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Essays on Heterogeneous Beliefs in F...

Sun, Hao.

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Essays on Heterogeneous Beliefs in Financial Markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Heterogeneous Beliefs in Financial Markets./
作者:	Sun, Hao.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
面頁冊數:	143 p.
附註:	Source: Dissertation Abstracts International, Volume: 80-03(E), Section: A.
Contained By:	Dissertation Abstracts International80-03A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10846370
ISBN:	9780438551459

Essays on Heterogeneous Beliefs in Financial Markets.
Sun, Hao.

Essays on Heterogeneous Beliefs in Financial Markets. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 143 p.

Source: Dissertation Abstracts International, Volume: 80-03(E), Section: A.

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

In this thesis, I investigate how the disagreements among market participants can affect markets in various settings. In the first chapter, I study how market participants with heterogeneous beliefs and non-commitment can create and manage counterparty risk in a sequentially and bilaterally traded market. I find that the equilibrium price may not always reflect counterparty risk due to risk-management efforts by market participants. Even when there is no default in equilibrium, market participants cannot attain the best allocations since risk-management is costly. In the second chapter, I study disagreements among market participants under more general belief structures. Here, I employ the collateral equilibrium framework to study the how the disagreements can affect equilibrium pricing of assets and derivatives. I provide sufficient conditions for bubble to exist in equilibrium prices. Moreover, I find that certain types of disagreements can also generate volatility smirks in options. In chapter three, I study asynchronized trading among market participants in presence of a growing asset bubble. Market participants disagree on the starting date of an exogenous asset bubble and decide when to exit the market. I also introduce a large market participant alongside numerous infinitesimal market participants to study their interactions and the mechanism of the bursting an asset bubble. I find results in contrast to those in the currency attack literature. The market participants in this setting stand to benefit from a growing asset bubble whereas the market participants in the currency attack literature only benefit if an attack is successful.

ISBN: 9780438551459Subjects--Topical Terms:

542899
Finance.

Essays on Heterogeneous Beliefs in Financial Markets.
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