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Three essays on information and asse...

Li, Gang.

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Three essays on information and asset prices.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three essays on information and asset prices./
作者:	Li, Gang.
面頁冊數:	95 p.
附註:	Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3409.
Contained By:	Dissertation Abstracts International64-09A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3105292

Three essays on information and asset prices.
Li, Gang.

Three essays on information and asset prices. - 95 p.

Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3409.

Thesis (Ph.D.)--University of California, Berkeley, 2003.

This dissertation presents three essays to study how the precision of noisy public information about expected dividend or earnings growth rates affect asset prices, to address how to measure the precision of noisy public information investors receive in the financial market, and to examine what variables of interest affect the precision of information.Subjects--Topical Terms:

626650
Economics, Finance.

Three essays on information and asset prices.
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500 $a Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3409.
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502 $a Thesis (Ph.D.)--University of California, Berkeley, 2003.
520 $a This dissertation presents three essays to study how the precision of noisy public information about expected dividend or earnings growth rates affect asset prices, to address how to measure the precision of noisy public information investors receive in the financial market, and to examine what variables of interest affect the precision of information.
520 $a The first essay studies how the precision of noisy public information about expected aggregate dividend growth rates affects stock market returns, and addresses whether noisy information can help better understand the risk premium and stock volatility puzzles in the US financial market. We develop a dynamic general equilibrium model of asset prices, with a stochastic expected dividend growth rate that is not observable but must be learned from public information and the realized dividends and consumption. Noisy public information and learning about expected dividend growth rates introduce estimation errors into the stock valuation process and thus affect stock prices. The model has a closed-form solution to the equilibrium interest rate, stock price and return.
520 $a The second essay develops a conditional intertemporal equilibrium capital asset pricing model to study the size anomaly based on the idea that investors are on average more informed about the expected earnings growth rates of large stocks than about those of small stocks. We consider a small stock and a large one that each have stochastic earnings with an expected growth rate that is not observable to investors but must be learned from public information and the realized earnings. Differential information about expected earnings growth rates exposes the two stocks to differential information risk that results in differential time-varying conditional investment opportunities, hedging demands, stock prices and returns, even if the two stocks are priced exactly the same under symmetric information.
520 $a The last essay studies how to use analyst earnings forecasts to estimate the precision of noisy public information investors receive about unobservable expected earnings growth rates, and examines what variables of interest affect the precision of information. Using data from I/B/E/S and Compustat, this study finds that the precision of information is associated with firm characteristics such as firm size, the number of the analysts following a firm, earnings growth volatility and the capital structure of a firm. The precision of information is also found associated with analyst characteristics such as analysts' ability, skill and accessible resources in acquiring information about expected earnings growth rates. (Abstract shortened by UMI.)
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