東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Market reaction to news.

Chakraborty, Sayan.

FindBook

Google Book

Amazon

博客來

Market reaction to news.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Market reaction to news./
作者:	Chakraborty, Sayan.
面頁冊數:	145 p.
附註:	Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2324.
Contained By:	Dissertation Abstracts International66-06A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3177695
ISBN:	0542172844

Market reaction to news.
Chakraborty, Sayan.

Market reaction to news. - 145 p.

Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2324.

Thesis (Ph.D.)--Northwestern University, 2005.

In the first chapter, I study the trading behavior of investors and price patterns of assets when agents have heterogeneous prospect theory preferences. The model shows that, in general, reference dependent preferences can generate trade, even when markets are complete and agents have homogeneous beliefs. When the market is comprised of such agents with heterogeneous risk attitudes, the arrival of news pertaining to the expected value of the asset leads to trade. For relatively low levels of the expected value, the asset is concentrated in the hands of less risk sensitive agents while for high expected value, the asset is held by the more risk sensitive agents. The model predicts that the price can be higher (lower) than the expected value when the expected value is high (low). Loss aversion entails that for the same beliefs but different reference levels, an agent can be better/worse off since his state-dependent payoffs will be different due to changes in her reference level. Whether this observation can explain disproportionate changes in the asset price for the same change in the expected value is investigated. The relevance of this for the case when price rise for a while and then falls sharply (bubbles and crashes) is discussed.

ISBN: 0542172844Subjects--Topical Terms:

626650
Economics, Finance.

Market reaction to news.
LDR:02948nmm 2200301 4500 001 1814560
005 20060601075520.5
008 130610s2005 eng d
020 $a 0542172844
035 $a (UnM)AAI3177695
035 $a AAI3177695
040 $a UnM $c UnM
100 1 $a Chakraborty, Sayan. $3 1904024
245 1 0 $a Market reaction to news.
300 $a 145 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2324.
500 $a Adviser: Peter Klibanoff.
502 $a Thesis (Ph.D.)--Northwestern University, 2005.
520 $a In the first chapter, I study the trading behavior of investors and price patterns of assets when agents have heterogeneous prospect theory preferences. The model shows that, in general, reference dependent preferences can generate trade, even when markets are complete and agents have homogeneous beliefs. When the market is comprised of such agents with heterogeneous risk attitudes, the arrival of news pertaining to the expected value of the asset leads to trade. For relatively low levels of the expected value, the asset is concentrated in the hands of less risk sensitive agents while for high expected value, the asset is held by the more risk sensitive agents. The model predicts that the price can be higher (lower) than the expected value when the expected value is high (low). Loss aversion entails that for the same beliefs but different reference levels, an agent can be better/worse off since his state-dependent payoffs will be different due to changes in her reference level. Whether this observation can explain disproportionate changes in the asset price for the same change in the expected value is investigated. The relevance of this for the case when price rise for a while and then falls sharply (bubbles and crashes) is discussed.
520 $a In the second and third chapters, I study seasonal patterns in stock returns. The second chapter provides a survey of the existing literature on well-known seasonal effects on stock returns. The third chapter extends this literature by studying whether stock returns respond to the predictable seasonal component of certain announcements, i.e., whether market participants make adjustments to account for seasonal components when making decisions in response to arrival of information. The Efficient Market Hypothesis suggests that the market should not respond to predictable components of announcements. In this regard, we study one specific category of announcements, the announcement of sales figures of a firm (which can have a seasonal pattern), and investigate how it affects the return on the corresponding stock.
590 $a School code: 0163.
650 4 $a Economics, Finance. $3 626650
650 4 $a Economics, General. $3 1017424
650 4 $a Economics, Theory. $3 1017575
690 $a 0508
690 $a 0501
690 $a 0511
710 2 0 $a Northwestern University. $3 1018161
773 0 $t Dissertation Abstracts International $g 66-06A.
790 1 0 $a Klibanoff, Peter, $e advisor
790 $a 0163
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3177695