Three Essays in Capital Market Studies

• Author / Creator

  Wu, Haibin

• 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.

• Subjects / Keywords

  • Capital market

• Graduation date

  Fall 2014

• Type of Item

  Thesis

• Degree

  Doctor of Philosophy

• DOI

  https://doi.org/10.7939/R3Z60C817

• 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.