Doctoral thesis: Asset pricing anomalies and information flow affect stock performance

In his doctoral thesis, “Essays on Asset Pricing Anomalies, Information Flow and Risk", Jesper Haga tackles two anomalies in asset pricing: the relationship between intermediate-term momentum and credit rating as well as the credit risk puzzle. In addition, he studies the impact of reporting frequency on stock price volatility. Haga will defend his doctoral thesis in finance at the Hanken School of Economics on 15 April 2016.

According to Haga, it is important to study asset pricing anomalies in order to gain an understanding on the performance of different asset pricing models.

”Studying asset pricing anomalies can give us a clue on how to improve our asset pricing models and can hence help us understand market frictions that allow the anomalies to exist,” Jesper Haga points out.

The momentum anomaly refers to prior outperformers continuing to outperform their peers and vice versa for prior underperformers. In his thesis, Haga shows that the optimal momentum time horizon varies with credit rating as firms with a low credit rating have stronger short-term momentum, while firms with a high credit rating have a stronger intermediate-term momentum. Furthermore, Haga finds that the recent discovery on intermediate-term momentum outperforming short-term momentum is mainly driven by high credit rated firms.

In his study on the link between reporting frequency and individual stock volatility, conducted among 14 EU member states, Haga’s results suggest that more frequent reporting decreases stock market volatility during recession. However, on average, the individual firms’ level of systematic risk increase when reporting frequency increases.

Haga’s results can be valuable primarily for investors and financial researchers as well as for legislators.

M.Sc. (Econ.) Jesper Haga defends his doctoral thesis in Finance: ”Essays on Asset Pricing Anomalies, Information Flow and Risk”.

Date and Time: 15 April 2016, at 12
Location: Assembly Hall, Hanken School of Economics, Vaasa
Opponent: Professor Gregory Koutmos, Charles F. Dolan School of Business, Fairfield University
Custos:  Professor Johan Knif, Hanken School of Economics

A copy of the thesis can be downloaded via this link:
http://hdl.handle.net/10138/161089

More information:
Jesper Haga
e-mail:  jesper.haga@hanken.fi
Telephone:  +358 44 379 7918