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Author: Shushu Liang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This dissertation examines the trading behavior of retail investors using large datasets and both causal inference and structural estimation methods. The study has two main objectives: to understand the heterogeneity across different investors and to quantify the price impacts of various trading behaviors. Chapter 1 uses data on account-level stock holdings to quantify the importance of different mechanisms contributing to stock booms and busts during the 2015 Chinese stock market bubble. By estimating a structural model of heterogenous investor demand, I find that retail investors account for 78% of the variance in cross-sectional stock returns, but the contribution of different channels varies as the bubble evolves. Chapter 2 studies retail investors' return-chasing behavior leveraging the same data on 18 million individual equity accounts. I find that return chasing predicts both investor returns and stock returns more strongly than various other investor characteristics. Chapter 3 documents the decline in the average profitability of IPOs in the United States between 2010 and 2022. This work provides valuable insights into the drivers of stock price fluctuations and highlights the importance of understanding investor heterogeneity.
Author: Shushu Liang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This dissertation examines the trading behavior of retail investors using large datasets and both causal inference and structural estimation methods. The study has two main objectives: to understand the heterogeneity across different investors and to quantify the price impacts of various trading behaviors. Chapter 1 uses data on account-level stock holdings to quantify the importance of different mechanisms contributing to stock booms and busts during the 2015 Chinese stock market bubble. By estimating a structural model of heterogenous investor demand, I find that retail investors account for 78% of the variance in cross-sectional stock returns, but the contribution of different channels varies as the bubble evolves. Chapter 2 studies retail investors' return-chasing behavior leveraging the same data on 18 million individual equity accounts. I find that return chasing predicts both investor returns and stock returns more strongly than various other investor characteristics. Chapter 3 documents the decline in the average profitability of IPOs in the United States between 2010 and 2022. This work provides valuable insights into the drivers of stock price fluctuations and highlights the importance of understanding investor heterogeneity.
Author: Matthias Burghardt
Publisher: Springer Science & Business Media
ISBN: 3834961701
Category : Business & Economics
Languages : en
Pages : 170
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Book Description
Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Author: Juhani Linnainmaa
Publisher:
ISBN:
Category : Day trading (Securities)
Languages : en
Pages : 350
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Book Description
Author: H. Kent Baker
Publisher: John Wiley & Sons
ISBN: 1118492986
Category : Business & Economics
Languages : en
Pages : 645
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Book Description
WINNER, Business: Personal Finance/Investing, 2015 USA Best Book Awards FINALIST, Business: Reference, 2015 USA Best Book Awards Investor Behavior provides readers with a comprehensive understanding and the latest research in the area of behavioral finance and investor decision making. Blending contributions from noted academics and experienced practitioners, this 30-chapter book will provide investment professionals with insights on how to understand and manage client behavior; a framework for interpreting financial market activity; and an in-depth understanding of this important new field of investment research. The book should also be of interest to academics, investors, and students. The book will cover the major principles of investor psychology, including heuristics, bounded rationality, regret theory, mental accounting, framing, prospect theory, and loss aversion. Specific sections of the book will delve into the role of personality traits, financial therapy, retirement planning, financial coaching, and emotions in investment decisions. Other topics covered include risk perception and tolerance, asset allocation decisions under inertia and inattention bias; evidenced based financial planning, motivation and satisfaction, behavioral investment management, and neurofinance. Contributions will delve into the behavioral underpinnings of various trading and investment topics including trader psychology, stock momentum, earnings surprises, and anomalies. The final chapters of the book examine new research on socially responsible investing, mutual funds, and real estate investing from a behavioral perspective. Empirical evidence and current literature about each type of investment issue are featured. Cited research studies are presented in a straightforward manner focusing on the comprehension of study findings, rather than on the details of mathematical frameworks.
Author: Tobias Stuber
Publisher: Herbert Utz Verlag
ISBN: 3831640114
Category :
Languages : en
Pages : 264
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Book Description
Author: Konstantinos Gavriilidis
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 278
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Book Description
Author: Jennifer Chu
Publisher:
ISBN:
Category : Capitalists and financiers
Languages : en
Pages : 156
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Book Description
Author: Michael Ungeheuer
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Terrance Thomas Odean
Publisher:
ISBN:
Category :
Languages : en
Pages : 288
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Book Description
Author: Tomas Hernan Reyes Torres
Publisher:
ISBN:
Category :
Languages : en
Pages : 85
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Book Description
This dissertation examines the factors that influence investors' attention to the stock market and the relationship that exists among attention and real output variables including stock returns, trading volume, and volatility. Traditional asset pricing models assume that information is effortlessly obtained and instantaneously incorporated into pricing. This assumption requires that investors devote sufficient attention to the asset, and ignores the existence of various channels through which public information is disseminated. In reality, attention is a scarce cognitive resource which is related to the effort that investors must expend to obtain information; the implications of this contingency of attention on these limitations have been remarkably under-researched in the past. In the first chapter of this study, I familiarize readers with Google Trends data and explain why such data is a better source to proxy for attention than the measures previously used in the literature. Next, utilizing this data, I describe how to measure investors' attention with regard to M\&A announcements, and show that attention is not instantaneous with the release of information, but is, instead, spread over a period surrounding the announcement. Retail investors pay attention and demand information about a firm as the announcement date approaches, during the announcement, and for days afterward. Finally, I present three aggregate measures of attention in the stock market, which are also based on search volume from Google. After constructing these measures, I study how they correlate with, but differ from, existing proxies of attention. In the second chapter, I consider whether limited attention explains the announcement effect bias found in the M\&A literature concerning merger and acquisition announcements. More specifically, I ask: How does variation in investors' attention affect the capital market response to M\&A announcements? To answer this question I rely on the measure for attention to M\&A announcements described in the previous chapter and find that high abnormal attention on the day of announcement predicts high adjusted abnormal returns the day after. This effect is strongest among firms with high standard deviations and betas, and it partially reverses over the following months. The third chapter argues that negative stock market performance attracts more attention from retail investors than comparable positive performance. Specifically, I rely on the three aggregate measures of attention in the stock market to test and confirm the hypothesis that retail investors pay more attention to negative rather than positive extreme returns. Empirical results strongly support that with respect to stock returns investors display this negativity bias in attention allocation. Across all specifications, lagged negative extreme returns are stronger predictors than positive extreme returns of high attention at the stock and market level. I rule out that negative returns are stronger simply because they are more unusual or because negative and positive returns are not symmetrical events to stockholders.
