Vasios, Michail (2013) Essays in empirical finance and econometrics. PhD thesis, University of Warwick.

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Abstract

This thesis consists of three essays and aims to deepen our understanding of agent's actions in financial markets at different aggregation levels and using various data.

In the first essay, we analyse the trades of brokers in a non-anonymous market. Specifically, we explore the information context of broker identities and how their disclosure can be exploited by other investors. Using data from the Helsinki Stock Exchange we form dynamic mean-variance strategies with daily rebalancing which condition on the net flow of brokers. We find that investors can benefit from knowing who trades compared to a portfolio that disregards this information. We demonstrate a link between the information content of broker order flow and the sophistication of their clients.

In the second essay, we investigate the forecasts of sell-side analysts. We use banking sector news to proxy for the severity of career concerns and examine their impact on analysts' tendency to make bold forecasts. We show that analysts follow the consensus forecast more closely when the prospects of the banking sector are negative. The more established analysts, in terms of reputation and experience, are generally unaffected by banking news. In contrast, their less established peers cluster their forecasts near the consensus after negative news for banks.

In the last essay, we are interested in the estimation of the covariation matrix of equity prices in the presence of market microstructure noise and non-synchronous trading. We base our analysis on a simple framework that derives separate pooled OLS regressions from other well-known estimators, whose byproducts are the integrated variance and covariance, and noise components. A comprehensive simulation study shows that our estimator is very precise and out-performs other widely applied estimation techniques. A similar picture emerges when we use historical data. Finally, we document the association of the noise component with liquidity frictions.

Item Type:	Thesis or Dissertation (PhD)
Subjects:	H Social Sciences > HG Finance
Library of Congress Subject Headings (LCSH):	Money market, Brokers
Official Date:	August 2013
Dates:	Date Event August 2013 Submitted
Institution:	University of Warwick
Theses Department:	Warwick Business School
Thesis Type:	PhD
Publication Status:	Unpublished
Supervisor(s)/Advisor:	Nolte, Ingmar ; Payne, Richard, 1970-
Sponsors:	Economic and Social Research Council (Great Britain) ; Warwick Business School
Extent:	xiii, 236 leaves : charts
Language:	eng

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