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Two theories on information asymmetry in finance
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TitleInfo
Title
Two theories on information asymmetry in finance
Name (type = personal)
NamePart (type = family)
Lo
NamePart (type = given)
Te-Chien
NamePart (type = date)
1979-
DisplayForm
TE-CHIEN LO
Role
RoleTerm (authority = RULIB)
author
Name (type = personal)
NamePart (type = family)
Chen
NamePart (type = given)
Ren-Raw
DisplayForm
Ren-Raw Chen
Affiliation
Advisory Committee
Role
RoleTerm (authority = RULIB)
chair
Name (type = personal)
NamePart (type = family)
Lee
NamePart (type = given)
Cheng-Few
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Cheng-Few Lee
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Advisory Committee
Role
RoleTerm (authority = RULIB)
internal member
Name (type = personal)
NamePart (type = family)
Sopranzetti
NamePart (type = given)
Ben
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Ben Sopranzetti
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Advisory Committee
Role
RoleTerm (authority = RULIB)
internal member
Name (type = personal)
NamePart (type = family)
XU
NamePart (type = given)
YUEWU
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YUEWU XU
Affiliation
Advisory Committee
Role
RoleTerm (authority = RULIB)
outside member
Name (type = corporate)
NamePart
Rutgers University
Role
RoleTerm (authority = RULIB)
degree grantor
Name (type = corporate)
NamePart
Graduate School - Newark
Role
RoleTerm (authority = RULIB)
school
TypeOfResource
Text
Genre (authority = marcgt)
theses
OriginInfo
DateCreated (qualifier = exact)
2012
DateOther (qualifier = exact); (type = degree)
2012-05
CopyrightDate (qualifier = exact)
2012
Place
PlaceTerm (type = code)
xx
Language
LanguageTerm (authority = ISO639-2b); (type = code)
eng
Abstract (type = abstract)
This dissertation includes two essays which investigate the effects of information asymmetry in liquidity risk pricing and in agency problems. The brief abstracts of these two essays are presented as follows. The first essay investigates how a risk averse liquidity provider sets optimal limit order book under information asymmetry. I extend the model proposed by Copeland and Galai (1983). First, in response to increasing trade size, a severe risk averse liquidity provider offers convex negatively-sloped bid curves and concave positively-sloped ask curves under information asymmetry. In addition, the simultaneous existence of the risk averse liquidity provider and market information asymmetry is the necessary condition that the liquidity provider offers negatively-sloped bid curves and positively-sloped ask curves. Both numerical analysis and empirical evidence on the limit order book of Taiwan Index Futures support the findings in this essay. In the second essay, I investigate the effects of information asymmetry under the two-tiered agency problem which is commonly observed in a typical organizational structure. I propose the two-tiered agency model and shows that imposing Joint Responsibility policy between Agent_1 (Chief Executive Officer) and Agent_2 (Chief Financial Officer) is NOT a good policy for Principal (Shareholders). Joint Responsibility is that Agent_1 is accused of not identifying in advance Agent_2 who takes on destructive risky projects. I design two cases (Case_1 excludes Joint Responsibility and Case_2 includes it) and prove that Principal’s payoffs in Case_1 weakly dominate that in Case_2. In addition, static comparative analysis shows that how the change of the losses from the bad state of the high risky project, or the parameter of Agent_1’s monitoring costs, alters Agent_1’s monitoring and Principal’s payoffs in equilibrium.
Subject (authority = RUETD)
Topic
Management
RelatedItem (type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier (type = RULIB)
ETD
Identifier
ETD_3956
PhysicalDescription
Form (authority = gmd)
electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
x, 121 p. : ill.
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references
Note (type = vita)
Includes vita
Note (type = statement of responsibility)
by Te-Chien Lo
Subject (authority = ETD-LCSH)
Topic
Financial risk management
Subject (authority = ETD-LCSH)
Topic
Information asymmetry
Subject (authority = ETD-LCSH)
Topic
Liquidity (Economics)
Identifier (type = hdl)
http://hdl.rutgers.edu/1782.1/rucore10002600001.ETD.000065047
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TitleInfo
Title
Graduate School - Newark Electronic Theses and Dissertations
Identifier (type = local)
rucore10002600001
Location
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NjNbRU
Identifier (type = doi)
doi:10.7282/T32R3QM6
Genre (authority = ExL-Esploro)
ETD doctoral
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Rights

RightsDeclaration (ID = rulibRdec0006)
The author owns the copyright to this work.
RightsHolder (type = personal)
Name
FamilyName
LO
GivenName
TE-CHIEN
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime (encoding = w3cdtf); (qualifier = exact); (point = start)
2012-04-15 13:52:00
AssociatedEntity
Name
TE-CHIEN LO
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - Newark
AssociatedObject
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical

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1954816
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1955840
Checksum (METHOD = SHA1)
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