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谨以此帖慰问门可罗雀的行为经济学版和黯然神伤的闲人斑竹！
论文名称 Essays in behavioral finance.
作者 Kumar, Alok.;
学位 Ph.D.
学校 Cornell University.
日期 2003
指导老师 Masson, Robert
学科 Economics, Finance.
摘要 In this study, using data from a major discount brokerage house, I examine the effects of individual investors' correlated trading activities and their style-switching behavior on stock returns. I show that the buy-sell imbalance in individual investors' trades contains a systematic component that is uncorrelated with overall market movements. Using this common component as a measure of individual investor sentiment, I show that it is weakly correlated with standard risk factors and macro-economic variables, and is strongly influenced by “expert” advice from investment newsletters. This sentiment measure has incremental explanatory power for small-cap returns, particularly among stocks with lower prices, lower institutional ownership, and higher B/M ratios.;I also find that individual investors engage in style-based investing where they formulate their demands at a style-level (value versus growth, small versus large) and re-allocate funds between styles on the basis of past relative performance as well as “expert” advice from investment newsletters. Their style-switching behavior is unaffected by innovations in macro-economic variables or shifts in expectations about stocks' future cash-flows. However, I find that style-switching induced demand shifts generate co-movement in returns along style-based attributes. The contemporaneous relation between style returns and investors' demand shifts is strong, and I also find some evidence of return predictability using lagged demand shifts.
论文名称 Essays in behavioral corporate finance.
作者 Tate, Geoffrey Alan.;
学位 Ph.D.
学校 Harvard University.
日期 2003
指导老师 Stein, Jeremy
学科 Economics, General.;Economics, Finance.;Business Administration, Management.
摘要 Overconfident managers overestimate their skill in selecting, implementing, and over-seeing projects. As a result, they overestimate the profitability of those projects to the shareholders. Further, this overvaluation causes a financing friction: overconfident CEOs believe their firm is undervalued by the capital market and, thus, are reluctant to raise external capital. So, even a manager who intends to act in the interests of the shareholders can make decisions that destroy shareholder value. We demonstrate the potential distortions of investment and takeover decisions that can arise due to managerial overconfidence.;We then test the overconfidence hypothesis in two ways. First, we use data on the personal portfolio decisions of a sample of CEOs in Forbes 500 companies. We classify CEOs as overconfident if they repeatedly fail to exercise options that are highly in the money, or if they habitually acquire stock of their own company. Second, we examine the manner in which the business press portrays these CEOs. We classify CEOs as overconfident if they are more often described as “confident” and “optimistic” than as “not confident,” “not optimistic,” “reliable,” “cautious,” “conservative,” “practical,” “frugal,” or “steady.” The two sets of measures are positively correlated. And, they all confirm the predictions of the overconfidence model. Overconfident CEOs are more likely to conduct mergers on average and this effect is due largely to diversifying (or negative expected value) mergers. Further, overconfidence has the largest effect in firms with the most cash and untapped debt capacity (or with minimal perceived financing costs). We also find that the market reacts negatively to takeover bids and that this effect is significantly stronger for overconfident managers. In the investment context, overconfident CEOs display significantly higher sensitivity of corporate investment to cash flow. And, here due to the maximization of perceived financing costs, this effect comes largely from CEOs in equity-dependent firms.
论文名称 Essays on market frictions.
作者 Wang, Tao.;
学位 Ph.D.
学校 The Johns Hopkins University.
日期 2001
指导老师 Ball, Laurence
学科 Economics, General.;Economics, Finance.;Economics, Theory. 摘要 This dissertation concerns two areas that use the assumptions of near-rationality and market frictions. One area is the price-setting behavior of the firms studied by the New Keynesian economics. The other is the existence of “noise”, or irrational, traders and their roles in the financial markets studied by behavioral models.;In the second chapter, I examine whether a rise in import prices affects the price level more than a decline in import prices, and the reason why this might occur. From the simulation results derived in the modified Ball and Mankiw (1994) model, asymmetry is shown to be non-monotonic. Moreover, it depends on the size of trend inflation. Using a dynamic panel data set with 21 OECD countries, I then find that the effects of import price changes on domestic inflation are indeed asymmetric, contrary to what most of the literature finds. Further estimation indicates that the size of asymmetry depends on the size of trend inflation as well.;In the next chapter, simulated data from the Ball and Mankiw model (1994) are tested against the empirical evidence on the asymmetric effects of money shocks on output. It is found that the model explains 20% of the asymmetry. Furthermore, the model predicts that the effect of positive shocks on the output is statistically significant, while the data says it is near to zero. Therefore, the model overpredicts the effect of positive shocks and underpredicts, the effect of negative shocks.;In the fourth chapter, we conduct a simulation analysis of two naïve strategies to study the survival of small noise traders in futures trading and its contributing factors. The naïve strategies are buy-and-hold and sell-and-see. In “noise” traders models, speculators can survive and make positive profits because professional traders are unwilling to take the “noise trader risk” to bet against them. Assuming that volatility is one of the “trading spaces” created by noise traders, we can therefore test whether volatility helps speculators survive and earn higher returns.;The simulation results suggest that price volatility contributes positively to the survival rates and returns for the small noise traders. The results seem to be consistent with the notion that noise traders create their own space, supporting the argument that noise traders can survive. The results challenge the perception that volatility hurts small noise traders. We interpret this as evidence that volatility levels the playing field for small noise traders against smart money.
论文名称 Linking behavioral economics, axiomatic decision theory and general equilibrium theory.
作者 Wakai, Katsutoshi.;
学位 Ph.D.
学校 Yale University.
日期 2002
指导老师 Morris, Stephen
学科 Economics, Theory.;Economics, Finance.
摘要 My dissertation links behavioral economics, axiomatic decision theory and general equilibrium theory to analyze issues in financial economics. I investigate two behavioral concepts: time-variability aversion, i.e., the aversion to volatility (fluctuation in payoffs over time) and uncertainty aversion, i.e., the aversion to uncertainty of state realizations. Chapter 1 develops a new intertemporal choice theory by endogenizing discount factors based on time-variability aversion, and shows that the new model can explain widely noted stylized facts in finance. The main contributions of this chapter are the findings that (1) time-variability aversion can be represented by time-varying discount factors based on very parsimonious axioms; (2) under the assumption of dynamic consistency, time-variability aversion implies gain/loss asymmetry in discount factors; (3) the gain/loss asymmetry boosts effective risk aversion over states by extreme dislike of losses while maintaining positive average time-discounting. This intertemporal substitution mechanism explains why the risk premium of equity needs to be very high relative to the risk-free rate.;Chapter 2 provides the conditions under which the no-trade theorem of Milgrom & Stokey (1982) holds for an economy of agents whose preferences follow uncertainty aversion as captured by the multiple prior model of Gilboa and Schmeidler (1989). First, I prove that given the agents' knowledge of the filtration, dynamic consistency and consequentialism imply that a set of ex-ante priors must satisfy the recursive structure. Next, I show that with perfect anticipation of ex-post knowledge, the no-trade theorem holds under the economy such that agents follow dynamically consistent multiple prior preferences.;Chapter 3 examines risk-sharing among agents who are uncertainty averse. The main objective is to provide conditions in the exchange economy such that agents' effective priors (and equilibrium consumptions) will be comonotonic and their marginal rates of substitution (weighted by these priors) will be equalized when agents have heterogeneous multiple prior sets. One set of sufficient conditions is for each agent's multiple prior set to be symmetric (or to be defined by a convex capacity) around the center of the simplex.
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