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DESCRIPTION:Ms. Qing Xu\, a doctoral student at ÐãÉ«Ö±²¥ in the Fi
 nance area will be presenting her thesis defense entitled:\n\nThree Essays
  on Recovering Subjective Beliefs and Risk Preferences in a Non-Parametric
 al Approach\n\nMonday\, December 9\, 2024\, at 10:00 a.m.\n\n(The defense 
 will be conducted in Hybrid mode)\n\n \n\n\n\nStudent Committee Chair: Pro
 fessor Anisha Ghosh and Professor Laurent Barras.\n\nPlease note that the 
 Defence will be conducted in Hybrid mode. Only the student and their commi
 ttee members will participate in the presentation.\n\n\nAbstract:\n\nThis 
 thesis comprises three essays that utilize a non-parametric approach to re
 cover subjective beliefs and risk preferences from asset prices\, shedding
  light on the behavior of heterogeneous investors across varying market co
 nditions and forecast horizons.\n\nThe first essay separately identifies v
 arious investor types’ risk preferences and beliefs based on their portfol
 io holdings. It documents differing levels of risk aversion and belief pat
 terns among investors who primarily invest in different types of portfolio
 s. This study further explores the identity of these investors\, finding t
 hat large and value investors\, who share similar risk preferences and bel
 iefs\, are predominantly institutional investors\, whereas small-growth in
 vestors consist of a higher proportion of professional individuals.\n\nThe
  second essay investigates the impact of downturn experiences on investors
 ’ beliefs and risk preferences. The estimation results show that investors
  who have weathered market downturns and remained in the stock market exhi
 bit greater pessimism and risk tolerance compared to those who have never 
 faced downturns. The hypothesis is that investors with lower risk toleranc
 e tend to exit the market following downturns\, thus concealing their pref
 erences and beliefs from market prices. An analysis of survey data support
 s this argument.\n\nThe third essay introduces a novel approach to empiric
 ally recover the conditional pricing kernels using the survey data. The su
 rvey-implied pricing kernels exhibit a tilde shape in the short term (1-mo
 nth)\, gradually transition to a U-shape for longer horizons\, and form a 
 checkmark shape for long-term (10-year) forecasts. These results suggest t
 hat investors consistently place a high value on cash flows from future hi
 gh-return states\, a behavior that is more pronounced during adverse marke
 t conditions.\n
DTSTART:20241209T150000Z
DTEND:20241209T170000Z
SUMMARY:PhD Thesis Defense Presentation: Qing Xu
URL:/desautels/channels/event/phd-thesis-defense-prese
 ntation-qing-xu-361734
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