Please use this identifier to cite or link to this item:
|Title:||THREE ESSAYS ON FINANCIAL MARKETS|
|Abstract:||This thesis includes three essays that examine the effects of important events on the financial markets. The first two essays study the market impact of a very successful financial innovation – the SPDR Gold Trust exchange-traded fund (GLD). I find that after the introduction of GLD, the liquidity of gold company stocks declined, and their adverse-selection risk increased. Over the two-month period after GLD's introduction, the stocks' relative effective bid-ask spreads increased by over 15%, while their adverse-selection cost, as measured by the price impact of trades, went up by more than 30%. Gold stocks also experienced significant negative abnormal returns (-12% on average) in the month after GLD started trading. My findings suggest that GLD attracted traders, especially uninformed traders, away from gold company stocks. My results show that existing securities can be seriously adversely affected when a new security enters the market. The third essay studies the effect of unionization on unsecured corporate creditors by testing the price reaction of publicly-traded bonds to union certification elections. I and my co-authors gather data on union elections covering several decades and employ a regression discontinuity design to identify the effect of worker unionization on bondholders’ wealth. We find that closely-won union elections lead to a 200 (500) basis points greater decline in bond cumulative abnormal returns than closely-lost elections during the 3-month (12-month) post-election window. However, unionization does not lead to poorer firm performance or higher default risk. Critically, the results show that unionization is associated with longer proceedings in bankruptcy court, with more bankruptcy emergences and subsequent refilings, and with higher fees and expenses paid to lawyers and financial experts in court. All of the costs diminish corporate asset values, aggravating bondholders’ losses.|
|Appears in Collections:||Open Access Dissertations and Theses|
Files in This Item:
|Zhang_Yue_201603_PhD_Finance.pdf||Thesis||1.96 MB||Adobe PDF||View/Open|
Items in MacSphere are protected by copyright, with all rights reserved, unless otherwise indicated.