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Three Essays on Asset Pricing and Be...

Peng, Cheng.

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Three Essays on Asset Pricing and Behavioral Finance.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Three Essays on Asset Pricing and Behavioral Finance./
Author:	Peng, Cheng.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	137 p.
Notes:	Source: Dissertation Abstracts International, Volume: 79-11(E), Section: A.
Contained By:	Dissertation Abstracts International79-11A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10927868
ISBN:	9780438194380

Three Essays on Asset Pricing and Behavioral Finance.
Peng, Cheng.

Three Essays on Asset Pricing and Behavioral Finance. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 137 p.

Source: Dissertation Abstracts International, Volume: 79-11(E), Section: A.

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

My dissertation examines asset prices and trading behavior when investors have non-traditional preferences and non-traditional beliefs. The three essays presented in this dissertation aim to tighten two links: the link between investors' preferences and beliefs on the one hand and their trading behavior on the other, and the link between their trading behavior and asset prices.

ISBN: 9780438194380Subjects--Topical Terms:

542899
Finance.

Three Essays on Asset Pricing and Behavioral Finance.
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245 1 0 $a Three Essays on Asset Pricing and Behavioral Finance.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2018
300 $a 137 p.
500 $a Source: Dissertation Abstracts International, Volume: 79-11(E), Section: A.
500 $a Adviser: Nicholas C. Barberis.
502 $a Thesis (Ph.D.)--Yale University, 2018.
520 $a My dissertation examines asset prices and trading behavior when investors have non-traditional preferences and non-traditional beliefs. The three essays presented in this dissertation aim to tighten two links: the link between investors' preferences and beliefs on the one hand and their trading behavior on the other, and the link between their trading behavior and asset prices.
520 $a In Chapter 1, Jingchi Liao and I explore the joint dynamics of prices and trading volume in financial bubbles. We propose a model of bubbles based on two ingredients: extrapolation and the disposition effect. We show that the model generates the sharp rise in both prices and volume observed in most bubble episodes, and then test the model's predictions using novel data on the 2014-15 Chinese stock market bubble. Consistent with the model, stocks traded by extrapolative investors exhibit larger price increases during the bubble, while those traded by investors with disposition effects go up much less. Moreover, the increase in volume during the bubble is driven primarily by the subset of investors who are both more extrapolative and more prone to the disposition effect: these investors are quick to buy a stock with good past performance, but also quick to sell it if its price continues to rise.
520 $a In Chapter 2, I study how investors trade under the law of small numbers, the belief that even a small sample represents the characteristics of the underlying population. These investors expect short-term trends to reverse but long-term trends to continue. Using a simple model, I show that the law of small numbers can explain several well-documented trading phenomena: chasing long-term trends, bucking short-term trends, the disposition effect, and the V-shaped selling propensity. Moreover, I derive and successfully test the model's new predictions, and in doing so, I (1) provide evidence for heterogeneous investor horizons, (2) highlight how investors' extrapolation horizon and holding period can explain variation in their disposition effect, and (3) show that the V-shaped selling propensity is an aggregate phenomenon driven by separate groups of investors.
520 $a In Chapter 3, Jun Wu and I study how mutual fund styles could affect the price dynamics of the underlying assets they hold. We classify all mutual funds into momentum and contrarian styles based on their portfolio decisions. A fund is considered momentum (contrarian) if it tends to increase (decrease) holdings after positive returns and decrease (increase) holdings after negative returns. We find that fund styles are highly persistent for a period of up to three years. Conditional on fund styles and past stock returns, changes in stock ownership are highly predictable, which then lead to predictable stock returns. Specifically, a momentum strategy that goes long winners and short losers held by momentum funds generates 5.48% higher returns per annum than the usual momentum strategy.
590 $a School code: 0265.
650 4 $a Finance. $3 542899
650 4 $a Economics. $3 517137
650 4 $a Management. $3 516664
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690 $a 0454
710 2 $a Yale University. $3 515640
773 0 $t Dissertation Abstracts International $g 79-11A(E).
790 $a 0265
791 $a Ph.D.
792 $a 2018
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10927868