Essays on financial market imperfections
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...
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| Language: | English |
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Massachusetts Institute of Technology
2007
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| Online Access: | http://hdl.handle.net/1721.1/39721 |
| Summary: | 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. |
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