Electronic Theses and Dissertations

Date of Award


Document Type


Degree Name

Ph.D. in Business Administration



First Advisor

Andre P. Liebenberg

Second Advisor

Andy Puckett

Third Advisor

Rich Gentry

Relational Format



This dissertation consists of three essays on cancelling liquidity, information generation and learning by holding private placements, and information generation, learning and the trading dynamics of institutional traders during the 2007-2008 financial crisis. The first essay examines cancellation activity of limit orders. We document a two-fold increase in limit order cancellation activity over the last decade, and study the determinants of cancellations and the change in cancellation activity through time. We also examine the impact of order cancellation on market quality. We use an instrumental variable approach and estimate a simultaneous equations model to overcome simultaneity in the trading process. We find significant differences in cancellation activity in the post Reg NMS environment, and differences in cancellation activity between exchanges. However, we fail to find evidence that the increase in cancellations is detrimental to market quality, despite concerns from regulators and traders. In the second essay we examine how relationships influence trading behavior. Specifically, we study whether or not financial intermediaries (insurance companies) produce information via relationships with publicly traded firms established by investing in the public firm's privately placed securities (privately placed debt, or equity). We contribute to the literature that asserts that financial intermediaries generate information via relationships that they establish with their clients. We find some evidence that suggests insurers do generate information via the private placement relationship and use this information to trade. In the third essay, we study if institutional traders acquire information from the assets that they hold and how this impacts trading decisions around the 2007-2008 financial crisis. Specifically, we test if insurance companies who hold mortgages exhibit different trading behavior in their mortgage backed securities portfolio than insurers who do not hold mortgages. We examine insurers' trading behavior in light of several theories of how institutions trade during crisis periods. We document that insurers who hold mortgages have higher odds of being net disposers of MBSs prior to the crisis, than are other insurers. We also find that, on average, insurers exhibited a flight to safety during the crisis.


Emphasis: Finance

Included in

Finance Commons



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