This dissertation contains two essays that use empirical techniques to shed light on open questions in the asset pricing literature. In the first essay, I investigate whether foreign institutional investors affect stock liquidity in domestic equity markets. The evidence indicates that stocks with higher foreign institutional ownership subsequently experience higher liquidity. However, it is difficult to interpret the causal relation of this finding because institutional investors self-select into more liquid stocks. To solve this problem, I exploit a provision in the 2003 US dividend tax cut which extends tax-relief to dividends from US tax-treaty countries but not to dividends from non-treaty countries. This natural experiment suggests a causal link between foreign institutional investors and liquidity. Consistent with the predictions of theoretical models, I find that liquidity improves due to foreign institutional investors increasing information competition. In the second essay, I introduce a new measure of difference of opinion using mutual fund portfolio weights to test prominent competing theories of the effect of heterogeneous beliefs on asset prices. The over-valuation theory (Miller (1977)) proposes that in the presence of short-sale constraints stock prices reflects only the view of optimistic investors which implies lower subsequent returns. Alternatively, neo-classical asset pricing models (Williams (1977), Merton (1987)) suggest that differences of opinions indicate high levels of information uncertainty or risk which implies higher expected returns. My initial result finds no support for the over-valuation theory. Instead, the measure used in this study finds that high differences of opinion stocks weakly outperform low differences of opinion stocks by 2.42% annually which is more consistent with the information uncertainty explanation. / text

This dissertation consists of two chapters. The first chapter examines the role of growth options on stock return continuation. Growth options are both difficult to value and risky. Daniel, Hirshleifer and Subrahmanyam (1998) argue that higher momentum profits earned by high market-to-book firms stem from investors' higher overconfidence due to the difficulty of valuing growth options. Johnson (2002) and Sagi and Seasholes (2007) offer an alternative rational explanation wherein growth options cause a wider spread in risk and expected returns between winners and losers. This paper suggests that firm-specific uncertainty helps disentangle these two different explanations. Specifically, the rational explanation is at work among firms with low firm specific uncertainty. However, the evidence is in favor of the behavioral explanation for firms with high firm specific uncertainty. This is consistent with the notion that investors are more prone to behavioral biases in the presence of firm-specific uncertainty and the resulting mispricings are less likely to be arbitraged away. The second chapter examines how investors capitalize differences of opinion when disagreements are common knowledge. We conduct an event study of the market's reaction to analysts' dispersed earnings forecast revisions. We find that investors take differences of opinion into account and do not exhibit an optimism bias. Our findings indicate that the overpricing of stocks with high forecast dispersion is not due to investors' tendency to overweight optimistic expectations, but rather due to investor credulity regarding analysts' incentives. Our findings support the notion that assets may become mispriced when rational investors face structural uncertainties as proposed by Brav and Heaton (2002). / Ph. D.

Although men are more likely to experience traumatic events, the risk of developing Posttraumatic Stress Disorder is at least twice as high in women than in men after exposure to comparable traumas. These findings are more consistent in response to some types of trauma (e.g., assaultive violence) than others (e.g., natural disaster). There has been very little systematic study of the sources of these gender differences. This study began to explore the contribution of gender-related beliefs about appropriate responses to trauma by investigating the impact of victim sex and trauma type as well as participant sex, sex-role orientation, and personal trauma history on attitudes towards victims. Ninety-three male and 179 female students were administered the Bem Sex Role Inventory, the Trauma History Questionnaire, and a vignette measure of attitudes towards victims. Participants evaluated male victims significantly less favorably than female victims, and females had more positive attitudes towards victims than males. Feminine sex-typed and androgynous women rated victims more favorably than masculine sex-typed men and women. The interaction between sex of victim and trauma type was not significant. A positive relation was observed between personal trauma exposure and attitudes towards male victims among male participants only. These findings contribute towards a theoretical understanding of gender and PTSD, and also have important clinical applications.

Submitted by Fernando Ferreira da Luz Barbosa (fernando.luz@outlook.com) on 2015-07-20T19:07:10Z No. of bitstreams: 1 Fernando Ferreira da Luz Barbosa.pdf: 927554 bytes, checksum: e29a7f5ad6e3cdd15bb6adafc98a4cb6 (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-07-21T12:46:06Z (GMT) No. of bitstreams: 1 Fernando Ferreira da Luz Barbosa.pdf: 927554 bytes, checksum: e29a7f5ad6e3cdd15bb6adafc98a4cb6 (MD5) / Approved for entry into archive by Maria Almeida (maria.socorro@fgv.br) on 2015-07-30T19:08:34Z (GMT) No. of bitstreams: 1 Fernando Ferreira da Luz Barbosa.pdf: 927554 bytes, checksum: e29a7f5ad6e3cdd15bb6adafc98a4cb6 (MD5) / Made available in DSpace on 2015-07-30T19:08:57Z (GMT). No. of bitstreams: 1 Fernando Ferreira da Luz Barbosa.pdf: 927554 bytes, checksum: e29a7f5ad6e3cdd15bb6adafc98a4cb6 (MD5) Previous issue date: 2015-04-27 / Disagreement between economists is a well know fact. However, it took a long time for this concept to be incorporated in economic models. In this survey, we review the consequences and insights provided by recent models. Since disagreement between market agents can be generated through different hypotheses, the main differences between them are highlighted. Finally, this work concludes with a short review of nowcasting using google trends, emphasizing advances connecting both literatures.