Three Essays On Investor Heterogeneous Beliefs
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Three Essays On Investor Heterogeneous Beliefs
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Author : Yi Zhang
language : en
Publisher:
Release Date : 2008
Three Essays On Investor Heterogeneous Beliefs written by Yi Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Stockholders categories.
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.
Evolution Reputation And Rationality
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Author : Dmitry Shapiro
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2009-08
Evolution Reputation And Rationality written by Dmitry Shapiro and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08 with categories.
The book consists of three parts. The first part analyzes the stock market dynamic under the presence of agents with heterogeneous beliefs and connects it to commonly observed asset overvaluation. Its two main results are that the long-run equilibrium price is the risk-neutral fundamental price even though all agents are risk-averse and that heterogeneity of beliefs persists. The second chapter describes the interactions between a borrower and creditors, where the borrower has private information, and the loan sizes are determined endogenously by the competitive credit market. It is shown that without behaviorally honest types all equilibria but one are inefficient and result in the country's eventual default. The result helps to explain why developing countries often fail to establish a good reputation in order to attract potential investors. The third chapter experimentally analyzes the importance of utility and action interdependence in subjects' reasoning. The results show that such recent theories as fairness, altruism, reciprocation, etc. have a rather modest effect and explain less than half of subjects' deviation from payoff-maximizing behavior.
Three Essays On Investor Confidence
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Author : Christoph Meier
language : en
Publisher:
Release Date : 2017
Three Essays On Investor Confidence written by Christoph Meier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Investmensts categories.
This PhD research is committed to contributing to the literature on investor overconfidence, one of the most robust findings in the field of behavioural finance. Overconfidence, a cognitive bias where decision makers tend to be overly optimistic not only about their aptitudes and skills, but also about the precision of their forecasts and information, is associated with poor decision making. Individuals suffering from overconfidence tend to be excessive stock traders, Chief Executive Officers (CEOs) who rush into mergers and acquisitions, risky drivers, naïve entrepreneurs and sloppy retirement planners. The literature yields the many attempts to link stock market phenomena to overconfidence. However, existing measures that have been used to test these hypotheses are typically only loosely related to the overconfidence of investors in their own abilities, or use proxies that lack a formal model of cognitive psychology. In the first of three research projects, I propose a measure of aggregate investor confidence that is based on a cross-disciplinary model containing determinants of confidence. The measure captures major economic events intuitively, and is statistically distinct from exiting proxies. Using a 1926-2011United States (US) sample, I find that the new measure is a better predictor of aggregate trading activity than past stock returns, which have been used in prior studies.The second research project explores the role of aggregate investor confidence in asset pricing factors. Empirical tests reveal interesting patterns. Firstly, and in line with a behavioural model by Daniel, Hirshleifer, and Subrahmanyam (1998), aggregate investor confidence partially explains variations in the profitability of momentum strategies. Additionally, aggregate investor confidence appears to play a key role in the size factor, complementing an early hypothesis by Roll (1981). Indeed, investors seem to systematically change their risk perceptions which ultimately impacts on market outcome. The third research project takes a qualitative stance. Using a new methodology proposed by Glaser, Langer, and Weber (2013), we utilise the ability to assess time series variations of individual overconfidence levels in an experimental asset market. We find that arriving signals that strongly support prior decisions cause overconfidence to prevail, while strongly opposing signals cause the effect to vanish 'overconfidence crashes'. However, previously lost overconfidence can re-emerge when these opposing signals reverse .Additionally, we find strong evidence in favour of the hypothesis by Hongaund Stein (2007) which states that investors interpret arriving information differently with opposing feedback having particularly strong effects. We also find measurement bias in the methodology proposed by Glaser et al. (2013). This is consistent with methodological concerns documented by Langnickeland Zeisberger (2016) and Biais, Hilton, Mazurier, and Pouget (2005) who report that assessment tasks using confidence intervals typically yield inflated overconfidence scores, as individuals tend to be insensitive to confidence levels in their estimations.
Essays On Investor Heterogeneity
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Author : David Weinbaum
language : en
Publisher:
Release Date : 2002
Essays On Investor Heterogeneity written by David Weinbaum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Three Essays In Finance And Macroeconomics
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Author : Stavros Panageas
language : en
Publisher:
Release Date : 2005
Three Essays In Finance And Macroeconomics written by Stavros Panageas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
In the first chapter I investigate whether firms' physical investments react to the speculative over-pricing of their securities. I introduce investment considerations in an infinite horizon continuous time model with short sale constraints and heterogeneous beliefs along the lines of Scheinkman and Xiong (2003) and obtain closed form solutions for all quantities involved. I show that market based q and investment are increased, even though such investment is not warranted on the basis of long run value maximization. I use a simple episode to test the hypothesis that investment reacts to over-pricing. With publicly available data on short sales during the 1920's, I examine both the price reaction and the investment behavior of a number of companies that were introduced into the "loan crowd" during the first half of 1926. In line with Jones and Lamont (2002), I interpret this as evidence of overpricing due to speculation. I find that investment by these companies follows both the increase and the decline in "q" before and after the introduction, suggesting that companies in this sample reacted to security over-pricing. In the next chapter of the thesis (co-authored with E. Farhi) we study optimal consumption and portfolio choice in a framework where investors save for early retirement. We assume that agents can adjust their labor supply only through an irreversible choice of their retirement time. We obtain closed form solutions and analyze the joint behavior of retirement time, portfolio choice, and consumption. In the final chapter of the thesis (co-authored with R. Caballero) we turn attention to hedging of sudden stops. We observe that even well managed emerging market economies are exposed to significant external risk, the bulk of which is financial. We focus on the optimal financial policy of such an economy under different imperfections and degrees of crowding out in its hedging opportunities.
Three Essays On Financial Markets And Institutional Investors
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Author : Blake Phillips
language : en
Publisher:
Release Date : 2009
Three Essays On Financial Markets And Institutional Investors written by Blake Phillips and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Investment analysis categories.
Beliefs And Decision Making In Asset Markets
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Author : Yaron Lahav
language : en
Publisher:
Release Date : 2007
Beliefs And Decision Making In Asset Markets written by Yaron Lahav 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.
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.
Three Essays On Trading Volume
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Author : Guohua Ma
language : en
Publisher:
Release Date : 2007
Three Essays On Trading Volume written by Guohua Ma 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.
Keywords. Trading Volume, Heterogeneous Beliefs, Disposition Effect, Informational Trading, Liquidity Trading