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Three Essays In Behavioral Finance Asset Pricing And Macroeconomics
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Book Synopsis Three Essays in Behavioral Finance, Asset Pricing and Macroeconomics by : Nitzan Melamed
Download or read book Three Essays in Behavioral Finance, Asset Pricing and Macroeconomics written by Nitzan Melamed and published by . This book was released on 2001 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing and Behavioral Finance by : Cheng Peng
Download or read book Three Essays on Asset Pricing and Behavioral Finance written by Cheng Peng and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing and Behavioral Finance by : Huijing Li
Download or read book Three Essays on Asset Pricing and Behavioral Finance written by Huijing Li and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays. In the first essay, we develop a model to study the role of CSR costs in the cross-section of stock returns. Our CAPM-based model predicts CSR factors are priced in the cross-section of stock returns. We then empirically test the implication of our pricing model by using data from MSCI ESG. The univariate analysis reveals that the quantile portfolio with the lowest CSR (social or environmental) cost beta significantly outperforms the highest CSR cost beta portfolio. In addition, we find negative and significant risk premiums on both the environmental and social risk factor. The second essay reports the results of three experimental studies that investigate the impact of moral identity (MI) on individuals' financial decision-making. Study 1 suggests that individuals' MI is negatively related to the willingness to invest (WTI) in an immoral portfolio. Study 2 shows that individuals with a low MI have a higher WTI for an immoral portfolio only when they are incentivized by a higher financial return. Study 3 reveals that when immoral stocks provide a higher return incentive, individuals with low MI do have a higher WTI, but only when they perceive themselves to be distant from the immoral company. When individuals perceive themselves to be physically close to an immoral company, they are less sensitive to the return incentive and their WTI is lower. In the third essay, we study human capital from the perspective of ex ante health perception. We obtain search volume data of medical symptoms from Google Trends and follow the methodology of Da, Engelberg, and Gao, (2015). We propose that increased (decreased) search volume of medical symptoms implies an ex ante decline (increase) in the value of health oriented human capital. We then use the inverse of our health concern index to proxy the health dimension of human capital (denoted as HHC). We estimate stock exposure (beta) to the HHC, and a univariate analysis reveals the highest HHC beta portfolio significantly outperforms the lowest HHC beta portfolio. Also, our results suggest that the HHC is positively priced in the cross-section of stock returns.
Book Synopsis Three Essays on Behavioral Finance by : Gabriele M. Lepori
Download or read book Three Essays on Behavioral Finance written by Gabriele M. Lepori and published by . This book was released on 2008 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance by : Ehud Peleg
Download or read book Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance written by Ehud Peleg and published by ProQuest. This book was released on 2008 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Behavioral Finance by : Michael J. Sinkey
Download or read book Three Essays in Behavioral Finance written by Michael J. Sinkey and published by . This book was released on 2011 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: My dissertation consists of three chapters that examine the role of behavioral biases in both expert updating and asset pricing. It provides empirical evidence for confirmatory bias and Bayesian reassessment in expert updating, and utilizes a unique, regression-discontinuity approach for identifying confirmatory bias, using insights from a new model of confirmatory bias. Additionally, I propose a rational explanation for the home underdog bias, which has been found in many sports betting markets. I use evidence from a set of binary choice models to propose that betting houses intentionally leave betting on home underdogs open for profitable betting in order to eliminate the behavioral strategy of betting on hot teams.
Book Synopsis Three Essays in Asset Pricing by : Alan Picard
Download or read book Three Essays in Asset Pricing written by Alan Picard and published by . This book was released on 2015 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract This dissertation consists of three essays. My first paper re-examines the link between idiosyncratic risk and expected returns for a large sample of firms in both developed and emerging markets. Recent studies using Fama-French three factor models have shown a negative relationship between idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging markets. This study relates the current-month’s idiosyncratic volatility to the subsequent month’s returns for a sample of both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity risk component. My second essay contributes to the important literature on the topic of the small capitalization stocks historical outperformance over large capitalization stocks by investigating the hypothesis that the small firm premium is related to macroeconomic and financial variables and that relationship is driven by the economic cycle in the United States and Canada. More specifically, this study employs recent advances in nonlinear time series models to explore the relationship between the small firm premium, and financial and macroeconomic variables in the Canadian and U.S. economies. My third paper re-examines the findings of a recent research paper that suggested that market wide liquidity may act as a leading indicator to the economic cycle. Using several liquidity measures and various macroeconomic variables to proxy for the economic conditions, the paper presents evidence that stock market liquidity could forecast business cycles: A major decrease in the overall level of market liquidity could indicate weak economic growth in the subsequent months. However, the drawback in the analysis is that the relationship is investigated in a linear approach even though it has been proven that most macroeconomic variables follow non-linear dynamics. Employing similar liquidity measures and macroeconomic proxies, and two popular econometrics models that account for non-linear behavior, this study hence re-investigates the relationship between stock market liquidity and business cycles.
Book Synopsis Essays on Behavioral Finance and Asset Pricing by : Chen Wang
Download or read book Essays on Behavioral Finance and Asset Pricing written by Chen Wang and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of four essays exploring how people form beliefs and make decisions in the financial markets and their implications for asset prices. Two common threads run through this dissertation: the persistence of key state variables and the less-than-fully-rational approach to economic decision-making.Chapter 1 studies how professional forecasts of interest rates across maturities respond to new information. I document that forecasts for short-term rates underreact to new information while forecasts for long-term rates overreact. I propose a new explanation based on "autocorrelation averaging,'' whereby, to limited cognitive processing capacity, forecasters' estimate of the autocorrelation of a given process is biased toward the average autocorrelation of all the processes they observe. Consistent with this view, I show that forecasters over-estimate the autocorrelation of the less persistent term premium component of interest rates and under-estimate the autocorrelation of the more persistent short rate component. A calibrated model quantitatively matches the documented pattern of misreaction. Finally, I explore the pattern's implication for asset prices by showing that an overreaction-motivated predictor, the realized forecast error for the 10-year Treasury yield, robustly predicts excess bond returns.Chapter 2, joint with Ye Li, generalizes an exponential-affine asset pricing model to show that the prices of dividend strips reveal the underlying state variables, and thus, strongly predict future market return and dividend growth. We derive and empirically show that expected dividend growth is non-persistent, under which condition the ratio of market price to short-term dividend price, "duration,'' reveals only expected returns information. Duration predicts annual market return with an out-of-sample of R2 19%, subsuming the price-dividend ratio's predictive power. After controlling for duration, the price-dividend ratio predicts dividend growth with an out-of-sample R2 of 30%. Our results hold outside the U.S. We find the expected return is countercyclical and responds forcefully to monetary policy shocks. As implied by the ICAPM, shocks to duration, the expected-return proxy, are priced in the cross-section.Chapter 3, joint with Cameron Peng, shows that mutual funds contribute to cross-sectional momentum and excess volatility through positive feedback trading. Stocks held by positive feedback funds exhibit much stronger momentum, almost doubling the returns from a simple momentum strategy. This ``enhanced'' momentum is robust to alternative positive feedback trading measures and cannot be explained by other stock characteristics, ex-post firm fundamentals, fund flows, or herding. Moreover, enhanced momentum is almost entirely reversed after one quarter, suggesting initial overshooting and subsequent reversal. We argue that the most likely explanation is the price pressure from positive feedback trading. Finally, we relate positive feedback trading to mutual fund performance and show that it can positively predict a fund's return from active management.Chapter 4, joint with Ye Li, presents an intrinsic form of uncertainty in asset management, which we call ``delegation uncertainty.'' Investors hire managers for their superior models of asset markets, but delegation outcome is uncertain precisely because the managers' model is unknown to investors. We model investors' delegation decisions as a trade-off between asset return uncertainty and delegation uncertainty. Our theory explains several puzzles on fund performances. It also delivers asset pricing implications supported by our empirical analysis: (1) because investors partially delegate and hedge against delegation uncertainty, CAPM alpha arises; (2) the cross-section dispersion of alpha increases in uncertainty; (3) managers bet on alpha, engaging in factor timing, but factors' alpha is immune to the rise of their arbitrage capital -- when investors delegate more, delegation hedging becomes stronger. Finally, we offer a novel approach to extract model uncertainty from asset returns, delegation, and survey expectations.
Book Synopsis Essays in Behavioral Finance and Asset Pricing by : Jun Wu
Download or read book Essays in Behavioral Finance and Asset Pricing written by Jun Wu and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three essays in behavioral finance by : Byoung-Hyoun Hwang
Download or read book Three essays in behavioral finance written by Byoung-Hyoun Hwang and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Macroeconomics and Asset Pricing by : Jiangze Bian
Download or read book Three Essays on Macroeconomics and Asset Pricing written by Jiangze Bian and published by . This book was released on 2007 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last part of this thesis empirically tests the predictive power of the equity risk premium on future macroeconomic activity. My results indicate that shocks to the risk premium have implications for economic conditions similar to those from monetary policy disturbances.
Book Synopsis Three essays in behavioral finance by : Yunjin Sun
Download or read book Three essays in behavioral finance written by Yunjin Sun and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Empirical Asset Pricing and Behavioral Finance by : Ulrich Wessels
Download or read book Essays on Empirical Asset Pricing and Behavioral Finance written by Ulrich Wessels and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Behavioral Finance and Asset Prices by : David Bourghelle
Download or read book Behavioral Finance and Asset Prices written by David Bourghelle and published by Springer Nature. This book was released on 2023-04-05 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades, the financial markets have experienced various crises, shocks and disruptive events, driving high levels of volatility. This volatility is too strong to be fully justified simply by changes in fundamentals. This volume discusses these highly relevant issues with special focus on asset pricing and behavioral finance. Financial price assets of the 2020s appear to be driven by various attractors in addition to fundamentals, and there is no doubt that investor emotions, market sentiment, the news, and external factors such as uncertainty all play a key role. This has been clearly observed in recent years, especially during the ongoing coronavirus pandemic that has changed the common perception of the way financial markets work.
Book Synopsis Three Essays in Behavioral Finance by : Oluwadamilola Kabiawu
Download or read book Three Essays in Behavioral Finance written by Oluwadamilola Kabiawu and published by . This book was released on 2014 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Behavioral Macroeconomics by : Kelin Lu
Download or read book Essays on Behavioral Macroeconomics written by Kelin Lu and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, three experimental methods are employed to investigate various questions in macroeconomics. In the first chapter, a traditional laboratory experiment examines the influence of non-financial factors, such as intrinsic moral values and extrinsic image considerations, on investors' valuation of stocks in asset markets. The findings reveal that intrinsic morals alone do not exert any impact, supporting the hypothesis that markets erode social responsibility. Specifically, stocks with positive externalities do not command a price premium, and individuals with strong prosocial preferences do not direct their portfolios toward environmentally friendly investments. Conversely, social image considerations significantly affect stock prices in asset markets, as investors assign higher valuations to ethical stocks. The second chapter investigates the response of saving decisions to two alternative forms of capital taxation: wealth tax and capital income tax. Initially, a lifecycle experiment conducted using Amazon Mechanical Turk demonstrates that subjects overreact to wealth taxes but not to capital income taxes when making dynamic saving decisions. Subsequently, a parsimonious behavioral model of individual optimization is developed to characterize this overreaction and elucidate its welfare implications. Finally, additional treatments aim to identify the root cause of this overreaction bias. The results exclude the possibility that intrinsic aversion to paying wealth taxes drives overreaction; instead, it appears to stem from subjects' misconceptions regarding the effects of wealth taxes on their savings. In the third chapter, we undertake an online survey of a nationally representative sample to investigate the diverse channels by which inflation expectations affect present consumption. To accomplish this, a novel survey instrument is developed, featuring two crucial innovations: hypothetical information shocks, which generate exogenous shifts in household inflation expectations, and mechanism-elicitation questions designed to examine the underlying mechanisms. Our findings reveal that heightened future price expectations lead to a decrease in average intended spending for both durable and nondurable goods. Additionally, our survey exposes significant heterogeneity among respondents' underlying channels.
Book Synopsis Three Essays on Investor Behavior and Asset Pricing by : Li An
Download or read book Three Essays on Investor Behavior and Asset Pricing written by Li An and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I also examine the case when cash flow problems interact with default incentives and show that recourse can help reduce default incentives, make debt value immune to liquidity shock, and has little impact on house equity value.