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A Demonstration of the PMF-Extraction Approach: Modeling The Effects of Sound on Crowd Behavior

Cornwell, Jason B; Silverman, Barry G; O'Brien, Kevin; … - 2002

The vast majority of psychology, sociology, and other social-science literature describing human behavior and performance does not reach the eyes of those of us working in the modeling and simulation community. Our recent work has been concerned with the extraction and implementation of Human...

Persistent link: https://www.econbiz.de/10009438993

Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts

Ackert, Lucy; Tian, Yisong S. - 2000

This paper examines pricing in the market for depositary receipts, securities designed to track the performance of a stock index that trade like shares of stock. Arbitrage costs are low because these assets have low fundamental risk, low transactions costs, and high dividend yields. We find that...

Persistent link: https://www.econbiz.de/10009459103

An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

Cho, Jang Hyung - 2008

pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We … embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component …. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance …

Persistent link: https://www.econbiz.de/10009460480

Overconfident Managers and Capital Structure in the Hospitality Firms

Seo, Kwanglim; Amit, Sharma - 2011

This study examines capital structure of hospitality firms from a behavioral perspective based on the hubris theory that emphasizes the effect of managerial overconfidence on corporate decisions. Specifically, we investigate the relationship between manager overconfidence and financing...

Persistent link: https://www.econbiz.de/10009468142

Three Essays on International Finance and International Capital Markets.

Zhu, Qiaoqiao - 2009

This dissertation consists of three essays examining informational and behavioral frictions in international financial and capital markets. Chapter II investigates whether characteristics of the home country capital market environment, such as information disclosure and investor rights...

Persistent link: https://www.econbiz.de/10009477002

Three essays in empirical finance

Risik, Elizabeth A. - 2010

In the first chapter of this dissertation, entitled “Signaling and Value Creation in Mergers,” I analyze the acquirers in both withdrawn and completed merger deals to disentangle the effects of signaling from those of target valuation and expected synergies. Completed stock (cash) acquirers...

Persistent link: https://www.econbiz.de/10009477978

Studying How Changes in Consumer Sentiment Impact the Stock Markets and the Housing Markets

Johnson, Mark Anthony - 2010

Consumer sentiment has the ability to provide researchers with many avenues to test existing Finance and Economic theories. Chapter 1 introduces the issues that I seek to explore within the area of Behavioral Finance. Chapter 2 utilizes thirty years of consumer sentiment data to explore extant...

Persistent link: https://www.econbiz.de/10009451110

Essays on Risk Aversion, Diversification and Non-Participation

Hibbert, Ann Marie - 2008

My dissertation consists of three essays. The central theme of these essays is the psychological factors and biases that affect the portfolio allocation decision. The first essay entitled, “Are women more risk-averse than men?” examines the gender difference in risk aversion as revealed by...

Persistent link: https://www.econbiz.de/10009460481

An agent-based stochastic volatility model

Simone Alfarano - 2006

The behavioral origins of the stylized facts of financial returns have been addressed in a growing body of agent-based models of financial markets. While the traditional efficient market viewpoint explains all statistical properties of returns by similar features of the news arrival process, the...

Persistent link: https://www.econbiz.de/10009429011