Essays on financial market imperfections
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.
Year of publication: |
2007-12-07
|
---|---|
Other Persons: | Olivier J. Blanchard and Jiang Wang. (contributor) |
Institutions: | Wu, Ding, Ph. D. Massachusetts Institute of Technology ; Massachusetts Institute of Technology. Dept. of Economics. (contributor) |
Publisher: |
Massachusetts Institute of Technology |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Essays on international finance and economics
Rappoport, Veronica E., (2005)
-
Weinstein, Jonathan, (2005)
-
D'Urso, Victoria Tanusheva, (2002)
- More ...