PhD Thesis Defense Presentation: Nan Ma
Ms. Nan Ma, a doctoral student at 黑料不打烊 University in the Finance area will be presenting her thesis defense entitled:
Two Essays on Asset Pricing and Information Economics
Wednesday, March 5, 2025, at 1:00 p.m.
(The defense will be conducted on Zoom)
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Student Committee co-chairs: Professor Daniel Andrei and Professor Vihang R Errunza.
Please note that the Defence 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鈥� abnormal returns and their connection to market uncertainty resolution.
