An empirical study on anomalies in China's stock market

This thesis conducts empirical studies on China's stock market using contemporary financial theories in order to explain the anomalies in China's stock market and then put forward some policy implications on the basis of the empirical research findings. The thesis consists of seven chapters. In addition to providing a brief introduction to the relationship between stock market development and economic growth. Chapter 1 describes several anomalies occurring in the international stock markets and sets up a research framework for the thesis to further study. Chapter 2 is a literature review. It reviews major contemporary theories or hypotheses related to initial public offerings (IPOs) underpricing, long-run underperformance and asset pricing characteristics. Chapter 3 is a general description of China's stock market development, which offers an institutional background such as IPOs system and stock market structure. Chapters 4, 5 and 6 conduct empirical studies using data from China's stock market. In Chapter 4, using cross sectional regression, I examine whether short run underpricing exists in China's stock market and the validity of a series of theories used in explaining this phenomenon. In Chapter 5, based on standard event study methodology, I investigate whether long-run underperformance of IPOs exists in China's stock market, and to what extent. In Chapter 6, according to Fama-MacBeth approach, I build a univariant model to examine whether Capital Asset pricing Model and Fama-French Three-Factor Model hold in China's stock market, and lo analyse empirically the asset pricing characteristics of China's stock market. Chapter 7, the last chapter, is the summary of the thesis. Some suggestions and policy implications are presented

An Empirical Examination of IPO Underpricing in Hong Kong and Singapore

The objective of this thesis is to investigate the main determinants of IPO underpricing for firms listed in Hong Kong and Singapore from 2004 to 2008. Data collected from the Datastream and Reuters, together with the information disclosure in both stock exchanges is used to examine the significance of different variables in order to explain the IPO underpricing level. We find that operating margin, financial leverage, firm size, IPO offer size and overallotment option exercised, to some extent, influence the IPO underpricing for both markets. Based on the regressions, we could conclude that the difference between the levels of IPO underpricing in Hong Kong and Singapore can be explained by the financial leverage and firm size. Firm size is the primary determinant as compared to financial leverage

Essays in Financial Economics

This dissertation studies topics in financial economics. In the first chapter, Raising Bond Capital in Segmented Markets, I study the cost of bond capital. The cost of bond capital to firms that is determined at issuance often exceeds yields trading in secondary bond markets. I find that the difference between yields at issuance and in secondary markets, the ``issuance premium'', spikes in bad times, increasing firms' costs of capital. This suggests that the economics of the relatively understudied primary bond markets -- where firms sell new bonds via underwriters to investors -- are important for understanding firms' costs of capital and access to credit over the cycle. Leveraging new data on bond issuance, I estimate a model of primary markets that explains the issuance premium and its impact on bond issuance volume. Using high-frequency variation in bond supply as an instrument, I find that investors are more sensitive to issuance premiums than the remainder of credit spreads. As issuance premiums rise in bad times, the share of more price-elastic short-term investors endogenously increases, supporting bond volumes. The preferences of primary market investors therefore directly affect the transmission of shocks to firms' costs of capital and bond issuance volume, as well as the price impacts of corporate bond purchase policies. The second chapter, Bond Market Stimulus: Firm-Level Evidence from 2020-21, is co-authored with Olivier Darmouni. We use micro-data on corporate balance sheets to study firm behavior after the unprecedented policy support to corporate bond markets in 2020. We find that as bond yields fell, firms issued bonds to accumulate large and persistent amounts of liquid assets instead of investing. Conceptually, the benefits depend on how highly bond issuers valued this liquidity at the margin. We show they generally had access to bank liquidity that they chose not to use: many issuers left their credit lines untouched, while others used bonds to repay existing loans. Moreover, equity payouts remained high: almost half of issuers still repurchased shares in Spring 2020. In the third chapter, Global Demand Spillovers: the Role of Underwriting Networks, I study the role of underwriter networks in transmitting demand shocks across global jurisdictions. Using novel data and a difference-in-differences strategy, I find that central bank corporate bond purchases spill over to foreign jurisdictions through bond underwriting networks. The diff-in-diff exploits the European Central Bank's 2016 corporate sector purchase program. I compare U.S. firms connected to underwriters with more or less Eurozone clients. Firms connected with banks with more European clients had larger orderbooks and issued more at lower costs. Treated firms do not increase real investment, but rather increase equity payouts. I identify bond underwriting networks as a novel channel through which demand shocks spread across borders. These results matter for understanding the overall impact of corporate quantitative easing programs

Adapting Datacenter Capacity for Greener Datacenters and Grid

Cloud providers are adapting datacenter (DC) capacity to reduce carbon emissions. With hyperscale datacenters exceeding 100 MW individually, and in some grids exceeding 15% of power load, DC adaptation is large enough to harm power grid dynamics, increasing carbon emissions, power prices, or reduce grid reliability. To avoid harm, we explore coordination of DC capacity change varying scope in space and time. In space, coordination scope spans a single datacenter, a group of datacenters, and datacenters with the grid. In time, scope ranges from online to day-ahead. We also consider what DC and grid information is used (e.g. real-time and day-ahead average carbon, power price, and compute backlog). For example, in our proposed PlanShare scheme, each datacenter uses day-ahead information to create a capacity plan and shares it, allowing global grid optimization (over all loads, over entire day). We evaluate DC carbon emissions reduction. Results show that local coordination scope fails to reduce carbon emissions significantly (3.2%--5.4% reduction). Expanding coordination scope to a set of datacenters improves slightly (4.9%--7.3%). PlanShare, with grid-wide coordination and full-day capacity planning, performs the best. PlanShare reduces DC emissions by 11.6%--12.6%, 1.56x--1.26x better than the best local, online approach's results. PlanShare also achieves lower cost. We expect these advantages to increase as renewable generation in power grids increases. Further, a known full-day DC capacity plan provides a stable target for DC resource management.Comment: Published at e-Energy '23: Proceedings of the 14th ACM International Conference on Future Energy System

Measuring the Impact of Youth Voluntary Service Programs

Summary and Conclusions of a meeting of international experts hosted by the World Bank and Innovations in Civic Participation to discuss evaluation of the impact of youth civic engagement on development