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dc.contributor.authorTruong, Thuen_US
dc.date.accessioned2015-10-16T18:29:16Z
dc.date.available2015-10-16T18:29:16Z
dc.date.issued2015
dc.identifier.urihttps://hdl.handle.net/2144/13317
dc.description.abstractThis thesis focuses on private information dissemination and its impacts on financial markets. Specifically, we study issues arising when there are skilled individuals able to extract anticipative information about future prices. The first model considers a continuous time economy that is populated by informed and uninformed investors as well as active unskilled investors, and investigates the existence of noisy rational expectations equilibria and their properties. Equilibria are derived in closed form and their properties analyzed. Informed trading is found to reduce price volatility. The second model is based on the idea that besides exploiting their private information for trading purposes, informed agents might want to offer wealth management services to uninformed investors in exchange for a fee. A market for active funds emerges, and the process of anticipative information dissemination is endogenized. In this chapter, heterogenous risk averse investors can invest in the active fund. Low risk tolerance investors are found to be strictly better off with the active fund. Fund size is not a reliable indicator of managerial skill. The market reacts to the manager's increasing risk-taking behavior by reducing the volatility and risk premium.en_US
dc.language.isoen_US
dc.rightsAttribution 4.0 Internationalen_US
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectFinanceen_US
dc.subjectActive funden_US
dc.subjectAsset pricingen_US
dc.subjectAsymmetric informationen_US
dc.titleEssays in asset pricing with anticipative informationen_US
dc.typeThesis/Dissertationen_US
dc.date.updated2015-10-05T22:13:01Z
etd.degree.nameDoctor of Philosophyen_US
etd.degree.leveldoctoralen_US
etd.degree.disciplineBusiness Administrationen_US
etd.degree.grantorBoston Universityen_US


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Attribution 4.0 International
Except where otherwise noted, this item's license is described as Attribution 4.0 International