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Essays in Financial Economics.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays in Financial Economics./
作者:	Zhang, Jane Danyu.
面頁冊數:	1 online resource (152 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-12, Section: A.
Contained By:	Dissertations Abstracts International85-12A.
標題:	Political science. -
電子資源:	click for full text (PQDT)
ISBN:	9798382785370

Essays in Financial Economics.
Zhang, Jane Danyu.

Essays in Financial Economics. - 1 online resource (152 pages)

Source: Dissertations Abstracts International, Volume: 85-12, Section: A.

Thesis (Ph.D.)--University of California, Los Angeles, 2024.

Includes bibliographical references

In Chapter 1, I study how the political environment impacts the availability of ESG options to individuals. I establish a judicial channel: because the respect of fiduciary duty is adjudicated by politically-oriented judges, some retirement plans are reluctant to offer ESG options due to litigation risk. I document that there is a significant gap in ESG offerings in retirement plans between conservative and liberal judicial circuits, that is only partially explained by demographic characteristics, firm characteristics, and local political preferences. With a decrease in judicial discretion, which reduces the influence of judges' political orientations, retirement plans face more uniform treatment between judicial circuits. This closes a substantial share of the gap in the ESG market between jurisdictions, and employees in conservative areas increase their ESG investments more than employees in liberal areas. I find that this effect is mostly driven by green firms, small firms, and firms located in the liberal counties of conservative circuits. Also, adding ESG options to the menu leads employees to contribute more overall to their retirement plans.In Chapter 2 (with Denis Mokanov and Gabriel Cuevas Rodriguez), we develop a model in which agents optimally choose their information acquisition rate and we show that our model provides an explanation for a number of empirical regularities documented in the asset pricing literature: the unconditional profitability of momentum, the occurrence of momentum crashes, the enhanced profitability of volatility-managed momentum, and the attenuation of momentum. Next, we explore the implications of our model regarding the relative profitability of short-run and long-run momentum strategies, and show that the predictions of our model are supported by the data. Finally, we examine the implications of the model for sell-side analysts' earnings forecasts and find that earnings forecasts display conditional patterns consistent with the predictions of our model.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798382785370Subjects--Topical Terms:

558774
Political science.
Subjects--Index Terms:

ESG optionsIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Financial Economics.
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502 $a Thesis (Ph.D.)--University of California, Los Angeles, 2024.
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520 $a In Chapter 1, I study how the political environment impacts the availability of ESG options to individuals. I establish a judicial channel: because the respect of fiduciary duty is adjudicated by politically-oriented judges, some retirement plans are reluctant to offer ESG options due to litigation risk. I document that there is a significant gap in ESG offerings in retirement plans between conservative and liberal judicial circuits, that is only partially explained by demographic characteristics, firm characteristics, and local political preferences. With a decrease in judicial discretion, which reduces the influence of judges' political orientations, retirement plans face more uniform treatment between judicial circuits. This closes a substantial share of the gap in the ESG market between jurisdictions, and employees in conservative areas increase their ESG investments more than employees in liberal areas. I find that this effect is mostly driven by green firms, small firms, and firms located in the liberal counties of conservative circuits. Also, adding ESG options to the menu leads employees to contribute more overall to their retirement plans.In Chapter 2 (with Denis Mokanov and Gabriel Cuevas Rodriguez), we develop a model in which agents optimally choose their information acquisition rate and we show that our model provides an explanation for a number of empirical regularities documented in the asset pricing literature: the unconditional profitability of momentum, the occurrence of momentum crashes, the enhanced profitability of volatility-managed momentum, and the attenuation of momentum. Next, we explore the implications of our model regarding the relative profitability of short-run and long-run momentum strategies, and show that the predictions of our model are supported by the data. Finally, we examine the implications of the model for sell-side analysts' earnings forecasts and find that earnings forecasts display conditional patterns consistent with the predictions of our model.
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