Essays on the efficiency of financial markets [Elektronische Ressource] / vorgelegt von Bernd Schlusche

Bernd Schlusche

Informations

• Publié par: rheinische_friedrich-wilhelms-universitat_bonn
• Publié le: 01 janvier 2010
• Nombre de lectures: 25
• Langue: English
• Poids de l'ouvrage: 4 Mo

Extrait

Essays on the E ciency of Financial
Markets
Inaugural-Dissertation
zur Erlangung des Grades eines Doktors
der Wirtschafts- und Gesellschaftswissenschaften
durch die
Rechts- und Staatswissenschaftliche Fakult at
der Rheinischen Friedrich-Wilhelms-Universit at
Bonn
vorgelegt von
Bernd Schlusche
aus Buchenberg (Allg au)
Bonn 2010Dekan: Prof. Dr. Christian Hillgruber
Erstreferent: Prof. Dr. Erik Theissen
Zweitreferent: Prof. Dr. Jurgen von Hagen
Tag der mundlic hen Prufung: 11.11.2010to my parents and grandmaAcknowledgments
First and foremost, I am indebted to my advisor Prof. Erik Theissen at the University of
Mannheim, Finance Area (formerly at the University of Bonn). He provided the much
appreciated guidance and support, while allowing me the freedom to develop my own
research agenda. This doctoral thesis would not have been possible without his vital
comments and suggestions. In addition, I would like to thank Prof. Jurgen von Hagen,
who kindly agreed to be a member of my dissertation committee, and Prof. J org Breitung,
for their help and advice.
I would like to thank the directors of the Bonn Graduate School of Economics and
DFG coordinators, Prof. Urs Schweizer and Prof. Jurgen von Hagen, for managing the
doctoral program. Financial support from the Bonn Graduate School of Economics and
the Kurt Fordan Foundation is gratefully acknowledged.
Parts of the research for this thesis were conducted during my stays at the Department
of Economics, University of Pennsylvania, and the Haas School of Business, University of
California at Berkeley, whose hospitality is much appreciated. In particular, I am very
grateful to Frank Diebold, Nicolae G^ arleanu, and Martin Lettau for many helpful dis-
cussions and career advice. Furthermore, I would like to thank my co-authors, Andreas
Neuhierl and Anna Scherbina for their help and companionship. I am also thankful to my
fellow graduate students, especially, Daniel Engelage, Bernhard Ganglmair, Jurgen Gaul,
J ordis Hengelbrock (my o cemate), and David Schr oder, who made Bonn an exciting
and joyful place.
Finally, I am deeply indebted to my parents, my sister, my grandma, and my won-
derful wife for their patience and continuous support with every aspect of my life. I am
very thankful to my friends, especially Stefan Egli, Andreas Neuhierl, and Stefan Rasch,
as well as to my roommate in Bonn, Olivier Felce, for their encouragement and belief in
me throughout my studies.Contents
Introduction 1
1 Price Formation in Spot and Futures Markets: Exchange Traded Funds
vs. Index Futures 7
1.1 Introduction 7
1.2 Methodology 10
1.2.1 The Economic Model 10
1.2.2 The Econometric Model 11
1.2.3 Measure for the Contribution to Price Discovery: Common Factor
Weights 12
1.3 Exchange Traded Funds 13
1.4 Data 15
1.5 Empirical Results 17
1.6 Determinants of Price Leadership 19
1.7 Conclusion 26
2 Data Snooping and Market-Timing Rule Performance 29
2.1 Introduction 29
2.2 Testing Procedures: The \Reality Check" and the SPA Test 32
2.3 Speci cation of Market-Timing Rules 36
2.3.1 Rules Based on Financial Ratios 37
2.3.1.1 Earnings-to-Price Ratio (E/P Ratio) 37
2.3.1.2 Dividend Yield 38
2.3.1.3 Book-to-Market Ratio (B/M Ratio) 38
2.3.2 Rules Based on Interest Rates 38
2.3.2.1 Short-Term Interest Rate and Discount Rate 38
2.3.2.2 Long-Term Interest Rate 39
2.3.2.3 Maturity Spread 39
2.3.3 Rules Based on Investor Sentiment 40
2.3.3.1 Credit Spread 40
2.3.3.2 Put/Call Ratio 40
i2.3.4 Rules Based on Expected In ation 41
2.3.5 Rules Based on Implied Volatility Index 41
2.3.6 Modi ed Rules and Combined Indicators 42
2.3.6.1 Rules Based on the Bond-Equity Yield Ratio 42
2.3.6.2 Rules Based on the Dividend Payout Ratio 43
2.4 Data and Indicator Construction 43
2.5 Results for Simple Market-Timing Rules 45
2.5.1 Test Results under the Mean Return Criterion 48
2.5.2 Test under the Sharpe Ratio 49
2.6 Results for Complex Market-Timing Rules 51
2.6.1 Test Results under the Mean Return Criterion 55
2.6.2 Test under the Sharpe Ratio 56
2.7 Robustness Checks and Modi cations 58
2.7.1 Out-of-Sample Analysis 58
2.7.2 Impact of Relaxing the Short-Selling Constraint 60
2.7.3 Impact of Transaction Costs 62
2.7.4 Sensitivity to Changes in the Smoothing Parameter 63
2.7.5 Risk Premia Tests 64
2.8 Conclusion 65
3 Market Reaction to Corporate News and the In uence of the Financial
Crisis 67
3.1 Introduction 67
3.2 Disclosure Regulations and Data 72
3.2.1 New Requirement for More Complete and Timely Information Dis-
closure 72
3.2.2 Ad-Hoc Disclosures and Brief Literature Review: The Case of Ger-
many 74
3.2.3 Our Dataset 75
3.3 Test Results 79
3.3.1 News’ Impact on Stock Returns 80
3.3.1.1 Event Study Methodology 80
3.3.1.2 Event Study Results 81
3.3.1.2.1 Financial News 83
3.3.1.2.2 Other News Categories 86
3.3.1.2.3 Longer Event Windows 89
3.3.2 News’ Impact on the Informational Environment 91
3.3.2.1 Changes in Volatility 94
3.3.2.2 Change in Liquidity 97
ii3.3.3 The Impact of the Financial Crisis 98
3.3.3.1 Test Results for Changes in CARs 100
3.3.3.2 Test for Changes in Volatility and Liquidity 106
3.4 Conclusion 109
Appendices 111
A Appendix to Chapter 1 111
A.1 Calculation of Realized Variances 111
B Appendix to Chapter 2 113
B.1 Data Description 113
B.2 Parameterization for Simple Rules 114
B.3 P for Complex Rules 115
C Appendix to Chapter 3 116
C.1 Representative Press Release Headlines 116
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