There are three parts of this broad agenda. The first relates to understanding how investors obtain and process information about firms. For a long time, the question of how investors receive information was either abstracted away from entirely (e.g. by assuming signals are received by all investors instantaneously), or modeled at a very high level (e.g. information diffuses slowly among invest...

In this research, we employ Agent-Based Modeling to analyze how asset prices are affected by investors’ Behavior. We construct a virtual financial markets that contains several types of investors: fundamentalists and non-fudamentalists. In this analysis, we place focus on the influence of overconfident investors on financial markets. As a result of intensive analysis, we find that overconfident...

This paper provides a dynamic rational expectations equilibrium model in which investors have heterogeneous information and investment opportunities. Informed investors privately receive advance information about future earnings that is unrelated to current earnings. In response to good advance information, stock prices increase and informed investors act as trend chasers, increasing their inve...

We study how the imposition of a redemption fee affects runs on financial institutions when investors are asymmetrically informed about fundamentals. Although the fee eliminates the first-mover advantage by internalizing the payoff externality and, therefore, discourages runs by informed investors, it also alters the information externality by influencing uninformed investors’ learning and may,...

markowitz, in his portfolio selection theory, stated that investors select their portfolios according to two criteria of risk and return. accordingly, he presented his mathematical model. one of the criticisms of this model is that while investors, practically, consider different criteria in forming their portfolios, it only considers the return mean and return standard deviation. liquidity is ...

Finding ways to encourage investments in renewable electricity production is crucial to reach a transition to a sustainable energy system. While in the energy policy literature, investments are usually explained by economic or regulatory policies, recent studies have suggested that some investors are boundedly rational and may respond differently to policies. In this paper, a framework is propo...

This paper offers a quantitative description of European private equity markets and compares the recent development in these markets with the development of the US venture capital market. European markets for private equity vary considerably with respect to the investments in young high-technology enterprises, as well as with respect to the types of passive investors who invest capital in priva...

After negative shocks, investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on stock prices. We test the relevance of this mechanism by exploiting the negative shock caused by Lehman Brothers’ bankruptcy in September 2008. Consistent with our conjectu...

Using data from a new field experiment in South Korea, we study how information from virtual communities such as stock message boards influences investors’ trading decisions and investment performance. Motivated by recent studies in psychology, we conjecture that investors would use message boards to seek information that confirms their prior beliefs. This confirmation bias would make them more...

The Steiner distance dc(S) of a subset S of nodes of a connected graph G is the minimum number of edges in a connected subgraph of G that contains S. We consider the behaviour of the expected value ILk (n) of dT(S) and the probability Pk(n, m) that dT(S) rn lover all subsets S of k nodes of trees T of order n from certain families of trees.