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Essays on Behavioral Asset Pricing.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays on Behavioral Asset Pricing./
Author:	Du, Jintao.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	97 p.
Notes:	Source: Dissertation Abstracts International, Volume: 80-06(E), Section: A.
Contained By:	Dissertation Abstracts International80-06A(E).
Subject:	Business administration. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10830295
ISBN:	9780438832114

Essays on Behavioral Asset Pricing.
Du, Jintao.

Essays on Behavioral Asset Pricing. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 97 p.

Source: Dissertation Abstracts International, Volume: 80-06(E), Section: A.

Thesis (Ph.D.)--INSEAD (France and Singapore), 2018.

This dissertation comprises three essays investigating the impact of investors' behavior on asset prices. The first essay studies how heterogeneous expectations change the correlation between the stock market return and the treasury bond return in a general-equilibrium model. The second essay is the empirical counterpart of the first one, and it estimates the model with US data. The third essay studies how the trading based on relief revisions leads to the disposition effect.

ISBN: 9780438832114Subjects--Topical Terms:

1148568
Business administration.

Essays on Behavioral Asset Pricing.
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245 1 0 $a Essays on Behavioral Asset Pricing.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2018
300 $a 97 p.
500 $a Source: Dissertation Abstracts International, Volume: 80-06(E), Section: A.
500 $a Adviser: Bernard Dumas.
502 $a Thesis (Ph.D.)--INSEAD (France and Singapore), 2018.
520 $a This dissertation comprises three essays investigating the impact of investors' behavior on asset prices. The first essay studies how heterogeneous expectations change the correlation between the stock market return and the treasury bond return in a general-equilibrium model. The second essay is the empirical counterpart of the first one, and it estimates the model with US data. The third essay studies how the trading based on relief revisions leads to the disposition effect.
520 $a In the first essay, I solve a dynamic general-equilibrium model in which two groups of investors hold heterogeneous expectations about the future aggregate earnings-growth and the inflation. In the model, investors observe the same news, but they interpret them differently. They take on speculative positions against each other and maximize their life-time utility. I find that neither the level nor the expected growth of aggregate earnings and inflation has an impact on the stock-bond correlation. The disagreements between investors on the expected growth of future economic conditions and the endogenous wealth fluctuations from trading can change the stock-bond correlation without the need to change investors' risk preferences or the dynamics between the aggregate earnings-growth and inflation.
520 $a In the second essay, I present an estimation of the model in the first essay with US data. The aggregate earnings and inflation processes are jointly estimated using the Expectation-maximization Algorithm. The time series of heterogeneous expectations are uncovered using the historical PE ratios of the S&P 500 index and the treasury bond prices by the unscented Kalman Filter. The conditional stock-bond correlations implied by the model can predict those in the data. A time-varying term-structure of stock-bond correlation is identified and explained by the uncovered heterogeneous expectations. The uncovered heterogeneous expectations are correlated with the dispersion of corresponding forecasts in the Survey of Professional Forecasters. The unconditional correlations and the impulse responses are obtained from simulations.
520 $a In the third essay, I find that, in a rational framework with unverified beliefs, the speculative trading based on belief revisions may generate the disposition effect and the V-shape of the probability-of-selling schedule. In some situations, investors have the V-shape of the probability-of-selling schedules; while in other situations, they have monotonically increasing probability-of-selling schedules. The information-impounding effect and confidence-updating effect are embodied in the probability that the expected price change has occurred and in the probability that the belief is true, respectively. In a general equilibrium model where investors with unverified beliefs trade with normal investors, we find the that investors with unverified beliefs exhibit the disposition effect and the V-shaped probability-of-selling schedule as well.
590 $a School code: 1209.
650 4 $a Business administration. $3 1148568
650 4 $a Finance. $3 559073
690 $a 0310
690 $a 0508
710 2 $a INSEAD (France and Singapore). $b Finance. $3 1213880
773 0 $t Dissertation Abstracts International $g 80-06A(E).
790 $a 1209
791 $a Ph.D.
792 $a 2018
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10830295