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谨以此帖慰问门可罗雀的行为经济学版和黯然神伤的闲人斑竹！

论文名称 Essays in behavioral finance.

作者 Kumar, Alok.;

学位 Ph.D.

学校 Cornell University.

日期 2003

指导老师 Masson, Robert

学科 Economics, Finance.

摘要 　In this study, using data from a major discount brokerage house, I examine the effects of individual investors' correlated trading activities and their style-switching behavior on stock returns. I show that the buy-sell imbalance in individual investors' trades contains a systematic component that is uncorrelated with overall market movements. Using this common component as a measure of individual investor sentiment, I show that it is weakly correlated with standard risk factors and macro-economic variables, and is strongly influenced by “expert” advice from investment newsletters. This sentiment measure has incremental explanatory power for small-cap returns, particularly among stocks with lower prices, lower institutional ownership, and higher B/M ratios.;I also find that individual investors engage in style-based investing where they formulate their demands at a style-level (value versus growth, small versus large) and re-allocate funds between styles on the basis of past relative performance as well as “expert” advice from investment newsletters. Their style-switching behavior is unaffected by innovations in macro-economic variables or shifts in expectations about stocks' future cash-flows. However, I find that style-switching induced demand shifts generate co-movement in returns along style-based attributes. The contemporaneous relation between style returns and investors' demand shifts is strong, and I also find some evidence of return predictability using lagged demand shifts.

714.rar (3.96 MB) 本附件包括：

• Essays in behavioral finance.pdf

2004-7-8 21:11:00 上传

国外行为经济学博士论文选登

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关键词：经济学博士 行为经济学 行为经济 博士论文 论文选 博士 论文 国外 行为经济学 选登

论文名称 Essays in behavioral corporate finance.

作者 Tate, Geoffrey Alan.;

学位 Ph.D.

学校 Harvard University.

日期 2003

指导老师 Stein, Jeremy

学科 Economics, General.;Economics, Finance.;Business Administration, Management.

摘要 　Overconfident managers overestimate their skill in selecting, implementing, and over-seeing projects. As a result, they overestimate the profitability of those projects to the shareholders. Further, this overvaluation causes a financing friction: overconfident CEOs believe their firm is undervalued by the capital market and, thus, are reluctant to raise external capital. So, even a manager who intends to act in the interests of the shareholders can make decisions that destroy shareholder value. We demonstrate the potential distortions of investment and takeover decisions that can arise due to managerial overconfidence.;We then test the overconfidence hypothesis in two ways. First, we use data on the personal portfolio decisions of a sample of CEOs in Forbes 500 companies. We classify CEOs as overconfident if they repeatedly fail to exercise options that are highly in the money, or if they habitually acquire stock of their own company. Second, we examine the manner in which the business press portrays these CEOs. We classify CEOs as overconfident if they are more often described as “confident” and “optimistic” than as “not confident,” “not optimistic,” “reliable,” “cautious,” “conservative,” “practical,” “frugal,” or “steady.” The two sets of measures are positively correlated. And, they all confirm the predictions of the overconfidence model. Overconfident CEOs are more likely to conduct mergers on average and this effect is due largely to diversifying (or negative expected value) mergers. Further, overconfidence has the largest effect in firms with the most cash and untapped debt capacity (or with minimal perceived financing costs). We also find that the market reacts negatively to takeover bids and that this effect is significantly stronger for overconfident managers. In the investment context, overconfident CEOs display significantly higher sensitivity of corporate investment to cash flow. And, here due to the maximization of perceived financing costs, this effect comes largely from CEOs in equity-dependent firms.

715.rar (7.98 MB) 本附件包括：

• Essays in behavioral corporate finance.pdf

2004-7-8 21:15:00 上传

国外行为经济学博士论文选登

30年河东，40年河西，俺就咬牙接受了

这么好的东东，你是欲罢不能啊，哈哈，加精华吧！俺继续奉献。。。

论文名称 Essays on market frictions.

作者 Wang, Tao.;

学位 Ph.D.

学校 The Johns Hopkins University.

日期 2001

指导老师 Ball, Laurence

学科 Economics, General.;Economics, Finance.;Economics, Theory. 摘要 　This dissertation concerns two areas that use the assumptions of near-rationality and market frictions. One area is the price-setting behavior of the firms studied by the New Keynesian economics. The other is the existence of “noise”, or irrational, traders and their roles in the financial markets studied by behavioral models.;In the second chapter, I examine whether a rise in import prices affects the price level more than a decline in import prices, and the reason why this might occur. From the simulation results derived in the modified Ball and Mankiw (1994) model, asymmetry is shown to be non-monotonic. Moreover, it depends on the size of trend inflation. Using a dynamic panel data set with 21 OECD countries, I then find that the effects of import price changes on domestic inflation are indeed asymmetric, contrary to what most of the literature finds. Further estimation indicates that the size of asymmetry depends on the size of trend inflation as well.;In the next chapter, simulated data from the Ball and Mankiw model (1994) are tested against the empirical evidence on the asymmetric effects of money shocks on output. It is found that the model explains 20% of the asymmetry. Furthermore, the model predicts that the effect of positive shocks on the output is statistically significant, while the data says it is near to zero. Therefore, the model overpredicts the effect of positive shocks and underpredicts, the effect of negative shocks.;In the fourth chapter, we conduct a simulation analysis of two naïve strategies to study the survival of small noise traders in futures trading and its contributing factors. The naïve strategies are buy-and-hold and sell-and-see. In “noise” traders models, speculators can survive and make positive profits because professional traders are unwilling to take the “noise trader risk” to bet against them. Assuming that volatility is one of the “trading spaces” created by noise traders, we can therefore test whether volatility helps speculators survive and earn higher returns.;The simulation results suggest that price volatility contributes positively to the survival rates and returns for the small noise traders. The results seem to be consistent with the notion that noise traders create their own space, supporting the argument that noise traders can survive. The results challenge the perception that volatility hurts small noise traders. We interpret this as evidence that volatility levels the playing field for small noise traders against smart money.

716.rar (5 MB) 本附件包括：

• Essays on market frictions.pdf

2004-7-8 22:45:00 上传

国外行为经济学博士论文选登

论文名称 Linking behavioral economics, axiomatic decision theory and general equilibrium theory.

作者 Wakai, Katsutoshi.;

学位 Ph.D.

学校 Yale University.

日期 2002

指导老师 Morris, Stephen

学科 Economics, Theory.;Economics, Finance.

摘要 　My dissertation links behavioral economics, axiomatic decision theory and general equilibrium theory to analyze issues in financial economics. I investigate two behavioral concepts: time-variability aversion, i.e., the aversion to volatility (fluctuation in payoffs over time) and uncertainty aversion, i.e., the aversion to uncertainty of state realizations. Chapter 1 develops a new intertemporal choice theory by endogenizing discount factors based on time-variability aversion, and shows that the new model can explain widely noted stylized facts in finance. The main contributions of this chapter are the findings that (1) time-variability aversion can be represented by time-varying discount factors based on very parsimonious axioms; (2) under the assumption of dynamic consistency, time-variability aversion implies gain/loss asymmetry in discount factors; (3) the gain/loss asymmetry boosts effective risk aversion over states by extreme dislike of losses while maintaining positive average time-discounting. This intertemporal substitution mechanism explains why the risk premium of equity needs to be very high relative to the risk-free rate.;Chapter 2 provides the conditions under which the no-trade theorem of Milgrom & Stokey (1982) holds for an economy of agents whose preferences follow uncertainty aversion as captured by the multiple prior model of Gilboa and Schmeidler (1989). First, I prove that given the agents' knowledge of the filtration, dynamic consistency and consequentialism imply that a set of ex-ante priors must satisfy the recursive structure. Next, I show that with perfect anticipation of ex-post knowledge, the no-trade theorem holds under the economy such that agents follow dynamically consistent multiple prior preferences.;Chapter 3 examines risk-sharing among agents who are uncertainty averse. The main objective is to provide conditions in the exchange economy such that agents' effective priors (and equilibrium consumptions) will be comonotonic and their marginal rates of substitution (weighted by these priors) will be equalized when agents have heterogeneous multiple prior sets. One set of sufficient conditions is for each agent's multiple prior set to be symmetric (or to be defined by a convex capacity) around the center of the simplex.

717.rar (7.5 MB) 本附件包括：

• Linking behavioral economics, axiomatic decision theory and general equilibrium theory.pdf

2004-7-8 22:47:00 上传

国外行为经济学博士论文选登

论文名称 Monetary policy in business cycle models with nominal rigidities.

作者 Kim, Jangryoul.;

学位 Ph.D.

学校 Yale University.

日期 2003

指导老师 Sims, Christopher A.

学科 Economics, General.

摘要 　This dissertation examines the implications of nominal rigidities for business cycle fluctuations and welfare improving monetary policy rules. The first chapter develops a dynamic monetary business cycle model that can generate persistent real effects of monetary disturbances. I demonstrate that an arbitrary degree of “contract multiplier” can be generated by a combination of nominal rigidities in labor and goods markets, where prices and wages are staggered in the spirit of Calvo (1983). Both the calibration exercises and analytical solutions suggest that wage stickiness is more effective than price stickiness in generating persistence. I also find that the oscillatory responses and lack of persistence in output in Chari et al. (2000) are due to a counterintuitive nuisance feature of deterministic staggered price contracts (i.e., the initial overshooting of prices reoptimized after monetary disturbances), and that stochastic staggering is free of such a nuisance feature and in principle able to generate persistence even if marginal cost is highly procyclical.;Putting the model through a formal reconciliation with U.S. data, the second chapter obtains the maximum likelihood estimates of the structural parameters of the model. The estimation results stand in favor of wage stickiness, in the sense that average duration of contracts is longer in labor market and that nominal wage rigidities are crucial for the model's performance in fitting actual U.S. data.;The third chapter examines the welfare implications of alternative monetary policy rules. The expected present discount utility of a representative household is used as the performance metric, and the welfare effects of the non-linear dynamics of the model are captured by the quadratic approximation method by Sims (2000). When the monetary authority aims at fixed paths of nominal variables, rules for fixed nominal income and money growth outperform fixed inflation rule. Variants of Taylor rules aiming at gradual adjusts of the implicit target variables outperform the two targeting rules. Long run deflationary rules increase welfare. The welfare maximizing rule among a class of simple Taylor-style rules is characterized by super-inertial adjustments in interest rate, strong short run anti-inflationary stance coupled with long run deflation, and increasing nominal interest rates (i.e., leaning against the wind) in response to higher real output in both growth rates and levels.

718.rar (3.54 MB) 本附件包括：

• Monetary policy in business cycle models with nominal rigidities.pdf

2004-7-8 22:48:00 上传

国外行为经济学博士论文选登

典型的hold-up，俺为了全中国行为经济学爱好者的利益，认了。

现进贡黄金百两，布匹百匹，良驹10骑，美女一名

论文名称 Testing the behavioral life-cycle model: The effects of Social Security and pensions on personal saving.

作者 Sun, Wei.;

学位 Ph.D.

学校 University of Notre Dame.

日期 2002

指导老师 Ghilarducci, Teresa

学科 Economics, General.;Economics, Labor.;Economics, Theory.

摘要 　This study empirically investigates the behavioral life-cycle model (BLC) by framing the household's financial assets into liquid assets, less liquid assets, housing assets, and future wealth to test the hypothesis that the location of household wealth has effects on saving and consumption. The effects of Social Security and private pensions on personal savings are emphasized in the model through both cross-section and time-series analyses.;This paper uses 1983–1989 Survey of Consumer Finances and 1946–1992 Flow of Funds Accounts data sets. In the model with household net worth growth rate as a dependent variable to proxy household saving rate, the income and other financial assets do not have significant and discernable effects on net worth growth rate. In the model with household non-pension saving as a dependent variable, the results show that the saving behaviors of liquidity constrained households are more consistent with the BLC since social security wealth has a positive effect on non-pension savings while defined contribution plan has a negative effect. This suggests that the liquidity-constrained households, who are more likely to hit the spending income limit, are more likely to borrow against more liquid pension plan.;The aggregate analysis of the impact of social security wealth on consumption is more consistent with the BLC compared to the cross-section analysis since the results show that non-liquid assets, housing assets, and social security wealth do not increase personal consumption while disposable income and less liquid assets significantly increase personal consumption. This study does not confirm Feldstein's finding that the social security system reduces personal savings.;Gender analysis shows that the results of single male-headed households sample favor the BLC because they are more likely to consume out of current income and illiquid assets such as less liquid assets significantly increase their savings. Although the single female-headed households sample does not fully support the BLC, the future wealth in the model has significant and positive effects on net worth growth rates, implying that the social security and pension plans make single women save more.

719.rar (4.59 MB) 本附件包括：

• Testing the behavioral life-cycle model_The effects of Social Security and pensions on personal saving.pdf

2004-7-8 22:50:00 上传

国外行为经济学博士论文选登

论文名称 Three essays in behavioral finance, asset pricing and macroeconomics.

作者 Melamed, Nitzan.;

学位 Ph.D.

学校 Brown University.

日期 2001

指导老师 Galor, Oded

学科 Economics, Finance.

摘要 　This dissertation proposes a novel resolution for some outstanding puzzles in the financial literature. The first puzzle is the asset allocation puzzle. Conventional portfolio choice theory typically advises investors to shift their portfolio composition towards relatively safe assets as they age. Empirical evidence shows that the fraction of financial assets which individuals hold in stocks varies in a hump-shaped pattern over the life span. The second puzzle the limited stock market participation puzzle. Conventional portfolio choice theory predicts that most or all individuals should hold stocks, given the high historical equity premium. Contrary to this, 75 to 80 percent of United States households do not hold stocks directly. The third puzzle is referred to as the international diversification puzzle. Despite the obvious merits of diversification, we observe that most investors hold most of their portfolios domestically. I argue that resolutions to the three puzzles may lie in a model of optimal asset allocation over the life cycle of an individual with a prospect theory-based utility function. Prospect theory has been found to provide one of the few acceptable solutions to the equity premium puzzle and other behavioral anomalies. I find that prospect theory offers a solution to the asset allocation puzzle and the international diversification puzzle. In particular, the optimal share of the portfolio held in domestic stock under prospect theory follows a hump shaped pattern over the life span while no international investment is observed. Interestingly, prospect theory seems to resolve the stockholding puzzle as well. Unlike the conventional consumption-based approach, it predicts the existence of non-stockholders as well as stockholders, in accordance with observed behavior.;The dissertation also explores the interaction between business cycles and economic growth, two areas which have each generated voluminous literatures, but seldom have been analyzed in tandem. The modest number of studies that have tried to connect the two have mostly considered the effect of the variance embodied in business cycles on the economic growth trend. These papers generated varying results. This work departs from previous literature by proposing theoretically and indicating empirically a positive connection between serial correlation in business cycles and economic growth. When one accounts for serial correlation in business cycles, the contradictory findings of earlier studies regarding the effect of the variance in output on the growth rate of output can be reconciled.

720.rar (3.27 MB) 本附件包括：

• Three essays in behavioral finance, asset pricing and macroeconomics.pdf

2004-7-8 22:54:00 上传

国外行为经济学博士论文选登