1,720,960 research outputs found
DO INFORMATION ACQUISITION COSTS MATTER? THE EFFECT OF SEC EDGAR ON STOCK ANOMALIES
Full text linkI estimate the costs of information acquisition and the extent to which they explain stock anomaly returns. The SEC\u2019s staggered implementation of EDGAR from 1993 to 1996 greatly lowered the costs of acquiring accounting information. I study how this quasi-exogenous and staggered shock affects the profitability of 126 accounting and 108 non-accounting anomalies. The EDGAR introduction lowers the average alphas for the accounting anomalies by 4.0% per year, explaining more than half of the pre-EDGAR alphas. The attenuation is stronger for the accounting anomaly portfolios that require more up-to-date accounting information and those consisting of EDGAR filer stocks with less information available in the pre-EDGAR period. By contrast, alphas for the non-accounting anomalies remain unaffected. These results imply that the information acquisition costs, which are usually neglected, can be as important as the transaction or short sale costs.Thesis (Ph.D.)--Michigan State University. Business Administration -Finance - Doctor of Philosophy, 2022Includes bibliographical reference
Three essays in empirical derivatives
Full text linkThis thesis consists of three essays that examine various problems in empirical derivatives. In the first essay, we use “tick-by-tick” quote data for 39 liquid U.S. stocks and options on them, and focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option market quotes adjust to eliminate the disagreement, while the stock market quotes behave normally, as if there were no disagreement. The disagreement events are typically precipitated by stock price movements, and display signed option volume in the direction that tends to eliminate the disagreements. These results show that option price quotes do not contain economically significant information about future stock prices beyond what is already reflected in current stock prices, i.e. no economically significant “price discovery” occurs in the option market. We also find no option market price discovery using a much larger sample of disagreement events based on a weaker definition of a disagreement, which verifies that the findings for the primary sample are not due to unusual or unrepresentative market behavior during the put-call parity violations.
The second essay examines trading costs and price impact in the options market. Conventional measures of trading costs and price impact rely on the quote midpoint as an estimate of a true security value. However, investors use a more precise estimate of the true value which takes advantage of public information as well as best quotes. Investors buy when the public information midpoint is above the quote midpoint and vice versa. As a result, conventional measures have a substantial upward bias. The execution timing bias is particularly large in the options market. Effective and average quoted spreads overestimate actual trading costs by 50% and 100% respectively. Less than half of the price impact is caused by trades; the remainder is expected changes in the quote midpoint. The timing bias varies across stocks and has been increasing over time. Trades of non-round size pay smaller spreads. We suggest a general approach to adjusting conventional measures for the timing bias. Our results indicate that the usage of the adjusted measures is crucial for making inferences about liquidity and informed trading.
The third essay shows that inventory considerations play a first order role in determining expected option returns. This point is supported by three main results. First, position rollover during the expiration period creates large selling pressure which leads to a 5.7% drop in prices for non-expiring options. Expiration dates create exogenous variation in order imbalance, which in turn can explain the “abnormal” expiration returns. Second, as implied by the inventory channel, individual and market-wide order imbalances predict future option returns primarily through future order imbalances. The past imbalances are the most significant predictors of future returns controlling for a large battery of observable variables. One standard deviation increase in the inventory-related order imbalance corresponds to 1% higher expected option returns on the next day. Finally, we develop a microstructure method to decompose the price impact of trades into inventory and information components. Inventory has a bigger price impact than information for any trade size.Item withdrawn by Mark Zulauf ([email protected]) on 2012-04-11T14:45:08Z
Item was in collections:
University of Illinois Theses & Dissertations (ID: 1)
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Item is restricted until 2014-06-27T21:24:27ZItem reinstated by Sarah Shreeves ([email protected]) on 2014-06-28T10:00:24Z
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Dissertations and Theses - Finance (ID: 775)
Graduate Theses and Dissertations at Illinois (ID: 204)
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Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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