Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 31 for “"Asset markets."”.
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Effects of recessions on price bubbles within experimental asset markets.
… of real-world recessions on price bubbles in asset market experiments with data from Palan (2013). In both non-parametric and random effects tests, recessions are found to increase the size and length of bubbles within these markets. This effect holds across the three recessions that occur in …
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Essays on asset market and differential information economies
… of risks is the key idea behind the incomplete asset markets and the differential information models. The interface between these classes of models, lies in the fact that both of them limit the degree of risk sharing that can occur in an economy, by placing restrictions on the possible future …
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Tail risk in international markets
<p>Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests the role of tail risk in international market. Using sample of 40 countries from 1980 to 2014, I show that tail risk positively …
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Essays in International Finance
… financial system, while the different European asset markets are gradually becoming more and more integrated. The aim of the three papers in this dissertation is to increase the understanding of the (changing) financial system.
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The dynamic relationship between commercial real estate and stock markets
… between commercial real estate and common stock markets in Singapore context: market integration, causal relationship, and long-run and short-run relationships in the context of macroeconomy. Linear and nonlinear, parametric and nonparametric testing methodologies were adopted to test for the …
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Housing market dynamics: A non-rational approach
… dynamics that are hypothesized to control asset markets, with special emphasis placed on residential housing markets. We opt to look at non-rational factors as a general phenomenon found in asset markets and observe how these factors can indeed affect housing markets, leading us to the …
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Commercial real estate volatility : a decomposition of historical market values
… less well understood than other more liquid asset classes. To date, most of the research on risk in real estate investment has focused on how changes, cycles, or shocks in the underlying space or asset markets occur. This paper furthers the study of commercial real estate risk by decomposing …
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Macroeconomics and financial fragility
… interaction between the ex-ante production of assets and ex-post adverse selection in financial markets. Positive shocks that increase market liquidity and prices exacerbate the production of low-quality assets and can increase the likelihood of a financial market collapse. An increase in …
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Essays on Asset Pricing
This dissertation studies asset pricing from three perspectives. The first chapter takes the view of a long-run buy-and-hold investor, and offers an an explanation to prominent cross-sectional return anomalies. A commonality shared by these anomalies is that their returns are negatively correlated …
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Essays on Fiscal Policy
… develops a DSGE model which features incomplete asset markets, domestic debt denominated either in domestic or foreign currency, a risk premium on such debt and simple feedback rules. We find that in this setting a positive government spending shock leads to expansionary effects on output when …
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An experimental investigation of asset market bubbles and of the effects of regret and the illusion of control in decision making
… that have long been observed in experimental asset markets and are inspired partially by real bubbles observed in the housing market. The first chapter reports an experiment designed to capture evidence of herding behaviour and the effects of regret on bubbles. The second chapter examines the …
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Essays in Financial Economics and Econometrics
… of modern monetary policy through corporate asset markets. Exploiting quasi-experimental variation in the Central Bank of Brazil’s collateral framework and implementing a novel dynamic regression discontinuity design, it shows that monetary policy can ease expected future borrowing …
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Four Essays Investigating the U.S. Subprime Mortgage-Backed Securities Market
… emanating mainly from shocks to the higher-rated assets. Finally, the third issue (Chapters 5 & 6) examines contagion from the subprime mortgage-backed securities market to several other asset markets using both the original and an extended version of Longstaff's (2010) VAR framework. Using the …
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Essays on Government Transfers and Labor Markets
… To accomplish this, I use an incomplete asset markets model with family labor supply and aggregate fluctuations whose predicted spousal labor supply elasticities with respect to transfers are in line with microeconomic estimates both in aggregate and across subpopulations. In this model, …
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The behavioral economics of foreign exchange markets - a psychological view on human expectation formation in foreign exchange markets
… heuristics in the context of foreign exchange markets. In our view, the decision situation in foreign exchange markets can serve as a prime example for decision situations in which simple heuristics are especially relevant as the complexity of the decision situation is very high. The study is …
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Fiscal and Monetary Policies and Stock Market
… the expected impact on the exchange rate and asset prices.</p> <p>The second chapter analyzes the impact of the aggregate, income, corporate, and social security tax revenues on both the U.S. output and the stock market return in a structural vector autoregression (SVAR) framework between …
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To mirror or not to mirror : modeling relationships in social trading
… trading platform in foreign exchange and other asset markets. Treating this economic system almost as a new ecological environment, we begin with understanding who are the different players and how they interact with each other. We categorize traders based on their investing styles and observe …
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Essays on uncertainty in economics
… of four essays about "uncertainty" and how markets deal with it. Uncertainty is about subjective beliefs, and thus it often comes with heterogeneous beliefs that may be present temporarily or even forever. The first essay analyzes the effect of uncertainty, and the associated belief …
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Experiential and Neurobiological Influences on Economic Preferences and Risky Decision Making
… predictor of future investment decisions in asset markets. Using a fictive learning model to capture regret, we examine changes in pupil diameter of participants performing a sequential investing task. By manipulating task uncertainty, we show that pupil dilation is positively correlated with …
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