Download or read book Heterogeneity of Investor Price Expectations written by Rajendra K. Srivastava and published by . This book was released on 1981 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Expectation in financial markets written by David M. Ritzwoller and published by . This book was released on 2018 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: Newly available panel data on investor expectations of future returns to the stock market suggest that (1) there is a large degree of heterogeneity in the ways that investors form beliefs about future stock market returns, that (2) investors frequently change the ways that they form their beliefs, that (3) investor's decisions to change the way that they form beliefs are influences by changes in market behavior, and that (4) adaptation in the ways that investors form beliefs significantly effect aggregate price dynamics. First, I reproduce, refine, and substantially expand a nonparametric procedure initially developed in Dominitz and Manski (2011) to classify investor expectations into three "expectation-types" based on how investors revise their expectations for returns relative to the change in recent returns. I find that there is substantial heterogeneity in expectation-types and frequent adaptation between expectation-types. Second, I show that the probability of transitioning to a different expectation-type is significantly correlated with the size and sign of the change in recent returns, indicating that the decision to adapt to a different expectation-type is influenced by recent market behavior. Third, I develop a simple, stylized, agent-based model of adaptation of expectation-types and argue that adaptive behavior can significantly influence aggregate price dynamics in ways consistent with observed stock market behavior.
Download or read book Investor Heterogeneity Trading Volume and Asset Pricing written by Takeshi Yamada and published by . This book was released on 1993 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investors Heterogeneity Prices and Volume Around the Ex Dividend Day written by Roni Michaely and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the relationship between tax heterogeneity and the behavior of stock prices and trading volume around the ex-dividend day within an equilibrium framework. We conclude that, even in a world without transaction costs, the price drop on the ex-day need not be equal to the dividend amount. Our model accounts for the higher market trading volume around the ex-day, and shows this to be a function of tax heterogeneity among traders. We show that the volume of trade around the ex-day contains information about investors' tax preferences above and beyond the information contained in the ex-day price alone. Consistent with the model's predictions, our empirical analysis reveals that as the risk associated with the ex-dividend day increases, or tax heterogeneity decreases, trading volume decreases.
Download or read book The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices Classic Reprint written by John Heaton and published by Forgotten Books. This book was released on 2017-12-15 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices In this section we present a series of incomplete market models in order to systematically show how various forms of market frictions can affect predicted asset prices. In particular, we investigate the effects of non-contractable shocks to individual income, the persistence and conditional volatility of these individual shocks, borrowing and short sales constraints, and transactions costs in asset markets. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Download or read book Heterogeneous Expectations and Farmland Prices written by Keith Cates Brown and published by . This book was released on 1982 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Lifecycle Investing written by Ian Ayres and published by ReadHowYouWant.com. This book was released on 2010-05 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diversification provides a well-known way of getting something close to a free lunch: by spreading money across different kinds of investments, investors can earn the same return with lower risk (or a much higher return for the same amount of risk). This strategy, introduced nearly fifty years ago, led to such strategies as index funds. What if we were all missing out on another free lunch that’s right under our noses? InLifecycle Investing, Barry Nalebuff and Ian Ayres-two of the most innovative thinkers in business, law, and economics-have developed tools that will allow nearly any investor to diversify their portfolios over time. By using leveraging when young-a controversial idea that sparked hate mail when the authors first floated it in the pages ofForbes-investors of all stripes, from those just starting to plan to those getting ready to retire, can substantially reduce overall risk while improving their returns. InLifecycle Investing, readers will learn How to figure out the level of exposure and leverage that’s right foryou How the Lifecycle Investing strategy would have performed in the historical market Why it will work even if everyone does it Whennotto adopt the Lifecycle Investing strategy Clearly written and backed by rigorous research,Lifecycle Investingpresents a simple but radical idea that will shake up how we think about retirement investing even as it provides a healthier nest egg in a nicely feathered nest.
Download or read book Expectation Formation in Financial Markets written by Bart Frijns and published by . This book was released on 2019 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We set up an endowment based asset pricing model in which agents have heterogeneous expectations about the future price level. Expectations are a function of fundamentals, trends, and sentiment. Agents are allowed to switch between expectation formation functions based on past performance as well as sentiment. Estimation results on the S&P500 reveal that there is heterogeneity between agents, with substantial switching between groups. We find that sentiment has a direct effect on expectations. Specifically, heterogeneity is increasing in sentiment, and sentiment reduces the frequency of switching between functions.
Download or read book The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices written by John Heaton and published by . This book was released on 1994 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Heterogeneity of Investors and Asset Pricing in a Risk value written by Günter Franke and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Experimental Study of Belief written by Tamekichi Okabe and published by . This book was released on 1910 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On ESG Investing written by Itay Goldstein and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study how environmental, social and governance (ESG) investing reshapes information aggregation by prices. We develop a rational expectations equilibrium model in which traditional and green investors are informed about financial and ESG risks but have different preferences over them. Because of the preference heterogeneity, traditional and green investors trade in the opposite directions based on the same information. We show that the equilibrium price may not be uniquely determined. An increase in the fraction of green investors and an improvement in the ESG information quality can reduce price informativeness about the financial payoff and raise the cost of capital.
Download or read book Analysts Forecasts as Proxies for Investor Beliefs in Empirical Research written by Jeffery S. Abarbanell and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Influence of Investor s Heterogeneous Expectations on the Firm s Cost of Capital written by Bernard Dumas and published by . This book was released on 1973 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Heterogeneous Expectations and Long Range Correlation of the Volatility of Asset Returns written by Jérôme Coulon and published by . This book was released on 2010 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a semi-parametric model of investors' anticipations, we make the connection between the distributional properties of the heterogeneity parameters and the auto-covariance/auto-correlation functions of the realized volatility. We report different behaviors, or change of convention, whose observation depends on the market phase under consideration. In particular, we report and justify the fact that the volatility exhibits significantly longer memory during the phases of speculative bubble than during the phase of recovery following the collapse of a speculative bubble.
Download or read book Investor Heterogeneity Investor Management Disagreement and Share Repurchases written by Sheng Huang and published by . This book was released on 2014 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops and tests a new theoretical explanation for why a firm conducts open-market and privately-negotiated stock repurchases. Investors may disagree with the manager about the firm's investment projects. A repurchase causes a change in the investor base as investors who are more likely to disagree with the manager tender their shares. This model leads to the following predictions. First, a firm is more likely to buy back shares when the level of investor-management agreement is lower. Second, the level of agreement improves following a repurchase. Third, once the stock price and investor-management agreement are controlled for, dispersion of opinion among investors cannot explain repurchase activity. Our empirical tests provide strong support for these predictions. The results are robust to controls for information asymmetry and other factors that may drive a firm's share repurchase decision. Overall, the evidence is consistent with firms strategically using repurchases to improve alignment between management and shareholders.
Download or read book Handbook of Financial Markets Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
