Doctor of Philosophy, The Ohio State University, 2002, Business Administration

Many unanswered questions remain when attempting to determine the motivating factors behind investor trade. Also, contemporary asset pricing models continue to be challenged by seemingly irrational return predictability and additional trading that does not appear to be motivated by information arrival or heterogeneous processing of private and public signals. This dissertation dissects the reasons that investors trade, and also presents evidence of return predictability related to trading and past stock returns. In the first dissertation essay, I analyze the factors that explain trading volume growth in equity securities. It is found that technical and statistical factors are strong explanatory factors for trading volume growth in the cross-section, while statistical and macro factors are strong sources of time variation. The second dissertation essay analyzes the first three moments of trading volume growth and determines that there is a link between these moments and future stock returns. It is found that stocks with high mean trading volume growth during the past 12 months experience strong positive excess returns that do not reverse themselves over the next 5 years. This result holds true for both NYSE/AMEX and Nasdaq stocks. The third dissertation essay analyzes return consistency and determines if consistency is able to predict time-variation in expected returns. I analyze the degree to which return consistency in the past predicts future returns. It is discovered here that consistency is a strong predictor of future returns. In a portfolio context, positively consistent stocks exhibit higher future risk-adjusted returns than other securities in the cross-section, and negatively consistent stocks exhibit lower future risk-adjusted returns. It is also determined that high consistency enhances momentum when the two factors are allowed to interact. Thus, there appears to be strong path dependence in the momentum effect.

Committee: Andrew Karolyi (Advisor) Subjects: Business Administration, Banking

PHD, Kent State University, 2017, College of Business and Entrepreneurship, Ambassador Crawford / Department of Finance

Affiliated Insiders are not corporate officers or directors; but they do have access to material information. Affiliated Insiders include investment advisors and general counsels, as well as persons who have a relationship with other insiders. The first part of my study divides insiders into Routine insiders and Opportunistic insiders consistent with Cohen, Malloy and Pomorski (2012). CMP find inconsistent trading to be “Opportunistic” and informative because they predict market returns and attain abnormal returns. I find Affiliated Insiders, both Routine and Opportunistic, do not inform the market when testing the predictive ability of their trades on one-month future buy and sell returns. In a follow-up study, I create long-short portfolios for Routine and Opportunistic Affiliates on one-month and six-month future returns. Both CMP and Jeng, Metrick and Zeckhauser (2003) test corporate insiders' ability to achieve abnormal returns using the Capital Asset Pricing Model of Sharpe (1964) and Lintner (1965), the Fama and French Three-Factor Model (1993), and the Carhart Four-Factor Model (1997). I do not find abnormal returns for one-month portfolios. The short-swing rule disallows insiders to profit in any six-month time period so by testing on rolling six-month portfolios I do find Affiliates and the General Counsel subgroup trades produce abnormal annualized returns ranging from 15.2 to 21.2 percent. In 2002, legislators passed the Sarbanes-Oxley Act to increase criminal fines and penalties for illegal insider trading. Since 2007, regulators at the SEC prioritized enforcement for illegal insider trading practices. The second part of my study focuses on the behavior of insiders following enhanced legislative and enforcement actions. Testing monthly aggregated trades for all insiders from 1992 to 2014, I find insiders change their behavior post legislative and enforcement actions. In the period following Sarbanes Oxley's enactment, insiders increase t (open full item for complete abstract)

Committee: John Thornton (Committee Co-Chair); Jayaram Muthuswamy (Committee Co-Chair); Xiaoling Pu (Committee Member); Michael Ellis (Committee Member) Subjects: Finance

Doctor of Business Administration, Cleveland State University, 2014, Monte Ahuja College of Business

This dissertation provides empirical evidences in global cross-listed stocks trading volume and pricing. The first essay documents the global trading volume distribution of cross-listed stocks and examines factors that make a host market competitive in attracting order flows from the counterpart domestic market. The results show that host markets are more successful in attracting trading volume when they have a higher information factor, have lower bid-ask spreads, provide better investor protection and information disclosure, share the common language or legal origin with the counterpart home markets and locate closer to the home market. The second essay investigates the market competitiveness among rival host markets based on a unique sample of global firms simultaneously cross-listed in multiple foreign countries. I present the global cross-listings and trading volume distributions cross host-home markets as well as over time, and provide robust evidences that host markets are more successful in attracting trading volume from other competing markets when they have lower bid-ask spreads, better legal protection, more market liquidity, higher level of financial development, and where the firms with longer listing history. Interesting, I consistently find that host countries with English common law origins are able to attract trading volume while French civil law origin host countries attract less trading activities. The third essay investigates the cross-listed stock price discovery process. I use synchronous trading data and the error correction model to find that prices on the home and the U.S. markets are co-integrated and mutually adjusting. The price adjustment in response to price disparity happens in both the home market and the U.S. (host) market. In most cases, domestic prices are dominant for the price discovery. However, I also observe a statistically significant amount of feedback from the U.S. markets. The greater the competition offered by the U.S. (open full item for complete abstract)

Committee: Haigang Zhou PhD (Committee Chair); Alan Reichert PhD (Committee Member); Xiankui (Bill) Hu PhD (Committee Member); Walter Rom PhD (Committee Member) Subjects: Finance

PhD, University of Cincinnati, 2007, Business Administration : Finance

Trading volume, a stochastic process that is closely related to returns, has received far less attention in modern finance. Because of the joint hypothesis problem of asset returns, trading volume can often provide unique evidence on financial studies. In Essay 1, I examine the cross-sectional and time series behavior of trading volume for an extended period from 1963 to 2004 on all stocks listed on NYSE/AMEX/NASDAQ exchanges. The cross-sectional analysis shows that trading volume is not linearly related to market capitalization and stock beta. Specially, an inverted U-shape relation represents the relation between stock turnover and market capitalization. Essay 2 provides some empirical evidence on the motivation of investor trades by conducting an event study on analyst recommendation date. I divide data into two event groups: the recommendation reversal group and the recommendation continuation group. I test heterogeneous-belief model by examining the event date share turnover of two event groups. My empirical tests contradict the major implications of Harris and Raviv (1993)'s heterogeneous belief model and are mostly consistent with Wang (1994)'s hypothesis that investors trade for liquidity and informational reasons. In Essay 3, I test market-wide disposition impact by examining the trading volume on historical high and historical low days during a period of 84, 168, 252, and 504 trading days respectively. I hypothesize that abnormal trading volume is the highest on historical high days, lower for normal trading days and lowest for historical low trading days if there is a market-wide disposition effect. My empirical evidence suggests the following: abnormal trading volume is much higher for historical high days, lower for historical low days and lowest for normal trading days. On average, abnormal trading volume on historical low days is about twice as much as that of normal trading days. The evidence supports the hypothesis that the market has strong propens (open full item for complete abstract)

Committee: Dr. Steve Wyatt (Advisor) Subjects: Business Administration, General