Three essays on empirical finance : the alphas and betas

This thesis is composed by three articles in seemingly unrelated fields. The first article is exploring the effects of short-sales constraints on the delay of information incorporation into stock prices. The second one is estimating the risk and risk-adjusted return of private equity funds. The last one is investigating whether stock price behaviors are temporarily different around the so-called price barriers. Although the topics are not connected, the methodologies are centered on a classical issue in empirical finance, the market beta. For short-sales constraints, the lagged market beta is used as a barometer to evaluate the price delays of stocks caused by the policy. For private equity funds, their beta is estimated by our new GMM-style methodology. In the last paper, we use the change of the contemporaneous beta to detect the price barriers and then evaluate the barrier effects.