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Technical Analysis Under Knightian Uncertainty, Andre Mouton
Technical Analysis Under Knightian Uncertainty, Andre Mouton
Student Theses and Dissertations
Technical analysis, or the forecasting of asset price movements using past prices, is commonly practiced in financial markets but poorly explained by mainstream economic theory. I show that a technical rule can have predictive power when an asset’s payoffs are subject to Knightian uncertainty, defined as variation that cannot be described probabilistically (Knight, 1921). I present an asset-pricing model in which asset payoffs undergo periodic shifts in trend, and agents form expectations about these payoffs using a constant gain least squares (CGLS) rule. I investigate whether a second CGLS rule, operating on price, can provide a more accurate forecast of …
Essays On The Impacts Of Quantitative Easing On Financial Markets, Joanne Guo
Essays On The Impacts Of Quantitative Easing On Financial Markets, Joanne Guo
Dissertations, Theses, and Capstone Projects
Due to the severity of the financial crisis of 2008, the Federal Reserve had attempted a variety of unconventional monetary policy to support the U.S. financial markets at the verge of collapse. The most well-known of the Fed's unconventional monetary policy is quantitative easing, in which it purchased a large amount of government securities from the markets in order to lower longer term interest rates and mortgage rates. The several rounds of quantitative easing had different impacts, intended as well as unintended, on U.S. financial markets and foreign markets. The purpose of this paper is to fully explore the effects, …
Essays On Real Estate Investment Trusts, Jiajin Chen
Essays On Real Estate Investment Trusts, Jiajin Chen
Dissertations, Theses, and Capstone Projects
This dissertation is composed with two essays on real estate investment trusts. The first chapter examines REIT IPOs initial-day, short-run and long-run performance using a large sample of 370 REIT IPOs from four continents (14 different countries) during the 1996-2010 period. The result shows that (1) the newly-established REITs in other countries exhibit similar initial-day return pattern as in the U.S., (2) the low initial-day return might be caused by the fund-like structure of REITs together with the real estate assets they hold, (3) the slightly positive initial-day return is offset by the poor performance in the 190-day days subsequent …