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Portfolio selection, pead anomaly and value relevance of earnings

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TitleInfo
Title
Portfolio selection, pead anomaly and value relevance of earnings
Name (type = personal)
NamePart (type = family)
Liu
NamePart (type = given)
Sangsang
NamePart (type = date)
1982-
DisplayForm
Sangsang Liu
Role
RoleTerm (authority = RULIB)
author
Name (type = personal)
NamePart (type = family)
Govindaraj
NamePart (type = given)
Suresh
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Suresh Govindaraj
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Advisory Committee
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chair
Name (type = personal)
NamePart (type = family)
Cheong
NamePart (type = given)
Foong Soon
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Foong Soon Cheong
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Advisory Committee
Role
RoleTerm (authority = RULIB)
internal member
Name (type = personal)
NamePart (type = family)
Zhang
NamePart (type = given)
Li
DisplayForm
Li Zhang
Affiliation
Advisory Committee
Role
RoleTerm (authority = RULIB)
internal member
Name (type = personal)
NamePart (type = family)
Livnat
NamePart (type = given)
Joshua
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Joshua Livnat
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
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theses
OriginInfo
DateCreated (qualifier = exact)
2014
DateOther (qualifier = exact); (type = degree)
2014-10
CopyrightDate (encoding = w3cdtf)
2014
Place
PlaceTerm (type = code)
xx
Language
LanguageTerm (authority = ISO639-2b); (type = code)
eng
Abstract (type = abstract)
Finance and accounting research has recently focused on extracting the tone or sentiment of a document by using positive or negative words/phrases in the document. The first essay of this dissertation exploits the information content of qualitative data in addition to quantitative signals in selecting optimal portfolios. Using optimization techniques developed by Brandt, Santa-Clara, and Valkonov[2009], this essay shows that significantly higher returns can be obtained combining quantitative and qualitative data obtained from firms’ Management Discussion and Analysis sections of their Form 10-Q (10-K) SEC filings than just using quantitative signals. The second essay uses option market characteristics to examine the two leading explanations for the Post-Earnings-Announcement Drift (PEAD) anomaly. PEAD points towards an inexplicable inefficiency in the equity markets where traders seem to ignore the autocorrelations in extreme earnings surprises across adjacent quarters. By contrast, there is mounting evidence that option markets are very efficient. If so, there should be no PEAD like anomaly in the pricing of equity options. This essay tests this using a straddle strategy around earnings announcements and its empirical results indicate that option traders already incorporate the autocorrelation in extreme earnings surprises in option prices. It also uses the change in implied volatilities obtained from options prices immediately before and after the earnings announcements as risk metric to examine the risk premium hypothesis of PEAD. However, its findings favor the competing underreaction hypothesis, which assumes equity traders do not completely utilize the autocorrelations of earnings surprises. The third essay examines the potential explanations for the observed decline in the value relevance of earnings over the years by exploring the time-series change of information transfer. Specifically, it examines how the importance of information transfer itself changes over time and the time-series change in value relevance of earnings by industry. It shows that the decline in usefulness of earnings is not significant in all industries, although the decline is significant on average. It also indicates that the time-series change in the magnitude of information transfer is insignificant on average and for most industries, after controlling for the decline in the value relevance of earnings over time.
Subject (authority = RUETD)
Topic
Management
Subject (authority = ETD-LCSH)
Topic
Portfolio management
Subject (authority = ETD-LCSH)
Topic
Corporate profits
RelatedItem (type = host)
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Title
Rutgers University Electronic Theses and Dissertations
Identifier (type = RULIB)
ETD
Identifier
ETD_5728
PhysicalDescription
Form (authority = gmd)
electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
1 online resource (xiii, 114 p. : ill.)
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references
Note (type = vita)
Includes vita
Note (type = statement of responsibility)
by Sangsang Liu
RelatedItem (type = host)
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/T37M09JC
Genre (authority = ExL-Esploro)
ETD doctoral
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RightsDeclaration (ID = rulibRdec0006)
The author owns the copyright to this work.
RightsHolder (type = personal)
Name
FamilyName
Liu
GivenName
Sangsang
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime (encoding = w3cdtf); (qualifier = exact); (point = start)
2014-07-07 13:42:42
AssociatedEntity
Name
Sangsang Liu
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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ETD
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windows xp
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