Uncertainty of political subsidy, heterogeneous beliefs, and IPO anomalies
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DOI: 10.1007/s11156-018-0731-8
Abstract: This paper focuses on financial subsidies introduced by the Chinese government to benefit IPO firms. Because of high uncertainty, subsidy information deepens the divergence of opinions regarding IPO firm value among investors, and the IPO… read more here.
Keywords: paper; offer prices; uncertainty political; subsidy ... See more keywords
Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2017.03.008
Abstract: What does it take to survive in the market? Previous literature has proposed sufficient conditions for a trader to vanish, which depend on pairwise comparisons of traders’ discounted beliefs. We propose a novel condition that… read more here.
Keywords: trader vanish; condition; trader; necessary sufficient ... See more keywords
Asset trading under non-classical ambiguity and heterogeneous beliefs
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2019.01.067
Abstract: Abstract We propose discrete time asset trading framework based on quantum probability formalism that represents well the ambiguity of agents in respect to the fundamental values and price states of the traded assets. Divergence of… read more here.
Keywords: ambiguity; price; asset; asset trading ... See more keywords
WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS
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DOI: 10.1017/asb.2020.6
Abstract: We study a weighted comonotonic risk-sharing problem among multiple agents with distortion risk measures under heterogeneous beliefs. The explicit forms of optimal allocations are obtained, which are Pareto-optimal. A necessary and sufficient condition is given… read more here.
Keywords: risk sharing; risk; comonotonic risk; heterogeneous beliefs ... See more keywords
Heterogeneous Beliefs, Institutional Investors and Stock Returns – Evidence from China
Sign Up to like & getrecommendations! Published in 2017 at "Eurasia journal of mathematics, science and technology education"
DOI: 10.12973/ejmste/77928
Abstract: Using the turnover decomposition model, I extract unexpected trading volume from the institutional investors’ trading activity to measure the institutional investors’ heterogeneous beliefs and explore the explanatory power of that on stock returns. Portfolios built… read more here.
Keywords: institutional investors; investors heterogeneous; beliefs institutional; stock returns ... See more keywords