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Three essays on financial markets and institutional investors

  • Author / Creator
    Phillips, Blake
  • Chapter 2 undertakes a new investigation of the potential for options to mitigate short sale constraints, conducing two event studies which examine 1732 option introductions and the differential effect of the 2008 short sale ban on optioned and non-optioned stocks. I find option introduction mitigates 79% of the price adjustment efficiency disparity between short sale constrained and unconstrained stocks in relation to negative news. I also find evidence that negative information was incorporated more freely into optioned stocks during the short sale transaction ban of financial sector stocks. These results collectively suggest that in the presence of binding short sale constraints, options act as an effective substitute to short sales, significantly contributing to the informational efficiency of the market. In Chapter 3 we examine the determinants of success of foreign cross-listings in the U.S. using cumulative returns surrounding the cross-listing event and liquidity on the U.S. exchange as joint metrics of success. We find that the post-listing liquidity and valuation benefits of cross-listings are crucially dependent both on prior home-market success and on U.S. institutional holdings in the cross-listing quarter. Stocks with greater institutional ownership upon cross-listing see more liquid U.S. trading. Additionally, firms with a higher abnormal price run-up in the year prior to cross-listing and firms that see more liquid domestic trading enjoy greater post-listing liquidity in the U.S. Chapter 4 examines the asset allocation decisions of mutual fund investors, focusing on flight to quality considerations. Using the default spread, term spread and short term interest rate as proxies for economic conditions, we find that an expected improvement (deterioration) in Canadian economic conditions causes investors to direct flow away from (towards) fixed income-type funds and towards (out of) equity based funds. For example, a one standard deviation increase in the term spread (1.13%) results in an 84% increase and a 74% decrease in the percentage of flow directed at Canadian equity and money market funds respectively, relative to the previous month.

  • Subjects / Keywords
  • Graduation date
    2009-11
  • Type of Item
    Thesis
  • Degree
    Doctor of Philosophy
  • DOI
    https://doi.org/10.7939/R3MS58
  • License
    This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.
  • Language
    English
  • Institution
    University of Alberta
  • Degree level
    Doctoral
  • Department
    • School of Business
  • Supervisor / co-supervisor and their department(s)
    • Vikas Mehrotra, Finance and Management Science
    • Aditya Kaul, Finance and Management Science
  • Examining committee members and their departments
    • Martin Luckert, Rural Economy
    • David McLean, Finance and Management Science
    • Susan Christoffersen, Finance