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Title: | Relationship Between Behavioral Bias and NAV in Asian Capital Markets: The Case of Hedge Fund in The Era of Chinese Economic Slowdown |
Authors: | Jiang, Shannon |
Advisors: | Kiyotaki, Nobuhiro |
Department: | Economics |
Class Year: | 2018 |
Abstract: | My overarching hypothesis is that despite the tremendous growth of Asian economies in the past decades, Asian capital markets still have room to grow in market size and liquidity. This paper aims at understanding the uniqueness and weakness of Asian capital markets; and how the Chinese economy may adjust to slower growth, after decades of rapid economic growth. Using Thomas Reuters Lipper Hedge Fund Database, I test the existence of overconfidence, a form of behavioral bias, in the Asian capital markets, and found that overconfidence barely affects market excess returns (known as “alpha”). The weak correlation that exists between market excess returns and the independent variables which are gender, leverage, cultural background and commitment of personal capital varies over time, especially in times of crisis. Aggressiveness does not pay off in Asian capital markets probably because of the following reasons. Firstly, in small markets like Asian markets, large positions are likely to move asset prices, so aggressive traders who take risky positions do not gain as much in the trades as they would in the U.S. market. Secondly, most hedge funds in the database are endowed with foreign capital and thus are subject to significant trading constraints in countries like China. On the other hand, the net asset value (NAV) of the funds are found to correlate with the behavioral bias matrix at the significance level of 0.05. Male and Asian managers are often entrusted with more capital to invest. |
URI: | http://arks.princeton.edu/ark:/88435/dsp01w0892d66d |
Type of Material: | Princeton University Senior Theses |
Language: | en |
Appears in Collections: | Economics, 1927-2023 |
Files in This Item:
File | Description | Size | Format | |
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JIANG-SHANNON-THESIS.pdf | 435.99 kB | Adobe PDF | Request a copy |
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