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

FindBook

Google Book

Amazon

博客來

Essays in Asset Pricing and Investor Behavior.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Asset Pricing and Investor Behavior./
作者:	Yang, Qian.
面頁冊數:	1 online resource (94 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-01, Section: A.
Contained By:	Dissertations Abstracts International85-01A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30422094click for full text (PQDT)
ISBN:	9798379737689

Essays in Asset Pricing and Investor Behavior.
Yang, Qian.

Essays in Asset Pricing and Investor Behavior. - 1 online resource (94 pages)

Source: Dissertations Abstracts International, Volume: 85-01, Section: A.

Thesis (Ph.D.)--Michigan State University, 2023.

Includes bibliographical references

In Chapter One, we examine the following question. Have retail investors become the ants that move the log? Social media has proved instrumental for effective coordination that might lead to extreme returns. To study this effect, I construct a novel crash risk measure by estimating ex-ante crash probabilities via logit and machine learning techniques. Stocks with high ex-ante crash risk tend to have lower returns, especially when lagged sentiment is high. Robinhood traders tend to over-buy high crash-risk stocks, consistent with the optimal expectations theory. By exploiting the staggered first appearances of ticker names on "Wallstreetbets", I document a causal effect of social transmission on crash risk. This effect is significantly more substantial for smaller stocks. To further bolster the finding, I exploit the entire history of Reddit to construct a novel instrument and show that social transmission is likely to cause elevated crash risk on a daily basis.In Chapter Two, we examine the following issue. Cyber risk is an important but latent source of risk in the economy. To estimate its impact on the asset market, we use machine learning techniques to develop a firm-level measure of cyber risk. The measure aggregates information from a rich set of firm characteristics and shows superior ability to forecast future cyberattacks on individual firms. We find that firms with higher cyber risk earn higher average stock returns. When these firms underperform, cybersecurity experts tend to have higher concerns about cyber risk, and cybersecurity exchange-traded funds outperform. Further tests strengthen the identification of the cyber risk premium.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9798379737689Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Machine learningIndex Terms--Genre/Form:

542853
Electronic books.

Essays in Asset Pricing and Investor Behavior.
LDR:03001nmm a2200385K 4500 001 2363661
005 20231127093613.5
006 m o d
007 cr mn ---uuuuu
008 241011s2023 xx obm 000 0 eng d
020 $a 9798379737689
035 $a (MiAaPQ)AAI30422094
035 $a AAI30422094
040 $a MiAaPQ $b eng $c MiAaPQ $d NTU
100 1 $a Yang, Qian. $3 1684219
245 1 0 $a Essays in Asset Pricing and Investor Behavior.
264 0 $c 2023
300 $a 1 online resource (94 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertations Abstracts International, Volume: 85-01, Section: A.
500 $a Advisor: Khanna, Naveen;Jiang, Hao.
502 $a Thesis (Ph.D.)--Michigan State University, 2023.
504 $a Includes bibliographical references
520 $a In Chapter One, we examine the following question. Have retail investors become the ants that move the log? Social media has proved instrumental for effective coordination that might lead to extreme returns. To study this effect, I construct a novel crash risk measure by estimating ex-ante crash probabilities via logit and machine learning techniques. Stocks with high ex-ante crash risk tend to have lower returns, especially when lagged sentiment is high. Robinhood traders tend to over-buy high crash-risk stocks, consistent with the optimal expectations theory. By exploiting the staggered first appearances of ticker names on "Wallstreetbets", I document a causal effect of social transmission on crash risk. This effect is significantly more substantial for smaller stocks. To further bolster the finding, I exploit the entire history of Reddit to construct a novel instrument and show that social transmission is likely to cause elevated crash risk on a daily basis.In Chapter Two, we examine the following issue. Cyber risk is an important but latent source of risk in the economy. To estimate its impact on the asset market, we use machine learning techniques to develop a firm-level measure of cyber risk. The measure aggregates information from a rich set of firm characteristics and shows superior ability to forecast future cyberattacks on individual firms. We find that firms with higher cyber risk earn higher average stock returns. When these firms underperform, cybersecurity experts tend to have higher concerns about cyber risk, and cybersecurity exchange-traded funds outperform. Further tests strengthen the identification of the cyber risk premium.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 542899
653 $a Machine learning
653 $a Social transmission
653 $a Novel instrument
653 $a Cyber risk
653 $a Asset market
655 7 $a Electronic books. $2 lcsh $3 542853
690 $a 0508
690 $a 0338
710 2 $a ProQuest Information and Learning Co. $3 783688
710 2 $a Michigan State University. $b Business Administration -Finance - Doctor of Philosophy. $3 3182811
773 0 $t Dissertations Abstracts International $g 85-01A.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30422094 $z click for full text (PQDT)