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

Essays in Information Frictions and ...

Batyi, Tamas Laszlo.

FindBook

Google Book

Amazon

博客來

Essays in Information Frictions and Financial Markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Information Frictions and Financial Markets./
作者:	Batyi, Tamas Laszlo.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2019,
面頁冊數:	62 p.
附註:	Source: Dissertations Abstracts International, Volume: 81-04, Section: B.
Contained By:	Dissertations Abstracts International81-04B.
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13885184
ISBN:	9781085793612

Essays in Information Frictions and Financial Markets.
Batyi, Tamas Laszlo.

Essays in Information Frictions and Financial Markets. - Ann Arbor : ProQuest Dissertations & Theses, 2019 - 62 p.

Source: Dissertations Abstracts International, Volume: 81-04, Section: B.

Thesis (Ph.D.)--University of California, Berkeley, 2019.

This item must not be sold to any third party vendors.

Frictions affecting information demand play an essential role in equilibrium outcomes of financial markets, and the behavior of investors, managers, and regulators. Demand-side information frictions can be the result of costly information acquisition or psychological factors, and can interact with various behavioral biases resulting in outcomes that would be puzzling in traditional, entirely rational models.The first chapter models the learning and trading decision of investors in an economy with regular public announcements and costly information. Scheduled public announcements affect the information acquisition decision of traders, who in equilibrium focus their learning on stocks with upcoming announcements. When learning is endogenous, public announcements have a significant effect on information acquisition, price movements, and price informativeness. Using quarterly earnings announcements as regular and major information events, I document a number of patterns consistent with rational allocation of limited learning capacity. In the time-series, I show that costly information acquisition results in lower learning and price movements before announcements on busier weeks. In the cross-section of stocks, I find that learning and price movements are lower when other announcing firms are more valuable to learn about. The results suggest that learning plays a significant role in pre-announcement market movements, previously mainly attributed to leakage of insider information.In the second chapter, I propose a new approach to model the role of regret and rejoice in dynamic stopping problems; where past outcomes the agent chose not to reach act as reference points. An agent with regret induced reference points exhibits history dependent behavior, and if the stopping decision affects the set of available information, a regret agent is more likely to continue (stop) than a fully rational decision maker when regret level is sufficiently high (low). I show that this approach to regret and rejoice can provide a unified explanation for various previously analyzed phenomena in investor and CEO behavior, such as the disposition effect, the sunk cost fallacy, and the escalation of commitment. In an equilibrium asset pricing framework, regret generates asymmetric price reaction to news, where good information is reflected in prices to a lower extent than bad news.

ISBN: 9781085793612Subjects--Topical Terms:

517137
Economics.
Subjects--Index Terms:

Dynamic stopping problems

Essays in Information Frictions and Financial Markets.
LDR:03647nmm a2200385 4500 001 2267129
005 20200623111705.5
008 220629s2019 ||||||||||||||||| ||eng d
020 $a 9781085793612
035 $a (MiAaPQ)AAI13885184
035 $a AAI13885184
040 $a MiAaPQ $c MiAaPQ
100 1 $a Batyi, Tamas Laszlo. $3 3544370
245 1 0 $a Essays in Information Frictions and Financial Markets.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2019
300 $a 62 p.
500 $a Source: Dissertations Abstracts International, Volume: 81-04, Section: B.
500 $a Advisor: Sraer, David.
502 $a Thesis (Ph.D.)--University of California, Berkeley, 2019.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a Frictions affecting information demand play an essential role in equilibrium outcomes of financial markets, and the behavior of investors, managers, and regulators. Demand-side information frictions can be the result of costly information acquisition or psychological factors, and can interact with various behavioral biases resulting in outcomes that would be puzzling in traditional, entirely rational models.The first chapter models the learning and trading decision of investors in an economy with regular public announcements and costly information. Scheduled public announcements affect the information acquisition decision of traders, who in equilibrium focus their learning on stocks with upcoming announcements. When learning is endogenous, public announcements have a significant effect on information acquisition, price movements, and price informativeness. Using quarterly earnings announcements as regular and major information events, I document a number of patterns consistent with rational allocation of limited learning capacity. In the time-series, I show that costly information acquisition results in lower learning and price movements before announcements on busier weeks. In the cross-section of stocks, I find that learning and price movements are lower when other announcing firms are more valuable to learn about. The results suggest that learning plays a significant role in pre-announcement market movements, previously mainly attributed to leakage of insider information.In the second chapter, I propose a new approach to model the role of regret and rejoice in dynamic stopping problems; where past outcomes the agent chose not to reach act as reference points. An agent with regret induced reference points exhibits history dependent behavior, and if the stopping decision affects the set of available information, a regret agent is more likely to continue (stop) than a fully rational decision maker when regret level is sufficiently high (low). I show that this approach to regret and rejoice can provide a unified explanation for various previously analyzed phenomena in investor and CEO behavior, such as the disposition effect, the sunk cost fallacy, and the escalation of commitment. In an equilibrium asset pricing framework, regret generates asymmetric price reaction to news, where good information is reflected in prices to a lower extent than bad news.
590 $a School code: 0028.
650 4 $a Economics. $3 517137
650 4 $a Finance. $3 542899
650 4 $a Behavioral sciences. $3 529833
653 $a Dynamic stopping problems
653 $a Regret induced reference points
653 $a Information frictions
653 $a Sunk cost fallacy
653 $a Asset prices
690 $a 0501
690 $a 0508
690 $a 0602
710 2 $a University of California, Berkeley. $b Economics. $3 1673006
773 0 $t Dissertations Abstracts International $g 81-04B.
790 $a 0028
791 $a Ph.D.
792 $a 2019
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13885184