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Three Essays in Capital Market Studies Open Access


Other title
Capital market
Type of item
Degree grantor
University of Alberta
Author or creator
Wu, Haibin
Supervisor and department
Lee, Jason (Business)
Examining committee member and department
Cheng, Qiang (Business)
Jamal, Karim (Business)
Huang, Haifang (Economics)
Wier, Heather (Business)
McLean, David (Business)
Faculty of Business
Date accepted
Graduation date
Doctor of Philosophy
Degree level
This thesis consists of three archival studies in capital markets. The introductory chapter briefly summarizes the literature, motivation, research methodology, and main findings in each study. Chapter 2 examines the differential trading activities of small traders (i.e., traders initiating small trades) and large traders (i.e., traders initiating large trades) around earnings announcements by focusing on the effect of sentiment, earnings surprises and firm size. I find that abnormal trading volume is significantly lower in high sentiment periods for small traders, but not for large traders. Both small and larger traders are found to respond more strongly to positive earnings surprises than to negative earnings surprises, and small traders exhibit weaker responses to negative earnings surprises. Finally, small traders trade more actively on small firms, while large traders trade more actively on large firms. Chapter 3 examines when small and large traders use momentum or contrarian trading strategies based on stock returns over the last five years. I find that small traders tend to use contrarian trading strategies based on past year’s stock returns, but use momentum trading strategies based on longer horizon returns. Large traders are momentum traders based on past year’s stock returns and contrarian traders based on longer horizon returns, though the effects on large traders are not significant. Furthermore, small and large traders tend to sell past year’s losers in December, consistent with tax avoidance loss selling or window dressing. In Chapter 4, I examine how financial statement comparability affects corporate investment-cash sensitivity. Building on prior studies, I hypothesize that comparability alleviates the sensitivity of investment to cash, and this effect should be more pronounced in financially constrained firms. The empirical results confirm these conjectures.
Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.
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