Essays on adverse selection.
Item
-
Title
-
Essays on adverse selection.
-
Identifier
-
AAI3187371
-
identifier
-
3187371
-
Creator
-
Sharma, Rajneesh.
-
Contributor
-
Adviser: Terrence F. Martell
-
Date
-
2005
-
Language
-
English
-
Publisher
-
City University of New York.
-
Subject
-
Business Administration, General
-
Abstract
-
This is the executive summary of essays on adverse selection that comprise the dissertation. The essays analyze adverse selection, in particular Information Asymmetry under different settings. The first essay "Study of the Introduction of Stock Index Futures Contracts on Underlying Stocks: Evidence from Toronto Markets" with examines the effect of introduction of futures contract on information asymmetry in the stock market around introduction of two stock index futures contracts (the Toronto Equity Futures Contract and the Toronto Stock Exchange 300 Composite Index Contract). There is evidence of increase in proportion of informed trading after the introduction of the futures contract for non-index stocks. Also there is a decrease in the costs of supplying liquidity in individual stocks and an increase in the asymmetric information component of the spread.;The second essay "Financing Acquisitions with Contingent Value Rights (CVR's) and Put Options" builds a game theoretic and studies the efficacy of use of put options/CVR's as a partial payment method in Mergers. This paper considers two-sided information asymmetry between the target and the acquirer, and investigates how such a problem may be mitigated by the choice of means of payment. This study models the use of equity coupled with either put options or contingent value rights as a means of payment in acquisitions. The model predicts that the use of CVR's and put options is better for the acquirer if the information asymmetry relating to its value is high. The model is further extended assuming imperfect resolution of the acquirer's type at expiry.
-
Type
-
dissertation
-
Source
-
PQT Legacy CUNY.xlsx
-
degree
-
Ph.D.
