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postgraduate thesis: Two essays on stock markets
Title | Two essays on stock markets |
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Authors | |
Advisors | |
Issue Date | 2013 |
Publisher | The University of Hong Kong (Pokfulam, Hong Kong) |
Citation | Dong, W. [董炜]. (2013). Two essays on stock markets. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5066221 |
Abstract |
This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns.
In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group. |
Degree | Doctor of Philosophy |
Subject | Stock exchanges. Efficient market theory. |
Dept/Program | Economics and Finance |
Persistent Identifier | http://hdl.handle.net/10722/191196 |
HKU Library Item ID | b5066221 |
DC Field | Value | Language |
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dc.contributor.advisor | Gao, X | - |
dc.contributor.advisor | Zhou, X | - |
dc.contributor.author | Dong, Wei | - |
dc.contributor.author | 董炜 | - |
dc.date.accessioned | 2013-09-30T15:52:29Z | - |
dc.date.available | 2013-09-30T15:52:29Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Dong, W. [董炜]. (2013). Two essays on stock markets. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5066221 | - |
dc.identifier.uri | http://hdl.handle.net/10722/191196 | - |
dc.description.abstract | This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group. | - |
dc.language | eng | - |
dc.publisher | The University of Hong Kong (Pokfulam, Hong Kong) | - |
dc.relation.ispartof | HKU Theses Online (HKUTO) | - |
dc.rights | The author retains all proprietary rights, (such as patent rights) and the right to use in future works. | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.source.uri | http://hub.hku.hk/bib/B50662211 | - |
dc.subject.lcsh | Stock exchanges. | - |
dc.subject.lcsh | Efficient market theory. | - |
dc.title | Two essays on stock markets | - |
dc.type | PG_Thesis | - |
dc.identifier.hkul | b5066221 | - |
dc.description.thesisname | Doctor of Philosophy | - |
dc.description.thesislevel | Doctoral | - |
dc.description.thesisdiscipline | Economics and Finance | - |
dc.description.nature | published_or_final_version | - |
dc.identifier.doi | 10.5353/th_b5066221 | - |
dc.date.hkucongregation | 2013 | - |
dc.identifier.mmsid | 991035615229703414 | - |