Essays on financial market imperfections
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2007.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2007
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| Online Access: | http://hdl.handle.net/1721.1/39721 |
| _version_ | 1826214213431853056 |
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| author | Wu, Ding, Ph. D. Massachusetts Institute of Technology |
| author2 | Olivier J. Blanchard and Jiang Wang. |
| author_facet | Olivier J. Blanchard and Jiang Wang. Wu, Ding, Ph. D. Massachusetts Institute of Technology |
| author_sort | Wu, Ding, Ph. D. Massachusetts Institute of Technology |
| collection | MIT |
| description | Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2007. |
| first_indexed | 2024-09-23T16:01:33Z |
| format | Thesis |
| id | mit-1721.1/39721 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T16:01:33Z |
| publishDate | 2007 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/397212019-04-12T09:35:15Z Essays on financial market imperfections Wu, Ding, Ph. D. Massachusetts Institute of Technology Olivier J. Blanchard and Jiang Wang. Massachusetts Institute of Technology. Dept. of Economics. Massachusetts Institute of Technology. Dept. of Economics. Economics. Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2007. Includes bibliographical references. This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance - the momentum anomaly. Properly adjusting stock returns for adverse selection by using data on trading volume substantially mitigates momentum-based arbitrage profits for the sample period from 1983 to 2004. Chapter 2 studies how information asymmetry prevents perfect risk-sharing and offers insights on stock return behavior. Chapter 3 explores the idea of Tobin's tax in the context of an emerging market and in particular examines the cost effects on speculation in the Chinese stock market. by Ding Wu. Ph.D. 2007-12-07T16:12:39Z 2007-12-07T16:12:39Z 2007 2007 Thesis http://hdl.handle.net/1721.1/39721 180191899 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 130 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | Economics. Wu, Ding, Ph. D. Massachusetts Institute of Technology Essays on financial market imperfections |
| title | Essays on financial market imperfections |
| title_full | Essays on financial market imperfections |
| title_fullStr | Essays on financial market imperfections |
| title_full_unstemmed | Essays on financial market imperfections |
| title_short | Essays on financial market imperfections |
| title_sort | essays on financial market imperfections |
| topic | Economics. |
| url | http://hdl.handle.net/1721.1/39721 |
| work_keys_str_mv | AT wudingphdmassachusettsinstituteoftechnology essaysonfinancialmarketimperfections |