Three Essays On International Asset Pricing

Other Titles
This dissertation studies international linkages between stock returns and information trading in options. In Chapter 2, "How Important are Foreign Ownership Linkages for International Stock Returns?" joint work with Söhnke M. Bartram, John Griffin, and David Ng, we look develop a simple measure of international ownership linkages and show that this measure is of similar importance as the traditional effects coming from country and industry fundamentals. International ownership linkages are not explained by omitted country/industry variations, wealth effects or other explanations like liquidity, investment style, or fund flows. We find that ownership linkage is a summary measure of investment locale that links investor capital around the world. Beyond the level of foreign ownership, the specific ownership composition of a stock is an important facet of international equity returns - a finding which has important implications for diversification. In Chapter 3, "Trade Linkage and Cross-country Stock Return Predictability", I test whether cross-predictability exists among trade-linked industries across international borders, and explore possible explanations. I find strong evidence of cross-border stock return predictability among trade-linked industries. A trading strategy of buying industry portfolios whose trade-linked industry had high returns, and shorting industry portfolios whose trade-linked industry had low returns, yields an annualized return of 12%. I find some evidence against the leading explanation, which posits information segmentation as the only reason for cross-predictability, and find support for illiquidity as a new channel of explanation. In Chapter 4, "Information based Trading in Index Options and Futures", joint work with Seung Won Woo, we study intraday information based trading. The trade imbalances of index options with the largest leverage contain better information content on intraday KOSPI 200 return movements compared to that of options with smaller implicit leverage. We find that domestic brokerage proprietary traders are better informed on KOSPI 200 intraday returns among investor groups. However, we show that the futures trade imbalances of foreigners contain superior information content in predicting KOSPI 200 intraday return movements during the recent subprime mortgage crisis in 2008. This indicates that foreign traders may possess better information processing skills on news that originates from outside of Korea.
Journal / Series
Volume & Issue
Date Issued
Effective Date
Expiration Date
Union Local
Number of Workers
Committee Chair
Ng, David T.
Committee Co-Chair
Committee Member
Liu, Edith X.
Bhojraj, Sanjeev
Degree Discipline
Degree Name
Ph. D., Economics
Degree Level
Doctor of Philosophy
Related Version
Related DOI
Related To
Related Part
Based on Related Item
Has Other Format(s)
Part of Related Item
Related To
Related Publication(s)
Link(s) to Related Publication(s)
Link(s) to Reference(s)
Previously Published As
Government Document
Other Identifiers
Rights URI
dissertation or thesis
Accessibility Feature
Accessibility Hazard
Accessibility Summary
Link(s) to Catalog Record