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...

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Main Author: Dong, Yi
Other Authors: Charlie Charoenwong
Format: Theses and Dissertations
Language:English
Published: 2012
Subjects:
Online Access:https://hdl.handle.net/10356/50575
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Institution: Nanyang Technological University
Language: English
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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
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