Thesis (M. Phil.)--University of Hong Kong, 2010. / Includes bibliographical references (leaves 197-215). Also available in print.

Thesis (M.B.A.)--University of North Carolina Wilmington, 2009. / Title from PDF title page (February 17, 2010) Includes bibliographical references (p. 21)

Thesis (Ph. D.)--University of Texas at Austin, 2002. / Vita. Includes bibliographical references. Available also from UMI Company.

Thesis (M.B.A.)--University of Hong Kong, 1986.

Thesis (M. Phil.)--University of Hong Kong, 2002. / Includes bibliographical references (leaves 106-113).

published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

In recent years, the number of Chinese companies going public has grown significantly. Some of these companies have listed their shares locally in Shanghai and Shenzhen, while others have chosen a stock exchange with better access to international capital (e.g., Hong Kong). This thesis examines 1) the determinants of the firms’ choice regarding initial public offering (IPO) locations and 2) whether IPO locations might affect their subsequent performance. Our study focuses solely on firms in the real estate sector in which pre-IPO attributes as well as the underlying asset value can be identified and measured. Our dataset includes 29 Chinese real estate firms that have issued shares in Shanghai or Shenzhen and 28 Chinese firms with IPOs in Hong Kong during the period of 1992-2008. To explain their IPO location choice, the self-selection or signaling theory suggests that firms with higher quality would signal this information by issuing shares in Hong Kong. Given the more stringent listing requirements and better informational disclosure schemes in the Hong Kong market, if a firm has low quality, such information is more likely and quickly to be discovered in Hong Kong than in Mainland China. Therefore, it is costly for such firms to imitate good firms’ IPO location choice. Once the firms have been listed, the corporate governance literature suggests that firms listed in Hong Kong would demonstrate a greater performance increase than those listed in Mainland China, because Hong Kong has a mature system of information disclosure, analyst coverage, and law enforcement. We found that firms listed in Hong Kong achieved higher Return on Asset (ROA) than those listed in Mainland China. We then construct four proxies for firms’ unobserved quality based on ex post abnormal stock or profit returns after IPOs. We obtained support for the signaling and self-selection effects: firms having higher quality, non-state ownership, and larger leverage ratio were more likely to conduct IPOs in Hong Kong instead of in Mainland China. Also consistent with the signaling theory, we found that firms listed in Mainland China were more likely to use IPO underpricing as a signal for firm quality than firms listed in Hong Kong were. / published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy

published_or_final_version / abstract / Law / Doctoral / Doctor of Philosophy

published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy

This thesis presents three models of asset pricing involving non-competitive behavior and asymmetric information. In the first model, a risk averse investor with private information about dividends trades shares over an infinite time horizon with risk neutral uninformed agents. The informed investor trades strategically in equilibrium. The second model also involves an infinite time horizon, but all agents are risk averse and equally informed about dividends. Non-competitive behavior is exogenously specified; price takers trade shares with a strategic investor who accounts for the effects of her trades on the stock price. In this case, an endogenous information asymmetry arises in equilibrium. Closed form equilibria are derived for both models and implications for price dynamics are explored. While the first model constitutes a new extension of the multiperiod Kyle model of insider trading, the second model generates more interesting price dynamics. If the strategic investor manages a large mutual fund, significant risk premia and price volatility may arise in equilibrium. In fact, if mutual fund participation is sufficiently widespread, multiple equilibria may exist. The third model extends the multiperiod Kyle model to a case where the insider observes a noisy signal of the stock's terminal liquidation value. An equilibrium much like Kyle's is derived. Price tends toward value over time, and stock price volatility depends on both the drift and volatility of the insider's private signal. Like the Kyle model, the insider's trading activity leaves no detectable trace in trading volume, expected returns, or price volatility.