This thesis investigates the effects of firm-specific information, managerial behavior and credit rating changes on the distribution of equity returns. It consists of three distinct chapters. The first chapter examines the relationship between firm-specific return variation (FSRV) and stock returns. I document a positive association between FSRV measures and stock returns, which is mainly driven by low-systematic-volatility anomaly across firms. The second and third chapters examine the influence of CEOs stock donation and issuer rating downgrades on stock price crash risk, respectively. My findings deepen the understanding of the determinants of equity return distribution and information flow across financial markets.
|Qualification||Doctor of Philosophy|
|Award date||21 Jun 2021|
|Publication status||Unpublished - 2021|