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Essays in Behavioral Finance and Asset Pricing.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays in Behavioral Finance and Asset Pricing./
作者:	Wu, Jun.
面頁冊數:	1 online resource (128 pages)
附註:	Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
Contained By:	Dissertation Abstracts International79-12A(E).
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9780438269538

Essays in Behavioral Finance and Asset Pricing.
Wu, Jun.

Essays in Behavioral Finance and Asset Pricing. - 1 online resource (128 pages)

Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.

Thesis (Ph.D.)--Yale University, 2018.

Includes bibliographical references

In this dissertation, I present four essays in behavioral finance and asset pricing. In Essay 1, I show that the sensitivity of mutual fund flows with respect to the fund's past performance is time-varying, and has implications for future fund performance and fund flows. I define mutual fund investors' degree of extrapolation (DOX) as the relative sensitivity of fund flows to recent and distant past performance, and test the predictions of X-CAPM. I find that value funds outperform growth funds more and receive more fund flows when DOX is high than when DOX is low, consistent with the predictions of XCAPM. In Essay 2, I explore the effect of short-sale constraints and investor disagreement on the option smile. I find that option smiles are more negative when the underlying stock faces tighter short-sale constraints, and even more negative when there is more disagreement on the stock, after controlling for the realized skewness of the underlying stock's return distribution. My results complement previous studies that document the violation of put-call parity in the presence of short-sale constraints and provide further evidence of option price anomalies through the interaction of short-sale constraint and investor disagreement. In Essay 3, I use a comprehensive corporate news dataset from RavenPack to explore the autocorrelation and pricing information contained in corporate news events. I find that news event sentiment for individual stocks has positive quarterly autocorrelation over the first four quarters and negative autocorrelation over longer horizons. Contemporaneous time series regressions show that news sentiment contains additional pricing information beyond the standard risk factors. Cross sectional predictive regressions and portfolio sorts show moderate predictive power of news sentiment on future returns especially at the short horizons. Finally, event study using daily returns shows that new information is incorporated into market prices very quickly, and that post-news returns beyond the first two days do not show significant patterns of under- or overreaction. In Essay 4, co-authored with Cameron Peng, we estimate a mutual fund's trading style based on its portfolio decisions as a function of past returns. A fund is considered more momentum (contrarian) if it tends to hold more (fewer) shares of a stock after positive returns and fewer (more) shares after negative returns. Using this new measure for trading style, we find that 1) fund styles are highly persistent for a period of up to three years; 2) conditional on fund styles and past stock returns, changes in stock ownership are highly predictable; and 3) these predictable changes in ownership lead to predictable stock returns. Specifically, a momentum strategy that goes long winners and short losers held by momentum funds generates 3.06% higher returns per annum than the usual momentum strategy.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780438269538Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays in Behavioral Finance and Asset Pricing.
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500 $a Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
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502 $a Thesis (Ph.D.)--Yale University, 2018.
504 $a Includes bibliographical references
520 $a In this dissertation, I present four essays in behavioral finance and asset pricing. In Essay 1, I show that the sensitivity of mutual fund flows with respect to the fund's past performance is time-varying, and has implications for future fund performance and fund flows. I define mutual fund investors' degree of extrapolation (DOX) as the relative sensitivity of fund flows to recent and distant past performance, and test the predictions of X-CAPM. I find that value funds outperform growth funds more and receive more fund flows when DOX is high than when DOX is low, consistent with the predictions of XCAPM. In Essay 2, I explore the effect of short-sale constraints and investor disagreement on the option smile. I find that option smiles are more negative when the underlying stock faces tighter short-sale constraints, and even more negative when there is more disagreement on the stock, after controlling for the realized skewness of the underlying stock's return distribution. My results complement previous studies that document the violation of put-call parity in the presence of short-sale constraints and provide further evidence of option price anomalies through the interaction of short-sale constraint and investor disagreement. In Essay 3, I use a comprehensive corporate news dataset from RavenPack to explore the autocorrelation and pricing information contained in corporate news events. I find that news event sentiment for individual stocks has positive quarterly autocorrelation over the first four quarters and negative autocorrelation over longer horizons. Contemporaneous time series regressions show that news sentiment contains additional pricing information beyond the standard risk factors. Cross sectional predictive regressions and portfolio sorts show moderate predictive power of news sentiment on future returns especially at the short horizons. Finally, event study using daily returns shows that new information is incorporated into market prices very quickly, and that post-news returns beyond the first two days do not show significant patterns of under- or overreaction. In Essay 4, co-authored with Cameron Peng, we estimate a mutual fund's trading style based on its portfolio decisions as a function of past returns. A fund is considered more momentum (contrarian) if it tends to hold more (fewer) shares of a stock after positive returns and fewer (more) shares after negative returns. Using this new measure for trading style, we find that 1) fund styles are highly persistent for a period of up to three years; 2) conditional on fund styles and past stock returns, changes in stock ownership are highly predictable; and 3) these predictable changes in ownership lead to predictable stock returns. Specifically, a momentum strategy that goes long winners and short losers held by momentum funds generates 3.06% higher returns per annum than the usual momentum strategy.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Yale University. $3 1178968
773 0 $t Dissertation Abstracts International $g 79-12A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10957212 $z click for full text (PQDT)