Three Essays on Government Capital Market Interventions Under Asymmetric Information
Author: Kiyoung Lee
Publisher:
Published: 1991
Total Pages: 374
ISBN-13:
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Author: Kiyoung Lee
Publisher:
Published: 1991
Total Pages: 374
ISBN-13:
DOWNLOAD EBOOKAuthor: Chaoli Guo
Publisher: Open Dissertation Press
Published: 2017-01-26
Total Pages:
ISBN-13: 9781361276532
DOWNLOAD EBOOKThis dissertation, "Three Essays on Capital Market With Incomplete and Asymmetric Information" by Chaoli, Guo, 郭朝莉, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This thesis includes one essay on incomplete information and two essays on the capital market implications of asymmetric information. The acquisition of information and its dissemination to all economic units are central activities in capital markets. Limits to information diffusion may exist when market participants have limited processing ability or when market structure causes information asymmetry to persist. Merton (1987) proposes a simple capital market equilibrium model with incomplete information, in which difference in a stock's investor recognition affects its cost of capital. Myers and Majluf (1984) lay out the theoretical foundation for the role of asymmetric information in corporate finance and its capital market implications. The first essay tests and offers support to Merton's (1987) theory. In the U.S. market, using the breadth of ownership among retail investors as a proxy for investor recognition, I show that a long-short portfolio based on the annual change of shareholder base earns a compounded annual abnormal return of 6.42% after controlling for the Fama-French three factors. These results are more pronounced among young, low visibility and high idiosyncratic volatility stocks. Moreover, I present evidence that the investor recognition effect can explain approximately 20% of the puzzling net equity issuance effect documented by Pontiff and Woodgate (2008). The second essay suggests a novel signaling mechanism in the framework of asymmetric information. When a firm's convertible debt is issued, it is not only determined by the fundamentals of the firm such as past stock performance, but also related to whether this performance is realized during the tenure of current CEO who decides the issues. I define the performance that the current CEO achieves in the firm ever since the CEO comes to the helm as CEO-specific performance. Higher CEOspecific performance leads to (1) a higher probability of convertible issues, and (2) a less negative abnormal stock return in response to the convertible issue announcement, controlling for other firm characteristics. These evidences indicate that CEO-specific performance serves as a credible information signal to influence the adverse selection costs between the firm and outside investors in convertible bond financing. The third essay explores the possibility of asymmetric information in explaining the pronounced share issue anomaly in the cross-sectional variations of stock returns, as documented by Pontiff and Woodgate (2008). A lot of equity share issue and repurchase actions are actively determined by the decision of corporate stakeholders, such as employees at the stock options exercises. As these stakeholders hold a large amount of private information about the firm, it is in their optimal decisions to try to time the exercise of their share purchase activity, but outside investors are likely to fail to interpret the information revealed from these actions. I present strong evidence that a negative relation between share issues and stock returns is affected to a greater extent when the information asymmetry problem is more severe. DOI: 10.5353/
Author: Uptal Bhattacharya
Publisher:
Published: 1990
Total Pages: 198
ISBN-13:
DOWNLOAD EBOOKAuthor: Ingmar Olof Nyman
Publisher:
Published: 1996
Total Pages: 280
ISBN-13:
DOWNLOAD EBOOKAuthor: Jungyoll T. Yun
Publisher:
Published: 1986
Total Pages: 92
ISBN-13:
DOWNLOAD EBOOKAuthor: Hui Miao
Publisher:
Published: 1997
Total Pages: 180
ISBN-13:
DOWNLOAD EBOOKAuthor: R. Glenn Hubbard
Publisher: University of Chicago Press
Published: 2009-05-15
Total Pages: 354
ISBN-13: 0226355942
DOWNLOAD EBOOKIn this volume, specialists from traditionally separate areas in economics and finance investigate issues at the conjunction of their fields. They argue that financial decisions of the firm can affect real economic activity—and this is true for enough firms and consumers to have significant aggregate economic effects. They demonstrate that important differences—asymmetries—in access to information between "borrowers" and "lenders" ("insiders" and "outsiders") in financial transactions affect investment decisions of firms and the organization of financial markets. The original research emphasizes the role of information problems in explaining empirically important links between internal finance and investment, as well as their role in accounting for observed variations in mechanisms for corporate control.
Author: Mr.Michael Mussa
Publisher: International Monetary Fund
Published: 1993-12-01
Total Pages: 66
ISBN-13: 145195039X
DOWNLOAD EBOOKThis paper discusses the extent to which national capital markets have become linked, and identifies several of the more important consequences of that increased degree of integration. Alternative approaches to the measurement of capital market integration are reviewed, including deviations from the law of one price, differences between actual and optimally diversified portfolios, correlations between domestic investment and domestic saving, and cross-country links in consumption behavior. Two recent episodes of large-scale international capital flows—namely, the turmoil in the European Monetary System in the fall of 1992, and the surge of capital inflows into Latin America during the last three years—are examined for insights into the workings of today’s global capital market. Finally, the paper offers some concluding remarks on the future development of international capital markets, on exchange rate management, on alternative approaches to living with larger and more influential financial markets, and on the financing of investment in the formerly centrally planned economies.
Author: Mr.Luc Laeven
Publisher: International Monetary Fund
Published: 2014-12-19
Total Pages: 25
ISBN-13: 1498372201
DOWNLOAD EBOOKCapital markets can improve risk sharing and the efficiency with which capital is allocated to the real economy, boosting economic growth and welfare. However, despite these potential benefits, not all countries have well developed capital markets. Moreover, government-led initiatives to develop local capital markets have had mixed success. This paper reviews the literature on the benefits and costs of developing local capital markets, and describes the challenges faced in the development of such markets. The paper concludes with a set of policy recommendations emerging from this literature.
Author: Ira Krasteva Petrova
Publisher:
Published: 2004
Total Pages: 346
ISBN-13:
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