This thesis tests for seasonal anornalies and daily predictability on the UK stock market and investigates how mispricing caused by the bid-ask spread, known as the 'touch' and nonsynchronous trading in portfolio returns may explain these anomalies. By using constructed portfolios within a th-ne-series regression framework, I show that seasonality, in the first instance, is prominent in returns around the turn of the week and the turn of the year. However, this seasonal returns behaviour disappears when the touch is accounted for. Indeed, seasonality seerns to occur in the touch rather than returns. Despite this touch explanation, lagged returns remain significant, suggesting return predictability. In fact, when using a price adjustment model returns are predictable across portfolios. This predictability, while to some extent dependent upon firm size and the touch, may be accounted for by nonsynchronous trading. First-order autocorrelation and cross-autocorrelation found in returns proves more indicative of infrequent trading than return predictability. Thus, these results confirm that mismeasurernent in portfolio returns caused by market microstructure and nonsynchronous trading can create false inferences about the extent of stock market anornalies in the UK and subsequently, market efficiency.

法拍屋市場已成為台灣重要的購屋管道之一，然而房地產為異質商品，其價格受到品質差異的影響很大。其中法拍屋底價的訂定方式和一般房屋不同：拍賣底價由公定房屋估價人員根據區域資料使用特徵價格理論方法先訂出初估價格，再與債權人、債務人三方協商討論而訂定。故本論文加入「定價偏誤」因子，以特徵價格模型探究民國八十九年至九十一年間影響台北縣市法拍屋拍定價格的各項因素及影響程度，並得出如下之結論: 1.影響台北縣市法拍屋拍定價格的顯著因子及影響幅度為:定價折價程度(影響幅度0.9798%)、總建物面積(影響幅度0.4709%)、土地持分價格(影響幅度0.4838%)、拍次(隱含價格-17.0308萬元)、競標人數(隱含價格7.611萬元)、房屋現況(非空屋)(隱含價格-18.950萬元)、房屋現況(出租)(隱含價格40.501萬元)、車位(隱含價格80.772萬元)、點交(隱含價格8.8073萬元)、建材(隱含價格69.748萬元)、建物型態(一樓) (隱含價格648.856萬元)、建物型態(大樓) (隱含價格674.94萬元)、建物型態(公寓) (隱含價格464.385萬元)、建物型態(透天) (隱含價格516.971萬元)、房價指數(隱含價格-8.888萬元)、區位變數(台北市) (隱含價格80.429萬元)。 2.分別比較台北縣市法拍屋資料，可以發現持分土地價格(+)、競標人數(+)、車位有無(+)、是否點交(+)對台北市法拍屋拍定價格影響較大;而總建物面積(+)、拍次(-)、建材(+)、建物型態、房價指數(-)對台北縣拍交價格影響則較大。 / Real estate properties are real assets that can produce goods and service in the economy. Among them, the foreclosure market has become an imperative means to acquiring a house. The auction market in Taiwan is composed of non-performing assets. They’ll have a discount up to 20% in every action. Is this a really good target to invest? In fact, houses are heterogeneity assets; they can only be estimated correctly by controlling of variables such as location variables and the physical condition of the property. Moreover, the listing price of foreclosure is quite different from that of an ordinary house. It is first calculated by appraisers, and the final listing price is obtained by the negotiation of the court, creditor and debtor. Thus, there could be mispricing of list price, and this mispricing is expected to have an impact on the selling price. This study applies Hedonic model and uses data from year 2000 to 2002 of Taipei City and Taipei County to examine the effect of these physical and foreclosure elements on the selling price of foreclosure and thus reach the following conclusions: 1.All the foreclosure and physical condition variables are remarkable in our sample, as well as the location variable. They are degree of underpricing, total building area, holding land price, the bid times, numbers of bidders, current status of this building, parking space, situation of handing over item by item, building material, object type, housing price index and location. 2.It shows that holding land price(+),numbers of bidders(+),parking space(+),situation of handing over item by item(+) have greater influence on the foreclosure selling price in Taipei city while total area(+),number of auctions(-), material used(+),object type, and housing price index(-) weight more on the selling price in Taipei county.

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Yes / Based on a reduced-form model of credit risk, we explore mispricing in the CDS spreads of North American companies and its economic content. Specifically, we develop a trading strategy using the model to trade out of sample market-neutral portfolios across the term structure of CDS contracts. Our empirical results show that the trading strategy exhibits abnormally large returns, confirming the existence and persistence of a mispricing. The aggregate returns of the trading strategy are positively related to the square of market-wide credit and liquidity risks, indicating that the mispricing is more pronounced when the market is more volatile. When implemented on the Markit data, the strategy shows significant economic value even after controlling for realistic transaction costs.

[pt] Esta dissertação documenta o volume negociado dos contratos futuros sobre nove commodities agropecuárias negociadas na Bolsa de Mercadorias e Futuros (BM&F), entre dezembro de 1999 e dezembro de 2003. A análise identifica as commodities mais negociadas e, a partir daí, estuda a formação dos preços futuros do boi gordo e do milho. O trabalho mostra como usar a crise brasileira de 2002 para identificar o impacto de custos de transação e expectativas de crise sobre os preços futuros do boi gordo e do milho. / [en] This work documents the trade volume of nine agricultural futures contracts negotiated on the Bolsa de Mercadorias e Futuros (BM&F), between December of 1999 and December of 2003. The analysis identifies the most traded commodities and, then, studies the formation of futures prices of live cattle and corn. The work shows how to use the Brazilian currency crisis of 2002 to identify the impact of storage costs and crisis expectations on the futures prices of live cattle and corn.

For the past half a century, there has been progressive development in corporate finance theories, and among these, corporate financial decisions have been attracting the attention of outsiders. As the outsiders¡¦ learning process of the firm¡¦s private information determines the firm¡¦s value, managers who are concerned with outsiders¡¦ perceptions of their firms try to enhance their firms¡¦ short-term reputation through their financial decisions. However, up to this date, few reputation models have been applied to predict these financial decisions. Three corporate finance issues are involved to identify the reputation effects on corporate finance: (1) convertible bond call policies, (2) IPO decisions and activities, and (3) corporate financing policies. As for the first issue, this study constructs a two-period reputation model of a convertible bond call policy. This model concludes that in equilibrium, a firm with bad management quality and a bad reputation chooses to call, while a firm with good management quality or of a good reputation builds up it reputation by not calling the convertible bonds. This is consistent with the signaling theory proposed by Harris and Raviv (1985). However, the reputation model here identifies the call policy as a reputation-building mechanism rather than being only a signaling role, and suggests that the reputation rents resolve the discrepancies of the stock¡¦s post-call price performance. As for the IPO decisions and activities, this study performs another reputation model to analyze a firm¡¦s reputation effects on IPO activities, especially on the decision to go public. The results yield that a firm¡¦s reputation does affect its decision to go public. By listing equities publicly, firms with good management quality and a solid past would anticipate enhancing their reputations, and those with a poor past would anticipate building up good names. Furthermore, good reputation firms with bad management quality would anticipate maintaining their reputations by going public. On the other hand, it is found that good firms over-invest in building up their reputations and bad firms take advantage of their reputations to go public. Both result in firms¡¦ over-going public and IPO mispricing. This constitutes an alternative interpretation on IPOs¡¦ long-run underperformance and the sharp decline of the survival rate. As for the corporate financing policies, the other reputation model is constructed by taking both determinants, the costs of financial distress as well as the firm¡¦s reputation into consideration. The results show that good management quality firms with good reputations enjoy their financial flexibility between debt and equity. Bad management quality firms take advantage of their good names to issue equities, which leads to over investment. Good management firms lose their financial accesses due to bad reputations, which lead to under investment. Reputations would screen the bad management quality firms with bad reputations off the market. This dissertation concludes that reputations indeed affect the three selected corporate financial decisions and suggests further plow on more corporate finance issues.

In this study, I investigate the effect of auditor-provided tax services (ATS) on firms’ levels of book-tax differences and investors’ mispricing of book-tax differences. The joint provision of audit and tax services has been a controversial issue among regulators and academic researchers. Evidence on whether ATS improve or impair the overall accounting quality is inconclusive as a result of the specific testing circumstances involved in different studies. Book-tax differences capture managers’ earnings management and/or tax avoidance intended to maximize reported financial income and to minimize tax expense. Therefore, my first research question investigates whether ATS improve or impair audit quality by examining the relation between ATS and firms’ levels of book-tax differences. My results show that ATS are negatively related to book-tax differences, suggesting that ATS improve the overall audit quality and reduce aggressive financial and/or tax reporting. My second research question examines whether the improved earnings quality for firms acquiring ATS leads to reduced mispricing of book-tax differences among investors. Recent studies document that despite the rich information about firms’ future earnings contained in book-tax differences, investors process such information inefficiently, leading to systematic pricing errors among firms with large book-tax differences. My empirical evidence indicates that ATS mitigate such mispricing, with pricing errors being lower among firms acquiring ATS compared with firms without ATS. Collectively, these results support the notion that ATS improve audit quality through knowledge spillover. Moreover, the improved earnings quality among firms acquiring ATS in turn helps reduce investors’ mispricing of book-tax differences.

本文著重在探討現股放空限制與交易成本對期貨錯價之影響。以門檻自我迴歸與續航門檻自我迴歸模型分析期貨錯價之非線性過程，我們發現錯價有回歸平均(mean reversion)的現象。當期貨錯價為正時(套利策略為買現貨賣期貨)，交易量對錯價影響為負；但若期貨錯價為負(套利策略為賣現貨買期貨)，考慮到昂貴的放空成本(costly short sell hypothesis)，交易量對錯價的影響將是較不明確的。 / This article highlights the impact of short selling restrictions and trading costs on the relation on futures mispricing error. Within threshold autoregression model (TAR) and momentum threshold autoregressive model (M-TAR), the influence of optimal arbitrage trading on the mispricing is analyzed. Results concerning trading volume and level, mean reversion in mispricing error, and the model which describes mispricing process better. The empirical evidence suggests that trading costs and short selling costs are influential factors for the mispricing behavior. Moreover, the futures trading volume affects mispricing level significantly.

This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during two sub-periods characterised by different market trading systems employed by the LSE and LIFFE. The empirical work is carried out using three approaches to econometric modeling: a basic VECM for spot and futures prices, a VECM extended with a DCCTGARCH framework to account for the conditional variance-covariance structure for spot and futures prices and a threshold VECM to capture regime-dependent spot-futures price dynamics. Overall, both the basic VECM and the DCC-TGARCH analysis suggest that there are deviations from the cost of carry relationship in the first sub-sample when transactions costs in both markets are relatively high but that the cost of carry relationship tends to be valid in the second sub-sample when transactions costs are lower. This is further confirmed by the evidence of higher conditional correlations between the two markets in the second sub-sample as compared with the first, using the DCC-TGARCH analysis. This implies that the no-arbitrage cost of carry relationship between spot and futures markets is more effectively maintained by index arbitrageurs in the second period when market conditions are closer to perfect market assumptions, and hence the cost of carry model could be more reasonably used as a benchmark for pricing stock index futures. The threshold VECM analysis depicts regime-dependent price dynamics between FTSE100 spot and futures markets and leads to some interesting and important findings: arbitrage may not be practicable under some market conditions, either because it is difficult to find counterparties for the arbitrage transactions, or because there is significant risk associated with arbitrage; as a result, the cost of carry model may not always be suitable for pricing stock index futures. Furthermore, the threshold values yielded from estimating the threshold VECM reflect the average transaction costs for most arbitrageurs that are more reliable and fair than subjective estimations.