PhD Research Proposal Presentation: Nan Ma
Ms. Nan Ma, a doctoral student at Â鶹AV in the area of Finance will be presenting her research proposal entitled:
Two essays on asset pricing and information economics
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Tuesday, December 10, 2024, at 10:00am – 12:00pm
Student Committee Chair: Professor Daniel Andrei & Professor Vihang Errunza
Please note that the presentation will be conducted on Zoom. Only the student and their committee members will participate in the presentation.
ABSTRACT
This thesis comprises two essays that explore the impact of information frictions and uncertainty on investor learning and asset pricing in financial markets.
The first essay develops a theoretical framework examining how social information transmission within echo chambers affects financial markets. The results reveal that investors who acquire private information through word-of-mouth communication within echo chambers develop unconscious biases in the information-sharing process. These biases foster polarized views among investors, contributing to belief polarization, increased trading volume, and influencing asset expected returns. I further show the speed-up of communication intensifies these effects.
The second essay investigates how uncertainty resolution influences the well-known momentum and value anomalies, shedding light on their theoretical origins. I first provide empirical evidence that momentum and value anomalies predominantly earn abnormal returns on days of high and low market uncertainty resolution, respectively. A theoretical model is further developed to explain this empirical pattern, offering economic insights into the anomalies’ abnormal returns and their connection to market uncertainty resolution.
