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handle: 11245/1.317637
This thesis is composed by three articles in seemingly unrelated fields. The first article is exploring the effects of short-sales constraints on the delay of information incorporation into stock prices. The second one is estimating the risk and risk-adjusted return of private equity funds. The last one is investigating whether stock price behaviors are temporarily different around the so-called price barriers. Although the topics are not connected, the methodologies are centered on a classical issue in empirical finance, the market beta. For short-sales constraints, the lagged market beta is used as a barometer to evaluate the price delays of stocks caused by the policy. For private equity funds, their beta is estimated by our new GMM-style methodology. In the last paper, we use the change of the contemporaneous beta to detect the price barriers and then evaluate the barrier effects.
citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | 0 | |
popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network. | Average | |
influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Average | |
impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Average |