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Author : Scott Spencer Condie
Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (231 download)
Download or read book Essays on Asset Pricing with Heterogeneous Investors written by Scott Spencer Condie and published by . This book was released on 2007 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lei Lu
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (316 download)
Download or read book Essays on Asset Pricing with Heterogeneous Beliefs and Bounded Rational Investor written by Lei Lu and published by . This book was released on 2007 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The thesis includes two essays on asset pricing. In the first essay, "Asset Pricing in a Monetary Economy with Heterogeneous Beliefs", we shed new light on the role of monetary policy in asset pricing by focusing on the case where investors have heterogeneous expectations about future monetary policy. Under heterogeneity in beliefs, investors place bets against each other on the evolution of money supply, and as a result, the sharing of wealth in the economy evolves stochastically over time, making money non-neutral. Employing a continuous-time, general equilibrium model, we establish these fluctuations to be rich in implications, in that they majorly affect the equilibrium prices of all assets, as well as inflation. In particular, we find that the stock market volatility may be significantly increased by the heterogeneity in beliefs, a conclusion supported by our empirical analysis. The second essay is titled with " Asset Pricing and Welfare Analysis with Bounded Rational Investors". Motivated by the fact that investors have limited ability and insufficient knowledge to process information, I model investors' bounded-rational behavior in processing information and study its implications on asset pricing. Bounded rational investors perceive "correlated" information (which consists of news that is correlated with fundamentals, but provides no information on them) as "fundamental" information. This generates "bounded rational risk". Asset prices and volatilities of asset returns are derived. Specially, the equity premium and the stock volatility are raised under some conditions. I also analyze the welfare impact of bounded rationality." --
Author : Qi Zeng
Publisher :
ISBN 13 :
Total Pages : 117 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays on Equilibrium Asset Pricing with Heterogeneous Agents written by Qi Zeng and published by . This book was released on 2003 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation concerns the equilibrium asset pricing and its implications when agents are heterogenous. There are three chapters in the dissertation.
Author : Chishen Wei
Publisher :
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.:/5 (758 download)
Download or read book Essays on Empirical Asset Pricing written by Chishen Wei and published by . This book was released on 2011 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two essays that use empirical techniques to shed light on open questions in the asset pricing literature. In the first essay, I investigate whether foreign institutional investors affect stock liquidity in domestic equity markets. The evidence indicates that stocks with higher foreign institutional ownership subsequently experience higher liquidity. However, it is difficult to interpret the causal relation of this finding because institutional investors self-select into more liquid stocks. To solve this problem, I exploit a provision in the 2003 US dividend tax cut which extends tax-relief to dividends from US tax-treaty countries but not to dividends from non-treaty countries. This natural experiment suggests a causal link between foreign institutional investors and liquidity. Consistent with the predictions of theoretical models, I find that liquidity improves due to foreign institutional investors increasing information competition. In the second essay, I introduce a new measure of difference of opinion using mutual fund portfolio weights to test prominent competing theories of the effect of heterogeneous beliefs on asset prices. The over-valuation theory (Miller (1977)) proposes that in the presence of short-sale constraints stock prices reflects only the view of optimistic investors which implies lower subsequent returns. Alternatively, neo-classical asset pricing models (Williams (1977), Merton (1987)) suggest that differences of opinions indicate high levels of information uncertainty or risk which implies higher expected returns. My initial result finds no support for the over-valuation theory. Instead, the measure used in this study finds that high differences of opinion stocks weakly outperform low differences of opinion stocks by 2.42% annually which is more consistent with the information uncertainty explanation.
Author : Shangwen Wang
Publisher :
ISBN 13 :
Total Pages : 614 pages
Book Rating : 4.:/5 (587 download)
Download or read book Essays on Asset Pricing Under Heterogeneous Beliefs written by Shangwen Wang and published by . This book was released on 2002 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qi Shang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (847 download)
Download or read book Essays in Asset Pricing and Institutional Investors written by Qi Shang and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis includes three papers: 1. Limited Arbitrage Analysis of CDS Basis Trading By modeling time-varying funding costs and demand pressure as the limits to arbitrage, the paper shows that assets with identical cash-flows have not only different expected returns, but also different expected returns in excess of funding costs. I solve the model in closed-form to show that the arbitrage on the CDS and corporate bond market is a risky arbitrage. The sign of the expected excess return of the arbitrage is decided by the sign and size of market frictions rather than the observed price discrepancy. The size and risk of the arbitrage excess return are increasing in market friction levels and assets' maturities. High levels of market frictions also destruct the positive predictability of credit spread term structure on credit spread changes. Results from the empirical section support the above-mentioned model predictions. 2. General Equilibrium Analysis of Stochastic Benchmarking This paper applies a closed-form continuous-time consumption-based general equilibrium model to analyze the equilibrium implications when some agents in the economy promise to beat a stochastic benchmark at an intermediate date. For very risky benchmark, these agents increase volatility and risk premium in the equilibrium. On the other hand, when they promise to beat less risky benchmark, they decrease volatility and risk premium in the equilibrium. In both cases, the degree of effect is state-dependent and stock price rises. 3. Institutional Asset Pricing with Heterogenous Belief (Co-authored) We propose an equilibrium asset pricing model in which investors with heterogeneous beliefs care about relative performance. We find that the relative performance concern leads agents to trade more similarly, which has two effects. First, similar trading directly decreases volatility. Second, similar trading decreases the impact of the dominant agents. When the economy is extremely good or bad, the second effect is dominant so that the relative performance concern enlarges the excess volatility caused by heterogeneous beliefs. When the first effect is dominant, which corresponds to a normal economy, the volatility is lower than without the relative performance concern. Moreover, this paper shows that the relative performance concern also influences investors' holdings, stock prices and risk premia.
Author : Giuliano Antonio Curatola
Publisher :
ISBN 13 :
Total Pages : 197 pages
Book Rating : 4.:/5 (861 download)
Download or read book Essays on Asset Pricing with Preference Heterogeneity written by Giuliano Antonio Curatola and published by . This book was released on 2013 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sundaram Janakiramanan
Publisher :
ISBN 13 :
Total Pages : 356 pages
Book Rating : 4.:/5 (319 download)
Download or read book Essays on International Asset Pricing in Partially Segmented Markets written by Sundaram Janakiramanan and published by . This book was released on 1986 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tsvetanka Karagyozova
Publisher :
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.:/5 (186 download)
Download or read book Three Essays on Heterogeneity, Insurance, and Asset Pricing written by Tsvetanka Karagyozova and published by . This book was released on 2007 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Patrick Konermann
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (912 download)
Download or read book Asset Pricing written by Patrick Konermann and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Marmora
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (128 download)
Download or read book Essays on Information Acquisition and Asset Pricing written by Paul Marmora and published by . This book was released on 2015 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I explore different mechanisms by which information is generated in financial markets, and whether these mechanisms can account for empirical anomalies that models without information choice have difficulty explaining. In the first chapter, I survey the theoretical literature on perfectly competitive asset markets, with a particular focus on rational expectations models with endogenous information acquisition. In the second chapter, ``The Distribution of Information, the Market for Financial News, and the Cost of Capital", I present a rational expectations model with a competitive market for financial news that provides an explanation for why stocks with a higher degree of information asymmetry tend to earn higher expected returns. I demonstrate that when a small fraction of investors hold a large fraction of a firm's private information, few investors demand a copy of firm-specific news in equilibrium. As a result, each investor must incur a larger share of the fixed cost of news production to obtain a copy, which deters investors from learning more about the firm and therefore raises their required risk premium. This result hinges crucially on the ability of investors to share in the fixed cost of news production, which suggests that the financial news media plays an important role in determining how the cost of capital varies with the inequality of information across investors. In the third chapter, ``Learning About Noise" (with Oleg Rytchkov), we study theoretical implications of endogenous acquisition of non-fundamental information in financial markets. We develop a rational expectations model with heterogeneous information and multidimensional costly learning and demonstrate that i) investors specialize in information acquisition, that is, those who are endowed with high (low) quality information about fundamentals learn only about fundamentals (noise), ii) learning about fundamentals increases the asymmetry of information, whereas learning about noise decreases it, and iii) the opportunity to learn about noise unambiguously increases price informativeness.
Author : Sulei Han
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Two Essays on Investor Disagreement and Asset Prices written by Sulei Han and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my second essay, I emphasize and examine the role of the consensus investor opinion in the relation between heterogeneous investor beliefs and stock prices, which is largely overlooked in the prior empirical literature. I measure investors' opinions based on financial analysts' stock recommendations and study how both investors' opinions and their disagreement jointly affect stock prices. I show that the consensus opinion is at least as important as the dispersion of opinion in predicting stock returns. When the consensus opinion is pessimistic, investor disagreement leads to lower stock returns, but the opposite is true when the consensus opinion is optimistic. Moreover, strong investor agreement predicts stock returns and largely drives the return difference between high- and low-agreement stocks. In supporting evidence, I show that both the investor opinion and its dispersion are related to short-sale constraints and strong optimistic agreement is significantly associated with binding short-sale constraints.
Author : Pierre Jacques Jaffard
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Essays in Asset Pricing written by Pierre Jacques Jaffard and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Thesis is devoted to better understand market dynamics and asset pricing anomalies. In Chapter 1, which is co-authored with Andrea Hamaui, we study the effect of investors' market expectations on asset pricing. Given traditional stock returns factor modelling and the prominence of the market factor, beliefs about market returns represent a natural primitive for expectations of stock prices. As the desire to increase market exposure generates excess demand for high beta assets from constrained investors, we connect mutual funds' expectations to the beta (or low vol) anomaly. We show that the beta anomaly is particularly strong for stocks purchased by over-optimistic mutual funds. On the empirical side, we first introduce a mutual fund-level measure of market expectations and confirm the model's predictions for asset prices. In Chapter 2, which is co-authored with Andrea Hamaui, we study mutual funds' trading behavior. In particular, we introduce the concept of "core" vs "satellite" holdings and we characterize positions depending on their longevity and interim return in a fund's portfolio. We show that core positions are relatively protected from selling in times of distress, as managers consolidate their portfolio. Next, we show that this theory has implications for asset prices and liquidity: core positions incur less downward contemporaneous price pressure as a result of outflows and are relatively more liquid. A behavioral model rationalizes those findings and validates the use of interim return and longevity as proxies for the "coreness" of a position. In Chapter 3, I develop a three-period asset pricing model with heterogeneity in firms' size and a government that introduces a policy distortion. I find that large firms can better hedge the political uncertainty associated with this policy change through lobbying, which leads them to earn lower expected returns. I provide two strands of empirical evidence consistent with the model predictions. The first one looks at the behavior of a blue versus red industries around the unexpected results of the 2016 US Presidential election. The second one forms a political risk factor using a matching procedure, and shows that lobbying is indeed associated with a lower exposure to this factor.
Author : Shashidhar N. Murthy
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (292 download)
Download or read book Essays on Heterogeneity, Asset Pricing and Trade written by Shashidhar N. Murthy and published by . This book was released on 1990 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philipp A. Dirkx
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)
Download or read book Three Essays on Asset Pricing and Factor Investing written by Philipp A. Dirkx and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (939 download)
Download or read book Essays on Asset Pricing Implications of Investor Sentiment written by and published by . This book was released on 2012 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Weiyang Qiu (Ph. D.)
Publisher :
ISBN 13 :
Total Pages : 176 pages
Book Rating : 4.:/5 (624 download)
Download or read book Essays in Asset Pricing and Market Imperfections written by Weiyang Qiu (Ph. D.) and published by . This book was released on 2010 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: (cont.) The third part of the thesis studies asset pricing under heterogeneous information. In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called "infinite regress" problem, which makes the analysis of asset pricing under heterogeneous information challenging. In this part, we solve the infinite-regress problem in a simple economic setting under a fairly general information structure. This allows us to examine how different forms of information heterogeneity impacts the behavior of asset prices, their return dynamics, trading volume as well as agents' welfare.
