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Three essays on accounting information and financial derivatives

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TitleInfo
Title
Three essays on accounting information and financial derivatives
Name (type = personal)
NamePart (type = family)
Li
NamePart (type = given)
Yubin
NamePart (type = date)
1988-
DisplayForm
Yubin Li
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)
Sarath
NamePart (type = given)
Bharat
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Bharat Sarath
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Advisory Committee
Role
RoleTerm (authority = RULIB)
internal member
Name (type = personal)
NamePart (type = family)
Zhang
NamePart (type = given)
Li
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Li Zhang
Affiliation
Advisory Committee
Role
RoleTerm (authority = RULIB)
internal member
Name (type = personal)
NamePart (type = family)
Chidambaran
NamePart (type = given)
Nemmara K.
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Nemmara K. Chidambaran
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Advisory Committee
Role
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outside member
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NamePart
Rutgers University
Role
RoleTerm (authority = RULIB)
degree grantor
Name (type = corporate)
NamePart
Graduate School - Newark
Role
RoleTerm (authority = RULIB)
school
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Text
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theses
OriginInfo
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2015
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2015-10
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2015
Place
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xx
Language
LanguageTerm (authority = ISO639-2b); (type = code)
eng
Abstract (type = abstract)
My dissertation comprises of three essays: 1) Accounting information and financial derivatives: a literature review 2) The Effect of Option Transaction Costs on Informed Trading in the Option Market around Earnings Announcements; and 3) The Effects of Credit Default Swaps trading on Analyst Forecast Properties. The first essay surveys the previous researches on accounting information and financial derivatives. The financial derivate instruments we mainly focus on are stock option and credit default swaps. Then we also identify some research gaps for future research. The second essay investigates the effect of transaction costs related to trading options on the directional and volatility informed trading in the option market. We find that both forms of informed trading are significantly stronger among firms with lower option bid-ask spread. Importantly, the effect of transaction costs is significant around earnings announcements, but not significant (on average) around randomly chosen dates with no events of consequence. This suggests that transaction costs play a particularly important role during information intensive periods. Trading strategies based on directional informed trading and option transaction costs earn monthly abnormal returns of 1.39% to 1.91%. The third essay investigates whether the initiation of credit default swaps (CDSs) trading can affect analysts' forecast properties. Using a difference-in-difference research design, we find that the onset of CDS trading help analysts to increase forecast accuracy, which is consistent with notion that a new financial market facilitate information discovery and dissemination. This effect is more pronounced for firms with greater information asymmetry and higher leverage. We also find that CDS initiation can depress analysts' strategic forecast optimism. Relying on several proxies for analysts' strategic optimism, we find that the depressing effect is more pronounced for subsamples with higher optimism level. In addition, we find that the depressing effect is stronger when bad news is realized ex post in the earnings announcement date.
Subject (authority = RUETD)
Topic
Management
RelatedItem (type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
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ETD
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ETD_6650
PhysicalDescription
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electronic resource
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application/pdf
InternetMediaType
text/xml
Extent
1 online resource (viii, 116 p. : ill.)
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references
Subject (authority = ETD-LCSH)
Topic
Derivative securities
Subject (authority = ETD-LCSH)
Topic
Swaps (Finance)
Note (type = statement of responsibility)
by Yubin Li
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/T30P121N
Genre (authority = ExL-Esploro)
ETD doctoral
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The author owns the copyright to this work.
RightsHolder (type = personal)
Name
FamilyName
Li
GivenName
Yubin
Role
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RightsEvent
Type
Permission or license
DateTime (encoding = w3cdtf); (qualifier = exact); (point = start)
2015-08-11 08:24:22
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Name
Yubin Li
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Rutgers University. Graduate School - Newark
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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.
RightsEvent
DateTime (encoding = w3cdtf); (qualifier = exact); (point = start)
2015-10-31
DateTime (encoding = w3cdtf); (qualifier = exact); (point = end)
2017-10-30
Type
Embargo
Detail
Access to this PDF has been restricted at the author's request. It will be publicly available after October 30th, 2017.
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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