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Essays in Information Frictions and Financial Markets
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| 자료유형 | 학위논문 |
|---|---|
| 서명/저자사항 | Essays in Information Frictions and Financial Markets. |
| 개인저자 | Batyi, Tamas Laszlo. |
| 단체저자명 | University of California, Berkeley. Economics. |
| 발행사항 | [S.l.]: University of California, Berkeley., 2019. |
| 발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
| 형태사항 | 62 p. |
| 기본자료 저록 | Dissertations Abstracts International 81-04B. Dissertation Abstract International |
| ISBN | 9781085793612 |
| 학위논문주기 | Thesis (Ph.D.)--University of California, Berkeley, 2019. |
| 일반주기 |
Source: Dissertations Abstracts International, Volume: 81-04, Section: B.
Advisor: Sraer, David. |
| 이용제한사항 | This item must not be sold to any third party vendors.This item must not be added to any third party search indexes. |
| 요약 | 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 |
| 일반주제명 | Economics. Finance. Behavioral sciences. |
| 언어 | 영어 |
| 바로가기 | 
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