Essays On The Role Of Investor Beliefs In Financial Markets
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Essays On The Role Of Investor Beliefs In Financial Markets
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Author : Tyrone William Callahan
language : en
Publisher:
Release Date : 1999
Essays On The Role Of Investor Beliefs In Financial Markets written by Tyrone William Callahan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Investments categories.
The Role Of Beliefs In Financial Markets
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Author : Mohamad Mahmoud Al-Ississ
language : en
Publisher:
Release Date : 2010
The Role Of Beliefs In Financial Markets written by Mohamad Mahmoud Al-Ississ and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Finance categories.
The third essay investigates a seldom explored relationship, that between religion and financial markets. This study examines the effect of religious experience during the Muslim holy days of Ramadan and Ashoura on the daily returns and trading volume of seventeen Muslim financial markets. It uses the special characteristics of the Muslim lunar calendar to isolate the elusive effect of faith. The study documents statistically significant changes in daily returns and trading volume associated with religious experiences. The essay utilizes the heterogeneity of worship intensity within Ramadan as a natural experiment to validate the results' robustness.
Essays On Social Values In Finance
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Author : Jeremy Kenneth Page
language : en
Publisher:
Release Date : 2011
Essays On Social Values In Finance written by Jeremy Kenneth Page and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This dissertation consists of three essays on the role of social values in financial markets. Chapter 1 uses geographic variation in religious concentration to identify the effect of people's gambling behavior in financial market settings. We argue that religious background predicts people's gambling propensity, and that gambling propensity carries over into their behavior in financial markets. We test this conjecture in various financial market settings and find that the predominant local religion predicts variation in investors' propensity to hold stocks with lottery features, in the prevalence of broad-based employee stock option plans, in first-day returns to initial public offerings, and in the magnitude of the negative lottery-stock return premium. Collectively, our findings indicate that religious beliefs regarding the acceptability of gambling impact investors' portfolio choices, corporate decisions, and stock returns. In Chapter 2 I examine the impact of social norms against holding certain types of stocks (e.g. "sin stocks", or stocks with lottery features) on trading decisions and portfolio performance. I argue that trades which deviate from social norms are likely to reflect stronger information. Consistent with this hypothesis, I find that the most gambling-averse institutions earn high abnormal returns on their holdings of lottery stocks, outperforming the holdings of the most gambling-tolerant institutions. An analysis of institutions' sin stock holdings provides complementary evidence using another dimension of social norms, supporting the hypothesis that trades which deviate from norms reflect stronger information. In the third essay, we conjecture that people feel more optimistic about the economy and stock market when their own political party is in power. We find supporting evidence from Gallup survey data and analyze brokerage account data to confirm the impact of time-varying optimism on investors' portfolio choices. When the political climate is aligned with their political preferences, investors maintain higher systematic risk exposure while trading less frequently. When the opposite party is in power, investors exhibit stronger behavioral biases and make worse investment decisions. Investors improve their raw portfolio performance when their own party is in power, but the risk-adjusted improvement is economically small.
Essays On Heterogeneous Beliefs In Financial Markets
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Author : Hao Sun
language : en
Publisher:
Release Date : 2018
Essays On Heterogeneous Beliefs In Financial Markets written by Hao Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Figuring It Out
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Author : Charles D. Ellis
language : en
Publisher: Wiley
Release Date : 2022-07-06
Figuring It Out written by Charles D. Ellis and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-07-06 with Business & Economics categories.
An indispensable collection of essays from one of the investment world’s leading lights In Figuring It Out: Answers to the Most Difficult Investment Questions, world-renowned investing and finance guru Charles D. Ellis delivers a robust collection of incisive essays on an array of perennial and contemporary investing issues, from the rise and fall of performance investing to a compilation of essential investing guidelines. In the book, you’ll also find eye-opening discussions of: Whether bonds are an appropriate investment vehicle for long-term investors The costs of excessive liquidity in the typical portfolio The characteristics of successful investment firms, and how to spot them A can’t-miss resource for the everyday retail investor, author Charles Ellis draws on a lifetime of distinguished client service in the financial markets to reward readers with common-sense and accessible advice that deserves to be followed by anyone with an interest in maximizing their investment returns over the long haul.
Essays In Positive Investment Management
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Author : Pascal Blanqué
language : en
Publisher:
Release Date : 2019
Essays In Positive Investment Management written by Pascal Blanqué and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Business & Economics categories.
The author reports on situations experienced by investors which clearly break the rules and norms of accepted rationality, for example when a fall in the price of an asset is accompanied, contrary to the classical hypotheses, by a fall in demand. He outlines a general theory for the fields of choice and the marginal rates of substitution within the framework of a specific referential of the economic subject, of a psychological nature and structured by time-values, and the framework of a limited rationality. In this important and timely book, Blanqué made a powerful claim for positive investment in order to avoid fanciful illusions. He assigned it the task of understanding what is happening in today's world. Blanqué argued that the investment world contains many elements of a fairy tale and showed that a mere confrontation with reality leaves its mark on the impressive procession of theoretical, sacred cows, of established beliefs and truths. As does the confrontation with crises.
Essays On Uncertainty Beliefs Updating And Portfolio Choice
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Author : Kouamé Marius Sossou
language : en
Publisher:
Release Date : 2019
Essays On Uncertainty Beliefs Updating And Portfolio Choice written by Kouamé Marius Sossou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This Thesis, consisting of three chapters, studies the effects of uncertainty on decision-making with portfolio choice applications. Chapter 1 studies how experimental subjects report subjective probability distributions in the presence of ambiguity characterized by uncertainty over a fixed set of possible probability distributions generating future outcomes. The level of distribution uncertainty varies according to the observed outcomes and the rules used by the subjects to update the distribution uncertainty. This chapter introduces several reporting and updating rules and our empirical analysis focuses on estimating the sample distribution of these rules. Two dominant reporting rules emerge from our analysis: we find that 65% of subjects report distributions by properly weighting the possible distributions using their expressed uncertainty, while 22% of subjects report distributions close to the distribution they perceive as most likely. Further, we find significant heterogeneity in how subjects update their expressed uncertainty. On average, subjects tend to overweight the importance of their prior uncertainty relative to new information, leading to ambiguity that is substantially more persistent than would be predicted using Bayes' rule. Counterfactual simulations suggest that this persistence will likely hold in settings not covered by our experiment. Uncertainty in financial markets is a natural consequence of investors being unaware of objective probabilities of asset returns. Chapter 2 highlights that ambiguity and loss aversion have opposite effects on financial markets and can coexist in the presence of uncertainty. This chapter addresses the normative question of the optimal portfolio evaluation frequency for an investor in order to minimize the effect of myopia, but to learn about the investment opportunities in the market. Towards this end, we present a new experimental design in which investors are asked to make repeated portfolio choices facing initial ambiguity concerning the distribution of returns of one of the available assets. We exploit exogenous variations in evaluation frequency along with time variation of probabilistic beliefs over the possible return distributions to jointly identify ambiguity, loss, and risk aversion along with rules investors use to update their ambiguity. Estimates from a structural model suggest seven different classes of investors. Investor class membership depends on loss aversion, ambiguity aversion as well as risk aversion preferences. Further, we find that at the aggregated level, investors are loss averse, ambiguity averse and they display risk aversion over gains and risk seeking over losses. We conclude our analysis by using our model estimates to predict the distribution of optimal evaluation periods for our sample. Our predictions suggest that approximatively 70% of investors prefer the highest possible evaluation period frequency. Finally, Chapter 3 investigates whether or not the discount factor of the elderly affects their portfolio choices. We estimate time preferences using inter-temporal choice data from a hypothetical experiment in a representative sample of American elders and a structural model of decision-making accounting for lifetime uncertainty. Our results indicate considerable heterogeneity in the elderly population. Moreover, we find that older people who display a higher discount factor are more likely to own retirement accounts and risky assets. These older people also tend to decrease the share of financial wealth held in safe assets and increase the share of financial wealth held in risky assets. These findings suggest that time preferences affect investment choices from safe assets toward other financial assets, all else being equal.
Essays On Market Conditions And Corporate Investment Decisions
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Author : Ding Ding
language : en
Publisher:
Release Date : 2015
Essays On Market Conditions And Corporate Investment Decisions written by Ding Ding and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Investor Beliefs And Their Impact On Financial Markets
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Author : Carolin Hartmann
language : en
Publisher:
Release Date : 2021
Investor Beliefs And Their Impact On Financial Markets written by Carolin Hartmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Three Essays On Finance Culture And Investor Behavior
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Author : Andreanne Tremblay Simard
language : en
Publisher:
Release Date : 2017
Three Essays On Finance Culture And Investor Behavior written by Andreanne Tremblay Simard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This dissertation consists of three essays that examine the effects of corporate culture and investor psychology on corporate decisions and financial markets. The first essay focuses on the role of corporate culture in acquisitions, whereas the last two essays investigate deviations from market efficiency. The first essay uses textual analysis of firms annual reports to develop an estimate of the differences in corporate cultures of the combining firms, and finds that greater cultural differences between the firms lead to higher synergistic gains, but only when the acquirer has a stronger culture than its target. The synergy gains concentrate among deals where the acquirers values are not antagonistic to the targets. Further analysis of profitability and productivity (measured as earnings per employee) around the acquisition transaction corroborates these findings. Overall, the evidence suggests that differences in corporate culture are an important driver of announcement returns in mergers and acquisitions. The second essay investigates whether stock misvaluation drives industry-level merger waves by examining intra-wave patterns in acquirers valuation levels in a sample of acquisitions during 1981-2010. The essay contrasts two types of merger waves: stock waves defined on pure stock acquisitions, and cash waves formed on pure cash offers. Consistent with the misvaluation hypothesis, the essay finds that the occurrence of stock merger waves is tightly associated with industry stock valuation, and bidder stock valuation is negatively associated with long-run abnormal returns, especially so during waves of stock mergers. In contrast, there is little evidence of such patterns using the cash wave definition. The third essay investigates the effects of sunshine, wind, rain, snow, and temperature on daily index returns of 49 countries from 1973 to 2012. The paper finds pervasive weather effects that vary across temperature regions (cold, hot, and mild) and months. A hedge strategy that exploits the return predictability of daily weather generates up to 25% (11.8%) annualized out-of-sample gross (net) profits during 1993-2012. The systematic patterns of weather effects together with the relationship between their strength and timing and individuals seasonal propensity to spend time outdoors, suggest a plausible mechanism through which weather-induced mood influences index returns.