This paper presents a dynamic equilibrium model of bond markets in which two groups agents hold heterogeneous expectations about future economic conditions. The cause to take on speculative positions against each other and therefore generate endogenous relative wealth fluctuation. fluctuation amplifies asset price volatility contributes the time variation premia. Our shows that modest amount can help explain several puzzling phenomena, including “excessive volatility” yields, failure...

We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five personality traits correlate with investors' beliefs about stock market economy, risk preferences, social interaction tendencies. Two traits, Neuroticism Openness, stand out in their explanatory power for equity investments. Investors high those low Openness tend allocate less equities. underlying mechanisms find evidence both standard channels...

Can investors with incorrect beliefs survive in financial markets and have a significant impact on asset prices? My paper addresses this issue by analyzing dynamic general equilibrium model where some rational expectations, whereas others concerning the mean growth rate of economy. The main result is that an investor can if only he has lowest survival index, which function his belief accuracy, patience parameter, relative risk aversion coefficient. If preferences are held constant across all...

Journal Article Anticipated and Repeated Shocks in Liquid Markets Get access Dong Lou, Lou London School of Economics Search for other works by this author on: Oxford Academic Google Scholar Hongjun Yan, Yan Yale Management Jinfan Zhang Cheung Kong Graduate Business The Review Financial Studies, Volume 26, Issue 8, August 2013, Pages 1891–1912, https://doi.org/10.1093/rfs/hht034 Published: 17 June 2013

Abstract Using data from a major online peer-to-peer lending platform, we document that, due to time pressure, investors appear focus on interest rates and only partially account for credit ratings in their decisions. The effect is stronger mobile-based than PC-based ones. Our evidence suggests that this variation caused by the difference information content interfaces rather differences devices’ physical attributes per se. Investors improve decisions slowing down paying more attention after...

Abstract We study how firms build relations with local governments in emerging markets without established rules of political lobbying. document that following a turnover the Party Secretary or mayor city China, (especially privately owned enterprises, POEs hereafter) headquartered significantly increase their “perk spending,” for example, expenses travel and entertainment among others. Both instrumental-variable-based results heterogeneity analysis are consistent interpretation perk...

Conventional wisdom suggests that investors' independent biases should cancel each other out and have little impact on equilibrium at the aggregate level. In contrast to this intuition, paper analyzes models with biased investors finds often a significant even if they are across investors. First, affect asset price investor demand for is nonlinear function of bias. Second, linear in bias, it may still because fluctuation wealth distribution. An initial run-up stock makes optimistic richer,...

Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction market participants who own stock) predict low returns: highest change quintile stocks underperform lowest by 23% per year. Small retail investors drive this result. Retail appear to be correlated with overpricing. Among institutional however, the opposite holds: Stocks top decile wealth-weighted outperform bottom 8% year, consistent prior work...

We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five personality traits correlate with investors' beliefs about stock market economy, risk preferences, social interaction tendencies. Two traits, Neuroticism Openness, stand out in their explanatory power for equity investments. Investors high those low Openness tend allocate less equities. underlying mechanisms find evidence both standard channels...

This article analyses the implications of money illusion for investor behaviour and asset prices in a securities market economy with inflationary fluctuations. We provide belief-based formulation which accounts systematic mistakes evaluating real nominal quantities. The impact on security their dynamics is demonstrated to be considerable even though its welfare cost investors small typical environments. A money-illusioned investor's consumption shown generally depend price level,...

This paper examines how anticipated and frequently repeated shocks are absorbed in liquid financial markets. We show that Treasury security prices the secondary market decrease significantly few days leading up to auctions recover shortly thereafter, even though time amount of each auction announced advance. The issuance cost Department is estimated be between 9 18 basis points size, or over half a billion dollars for note alone 2007, most which can attributed price pressure effect around...

Journal Article Collateral-Motivated Financial Innovation Get access Ji Shen, Shen London School of Economics Search for other works by this author on: Oxford Academic Google Scholar Hongjun Yan, Yan Yale Management Jinfan Zhang Cheung Kong Graduate Business The Review Studies, Volume 27, Issue 10, October 2014, Pages 2961–2997, https://doi.org/10.1093/rfs/hhu036 Published: 28 May 2014

Can investors with incorrect beliefs survive in financial markets and have a significant impact on asset prices? My paper addresses this issue by analyzing dynamic general equilibrium model where some rational expectations while others concerning the mean growth rate of economy. The main result is that an investor can if only he has lowest survival index, which function his belief accuracy, patience parameter relative risk aversion coefficient. If preferences are held constant across all...

We analyze fund managers' reputation concerns in an equilibrium model, tying together a number of seemingly unrelated phenomena. The model implies that, due to concerns, hedge managers --- especially those with average levels prefer strategies negatively skewed return distributions. One subtle consequence this preference is that capital sometimes appears slow moving, leaving profitable investment opportunities unexploited, yet other times fast causing large relocation and price fluctuations...

We analyze financial intermediation chains in a search economy that is populated by investors with heterogeneous valuations of an asset. In equilibrium, moderate choose to be intermediaries, and those extreme are their customers. The average length shown decreasing cost, speed, market size but increasing investors’ trading needs. These predictions distinct from implied existing models the literature. Our empirical evidence, based on data U.S. corporate bond market, mostly consistent our...

We analyze two insider-trading regulations recently introduced by the Securities and Exchange Commission: mandatory disclosure "cooling-off period". The former requires insiders disclose trading plans at adoption, while latter mandates a delay period before trading. These policies affect investors' profits, risk sharing, hence their welfare. If insider has sufficiently large hedging needs, in contrast to conventional wisdom from "sunshine trading", reduces welfare of all investors. In our...

Collateral frictions have a profound effect on our economic landscape, ranging from the design of financial securities, laws, institutions, to various rules and regulations. We analyze model with disagreement, where securities collateral requirements are endogenous. It shows that security isolates variable disagreement is “optimal” in sense alternative cannot generate any trading. In an economy N states, investors may introduce more than markets still incomplete. The has several novel...

Infections caused by Staphylococcus aureus (S. aureus) colonization in medical implants are resistant to antibiotics due the formation of bacterial biofilm internal. Baicalein (BA) has been confirmed as an inhibitor with less pronounced effects owing its poor solubility and absorption. Studies have found that β-cyclodextrin-grafted chitosan (CD-CS) can improve drug efficiency a carrier. Therefore, this research aims prepare BA-loaded CD-CS nanoparticles (CD-CS-BA-NPs) for S. elimination...