dc.contributor.author | Fedyk, Anastassia | |
dc.date.accessioned | 2019-05-20T12:23:55Z | |
dc.date.created | 2018-05 | |
dc.date.issued | 2018-05-13 | |
dc.date.submitted | 2018 | |
dc.identifier.uri | http://nrs.harvard.edu/urn-3:HUL.InstRepos:40050135 | * |
dc.description.abstract | In efficient markets, information, once public, should be instantaneously and correctly reflected in prices. But do investors consume information efficiently? Or do they allocate attention based on presentation, vary in their reading speed and sophistication, and hold overconfident beliefs? My dissertation addresses frictions in information processing and belief formation that may prevent even publicly available information from being correctly and immediately priced.
I find that positioning of financial news plays a large role in determining how the information gets reflected in prices. When a piece of news is saliently highlighted to investors, the price response can be very efficient, taking under an hour. The incorporation of less saliently presented information takes much longer, however: although the price paths eventually converge, this process can take multiple days. I also address the puzzle of increased trading volume around news events. I find that differences in when investors see the news are just as instrumental in explaining trading volume as the diversity of who is reading the news, especially for more straightforward news. Lastly, I consider biased belief formation and overconfidence. Focusing specifically on the domain of present bias, I document that individuals are aware of this bias in others but remain overoptimistic specifically about themselves. This wedge in beliefs is relevant not only for trading in financial markets, but also in a variety of other settings including teams in the workplace. | |
dc.description.sponsorship | Business Economics | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | |
dash.license | LAA | |
dc.subject | Economics, Finance | |
dc.title | Essays on Information in Financial Markets | |
dc.type | Thesis or Dissertation | |
dash.depositing.author | Fedyk, Anastassia | |
dc.date.available | 2019-05-20T12:23:55Z | |
thesis.degree.date | 2018 | |
thesis.degree.grantor | Graduate School of Arts & Sciences | |
thesis.degree.level | Doctoral | |
thesis.degree.name | Doctor of Philosophy | |
dc.contributor.committeeMember | Laibson, David | |
dc.contributor.committeeMember | Shleifer, Andrei | |
dc.contributor.committeeMember | Campbell, John | |
dc.contributor.committeeMember | Malloy, Christopher | |
dc.type.material | text | |
thesis.degree.department | Business Economics | |
dash.identifier.vireo | http://etds.lib.harvard.edu/gsas/admin/view/2320 | |
dc.description.keywords | information, financial markets | |
dash.author.email | fedyk@alumni.princeton.edu | |