The Behavior of Financial Markets under Rational Expectations
Bridge21 Publications, LLC (Verlag)
978-1-62643-087-7 (ISBN)
This book explores the micro level of financial market behaviour. The author has been undertaking financial research, especially on the micro level, during the past two decades. The academic research on this broad area has undergone a rapid growth, with new results, methods, theories, and even paradigms, emerging and burogeoning almost every year. As a financial researcher in one of China’s top universities, the author has kept monitoring, digesting, and synthesising the research articles in the area.
This book is the outcome of this decades-long routine research work of the author, covering the fundamental economic theories of how different investors receive and interpret information. The empirical results of investors' behaviour are also discussed in depth, along with the basic academic techniques of modelling investors' behaviour.
Han Yan is associate professor and Department Chair of the Economics Department, School of Humanities and Social Sciences, the Beijing Institute of Technology. She got her undergraduate, graduate, and doctoral degrees from Renmin University of China. She has published more than a dozen academic papers on various top-tier journals, both in Chinese and English. She also teaches international finance, financial management, and financial economics at both undergraduate and graduate levels.
1 Information
1.1 Rational expectations
1.2 Different opinions
1.3 Information Aggregation and learning
1.4 How do Agents Learn New Information
1.5 Information and pricing
1.6 Further issues of learning and reacting
1.7 Information providers
2 How are Prices Formed?
2.1 The Perspective of Asset Pricing Literature
2.2 Inventory Costs Based Microstructure Models
2.3 Information Based Microstructure Models
2.4 What is Risk?
2.5 Trading mechanism .
2.6 Short selling
2.7 Other Topics in Microstructure
3 Liquidity 17
3.1 Measuring Liquidity
3.2 Volume .
3.3 Determinants of Liquidity
3.4 MarketÔÇÖs and Liquidity ProvidersÔÇÖ Conditions and Liquidity
3.5 The Effect of Liquidity on the FirmÔÇÖs Well Beings
3.6 Who is Providing Liquidity
4 Limit Orders
4.1 The Models of Limit Orders
4.2 InvestorÔÇÖs Choice of Limit versus Market Orders
4.3 Limit Order Revisions and Aggressiveness
4.4 Limit Order Patterns .
5 Depicting investors
5.1 Theory Based Investor Taxonomy
5.2 Identity Based Investor Taxonomy
5.3 Investor sophistication
5.4 Herding and correlated trading .
5.5 Trading behavior
6 Mutual Funds
6.1 Fund Performance and Fund Manager Skills
6.2 Funds herding .
6.3 Incentives and the risk shifting
6.4 Fund Flow and InvestorÔÇÖs Preferences
6.5 Fund Fees
6.6 Governance of Funds
7 Prices of IPO and SEO 46
7.1 Why and When to Issue New Equities
7.2 Choice of Issue Types .
7.3 New Issuance Pricing . .
7.4 Trading around IPO and SEO
7.5 Market Reaction and Long Term Performance
8 Behavioral Explanation 51
8.1 General discussion on the behavioral explanation .
8.2 Disposition effect and prospect theory
8.3 Overconfidence and Over-reaction
8.4 Awareness, familiarity, and Attention .
8.5 Law of small numbers
8.6 Rational structural uncertainty models
9 Modeling economic behavior
9.1 Nash Equilibrium
9.2 Bayesian Games
9.3 Utility maximization models
10 Mathematical Techniques for Economic Modeling 64
10.1 Difference Equations
10.2 Differential Equations
10.3 Fixed Point
10.4 Static Optimization
10.5 Duality
11 Empirical Methodology
11.1 Regressions
11.2 Non-Regression Methods
11.3 Endogeneity
11.4 Measurements
Bibliography
| Erscheinungsdatum | 29.07.2022 |
|---|---|
| Verlagsort | Los Angeles |
| Sprache | englisch |
| Maße | 152 x 229 mm |
| Themenwelt | Wirtschaft ► Allgemeines / Lexika |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Wirtschaft ► Volkswirtschaftslehre | |
| ISBN-10 | 1-62643-087-X / 162643087X |
| ISBN-13 | 978-1-62643-087-7 / 9781626430877 |
| Zustand | Neuware |
| Haben Sie eine Frage zum Produkt? |
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