Asset Prices, Heterogeneous Expectations, and Limited Short Sales

CHEOLBEOM PARK(박철범) 고려대학교 미래성장연구소 2016 미래성장연구 Vol.2 No.1

This paper extends the Harrison-Kreps model by allowing limited short sales and finite wealth. The main results of this paper are: (1) investors always pursue short-term gains (or participate in single-period speculation) when perceiving heterogeneous expectations; (2) important properties of the equilibrium price in the Harrison-Kreps model still hold even when limited short sales and finite wealth are allowed; (3) an increase in short-sale costs raises the risky asset price; and (4) an increase in the dispersion of expectations about future dividends also raises the risky asset price when the risky asset is held by a minority of investors.

Asset Prices, Heterogeneous Expectations, and Limited Short Sales

박철범 고려대학교 미래성장연구원 2016 미래성장연구 Vol.2 No.1

This paper extends the Harrison-Kreps model by allowing limited short sales and finite wealth. The main results of this paper are: (1) investors always pursue short-term gains (or participate in single-period speculation) when perceiving heterogeneous expectations; (2) important properties of the equilibrium price in the Harrison-Kreps model still hold even when limited short sales and finite wealth are allowed; (3) an increase in short-sale costs raises the risky asset price; and (4) an increase in the dispersion of expectations about future dividends also raises the risky asset price when the risky asset is held by a minority of investors.

Heterogeneous Expectations, Asset Prices, and Trading Volume under a Non-expected Utility Function with CARA

조재호 서울대학교 경영연구소 2019 Seoul Journal of Business Vol.25 No.2

Using a non-expected utility function that exhibits constant relative risk aversion (CRRA), Cho (2001) explores a theoretical model of asset pricing under heterogeneous beliefs in the case where only one risky asset is traded. This paper extends his work into the case where agents trade a risky asset and the riskless asset as well, adopting a non-expected utility function that exhibits constant absolute risk aversion (CARA). In a variant of the general equilibrium setting of Lucas (1978), major findings of the paper are as follows: (i) When agents differ only in expectations about future dividends, the question of who is the buyer and who is the seller of each asset depends solely on the degree of optimism. Unlike the case of Cho (2001), there is no role of intertemporal substitution. (ii) Increased dispersion of expectations will raise the risk-free rate and lower the risky asset’s price. This result is consistent with that of Abel (1990). (iii) Although the equity premium goes up as a consequence of result (ii), heterogeneity per se does not help to resolve the puzzle posed by Mehra & Prescott (1985) and Weil (1989). (iv) The trading volume of the risky asset increases proportionately with the cross-sectional variance of expectations, and the same is true for the riskless asset. (iv) An increase in the risk-free interest rate will reduce the trading volume of the riskless asset unless the intertemporal substitution parameter is less than 1/2. In addition to these findings, many more comparative statics results are obtained from closed-form solutions for asset prices and trading volume.

재무분석가의 이익예측치 분산과 미래의 주식 수익률에 관한 연구

백복현 ( Bok Hyun Baik ) 한국회계학회 2008 회계학연구 Vol.33 No.2

본 연구는 재무분석가의 이익예측치 분산과 미래의 주식 수익률간의 부의 관계에 대해 Diether등 (2002)이 제시한 이종기대 가설에 대해 재분석을 해보고 재무분석가의 자기선택 가설을 대안으로 제시한다. 기존연구와 같이 1984년부터 1999년 기간에 재무분석가의 예측치분산이 큰 주식이 수익률이 낮은 것으로 나타났다. 이종기대 가설하에서는 예측치 분산의 변화가주식수익률과 부의 관계를 가져오고, 이러한 부의 관계가 대주제한이 큰 기업들에서 더 크게 나타날것으로 기대된다. 반면 재무분석가의 자기선택 가설하에서는 예측치 분산이 큰 기업들이 매래 영업이익이 낮고 예측치 발표를 하지 않는 분석가 비율이 높아 질 것으로 예측된다. 표본기간동안 35,599개의 기업을 이용하여 본 연구는 이종기대 가설과 상반되는 결과를 발견하고 대신 재무분석가 자기선택가설과 일치하는 실증적 검증결과를 얻었다. 보다 주요한 것은 자기선택의 추정치인 미래영업이익 이나 예측치 발표를 하지 않는 분석가의 비율을 통제했을 때 재무분석가 예측치 분산과 미래 주식 수익률간의 관계가 없어짐을 확인하였다. 이러한 결과는 재무분석가의 이익예측치 분산과 미래의 주식 수익률간의 부의 관계가 재무분석가의 자기선택에 의한 것임을 뒷받침한다. 특히 최근에 한국시장에서 재무분석가의 역할이 중요해지고 대주제도의 도입으로 인한 주가의 영향에 대한 논의가 많이 되고 있다. 한국시장자료를 이용한 연구를 기대해본다. This paper reexamines the negative association between dispersion in analysts` earnings forecasts and future returns. Diether, Malloy, and Scherbina (2002) attribute this relation to the heterogeneous expectations hypothesis proposed by Miller (1977). In this paper, I reexamine the validity of the Miller (1977) model for the relation between forecast dispersion and future returns and provide an alternative explanation (i.e., analysts` self-selection hypothesis) for the observationally equivalent phenomenon. Consistent with recent research, I find that high dispersion stocks are overvalued relative to low dispersion stocks over the period 1984-1999. I expect that under the heterogeneous expectations hypothesis, changes in dispersion will be negatively associated with returns. Furthermore, the negative relation is more likely to be pronounced for the group of firms with severe short-sale constraints. By contrast, under the self-censoring hypothesis, higher forecast dispersion is likely to be associated with higher stopped coverage and deteriorating future performance. Using a sample of 35,599 firm years over the period of 1984 - 1999 in the US, I investigate whether stock returns are consistent with the predictions of the heterogeneous expectations hypothesis. I find evidence inconsistent with the heterogeneous expectations hypothesis. Changes in dispersion do not differentiate future returns. The level of dispersion in analysts` forecasts appears "sticky" from period to period so that changes in dispersion do not drive the overvaluation of firms. I also find that the negative relation between dispersion in forecasts and returns holds irrespective of short-sales constraints. Instead, my evidence is consistent with the assertion that analyst self-selection plays a role in the association between dispersion in forecasts and returns. Consistent with the selection explanation, I find that high dispersion firms are more likely to have upward bias and right-skewed forecasts. Also those high dispersion firms experience a significantly lower analyst coverage and higher incidence of delistings than low dispersion firms. More important, I find that the relation between analyst forecast dispersion and future returns disappears once I control for proxies for selfcensoring (i.e., future profitability or stopped coverage). Taken as a whole, the results of this paper are consistent with the view that the negative relation between dispersion and future returns is due to the effective overvaluation that results from the analyst self-selection phenomenon. In addition, this paper suggests that high dispersion in forecasts is informative about the degree of self-selection by analysts. Investors may use the dispersion of forecasts to undo the bias from self-selection. Given the increased importance of security analysts, coupled with the introduction of short-sales transactions in Korea, I am hoping that this study sheds light on the effect of security analysts` forecasts and short-sales constraints on stock valuations.

Accurate Range-free Localization Based on Quantum Particle Swarm Optimization in Heterogeneous Wireless Sensor Networks

( Wenlan Wu ),( Xianbin Wen ),( Haixia Xu ),( Liming Yuan ),( Qingxia Meng ) 한국인터넷정보학회 2018 KSII Transactions on Internet and Information Syst Vol.12 No.3

This paper presents a novel range-free localization algorithm based on quantum particle swarm optimization. The proposed algorithm is capable of estimating the distance between two non-neighboring sensors for multi-hop heterogeneous wireless sensor networks where all nodes’ communication ranges are different. Firstly, we construct a new cumulative distribution function of expected hop progress for sensor nodes with different transmission capability. Then, the distance between any two nodes can be computed accurately and effectively by deriving the mathematical expectation of cumulative distribution function. Finally, quantum particle swarm optimization algorithm is used to improve the positioning accuracy. Simulation results show that the proposed algorithm is superior in the localization accuracy and efficiency when used in random and uniform placement of nodes for heterogeneous wireless sensor networks.

OECD 국가의 기대수명에 영향을 미치는 요인에 관한 연구

김소연,류수열 국제지역학회 2023 국제지역연구 Vol.27 No.3

인간의 건강 또는 기대수명은 전 세계 인류의 최대 관심사이며, 기대수명에 영향을 미치는 요인은 여러 학자들 사이에서 활발한 연구주제가 되어왔다. 이에 본 연구는 1995년부터 2019년까지 OECD 국가를 대상으로 소득수준, 의료, 환경, 관광, 무역이 기대수명에 미치는 영향에 대하여 분석하였다. 특히 패널 데이터의 국가 간 횡단면 의존성과 국가별 이질성의 존재를 확인하고, 이질성을 고려한 PMG(pooled mean group) 추정법을 통해 장단기 영향을 추정하였고, 이질성 및 횡단면 의존성을 모두 고려한 AMG(augmented-MG) 추정법을 통해 장기적 영향을 분석하였다. 분석결과, 1인당 GDP와 의료지출의 추정계수가 양(+)의 부호로 나타났으며, 1인당 GDP와 의료지출의 상호교차항이 음(-)의 부호로 나타나 국민소득 수준이 낮은 국가에서 의료지출의 영향이 긍정적으로 작용하는 것을 확인하였다. 한편 CO2 배출량은 OECD 국가의 기대수명에 부정적 영향을 미치는 것으로 나타났으며, 관광객수와 무역개방도 변수의 유의성 및 부호는 모형과 추정방법에 따라 차이가 있으며, 유의한 계수 추정치는 미미한 수준으로 나타났다. Human health or life expectancy is the world's greatest concern, and factors affecting life expectancy are important research topics. Therefore, this study analyzes the effect of growth, environment, tourism, and trade on life expectancy in OECD countries from 1995 to 2019. In particular, short-term and long-term effects are estimated through the pooled mean group(PMG) estimation method that considers heterogeneity, and long-term effects are analyzed through the augmented-MG(AMG) estimation method that considers both heterogeneity and cross-sectional dependence. As a result of the analysis, the estimation coefficient of economic growth and health expenditures has a positive(+) sign, and the interaction term has a negative(-) sign, confirming that the effect of health expenditure is positive in countries with low economic growth. Meanwhile, CO2 emissions have a negative effect on life expectancy in OECD countries, and the significance and sign of the variables of the number of tourists and trade openness differ depending on the model and estimation method.

Capital market equilibrium without riskless assets: heterogeneous expectations

원동철,야넬리스,한광석 Springer Science + Business Media 2008 ANNALS OF FINANCE Vol.4 No.2

베이지안 마르코프 혼합 해저드 모델을 활용한 도로포장의 기대수명추정

최승현,도명식,한대석,심현정,채찬들 한국도로학회 2019 한국도로학회논문집 Vol.21 No.6

PURPOSES : This study aimed to estimate road pavement life expectancy using Bayesian Markov Mixture Hazard Model, to support infrastructure asset management. In addition, the life expectancies for the pavement condition index were compared among regional construction and management administrations. METHODS : Eleven years of National Highway road pavement monitoring data fused with ESAL (Equivalent Single Axle Loads), SNP (Structural Number of Pavement, an indicator of structural capacity), and average low temperature, total rainfall, and de-icing were used for the deterioration modeling. Deterioration modeling was performed through the Bayesian Markov Mixture Hazard Model. RESULTS : The expected life expectancy of the crack was estimated at 12.28 to 18.51 years, rut depth was estimated at 15.93 to 25.3 years, and the International Roughness Index was estimated at 10.44 to 14.33 years. It was also confirmed that the heterogeneity factor proposed in the Bayesian Markov Mixture Hazard Model could be used to analyze group characteristics and differences in the benchmark. CONCLUSIONS: This study provided important information in that it compared the life expectancies and structural characteristics of the pavement condition indexes among regional construction and management administrations. Based on this result, it is expected that a pavement structure design and maintenance strategy suitable for deterioration characteristics among regional construction and management administrations will be established.

브랜드확장 제품에 대한 소비자의 기대가격 형성에 관한 연구

전성률(Sung Youl Jun) 한국마케팅학회 2005 마케팅연구 Vol.20 No.1

자본자산가격결정모형(CAPM)의 시장균형

원동철(Won Dong Chul),최종범(Jong-Bom Chay) 한국증권학회 2006 한국증권학회지 Vol.35 No.1