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Essays in Financial Economics.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays in Financial Economics./
作者:	Leonard, Gregory.
面頁冊數:	1 online resource (123 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-11, Section: A.
Contained By:	Dissertations Abstracts International85-11A.
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9798382631172

Essays in Financial Economics.
Leonard, Gregory.

Essays in Financial Economics. - 1 online resource (123 pages)

Source: Dissertations Abstracts International, Volume: 85-11, Section: A.

Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2024.

Includes bibliographical references

In Chapter 1, I find that the illiquidity premium for publicly traded equities appears to have been low in recent years. I argue that it is not low but is instead masked by the presence of short sale constrained stocks, which tend to be illiquid and are known to have low expected returns. Once short sale constrained stocks are removed, the illiquidity premium re-emerges. I develop a model to better understand the strong relationship between liquidity and short sale constraints. The modelpredicts that the adverse selection cost and inventory cost of providing liquidity increases with the cost of borrowing shares to short, resulting in a deterioration in liquidity. I find empirical evidence that liquidity deteriorates for short sale constrained stocks through both of these channels. In Chapter 2, (co-authored with Joseph Engelberg, Richard Evans, Adam Reed, and Matthew Ringgenberg), we find that equity loan fees, which have been largely ignored by the anomalies literature, are the best predictor of cross-sectional returns. When compared to 102 other anomalies and other short selling measures, the loan fee anomaly has the highest monthly long-short return (4.01%), the highest monthly Sharpe Ratio (0.66), and unlike other anomalies, exhibits strong persistence throughout the sample. While prior work has shown that existing anomalies reside in high loan fee stocks, we find that 42% of loan fee outperformance is due to unique information not contained in other anomalies. Future papers that examine cross-sectional predictors of returns should include the single most effective predictor, loan fees.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798382631172Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Asset pricing anomaliesIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Financial Economics.
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502 $a Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2024.
504 $a Includes bibliographical references
520 $a In Chapter 1, I find that the illiquidity premium for publicly traded equities appears to have been low in recent years. I argue that it is not low but is instead masked by the presence of short sale constrained stocks, which tend to be illiquid and are known to have low expected returns. Once short sale constrained stocks are removed, the illiquidity premium re-emerges. I develop a model to better understand the strong relationship between liquidity and short sale constraints. The modelpredicts that the adverse selection cost and inventory cost of providing liquidity increases with the cost of borrowing shares to short, resulting in a deterioration in liquidity. I find empirical evidence that liquidity deteriorates for short sale constrained stocks through both of these channels. In Chapter 2, (co-authored with Joseph Engelberg, Richard Evans, Adam Reed, and Matthew Ringgenberg), we find that equity loan fees, which have been largely ignored by the anomalies literature, are the best predictor of cross-sectional returns. When compared to 102 other anomalies and other short selling measures, the loan fee anomaly has the highest monthly long-short return (4.01%), the highest monthly Sharpe Ratio (0.66), and unlike other anomalies, exhibits strong persistence throughout the sample. While prior work has shown that existing anomalies reside in high loan fee stocks, we find that 42% of loan fee outperformance is due to unique information not contained in other anomalies. Future papers that examine cross-sectional predictors of returns should include the single most effective predictor, loan fees.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
653 $a Asset pricing anomalies
653 $a Equity loan fees
653 $a Illiquidity
653 $a Market frictions
653 $a Return predictability
653 $a Short selling
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710 2 $a The University of North Carolina at Chapel Hill. $b Business Administration. $3 1183438
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