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dc.contributor.advisorGeorge, Thomas
dc.creatorChen, Che Kuan
dc.date.accessioned2018-03-05T21:28:32Z
dc.date.available2018-03-05T21:28:32Z
dc.date.created2015-08
dc.date.issuedAugust 2015
dc.date.submittedAugust 2015
dc.identifier.urihttp://hdl.handle.net/10657/2831
dc.description.abstractThis dissertation investigates the impact of mutual funds in the cross-sectional stock returns and examines a conflict in the existing literature that characterizes momentum. In the first essay, I examine the explanatory power of aggregate mutual fund flows for the profitability of price-based (i.e., momentum and 52-week high) and non-price-based (i.e., earnings surprises, profitability, share issuance, accrual and asset growth) anomalies in the cross-section of returns. I find that the flow-based trading of mutual funds contributes to mispricing as measured by the profits to price-based anomalies, especially at times when market-wide funding costs are high. The effect also exists for non-price-based anomalies, but only through the dependence of their profits on momentum. My findings support the view of Lou (2012) and Vayanos and Woolley (2013) that mutual funds’ trading on flows creates feedback that strengthens price-based anomalies, as high-performing funds buy additional shares of high-performing stocks and poorly performing funds sell shares of poorly performing stocks. However, the explanatory power of aggregate mutual fund flows for price-based anomaly returns is only partly attenuated by fund-level variables designed to capture the feedback effect. The flow-induced trading by mutual funds appears to contribute to mispricing for reasons beyond the feedback effect. The second essay examines the extent to which momentum profits depend on the state of credit markets. The state of credit markets does affect momentum, but the results are not consistent with a credit channel effect on momentum. For non-financial firms, the momentum profits are stronger among portfolios formed under favorable credit conditions. For financial firms, credit conditions do not matter to the momentum profits. Price continuations in financial firms are related to whether the firms are performing poorly, but not whether that performance is attributable to credit conditions that are favorable or poor.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.rightsThe author of this work is the copyright owner. UH Libraries and the Texas Digital Library have their permission to store and provide access to this work. Further transmission, reproduction, or presentation of this work is prohibited except with permission of the author(s).
dc.subjectMutual Funds, Aggregate Mutual Fund Flows, Pricing Anomalies, Momentum, Funding Conditions
dc.titleTwo Essays on Asset Pricing Anomalies
dc.date.updated2018-03-05T21:28:32Z
dc.type.genreThesis
thesis.degree.nameDoctor of Philosophy
thesis.degree.levelDoctoral
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorUniversity of Houston
thesis.degree.departmentFinance, Department of
dc.contributor.committeeMemberKumar, Praveen
dc.contributor.committeeMemberSusmel, Raul
dc.contributor.committeeMemberMurray, Christian J.
dc.type.dcmiText
dc.format.digitalOriginborn digital
dc.description.departmentFinance, Department of
thesis.degree.collegeC. T. Bauer College of Business


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