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Author: Andrea Rossi (Ph. D. in finance)
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 187
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Book Description
In the third chapter, coauthored with Itzhak Ben-David and Justin Birru, we study whether industry familiarity is an advantage in stock trading by exploring the trading patterns of industry insiders in their own personal portfolios. To do so, we identify accounts of industry insiders in a large data set provided by a retail discount broker. We find that insiders trade firms from their own industry more frequently. Furthermore, they earn abnormal returns exclusively when trading own-industry stocks, especially obscure stocks (small, low analyst coverage, high volatility). In a battery of tests, we find no evidence of the use of private information. The results are most consistent with the interpretation that industry familiarity is an advantage in stock trading.
Author: Andrea Rossi (Ph. D. in finance)
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 187
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Book Description
In the third chapter, coauthored with Itzhak Ben-David and Justin Birru, we study whether industry familiarity is an advantage in stock trading by exploring the trading patterns of industry insiders in their own personal portfolios. To do so, we identify accounts of industry insiders in a large data set provided by a retail discount broker. We find that insiders trade firms from their own industry more frequently. Furthermore, they earn abnormal returns exclusively when trading own-industry stocks, especially obscure stocks (small, low analyst coverage, high volatility). In a battery of tests, we find no evidence of the use of private information. The results are most consistent with the interpretation that industry familiarity is an advantage in stock trading.
Author: Orkunt Mesut Dalgic
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 348
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Author: Hsiang Yin
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 262
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Author: Seungho Lee
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This dissertation consists of three essays that address recent developments in international financial markets that have been of concern for scholars, policymakers, and practitioners. The first essay examines how cultural factors can influence individual investors' trading behavior in response to risk in nine Eurozone countries. The markets studied were particularly affected by the global financial crisis, the subsequent European banking crisis, and the European sovereign debt crisis. Using mutual fund flows as proxy of investors' trading behavior, our evidence indicates that a country culture variable significantly affects investors' trading responsiveness to risk. Specifically, the impact of risk on fund flows is significantly positive and is larger in scale in countries with individualist cultures. The second essay attempts to investigate the effects of negative interest rate policies (NIRP) on foreign exchange and equity markets of eight European countries and Japan. To see the impacts of these policies, event studies and regime-switching vector autoregressive regression analyses are conducted for the nine countries that implement NIRP. The results provide valid evidence that the announcement of NIRP has a transitory effect on currency depreciation; long term effects are less evident. On the day of NIRP implementation, both currency and equity market returns reacted in response to the event efficiently and negatively, especially in Switzerland's case. These outcomes suggest that simulative monetary policy by lowering interest rates below zero might have counter-effects from those observed when interest rates are lowered, but to rates that remain positive. Additionally, findings from the long term analyses explain that interest rate term structure and cointegration level of local and the U.S. equity index may be related to effectiveness of NIRP in currency and equity markets, respectively. The last essay examines the determinants of the price of the leading cryptocurrency, Bitcoin. The analyses identify a number of factors that significantly affect the returns to investments in Bitcoin including: trading volume, high-low price spread, and extreme price change in the previous period. The latter result supports the assertion that recent severe price fluctuations in Bitcoin markets are primarily due to speculative investment activities. Furthermore, evidences suggested in this study explain possibility of market compromise and inefficiency of the cryptocurrency market, implying pivotal risks for Bitcoin market participants.
Author: Fabian Ackermann
Publisher:
ISBN:
Category :
Languages : en
Pages : 143
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Author: Amine Jalal
Publisher:
ISBN:
Category :
Languages : en
Pages : 118
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Author: Adam Daniel Clark-Joseph
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ISBN:
Category :
Languages : en
Pages :
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This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles, but also generate several new testable predictions. Although these three essays differ considerably in methodology and focus, they all address the same basic issue of understanding the foundations of trading behavior.
Author: Lu Zhang
Publisher:
ISBN:
Category : Depressions
Languages : en
Pages : 137
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This thesis consists of three essays. The first essay studies the ability of stock return idiosyncrasy to predict future economic conditions over time. The second essay investigates the technological innovation and creative destruction during the 1920s and the 1930s, one of the most innovative periods in the 20th century. The third essay tests the performance of an investment strategy using information about past market-wide comovement. Stock return idiosyncrasy, defined as the ratio of firm-specific to systematic risk in individual stock returns, contains information about future growth rate in real GDP, industrial production, real fixed assets investment, and unemployment. Forecasts are generally significant one-quarter-ahead, particularly after World War II. These effects persist after controlling for other potential leading economic indicators, both in-sample and out-of-sample. These findings are consistent with information generating firms, presumably uniquely well-informed about economic conditions because their core business is information, adjusting their information production before downturns. The second essay studies the process of creative destruction during the technological revolution in the 1920s and 1930s. Intensified creative destruction magnifies the performance gap between winner and loser firms, and thus elevates firm-specific stock return variation. We find high firm-specific return variation in innovative industries and firms during the 1920s boom and the subsequent depression. We also find some evidence of elevated firm-specific return variation in manufacturing sectors with higher labor productivity, more research staff and more extensive electrification. In the third essay, we define the directional market-wide comovement measure as the proportion of stocks moving up together. Positing that high comovement reflects large fund inflows, we devise an investment strategy of entering the market whenever positive directional market-wide comovement passes a certain threshold. Specifically, this comovement-based investment strategy holds the market index when the market-wide upward comovement in the prior one to four weeks is above the fourth decile of the historical comovement distribution, and invests in the risk-free asset otherwise. During the sample period of 1954 to 2014, this strategy outperforms the NYSE value-weighted market index by 6.42% per year. Out of sample tests using NASDAQ stocks and TSE stocks validate the strategy. Our findings suggest that marketwide upward comovement identifies periods of market run-ups, when unsophisticated investor buying is apt to be driven by herding or information cascades.
Author: Yifei Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Blake Phillips
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages :
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