Three Essays On Consumer Behavior And Asset Prices

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Three Essays On Consumer Behavior And Asset Prices

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Author : Jeon-Hyeok Cho
language : en
Publisher:
Release Date : 1991

Three Essays On Consumer Behavior And Asset Prices written by Jeon-Hyeok Cho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.

Three Essays In Empirical Asset Pricing

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Author : Thomas A. Jacobs
language : en
Publisher:
Release Date : 2010

Three Essays In Empirical Asset Pricing written by Thomas A. Jacobs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance

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Author : Ehud Peleg
language : en
Publisher: ProQuest
Release Date : 2008

Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance written by Ehud Peleg and has been published by ProQuest this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital assets pricing model categories.

Three Essays In Macroeconomics And Finance

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Author : David Henry Bowman
language : en
Publisher:
Release Date : 1993

Three Essays In Macroeconomics And Finance written by David Henry Bowman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.

Three Essays On Rational Consumer Behavior

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Author : David Yong Shim
language : en
Publisher:
Release Date : 1987

Three Essays On Rational Consumer Behavior written by David Yong Shim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Consumers categories.

Three Essays On Information And Asset Pricing

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Author : Xin Zhou
language : en
Publisher:
Release Date : 2008

Three Essays On Information And Asset Pricing written by Xin Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Assets (Accounting) categories.

The second essay examines the effect of a short-sale constraint on risky asset price in a rational expectations model with asymmetric information. Imposing a short-sale constraint creates two competing effects. On one hand, it reduces the risky asset supply and exerts upward pressure on asset price. On the other hand, it forces investors with negative views on asset payoff to be sidelined. The latter effect can reduce the informational efficiency of asset price, which in turn decreases investors' demand for the risky asset. Consequently, imposing a short-sale constraint can bias equilibrium asset price in either direction depending on which effect dominates. Empirical analysis using short interest and institutional ownership data suggests that an increase in short interest relative to shares outstanding for individual stocks reduces informational efficiency measured by the probability of information-based trading and leads to lower risk adjusted stock returns. The effect of short-sale constraint on return volatility is ambiguous.

Essays In Consumer Preferences And Asset Pricing

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Author : John Qi Zhu
language : en
Publisher:
Release Date : 2007

Essays In Consumer Preferences And Asset Pricing written by John Qi Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Three Essays In Behavioral Finance Asset Pricing And Macroeconomics

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Author : Nitzan Melamed
language : en
Publisher:
Release Date : 2001

Three Essays In Behavioral Finance Asset Pricing And Macroeconomics written by Nitzan Melamed and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Consumer behavior categories.

Three Essays On Empirical Asset Pricing

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Author : Wenqing Wang
language : en
Publisher:
Release Date : 2004

Three Essays On Empirical Asset Pricing written by Wenqing Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Investments categories.

Three Essays On Financial Markets

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Author : Min Hwang
language : en
Publisher:
Release Date : 2001

Three Essays On Financial Markets written by Min Hwang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.