Return to search

Essays on finance and macroeconomy

Submitted by Marcia Bacha (marcia.bacha@fgv.br) on 2011-03-23T19:59:14Z
No. of bitstreams: 1
1420873.pdf: 11246773 bytes, checksum: c86eb02b7ed0a265d7ca5dcde93f8bd7 (MD5) / Approved for entry into archive by Marcia Bacha(marcia.bacha@fgv.br) on 2011-03-23T20:01:38Z (GMT) No. of bitstreams: 1
1420873.pdf: 11246773 bytes, checksum: c86eb02b7ed0a265d7ca5dcde93f8bd7 (MD5) / Made available in DSpace on 2011-03-23T20:01:45Z (GMT). No. of bitstreams: 1
1420873.pdf: 11246773 bytes, checksum: c86eb02b7ed0a265d7ca5dcde93f8bd7 (MD5)
Previous issue date: 2009-01-01 / I study the asset-pricing implications in an cnviromncnt with feedback traders and rational arbitrageurs. Feedback traders are defined as possible naive investors who buy after a raise in prices and sell after a drop in prices. I consider two types of feedback strategies: (1) short-term (SF), motivated by institutional rulcs as top-losscs and margin calls and (2) long-tcrm (LF), motivated by representativeness bias from non-sophisticated investors. Their presence in the market follows a stochastic regime swift process. Short lived assumption for the arbitrageurs prevents the correction of the misspricing generated by feedback strategies. The estimated modcl using US data suggests that the regime switching is able to capture the time varying autocorrclation of returns. The segregation of feedback types helps to identify the long term component that otherwise would not show up due to the large movements implied by the SF typc. The paper also has normativo implications for practioners since it providos a methodology to identify mispricings driven by feedback traders.

Identiferoai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/7866
Date01 January 2009
CreatorsSimonsen, Axel André
ContributorsVicente, José, Medeiros, Marcelo C., Brito, Ricardo D., Escolas::EPGE, Almeida, Caio Ibsen Rodrigues de, Bonomo, Marco Antônio Cesar
Source SetsIBICT Brazilian ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/doctoralThesis
Sourcereponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
RightsTodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveis, info:eu-repo/semantics/openAccess

Page generated in 0.0064 seconds