DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, Tong-Suk | - |
dc.contributor.advisor | 김동석 | - |
dc.contributor.author | Lee, Hyo-Seob | - |
dc.contributor.author | 이효섭 | - |
dc.date.accessioned | 2011-12-27T04:22:01Z | - |
dc.date.available | 2011-12-27T04:22:01Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=455290&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/53536 | - |
dc.description | 학위논문(박사) - 한국과학기술원 : 경영공학과, 2010.08, [ ⅵ, 86 p. ] | - |
dc.description.abstract | This thesis consists of three essays. The first essay studies that a fear of model misspecification with regard to an external habit persistence model brings about a endogenous time-varying uncertainty aversion. A robust agent more decreases stock investment as the volatility of consumption surplus increases than an agent without model uncertainty. Within the framework of endogenous time-varying uncertainty aversion, countercyclical model uncertainty premium and procyclical P/D ratio are produced. With the optimal portfolio strategy, both the Lucas style equilibrium asset price and the risk-free rate are derived. This model provides more plausible parameter choices to explain both the equity premium puzzle and the low risk-free rate puzzle. The second essay constructs an equilibrium model of option-implied preferences with model uncertainty. The theoretical model shows that an investor with model uncertainty has a higher level of risk aversion than an investor without model uncertainty. The detectionerror probability gives a way to estimate the option-implied uncertainty aversion. Empirical findings show that the estimated option-implied risk aversion with model uncertainty is larger than that without model uncertainty. With the higher level of uncertainty aversion, the empirical uncertainty premium shows a steeper smirk pattern across wealth, which looks very similar to the smirk pattern of implied volatility of S&P 500 index options. The third essay develops a theoretical model to examine the optimal investments in R&D. The optimal level of investment in R&D is determined by three factors: (i) the expected increase in profitability, (ii) the critical level of accumulated knowledge, and (iii) the firms’s risk tolerance. An expected increase in profitability has a positive effect on investment in R&D, and firms’s risk tolerance for the future cash-flow volatility induces to increase the R&D investment. The critical level of accumulated R&D knowledge is positi... | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | option-implied preferences | - |
dc.subject | general equilibrium | - |
dc.subject | habit | - |
dc.subject | model uncertainty | - |
dc.subject | research and development | - |
dc.subject | 연구 및 개발 | - |
dc.subject | 옵션내재 성향 | - |
dc.subject | 일반균형 | - |
dc.subject | 습관 | - |
dc.subject | 모델 불확실성 | - |
dc.title | Three essays on uncertainty premium in financial markets | - |
dc.title.alternative | 금융시장의 불확실성 프리미엄에 관한 연구 | - |
dc.type | Thesis(Ph.D) | - |
dc.identifier.CNRN | 455290/325007 | - |
dc.description.department | 한국과학기술원 : 경영공학과, | - |
dc.identifier.uid | 020057497 | - |
dc.contributor.localauthor | Kim, Tong-Suk | - |
dc.contributor.localauthor | 김동석 | - |
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