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Essays on intra-market efficiency and financial contagion
Descriptive
TitleInfo
Title
Essays on intra-market efficiency and financial contagion
Name
(type = personal)
NamePart
(type = family)
Piccotti
NamePart
(type = given)
Louis Richard
NamePart
(type = date)
1986-
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Louis Piccotti
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author
Name
(type = personal)
NamePart
(type = family)
Wu
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Yangru
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Yangru Wu
Affiliation
Advisory Committee
Role
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chair
Name
(type = personal)
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(type = family)
Weaver
NamePart
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Daniel
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Daniel Weaver
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Advisory Committee
Role
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(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Patrick
NamePart
(type = given)
Robert
DisplayForm
Robert Patrick
Affiliation
Advisory Committee
Role
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(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Chen
NamePart
(type = given)
Ren-Raw
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Ren-Raw Chen
Affiliation
Advisory Committee
Role
RoleTerm
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outside member
Name
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NamePart
Rutgers University
Role
RoleTerm
(authority = RULIB)
degree grantor
Name
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NamePart
Graduate School - Newark
Role
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school
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Text
Genre
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theses
OriginInfo
DateCreated
(qualifier = exact)
2014
DateOther
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(type = degree)
2014-05
Place
PlaceTerm
(type = code)
xx
Language
LanguageTerm
(authority = ISO639-2b);
(type = code)
eng
Abstract
(type = abstract)
The first essay of this dissertation shows that financial contagion risk is an important source of the risk premium. Intermediaries’ contribution to aggregate financial contagion is estimated in a new state space framework and a tradable financial contagion portfolio is formed. More contagious intermediaries earn excess returns over less contagious ones that cannot be explained by commonly used factor models. The relative performance of contagious intermediaries is also priced in the cross section of stock returns. Stocks that comove more strongly with contagious intermediaries earn monotonically greater returns. These results are robust to factor model specification, test assets, and time period considered. The second essay shows that exchange traded funds (ETFs) persistently trade at a premium to net asset value (NAV) and that market segmentation can explain this puzzling regularity. Tracking error standard deviation is used as the measure of market segmentation. ETFs with larger tracking error standard deviations trade at higher premiums, consistent with the notion that investors are willing to pay a premium to receive liquidity and diversification benefits from holding ETFs rather than the underlying securities directly. These results are robust to investor sentiment effects. Further tests validate that tracking error standard deviation has the desirable properties of a market segmentation measure. The third essay shows that previous studies substantially understate the magnitudes of arbitrage profits in the closed-end fund market. The assumption that closed-end fund returns depend only on current premiums is relieved in favor of returns being dependent on an optimally chosen history of premiums. Incorporating the information content of a fund’s premium innovation history substantially improves expected return estimates. In doing so, arbitrage profits are increased from an annualized 14.9 percent return with a Sharpe ratio of 1.519 to an 18.2 percent return with a Sharpe ratio of 1.918. These results are robust to a wide range of tests. They deepen the closed-end fund discount puzzle and pose a challenge to the market efficiency in these products.
Subject
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Topic
Management
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
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ETD_5456
PhysicalDescription
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electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
vii, 139 p. : ill.
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = vita)
Includes vita
Note
(type = statement of responsibility)
by Louis Richard Piccotti
Subject
(authority = ETD-LCSH)
Topic
Risk assessment
Subject
(authority = ETD-LCSH)
Topic
Exchange traded funds
RelatedItem
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TitleInfo
Title
Graduate School - Newark Electronic Theses and Dissertations
Identifier
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rucore10002600001
Location
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(displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier
(type = doi)
doi:10.7282/T3X0659V
Genre
(authority = ExL-Esploro)
ETD doctoral
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Rights
RightsDeclaration
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The author owns the copyright to this work.
RightsHolder
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Name
FamilyName
Piccotti
GivenName
Louis
Role
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RightsEvent
Type
Permission or license
DateTime
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2014-04-11 14:11:18
AssociatedEntity
Name
Louis Piccotti
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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windows xp
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