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作者 Hammami, Samir M
書名 Essays in behavioral finance and social economics
國際標準書號 9780542819056
book jacket
說明 154 p
附註 Source: Dissertation Abstracts International, Volume: 67-08, Section: A, page: 3086
Adviser: Ignacio Palacios-Huerta
Thesis (Ph.D.)--Brown University, 2006
This dissertation work finds its motivation in the dynamic areas of social and behavioral economics. In the first two chapters, we take to exploring solutions to asset pricing and financial puzzles when agents have a taste for temptation and incur a cost of self-control. Adopting the axiomatized Gul and Pesendorfer (2001a) and (2001b) dynamic self-control preferences, we investigate the possibilities of matching the first two time-series moments of asset returns and prices. Introducing a value for commitment to the original setup produces agents with an urge to save at equilibrium. For plausible parameterizations of taste and impatience, the model generates a high enough equity premium and a low enough risk-free rate. In the second chapter, we employ self-control preferences to explore the other side of the coin of the equity premium: consumption-saving decisions and portfolio allocation. Not unlike the hyperbolic discounting model, the exact Gul and Pesendorfer specification yields higher consumption than its classical Merton counterpart while keeping portfolio allocation unchanged. In sum, our findings in the first two chapters suggest an economic value for modelling temptation and self-control in asset markets, albeit with a richer specification than originally proposed. On a different note, the last chapter abstracts from non-classical preferences and rather focuses on non-market interactions of agents. We look at preference for group consumption with learning under uncertainty in the movie-watching market. Our model calibration shows that a small preference for group-viewing in a Bayesian learning environment has a large impact on the variance of box-office returns, competition, marginal revenue of advertising, as well as the release date of movies
School code: 0024
Host Item Dissertation Abstracts International 67-08A
主題 Economics, General
Economics, Finance
Alt Author Brown University
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