Download or read book Three Essays on Asset Pricing and Behavioral Finance written by Cheng Peng and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing and Behavioral Finance written by Huijing Li and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays. In the first essay, we develop a model to study the role of CSR costs in the cross-section of stock returns. Our CAPM-based model predicts CSR factors are priced in the cross-section of stock returns. We then empirically test the implication of our pricing model by using data from MSCI ESG. The univariate analysis reveals that the quantile portfolio with the lowest CSR (social or environmental) cost beta significantly outperforms the highest CSR cost beta portfolio. In addition, we find negative and significant risk premiums on both the environmental and social risk factor. The second essay reports the results of three experimental studies that investigate the impact of moral identity (MI) on individuals' financial decision-making. Study 1 suggests that individuals' MI is negatively related to the willingness to invest (WTI) in an immoral portfolio. Study 2 shows that individuals with a low MI have a higher WTI for an immoral portfolio only when they are incentivized by a higher financial return. Study 3 reveals that when immoral stocks provide a higher return incentive, individuals with low MI do have a higher WTI, but only when they perceive themselves to be distant from the immoral company. When individuals perceive themselves to be physically close to an immoral company, they are less sensitive to the return incentive and their WTI is lower. In the third essay, we study human capital from the perspective of ex ante health perception. We obtain search volume data of medical symptoms from Google Trends and follow the methodology of Da, Engelberg, and Gao, (2015). We propose that increased (decreased) search volume of medical symptoms implies an ex ante decline (increase) in the value of health oriented human capital. We then use the inverse of our health concern index to proxy the health dimension of human capital (denoted as HHC). We estimate stock exposure (beta) to the HHC, and a univariate analysis reveals the highest HHC beta portfolio significantly outperforms the lowest HHC beta portfolio. Also, our results suggest that the HHC is positively priced in the cross-section of stock returns.
Download or read book Three Essays in Behavioral Finance Asset Pricing and Macroeconomics written by Nitzan Melamed and published by . This book was released on 2001 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing Portfolio Choice and Behavioral Finance written by Ehud Peleg and published by ProQuest. This book was released on 2008 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Behavioral Finance written by Gabriele M. Lepori and published by . This book was released on 2008 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Behavioral Finance written by Michael J. Sinkey and published by . This book was released on 2011 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: My dissertation consists of three chapters that examine the role of behavioral biases in both expert updating and asset pricing. It provides empirical evidence for confirmatory bias and Bayesian reassessment in expert updating, and utilizes a unique, regression-discontinuity approach for identifying confirmatory bias, using insights from a new model of confirmatory bias. Additionally, I propose a rational explanation for the home underdog bias, which has been found in many sports betting markets. I use evidence from a set of binary choice models to propose that betting houses intentionally leave betting on home underdogs open for profitable betting in order to eliminate the behavioral strategy of betting on hot teams.
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2000 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Asset Pricing written by Selale Tuzel and published by . This book was released on 2005 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing written by Yongli Zhang and published by ProQuest. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Download or read book Three Essays in Asset Pricing and Continuous Time Finance written by Tony Berrada and published by . This book was released on 2001 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing written by Emmanuel Leclercq and published by . This book was released on 2014 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing and Factor Investing written by Philipp A. Dirkx and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Empirical Asset Pricing and Behavioral Finance written by Ulrich Wessels and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing written by Zhi Da and published by . This book was released on 2006 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Download or read book Three Essays on Investor Behavior and Asset Pricing written by Li An and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I also examine the case when cash flow problems interact with default incentives and show that recourse can help reduce default incentives, make debt value immune to liquidity shock, and has little impact on house equity value.
Download or read book Three Essays on Asset Pricing written by Anya Khanthavit and published by . This book was released on 1992 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
