Essays in Empirical Option,Stock,and Bond Pricing.
详细信息
文摘
This dissertation studies asset prices empirically in option,stock,and bond markets. Chapter 1 examines stock options in the context of stock-market momentum,dynamic (crash-resistant) momentum,and short-run reversals. In contrast to standard option-pricing theory,option prices are a function of past returns: relative to puts,calls become expensive when past returns predict high future returns and vice versa,indicating buying pressure to exploit predictability in the underlying. This price pressure varies with investor sophistication: sophisticated investors trade significantly on the momentum strategies,which supports a view of momentum as mispricing with favorable risk-reward trade-offs. Less sophisticated investors trade momentum and reversals,but not dynamic momentum. Despite its relation to past returns,option buying pressure predicts future stock returns separately from the analyzed strategies. In option markets,reversals are only profitable before transaction costs and dynamic momentum yields the highest profits after costs. Chapter 2 studies composite measures of stock-market liquidity which are calculated to capture the commonality across nine individual liquidity measures. As a stock characteristic,composite liquidity is priced cross-sectionally,and most individual measures are not priced in addition. While five-factor models with Pastor and Stambaugh (2003) or Sadka (2006) liquidity factors are insufficient to explain the returns of composite liquidity sorted portfolios,the liquidity factor developed in this paper describes the distribution of composite liquidity sorted returns well. Comparing composite liquidity characteristics and factor loadings,however,the characteristics bear the stronger relation to returns. Chapter 3 studies the effects of ETF holdings and trades on corporate bond prices and liquidity. ETF trades impact bond prices by around five basis points per $1 million traded,which is symmetric for buys and sells,and partially reverses after the trade. The study finds mixed results for corporate bond liquidity,studied around a natural experiment of exogenous changes in ETF holdings: effective spreads and Bao,Pan,and Wang's (2011) gamma are mostly increasing in ETF holdings. In contrast,trade-direction-indicator-variable regressions indicate that a negative relation between ETF holdings and the noninformation component of the spread dominates a small but positive relation with the information component of the spread.