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postgraduate thesis: Two essays on stock markets

TitleTwo essays on stock markets
Authors
Advisors
Advisor(s):Gao, XZhou, X
Issue Date2013
PublisherThe 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.
DegreeDoctor of Philosophy
SubjectStock exchanges.
Efficient market theory.
Dept/ProgramEconomics and Finance
Persistent Identifierhttp://hdl.handle.net/10722/191196

 

DC FieldValueLanguage
dc.contributor.advisorGao, X-
dc.contributor.advisorZhou, X-
dc.contributor.authorDong, Wei-
dc.contributor.author董炜-
dc.date.accessioned2013-09-30T15:52:29Z-
dc.date.available2013-09-30T15:52:29Z-
dc.date.issued2013-
dc.identifier.citationDong, 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.urihttp://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.languageeng-
dc.publisherThe University of Hong Kong (Pokfulam, Hong Kong)-
dc.relation.ispartofHKU Theses Online (HKUTO)-
dc.rightsThe author retains all proprietary rights, (such as patent rights) and the right to use in future works.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.source.urihttp://hub.hku.hk/bib/B50662211-
dc.subject.lcshStock exchanges.-
dc.subject.lcshEfficient market theory.-
dc.titleTwo essays on stock markets-
dc.typePG_Thesis-
dc.identifier.hkulb5066221-
dc.description.thesisnameDoctor of Philosophy-
dc.description.thesislevelDoctoral-
dc.description.thesisdisciplineEconomics and Finance-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.5353/th_b5066221-
dc.date.hkucongregation2013-

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