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Essays in Finance
Başlık:
Essays in Finance
Yazar:
Planchon, Jade, author.
ISBN:
9780355984019
Yazar Ek Girişi:
Fiziksel Tanımlama:
1 electronic resource (62 pages)
Genel Not:
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Advisors: Thomas H. McInish Committee members: David M. Kemme; Christopher Neely; Sabatino Silveri.
Özet:
This dissertation presents two papers that examine fixed income shorting during periods of unconventional monetary policy. Specifically, I explore whether shorts predicted Federal Reserve policy following the financial crisis as well as their reactions following Fed announcements of large scale asset purchases of Treasuries and agencies.
Essay 1 studies short selling during periods of unconventional monetary policy. In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce long-term interest rates. I investigate the behavior of shorts, considered sophisticated investors, before Fed announcements that were not fully anticipated in spot bond markets. Short interest in Treasury and agency securities declined prior to expansionary surprises, indicating shorts anticipated these news, and declined further after these announcements. The failure of shorts to reinstitute their positions after the last purchase announcement confirms that the Fed convinced sophisticated investors that interest rates would remain low.
Essay 2 extends the work of Cohen, Diether, and Malloy (Journal of Finance, 2007), who find that shifts in the demand curve predict negative stock returns, to examine changes in supply and demand at the time of Fed announcements. I show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing. A reduction in quantity demanded at all points along the demand curve predicts expansionary quantitative easing announcements.
Notlar:
School code: 1194
Konu Başlığı:
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Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
XX(679233.1) | 679233-1001 | Proquest E-Tez Koleksiyonu | Arıyor... |
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