural factors. My dissertation contributes to the literature by investigating how information can be quantified, acquired, disseminated and priced in the financial market with the existence of market frictions.
In Chapter 2, we propose an efficient method based on machine learning and textual analysis to quantify cross industry news and shed light on how news travels across different industries. The …