Thesis (Ph. D.)--Drexel University, 2004. / Includes abstract and vita. Includes bibliographical references (p. 74-78).

Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 173-178). Also available on the Internet.

Inaug. diss.-Würzburg. / "Benützte werke, broschüren, statistiken tisw.": 1 p. facing p. 1.

Thesis (Ph. D.)--University of Washington, 2001. / Vita. Includes bibliographical references (leaves 94-100).

Thesis (M. Econ..)--University of Hong Kong, 2001. / Includes bibliographical references.

Thesis (Ph. D.)--Institute of Paper Chemistry, 1937. / Includes bibliographical references (leaves 155-159).

Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 173-178). Also available on the Internet.

Thesis (Ph. D.)--University of Washington, 2002. / Vita. Includes bibliographical references (leaves 132-145).

 This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group. / published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

This paper explores a new data set of the profit alerts from electronic disclosure in the Hong Kong Stock Exchange website from 25th June 2007 to 30th June 2013 in view of the potential day-of-the-week effects in terms of Cumulative Abnormal Returns (CAR) anomalies in Fridays and Mondays due to behavioral biases such as limited attention, under-reaction and over-reaction. A novel approach of hypothesis testing that combines a hypothetical portfolio for a representative informed trader of the CAR anomalies and a trading strategy back-tested with past data with special reference to the limits of arbitrage by incorporating institutional factors such as short sales constraints imposed by stock exchange refutes the conjecture that there are such tradable anomalies with measurable economic significance without relying on unstable parameters in traditional hypothesis testing and arbitrary interpretation of statistical significance. In the absence of reliable frame of reference by the problem nature, the study investigates the methodological issues of anomalies, expectations, information, externalities, efficiency, and so on, in economics and finance with new perspectives and insights from other disciplines including physics, biology, psychology and philosophy. Keywords: profit alerts, day-of-the-week effects, Friday, Monday, anomalies, behavioral biases, attention, inattention, under-reaction, over-reaction, methodology, limits of arbitrage, short sales constraints, frame of reference, expectations, Rational Expectations, Efficient Market Hypothesis Least Action Principle, evolutionary, Adaptive Markets Hypothesis, market ecology, ever-changing cycles, corporate governance, information, externalities, efficiency, beliefs, knowledge, decision-making, uncertainty, equilibrium, disequilibrium. / published_or_final_version / Economics and Finance / Master / Master of Economics