Three essays on information intermediaries in the financial market
This dissertation includes three essays. The first essay investigates the relation between a firm‟s visibility in blog spaces, termed blog exposure, and the cross-sectional stock returns. I show that blog exposure is fundamentally different from the traditional media coverage, and securities with lo...
Saved in:
Main Author: | |
---|---|
Other Authors: | |
Format: | Theses and Dissertations |
Language: | English |
Published: |
2012
|
Subjects: | |
Online Access: | https://hdl.handle.net/10356/50575 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |
id |
sg-ntu-dr.10356-50575 |
---|---|
record_format |
dspace |
spelling |
sg-ntu-dr.10356-505752024-01-12T10:12:34Z Three essays on information intermediaries in the financial market Dong, Yi Charlie Charoenwong Nanyang Business School DRNTU::Business::Finance This dissertation includes three essays. The first essay investigates the relation between a firm‟s visibility in blog spaces, termed blog exposure, and the cross-sectional stock returns. I show that blog exposure is fundamentally different from the traditional media coverage, and securities with low blog exposure earn higher returns than stocks with high blog exposure. Contrary to traditional media coverage, the return premium associated with blog exposure cannot be explained by either the illiquidity hypothesis or the investor recognition hypothesis based on rational agent framework. Instead, the results suggest that blog effect can be attributed to the limited attention theory and cannot be arbitraged due to investors‟ self attribution and short-sales constraints. I document the blog based abnormal return is due to mis-pricing which will reverse later, not compensation for risk factor. This work points out the importance of blogs in information dissemination, especially for the stocks with limited attention. DOCTOR OF PHILOSOPHY (NBS) 2012-07-05T01:21:44Z 2012-07-05T01:21:44Z 2012 2012 Thesis Dong, Y. (2012). Three essays on information intermediaries in the financial market. Doctoral thesis, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/50575 10.32657/10356/50575 en 117 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 |
spellingShingle |
DRNTU::Business::Finance Dong, Yi Three essays on information intermediaries in the financial market |
description |
This dissertation includes three essays. The first essay investigates the relation between a firm‟s visibility in blog spaces, termed blog exposure, and the cross-sectional stock returns. I show that blog exposure is fundamentally different from the traditional media coverage, and securities with low blog exposure earn higher returns than stocks with high blog exposure. Contrary to traditional media coverage, the return premium associated with blog exposure cannot be explained by either the illiquidity hypothesis or the investor recognition hypothesis based on rational agent framework. Instead, the results suggest that blog effect can be attributed to the limited attention theory and cannot be arbitraged due to investors‟ self attribution and short-sales constraints. I document the blog based abnormal return is due to mis-pricing which will reverse later, not compensation for risk factor. This work points out the importance of blogs in information dissemination, especially for the stocks with limited attention. |
author2 |
Charlie Charoenwong |
author_facet |
Charlie Charoenwong Dong, Yi |
format |
Theses and Dissertations |
author |
Dong, Yi |
author_sort |
Dong, Yi |
title |
Three essays on information intermediaries in the financial market |
title_short |
Three essays on information intermediaries in the financial market |
title_full |
Three essays on information intermediaries in the financial market |
title_fullStr |
Three essays on information intermediaries in the financial market |
title_full_unstemmed |
Three essays on information intermediaries in the financial market |
title_sort |
three essays on information intermediaries in the financial market |
publishDate |
2012 |
url |
https://hdl.handle.net/10356/50575 |
_version_ |
1789482947341975552 |