Essays on market efficiency, asset pricing, and corporate governance

Abstract

This dissertation comprises three essays on market efficiency, asset pricing, and corporate governance. The first essay investigates the impacts of the interaction between sell-side analysts and mutual funds on stock prices and shows that the presence of analysts mitigates mutual fund herding and the associated price destabilizing effect. The second study examines whether the risk captured by higher moments of stock market volatility is priced in the cross section of stocks and documents that stocks with higher sensitivities to kurtosis-of-volatility earn lower average returns. The third essay studies the impact of common ownership on bank stability and finds that banks with more common ownership linkages undertake lower risk.