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UNCERTAINTY, IDENTIFICATION, AND PRIVACY: EXPERIMENTS IN INDIVIDUAL DECISION-MAKING
Title
UNCERTAINTY, IDENTIFICATION, AND PRIVACY: EXPERIMENTS IN INDIVIDUAL DECISION-MAKING.
Creator
Rivenbark, David, Harrison, Glenn, University of Central Florida
Abstract / Description
The alleged privacy paradox states that individuals report high values for personal privacy, while at the same time they report behavior that contradicts a high privacy value. This is a misconception. Reported privacy behaviors are explained by asymmetric subjective beliefs. Beliefs may or may not be uncertain, and non-neutral attitudes towards uncertainty are not necessary to explain behavior. This research was conducted in three related parts. Part one presents an experiment in individual...
Show moreThe alleged privacy paradox states that individuals report high values for personal privacy, while at the same time they report behavior that contradicts a high privacy value. This is a misconception. Reported privacy behaviors are explained by asymmetric subjective beliefs. Beliefs may or may not be uncertain, and non-neutral attitudes towards uncertainty are not necessary to explain behavior. This research was conducted in three related parts. Part one presents an experiment in individual decision making under uncertainty. EllsbergÂÂ's canonical two-color choice problem was used to estimate attitudes towards uncertainty. Subjects believed bets on the color ball drawn from EllsbergÂÂ's ambiguous urn were equally likely to pay. Estimated attitudes towards uncertainty were insignificant. Subjective expected utility explained subjectsÂÂ' choices better than uncertainty aversion and the uncertain priors model. A second treatment tested Vernon SmithÂÂ's conjecture that preferences in EllsbergÂÂ's problem would be unchanged when the ambiguous lottery is replaced by a compound objective lottery. The use of an objective compound lottery to induce uncertainty did not affect subjectsÂÂ' choices. The second part of this dissertation extended the concept of uncertainty to commodities where quality and accuracy of a quality report were potentially ambiguous. The uncertain priors model is naturally extended to allow for potentially different attitudes towards these two sources of uncertainty, quality and accuracy. As they relate to privacy, quality and accuracy of a quality report are seen as metaphors for online security and consumer trust in e-commerce, respectively. The results of parametric structural tests were mixed. Subjects made choices consistent with neutral attitudes towards uncertainty in both the quality and accuracy domains. However, allowing for uncertainty aversion in the quality domain and not the accuracy domain outperformed the alternative which only allowed for uncertainty aversion in the accuracy domain. Finally, part three integrated a public-goods game and punishment opportunities with the Becker-DeGroot-Marschak mechanism to elicit privacy values, replicating previously reported privacy behaviors. The procedures developed elicited punishment (consequence) beliefs and information confidentiality beliefs in the context of individual privacy decisions. Three contributions are made to the literature. First, by using cash rewards as a mechanism to map actions to consequences, the study eliminated hypothetical bias as a confounding behavioral factor which is pervasive in the privacy literature. Econometric results support the ÂÂ"privacy paradoxÂÂ" at levels greater than 10 percent. Second, the roles of asymmetric beliefs and attitudes towards uncertainty were identified using parametric structural likelihood methods. Subjects were, in general, uncertainty neutral and believed ÂÂ"badÂÂ" events were more likely to occur when their private information was not confidential. A third contribution is a partial test to determine which uncertain process, loss of privacy or the resolution of consequences, is of primary importance to individual decision-makers. Choices were consistent with uncertainty neutral preferences in both the privacy and consequences domains.
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Date Issued
2010
Identifier
CFE0003251, ucf:48539
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0003251
Two Applications of Financial Economics to Real Estate
Title
Two Applications of Financial Economics to Real Estate.
Creator
Dibartolomeo, Jeffrey, Gatchev, Vladimir, Chen, Honghui, Turnbull, Geoffrey, Harrison, David, Schnitzlein, Charles, University of Central Florida
Abstract / Description
My first essay examines the effects of dividend policy on the liquidity risk of REITs. I argue that the mandatory high cash payouts of REITs reduce investor reliance on the stock market to satisfy their liquidity needs. Using a sample of equity REITs from 1980 through 2015, I find strong empirical evidence consistent with this paradigm. Unlike non-REIT property companies, I find REITs exhibit negative sensitivity to marketwide liquidity shocks; a result that is evident across most property...
Show moreMy first essay examines the effects of dividend policy on the liquidity risk of REITs. I argue that the mandatory high cash payouts of REITs reduce investor reliance on the stock market to satisfy their liquidity needs. Using a sample of equity REITs from 1980 through 2015, I find strong empirical evidence consistent with this paradigm. Unlike non-REIT property companies, I find REITs exhibit negative sensitivity to marketwide liquidity shocks; a result that is evident across most property type sectors. Moreover, while my findings are robust across a wide range of portfolios based on size, dividend frequency, leverage, market-to-book, operations type, and the presence of dividend reinvestment plans, smaller REITs mitigate liquidity risk only when their dividend frequency is relatively high. Finally, I find that price sensitivities to marketwide liquidity shocks increase after firms elect to discontinue REIT status. These findings strongly support the notions that investors view dividend payouts as a substitute for liquidity, and that REITs' relatively high mandated payout requirements benefit investors with reduced liquidity risk.My second essay re-examines the ability of the Mills-Muth neoclassical land use theory to explain urban sprawl. I test the robustness of Brueckner and Fansler's (1983) seminal study using data drawn from the 1970 U.S. Census. A repeated sampling test shows that their 1970 sampling methodology led to spurious estimates; their conclusions regarding the economic factors driving sprawl cannot be supported. Nor can they be supported using more recent data from the 2000 and 2010 Census. Given this, I offer two alternate measures of urban sprawl: the traditional population density gradient and a new measure that relaxes the monotonicity constraint implied by traditional density gradients. I find the factors identified by neoclassical theory better explain sprawl when using the density gradient and the non-monotonic measure than the Brueckner-Fansler approach.
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Date Issued
2018
Identifier
CFE0006995, ucf:51619
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0006995
Two Essays on Investors' Attention to Economically Linked Firms
Title
Two Essays on Investors' Attention to Economically Linked Firms.
Creator
Khoshnoud, Mahsa, Chen, Honghui, Frye, Melissa, Gatchev, Vladimir, Turnbull, Geoffrey, Harrison, David, Roberts, Robin, University of Central Florida
Abstract / Description
My first essay examines the degree to which the market prices of publicly traded firms reflect and respond to new information regarding the economic viability and vitality of organizations to which they are strategically linked. More specifically, I exploit the uniquely transparent nature of the lessor-lessee relationship across commercial real estate markets to evaluate whether future returns to real estate investment trusts (REITs) are systematically affected by the financial return...
Show moreMy first essay examines the degree to which the market prices of publicly traded firms reflect and respond to new information regarding the economic viability and vitality of organizations to which they are strategically linked. More specifically, I exploit the uniquely transparent nature of the lessor-lessee relationship across commercial real estate markets to evaluate whether future returns to real estate investment trusts (REITs) are systematically affected by the financial return performance and/or operational opacity of the tenants who lease their investment properties. Using a hand collected data set identifying the principal tenants of 96 publicly traded REITs, I find those firms with the best performing tenants generate annualized abnormal returns which are approximately six percent higher than those realized by REITs with the worst performing tenants. These results are robust to a variety of model specifications, and a closer inspection of the results reveals these performance differentials are consistent with emerging evidence across the literature suggesting investors' limited attention materially influences the return predictability of assets. With respect to the current investigation, I thus conclude investors' limited attention leads to the failure of REIT prices to fully reflect the valuation implications of their tenants' return performance.My second essay investigates how sophisticated investors, such as short sellers, trade on information along the supply chain. Short sellers are known to be generally better informed than common investors. Given the economic linkages that exist between the suppliers and customers, one would expect short sellers to trade on such information. My results indicate that short interest predicts unexpected earnings news, consistent with short sellers extracting information from economic relationships. When I evaluate stock return and short interests in regression analysis, I find strong negative relation between short interest in supplier firm and the future stock returns for the customer firm for the return in the next month. The negative relation persists for twelve months. I find similar results from portfolio approach. I argue that one plausible channel that explains the information content of supplier (customer) firm's short interest for the customer (supplier) firms is short sale constraints on the customer (supplier) firms. My results are consistent with this explanation. Overall, my findings suggest that short sellers play an important role in the price discovery of related firms on supply chain, beyond their direct effects documented previously.
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Date Issued
2017
Identifier
CFE0006755, ucf:51842
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0006755