We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

Asset prices are forward looking. Therefore, expectations play a central role in shaping asset prices. In this dissertation, I challenge the rational expectation assumption that has been influential in the field of asset pricing over the past few decades. Different from previous approaches, which typically build on behavioral theories originated from psychology literature, my approach takes data on subjective beliefs seriously and proposes empirically grounded models of subjective beliefs to evaluate the merits of the rational expectation assumption. Specifically, this dissertation research: 1). collects and analyzes data on investors' actual subjective return expectations; 2). builds models of subjective expectation formation; 3). derives and tests the models' implications for asset prices. I document the results of the research in two chapters. In summary, the dissertation shows that investors do not hold full-information rational expectations. On the other hand, their subjective expectations are not necessarily irrational. Rather, they are bounded by the information environment investors face and reflect investors' personal experiences and preferences. The deviation from fully-rational expectations can explain asset pricing anomalies such as cross-sectional anomalies in the U.S. stock market. In the first chapter, I provide a framework to rationalize the evidence of extrapolative return expectations, which is often interpreted as investors being irrational. I first document that subjective return expectations of Wall Street (sell-side, buy-side) analysts are contrarian and counter-cyclical. I then highlight the identification problem investors face when theyform return expectations using imperfect predictors through Kalman Filters. Investors differ in how they impose subjective priors, the same way rational agents differ in different macro-finance models. Estimating the priors using surveys, I find Wall Street and Main Street (CFOs, pension funds) both believe persistent cash flows drive asset prices but disagree on how fundamental news relates to future returns. These results support models featuring heterogeneous agents with persistent subjective growth expectations. In the second chapter, I propose and test a unifying hypothesis to explain both cross-sectional return anomalies and subjective return expectation errors: some investors falsely ignore the dynamics of discount rates when forming return expectations. Consistent with the hypothesis: 1) stocks' expected cash flow growth and idiosyncratic volatility explain significant cross-sectional variation of analysts' return forecast errors; 2). a measure of mispricing at the firm level strongly predicts stock returns, even among stocks in the S&P500 and at long horizon; 3). a tradable mispricing factor explains the CAPM alphas of 12 leading anomalies including investment, profitability, beta, idiosyncratic volatility and cash flow duration.

This study aims to examine what factors retailers and real estate owners deem important in the process of determining expected rent levels in today's climate within retail where e-commerce is growing at a quick pace. The elements of the research questions stand on the foundation of the theory of rational expectations as well as the theory of anchoring. The method used is of qualitative nature where a case study consisting of two cases have been conducted. One in which interviews with representatives from three geographically distinct selected shopping centres have been carried out and another in which representatives from well-established retail companies have been interviewed. From these two case studies, insights regarding the existing discrepancy between the two parties, retailers and real estate owners, have been gathered. It is concluded that expectations about the future have significant impact in rent negotiations and that differences in expectations might be adding to the existing discrepancy. Moreover, results of the study indicate that retailers and real estate owners might be subject to self-inflicted anchoring in rent negotiations. The study contributes to research in further generalizing two well established theories by providing insights on how the rational expectations' theory as well as the anchoring theory could be applied on rent negotiations. / Denna studie syftar till att undersöka vilka faktorer butiks- och fastighetsägare anser vara viktigast i att bedöma förväntade hyresnivåer mot bakgrund av dagens klimat inom fysisk handel där e-handel tar marknadsandelar. Studien tar avstamp i teorin om rationella förväntningar samt teorin om anchoring. Metoden som har använts är av kvalitativ natur där två fallstudier har utförts. En fallstudie där intervjuer med representanter från tre geografiskt skilda köpcentrum har utförts samt en fallstudie där intervjuer har genomförts med representanter från väletablerade butikskedjor. Genom dessa två fallstudier har insikter gällande den upplevda diskrepansen mellan de två parterna utkristalliserats. Det går att konkludera att förväntningar om framtiden har en betydande påverkan på förväntade hyresnivåer och att en anledning till den ovan nämnda diskrepansen kan vara att förväntningarna om framtiden skiljer sig parterna emellan. Dessutom visar resultaten av studien på att butiks- och fastighetsägare, i vissa fall, kan vara föremål för en självförvållad anchoring-effekt vilket innebär att de blir låsta vid vissa hyresnivåer i samband med hyresförhandlingar. Den här studien bidrar till forskningen i att ytterligare generalisera två väletablerade teorier genom att ge initial vägledning i hur teorin om rationella förväntningar samt anchoring kan tillämpas på hyresförhandlingar.

Dissertation (PhD) -- University of Stellenbosch, 2000. / ENGLISH ABSTRACT: The Lucas critique states that if expectations are not explicitly dealt with, conventional econometric models are inappropriate for policy analyses, as their coefficients are not policy invariant. The inclusion of rational expectations in ·conventional model building has been the most common response to this critique. The concept of rational expectations has received several interpretations. In numerous studies, these expectations are associated with model consistent expectations in the sense that expectations and model solutions are identical. To derive a solution, these models require unique algorithms and assumptions regarding their terminal state, in particular when forward-looking expectations are present. An alternative that avoids these issues is the concept of weak rational expectations, which emphasises that expectation errors should not be systematic. Expectations are therefore formed on the basis of an underlying structure, but full knowledge of the model is not essential. The accommodation of this type of rational expectations is accomplished by means of an explicit specification of an expectations equation consistent with the macro econometric model's broad structure. The estimation of coefficients relating to expectations is achieved through an Instrumental Variable approach. In South Africa, monetary policy has been consistent and transparent in line with the recommendations of the De Kock Commission. This allows the modelling of the policy instrument of the South African Reserve Bank, i.e. the Bank rate, by means of a policy reaction function. Given this transparency in monetary policy, the accommodation of expectations of the Bank rate is essential in modelling the full impact of monetary policy and in avoiding the Lucas critique. This is accomplished through weak rational expectations, based on the reaction function of the Reserve Bank. The accommodation of expectations of a policy instrument also allows the modelling of anticipated and unanticipated policies as alternative assumptions regarding the expectations process can be made during simulations. Conventional econometric models emphasise the demand side of the economy, with equations focusing on private consumption, investment, exports and imports and possibly changes in inventories. In this study, particular emphasis in the model specification is also placed on the impact of monetary policy on government debt and debt servicing costs. Other dimensions of the model include the modelling of the money supply and balance of payments, short- and long-term interest rates, domestic prices, the exchange rate, the wage rate and employment as well as weakly rational expectations of inflation and the Bank rate. The model has been specified and estimated by usmg concepts such as cointegration and Error Correction modelling. Numerous tests, including the assessment of the Root Mean Square Percentage Error, have been employed to test the adequacy of the model. Similarly, tests are carried out to ensure weak rational expectations. Numerous simulations are carried out with the model and the results are compared to relevant alternative studies. The simulation results show that the reduction of inflation by means of only monetary policy could impose severe costs on the economy in terms of real sector volatility. / AFRIKAANSE OPSOMMING: Die Lucas-kritiek beweer dat konvensionele ekonometriese modelle nie gebruik kan word vir beleidsontleding nie, aangesien dit nie voorsiening maak vir die verandering in verwagtings wanneer beleidsaanpassings gemaak word nie. Die insluiting van rasionele verwagtinge in konvensionele ekonometriese modelle is die mees algemene reaksie op die Lukas-kritiek. Ten einde die praktiese insluiting van rasionele verwagtings III ekonometriese modelbou te vergemaklik, word in hierdie studie gebruik gemaak van sogenaamde "swak rasionele verwagtings", wat slegs vereis dat verwagtingsfoute me sistematies moet wees nie. Die beraming van die koëffisiënte van die verwagtingsveranderlikes word gedoen met behulp van die Instrumentele Veranderlikes-benadering. Monetêre beleid in Suid-Afrika was histories konsekwent en deursigtig in ooreenstemming met die aanbevelings van die De Kock Kommissie. Die beleidsinstrument van die Suid-Afrikaanse Reserwebank, naamlik die Bankkoers, kan gevolglik gemodelleer word met behulp van 'n beleidsreaksie-funksie. Ten einde die Lukas-kritiek te akkommodeer, moet verwagtings oor die Bankkoers egter ingesluit word wanneer die volle impak van monetêre beleid gemodelleer word. Dit word vermag met die insluiting van swak rasionele verwagtings, gebaseer op die reaksie-funksie van die Reserwebank. Sodoende kan die impak van verwagte en onverwagte beleidsaanpassings gesimuleer word. Konvensionele ekonometriese modelle beklemtoon die vraagkant van die ekonomie, met vergelykings vir verbruik, investering, invoere, uitvoere en moontlik die verandering in voorrade. In hierdie studie word daar ook klem geplaas op die impak van monetêre beleid op staatskuld en die koste van staatsskuld. Ander aspekte wat gemodelleer word, is die geldvoorraad en betalingsbalans, korttermyn- en langtermynrentekoerse, binnelandse pryse, die wisselkoers, loonkoerse en indiensneming, asook swak rasionele verwagtings van inflasie en die Bankkkoers. Die model is gespesifiseer en beraam met behulp van ko-integrasie en die gebruik van lang-en korttermynvergelykings. Die gebruiklike toetse is uitgevoer om die toereikendheid van die model te toets. Verskeie simulasies is uitgevoer met die model en die resultate is vergelyk met ander relevante studies. Die gevolgtrekking word gemaak dat die verlaging van inflasie deur alleenlik gebruik te maak van monetêre beleid 'n swaar las op die ekonomie kan lê in terme van volatiliteit in die reële sektor.

My work investigates the effects of founding conditions for organizational founders on the eventual satisfaction founders have with the financial and social outcomes of their organization. First, I introduce two new constructs, social salience and economic salience, which represent the intended social or economic goals of the founder for their organization when they found the new organization. I then utilize organizational imprinting theory to argue that the social and economic salience, along with founders’ previous work experience, influence the structure of the new organization via the legal form. I then argue that the legal form influences the specific capabilities that the organization will acquire or create early in the organization’s life. Finally, I argue that the capabilities established at founding will influence the eventual satisfaction founders currently have with their organizations’ social and financial outcomes as the capabilities endure over time. Based on a sample of 150 organizational founders that are still actively managing their organizations, my results support the idea that founding conditions for individual founders influence the capabilities that their organizations create or acquire. Further, founders’ current level of satisfaction with the financial and social performance of their organizations is significantly related to these capabilities. These results largely support the process based model of imprinting effects on organizational outcomes, and suggest that founders play a critical role in setting the original imprint of an organization that will endure via organizational inertia, perhaps long after the imprint’s originally designed purpose. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2016. / FAU Electronic Theses and Dissertations Collection

Thesis (Ph. D.)--Ohio State University, 2006. / Title from first page of PDF file. Includes bibliographical references (p. 72-76).

Rational expectations provide people or economic agents making future decision with available information and past experiences. The first approach to the idea of rational expectations was given approximately fifty years ago by John F. Muth. Many models in economics have been studied using the rational expectations idea. The most familiar one among them is the rational expectations version of the Cagans hyperination model where the expectation for tomorrow is formed using all the information available today. This model was reinterpreted by Thomas J. Sargent and Neil Wallace in 1973. After that time, many solution techniques were suggested to solve the Cagan type rational expectations (CTRE) model. Some economists such as Muth [13], Taylor [26] and Shiller [27] consider the solutions admitting an infinite moving-average representation. Blanchard and Kahn [28] find solutions by using a recursive procedure. A general characterization of the solution was obtained using the martingale approach by Broze, Gourieroux and Szafarz in [22], [23]. We choose to study martingale solution of CTRE model. This thesis is comprised of five chapters where the main aim is to study the CTRE model on isolated time scales. Most of the models studied in economics are continuous or discrete. Discrete models are more preferable by economists since they give more meaningful and accurate results. Discrete models only contain uniform time domains. Time scale calculus enables us to study on m-periodic time domains as well as non periodic time domains. In the first chapter, we give basics of time scales calculus and stochastic calculus. The second chapter is the brief introduction to rational expectations and the CTRE model. Moreover, many other solution techniques are examined in this chapter. After we introduce the necessary background, in the third chapter we construct the CTRE Model on isolated time scales. Then we give the general solution of this model in terms of martingales. We continue our work with defining the linear system and higher order CTRE on isolated time scales. We use Putzer Algorithm to solve the system of the CTRE Model. Then, we examine the existence and uniqueness of the solution of the CTRE model. In the fourth chapter, we apply our solution algorithm developed in the previous chapter to models in Finance and stochastic growth models in Economics.

Made available in DSpace on 2010-04-20T20:18:31Z (GMT). No. of bitstreams: 0 Previous issue date: 1998-04-06T00:00:00Z / This study presents a new approach for conducting monetary policy: inflation targeting. The survey begins with a historical review of the recent literature on monetary economics from the Phillips Curve and an analysis of the classical options for monetary policy to a careful description of the new framework. The practice experiences of Germany, New Zealand, Canada and England are analyzed. The impacts of the new regime on the inflation inertia process in examined with time series techniques. The study finds that inflation targeting increases monetary discipline and makes monetary policy more coherent and transparent. / Este estudo introduz uma nova abordagem estratégica para a política monetária: o regime de meta de inflação. O trabalho começa com uma revisão da literatura sobre política monetária desde a Curva de Phillips, a seguir os regimes clássicos de política monetária são analisados e se introduz a estrutura conceitual do regime de meta de inflação. As experiências práticas de quatro países (Alemanha, Nova Zelândia, Canadá e Inglaterra) são detalhadamente examinadas. A análise de séries temporais é empregada para comparar o padrão de autoregressividade da inflação sob o novo regime com o período precedente. O estudo aponta o regime de meta de inflação como uma estratégia mais eficiente no longo prazo porque responde melhor aos desafios da teoria e da prática.

[pt] O forward premium puzzle é um dos puzzles mais notáveis no mercado cambial. Seus estudos tiveram início na primeira metade da década de 1980 e desde então diversas metodologias, ao longo dos anos, foram elaboradas e utilizadas para tentar explicar a sua ocorrência. Entretanto, apesar dos esforços dos pesquisadores, ainda não há uma solução inequívoca. O objetivo desta dissertação é analisar esta anomalia no contexto macroeconômico dos países emergentes, considerando-se a abordagem das expectativas não-racionais dos agentes. Para isso, foram aplicadas técnicas de aprendizado econométrico, conforme as metodologias propostas por Chakraborty e Evans (2008) e Reed (2019). Segundo estas, as expectativas dos agentes acerca da taxa de câmbio spot futura, são modeladas de acordo com algoritmos de aprendizado e se mantêm próximas à solução de expectativas racionais, porém com desvios gerados por erros de previsão passados. Os resultados alcançados corroboram aqueles encontrados na literatura relacionada, demonstrando que o aprendizado econométrico pode fornecer uma explicação para o forward premium puzzle também quando se considera a taxa cambial das moedas dos países emergentes frente ao Dólar americano, tanto para o modelo com um único estado quanto para o modelo com dois estados. As simulações realizadas reproduzem as principais características empíricas encontradas na amostra analisada e exprimem a importância da persistência dos fundamentos monetários para explicar o viés negativo no coeficiente do forward premium. / [en] The forward premium puzzle is one of the most notable puzzles in the foreign exchange market. Seminal studies in the field began in the first half of the 1980s. Since then, several methodologies have been proposed and tested, aiming to explain the occurrence of forward premium puzzle. However, despite the researchers efforts, no unequivocal solution has been fund. The objective of this dissertation is to analyze this anomaly in the macroeconomic context of emerging countries considering the approach of the non-rational expectations. To that end, adaptive learning techniques were applied, following the methodologies proposed by Chakraborty and Evans (2008) and Reed (2019), where the modeling of agents expectations about the future spot exchange rate is conducted using learning algorithms and remain close to the rational expectations solution, but with deviations generated from past forecast errors. The results corroborate those found in the current body of literature, suggesting that adaptive learning can provide an explanation for the forward premium puzzle also when considering the exchange rate of emerging market currencies against the US dollar, both for the single-state model and for the two-state model. The simulations results reproduce the main empirical features found in the analyzed sample and express the importance of the monetary fundamentals persistence to explain the negative bias in the forward premium coefficient.

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