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Full-Text Articles in Social and Behavioral Sciences
Two Essays On The Evolution And Role Of Short Selling Activity In Financial Markets, Wanxi Zhao
Two Essays On The Evolution And Role Of Short Selling Activity In Financial Markets, Wanxi Zhao
Electronic Theses and Dissertations, 2020-
My dissertation studies the evolution and role of short selling activity in financial markets. My first essay examines the cross-sectional and time-series variations in the characteristics of equity lending market in the setting of IPO, where, as suggested by Duffie et al. (2002), search frictions are likely to be high. I find that the initial supply of lendable shares and short interest levels increase with offer size, while initial lending fees decrease with offer size. The initial lending fees are also positively related to the bargaining power of lenders and negatively related to the bargaining power of borrowers. The supply …
Two Essays On Investor Disagreement And Asset Prices, Sulei Han
Two Essays On Investor Disagreement And Asset Prices, Sulei Han
Electronic Theses and Dissertations, 2020-
My dissertation studies the measurement of investor disagreement and the effects of investor disagreement on asset prices. In my first essay, I clarify the seemingly contradicting theoretical predictions of Miller (1977), and Varian (1985, 1989) and Abel (1989), and design empirical analysis to test the predictions in a unified framework. Miller models the effect of the level of disagreement on asset prices and predicts a negative relation between investor disagreement and subsequent asset returns. Varian and Abel present results on the effect of the change in disagreement on asset prices and the resulting positive relation between disagreement and subsequent asset …