Three Essays in Financial Economics 公开
Tong, Qing (2010)
Abstract
Abstract
Three Essays in Financial Economics
By Qing Tong
In the first essay, ("Abnormal Volume in Large Trades and the
Cross-Section of Expected Stock
Returns"), I employ a new variable, abnormal volume in large
trades, to study information risk. I
provide new evidence to support the asymmetric information
hypothesis that stocks with greater
information risk are expected to have higher returns. In the second
essay, ("Retail Investor
Industry Herding", joint work with Russell Jame), we examine the
industry wide investment
decisions of individuals (retail investors). We find that retail
investor herd into industries, and that
industry herding can forecast industry returns. The industries most
heavily bought by retail
investors significantly underperform the industries most heavily
sold by retail investors over the
subsequent 3 to 12 months. In the third essay, ("Mutual Fund
Industry Selection and Persistence",
joint work with Jeff Busse), we analyze mutual fund industry
selectivity-the performance of a
fund's industry allocation relative to the market. We find that
industry selection accounts for a
quarter of fund performance based on two-digit SIC codes, with the
remaining attributable to the
performance of individual stocks relative to their own industries.
We find that industry-selection
skill drives persistence in relative performance, particularly over
longer investment horizons.
Unlike individual-stock-selection ability, industry selectivity is
not eroded by increasing fund
assets.
Three Essays in Financial Economics
By
Qing Tong
M.Sc., Virginia Tech, 2003
Advisor: Tarun Chordia, Ph.D., UCLA, 1993
Co-advisor: Jay A. Shanken, Ph.D., Carnegie Mellon University,
1983
A dissertation submitted to the Faculty of the
James T. Laney School of Graduate Studies of Emory University
in partial fulfillment of the requirements for the degree of
Doctor of Philosophy
in Business
2010
Table of Contents
Table of Contents
Page
Introduction 1
First Essay: Abnormal Volume in Large Trades and the Cross-Section of Expected Stock Returns
1. Introduction 3
2. Methodology 8
3. Data 12
4. Main Results 14
5. ALT and PIN 17
6. Corporate Events 19
7. Conclusion 23
Second Essay: Retail Investor Industry Herding
1. Introduction 24
2. Data and Descriptive Statistics 28
3. Tests for Industry Herding 31
4. Industry Herding and Industry Returns 37
5. Industry Sentiment vs. Firm Sentiment 42
6. Conclusion 44
Third Essay: Mutual Fund Industry Selection and Persistence
Introduction
1. Introduction 46
2. Data 49
3. Performance Decomposition 54
4. Empirical Analysis 57
5. Conclusion 69
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