Three essays on information risk

This dissertation contains three essays. The first essay develops an information risk measure that is based on the price discovery of large trades. This is motivated by the observation that informed traders prefer to trade in large size, so the price discovery of large trades would yield a more pr...

Full description

Saved in:
Bibliographic Details
Main Author: Qian, Xiao Lin
Other Authors: Hwang Chuan Yang
Format: Theses and Dissertations
Language:English
Published: 2010
Subjects:
Online Access:https://hdl.handle.net/10356/20859
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English
id sg-ntu-dr.10356-20859
record_format dspace
spelling sg-ntu-dr.10356-208592024-01-12T10:11:13Z Three essays on information risk Qian, Xiao Lin Hwang Chuan Yang Nanyang Business School DRNTU::Business::Finance::Capital market This dissertation contains three essays. The first essay develops an information risk measure that is based on the price discovery of large trades. This is motivated by the observation that informed traders prefer to trade in large size, so the price discovery of large trades would yield a more precise measure of the information risk than would price discovery of small trades. As the price series of large trades and small trades are cointegrated, the price discovery of trades can be estimated via the vector error-correction model (VECM). Intuitively, we use VECM to study how a temporary gap between the large trade price and the small trade price of the same stock is going to be closed. If closing the gap is mostly done through the small trade price with little movement in the large trade price, the large trade price has been closer to the long-run equilibrium price, and the large trade price has a greater price discovery function for this stock. Using this new measure, we show that information risk is priced. The pricing impact of information risk is not a manifestation of liquidity effect as some have argued for the case of PIN. Moreover, it subsumes the pricing impact of both PIN and Amihud’s (2002) ILLIQ. DOCTOR OF PHILOSOPHY (NBS) 2010-01-27T04:27:48Z 2010-01-27T04:27:48Z 2010 2010 Thesis Qian, X. L. (2010). Three essays on information risk. Doctoral thesis, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/20859 10.32657/10356/20859 en 161 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Capital market
spellingShingle DRNTU::Business::Finance::Capital market
Qian, Xiao Lin
Three essays on information risk
description This dissertation contains three essays. The first essay develops an information risk measure that is based on the price discovery of large trades. This is motivated by the observation that informed traders prefer to trade in large size, so the price discovery of large trades would yield a more precise measure of the information risk than would price discovery of small trades. As the price series of large trades and small trades are cointegrated, the price discovery of trades can be estimated via the vector error-correction model (VECM). Intuitively, we use VECM to study how a temporary gap between the large trade price and the small trade price of the same stock is going to be closed. If closing the gap is mostly done through the small trade price with little movement in the large trade price, the large trade price has been closer to the long-run equilibrium price, and the large trade price has a greater price discovery function for this stock. Using this new measure, we show that information risk is priced. The pricing impact of information risk is not a manifestation of liquidity effect as some have argued for the case of PIN. Moreover, it subsumes the pricing impact of both PIN and Amihud’s (2002) ILLIQ.
author2 Hwang Chuan Yang
author_facet Hwang Chuan Yang
Qian, Xiao Lin
format Theses and Dissertations
author Qian, Xiao Lin
author_sort Qian, Xiao Lin
title Three essays on information risk
title_short Three essays on information risk
title_full Three essays on information risk
title_fullStr Three essays on information risk
title_full_unstemmed Three essays on information risk
title_sort three essays on information risk
publishDate 2010
url https://hdl.handle.net/10356/20859
_version_ 1789482920268791808