東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Essays on Return Predictability in E...

Guo, Xu.

Linked to FindBook

Google Book

Amazon

博客來

Essays on Return Predictability in Equity Market and Corporate Bond Market.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Return Predictability in Equity Market and Corporate Bond Market./
Author:	Guo, Xu.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	101 p.
Notes:	Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Contained By:	Dissertation Abstracts International79-10A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10823795
ISBN:	9780438049680

Essays on Return Predictability in Equity Market and Corporate Bond Market.
Guo, Xu.

Essays on Return Predictability in Equity Market and Corporate Bond Market. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 101 p.

Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.

Thesis (Ph.D.)--State University of New York at Buffalo, 2018.

Whether asset returns are predictable is among the most enduring issues in finance. The thesis explores the return predictability through the following two chapters. In Chapter One, I examine the return predictability associated with short interest ratio in the equity market. Specifically, I investigate the relation between short-selling activity and expected returns for stocks with different ratings to assess the implications of financial distress. I find that the predictive power of short interest is concentrated in the worst-rated stocks and the longshort trading strategy generates abnormal profit only for these stocks. The profit is derived primarily from taking the long position in the stocks with the largest decrease in short interest. These firms are more likely to experience a rating upgrade subsequently, and short interest changes predict their future earnings. In Chapter Two, I target the return predictability in the credit market. Specifically, I investigate whether investor sentiment can predict the cross-section of corporate bond returns. To my knowledge, existing proxies for credit market sentiment are all aggregate measures. For the first time, I propose an investor sentiment measure at the bond level and find that it has strong cross-sectional predictive power for corporate bond returns. A long-short portfolio that buys low sentiment bonds and shorts high sentiment bonds generates economically and statistically significant returns. This profitability is robust to various controls. The sentiment index contains rich information for economic fundamentals and perform equally well as existing aggregate measures of Gilchrist and Zakrajsek (2012); Lopez-Salido et al. (2017). x.

ISBN: 9780438049680Subjects--Topical Terms:

542899
Finance.

Essays on Return Predictability in Equity Market and Corporate Bond Market.
LDR:02663nmm a2200289 4500 001 2161364
005 20180823122930.5
008 190424s2018 ||||||||||||||||| ||eng d
020 $a 9780438049680
035 $a (MiAaPQ)AAI10823795
035 $a (MiAaPQ)buffalo:15813
035 $a AAI10823795
040 $a MiAaPQ $c MiAaPQ
100 1 $a Guo, Xu. $3 1949874
245 1 0 $a Essays on Return Predictability in Equity Market and Corporate Bond Market.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2018
300 $a 101 p.
500 $a Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
500 $a Advisers: Chunchi Wu; Yun Pei.
502 $a Thesis (Ph.D.)--State University of New York at Buffalo, 2018.
520 $a Whether asset returns are predictable is among the most enduring issues in finance. The thesis explores the return predictability through the following two chapters. In Chapter One, I examine the return predictability associated with short interest ratio in the equity market. Specifically, I investigate the relation between short-selling activity and expected returns for stocks with different ratings to assess the implications of financial distress. I find that the predictive power of short interest is concentrated in the worst-rated stocks and the longshort trading strategy generates abnormal profit only for these stocks. The profit is derived primarily from taking the long position in the stocks with the largest decrease in short interest. These firms are more likely to experience a rating upgrade subsequently, and short interest changes predict their future earnings. In Chapter Two, I target the return predictability in the credit market. Specifically, I investigate whether investor sentiment can predict the cross-section of corporate bond returns. To my knowledge, existing proxies for credit market sentiment are all aggregate measures. For the first time, I propose an investor sentiment measure at the bond level and find that it has strong cross-sectional predictive power for corporate bond returns. A long-short portfolio that buys low sentiment bonds and shorts high sentiment bonds generates economically and statistically significant returns. This profitability is robust to various controls. The sentiment index contains rich information for economic fundamentals and perform equally well as existing aggregate measures of Gilchrist and Zakrajsek (2012); Lopez-Salido et al. (2017). x.
590 $a School code: 0656.
650 4 $a Finance. $3 542899
690 $a 0508
710 2 $a State University of New York at Buffalo. $b Economics. $3 1022355
773 0 $t Dissertation Abstracts International $g 79-10A(E).
790 $a 0656
791 $a Ph.D.
792 $a 2018
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10823795