Three essays on asset pricing, portfolio choice and behavioral finance. Ehud Peleg

ISBN: 9781109081053

Published:

NOOKstudy eTextbook

158 pages


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Three essays on asset pricing, portfolio choice and behavioral finance.  by  Ehud Peleg

Three essays on asset pricing, portfolio choice and behavioral finance. by Ehud Peleg
| NOOKstudy eTextbook | PDF, EPUB, FB2, DjVu, talking book, mp3, RTF | 158 pages | ISBN: 9781109081053 | 8.74 Mb

I explore theoretical and empirical topics in portfolio choice. First, I show that the cross-sectional skewness of book-to-market ratios is an important state variable. It correlates with the business cycle and with indicators of investor sentiment.MoreI explore theoretical and empirical topics in portfolio choice.

First, I show that the cross-sectional skewness of book-to-market ratios is an important state variable. It correlates with the business cycle and with indicators of investor sentiment. It is valuable for predicting returns on various long-short strategies, including ones based on size, volatility, book-to-market and momentum. Next, I study the consumption-investment problem of an agent with a CRRA utility, who possesses information about the future prospects of a stock.

I show that information significantly alters consumption and portfolio choice. The stock holdings of informed agents are positively related to wealth, unrelated to systematic risk, and negatively related to idiosyncratic uncertainty. Furthermore, the dollar value of information depends linearly on the agents wealth and decreases with both the propensity to intermediate consumption and risk aversion. In the last chapter, I show that the design of retirement saving vehicles has a large effect on saving rates and investment elections, and that some of the minor details involved in the architecture of retirement plans could have dramatic effects on savings behavior.



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