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Essays In Behavioral Finance And Online Markets
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Book Synopsis Essays in Behavioral Finance and Online Markets by : Theresa Kuchler
Download or read book Essays in Behavioral Finance and Online Markets written by Theresa Kuchler and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation I study a number of questions in behaviroal finance and online markets. In the first chapter, I empirically analyze why people hold expensive credit card balances, often over substantial time horizons. Specifically, I test whether hyperbolic discounting can explain why many consumers are not able to reduce their credit card debt. In the second chapter, I analyze the effect of potential market misvaluation for corporate acquisitions when some managers are overoptimistic. I focus on the implications for the method of payment and the implications for subsequent returns depending on the method of payment chosen. In the third chapter, joint work with Liran Einav, Jonathan Levin and Neel Sundaresan, we study seller experiments in online markets. We document the prevalence of pricing and auction design variation for listings on eBay. We show how this variation can be used to learn about questions of consumer behavior and market outcomes, while leveraging the scale and heterogeneity of online markets.
Book Synopsis Essays on Behavioral Finance and Market Microstructure by : Jie Lu
Download or read book Essays on Behavioral Finance and Market Microstructure written by Jie Lu and published by . This book was released on 2009 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three essays that study behavioral finance and market microstructure. The first essay models a game of individual day traders' interactions in a stock trading chat room and empirically tests the model's conclusions. Trading behaviors are analyzed in an Internet chat room with free entry but secure identity, and traders' interactions are modeled as a dynamic game with informed traders, momentum traders, arbitragers and noise traders. Three empirical predictions are generated in the model's equilibrium. The unique data set consists of stock trading chat room posts of more than 1,000 individual semi-professional day traders and their interactions and transactions are investigated in a time series. All the three predictions from the model's equilibrium are affirmed by empirical tests. The second essay assesses the effects of the entire limit order book and analyzes the market impacts of the quotes in the Shanghai and Shenzhen Stock Exchange in China, where the stock market has a pure order-driven trading mechanism without market makers. Firstly, in the empirical modeling the limit order books, the structural vector autoregressive model of Hasbrouck (1991) is used and extended to incorporate more information beyond the inside quotes. Secondly, the market impact of stocks is also analyzed cross sectionally with market capitalization, tick frequency, turnover, average price, etc. Finally, the market impacts and order imbalance of small trades are distinguished. Small trades, usually linked with individual investors, have proportionally small market impact. Besides, the volume-weighted daily order imbalances of small trades and next-day's and contemporaneous daily returns are negatively related with each other. This is in accordance with the 'pain theory' of the individual traders. The third essay investigates microstructure characteristics of the Credit Default Swap (CDS) market. During the sample period, April 2006 -- March 2008, CDS are traded on the over-the-counter (OTC) market, through brokers' voice-based or electronic-based systems. The study analyzes CDS spread, trade-to-quote ratio, bid-ask spread, the frequency that the orders fall between the quotes, and the relationship between the order imbalance and the daily change of CDS spread.
Book Synopsis Essays in Behavioral Finance by : Xing Huang
Download or read book Essays in Behavioral Finance written by Xing Huang and published by . This book was released on 2013 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays in behavioral finance. It explores investors' (non-standard) behaviors and their impacts on market efficiency and market valuations. I strive to empirically characterize how market participants behave, and to identify how these behaviors can improve our understanding of the financial market. The first chapter studies the impact of prior investment experience in an industry on the subsequent purchase of new stocks in the same industry. Using trading records data for households at a large discount broker from 1991 to 1996, I establish that the experience of positive excess returns in a given industry increases the probability of purchasing similar stocks in that industry relative to other industries. This result is robust to industry momentum, wealth effects, and investor heterogeneity. The effect decays when the experience is further in the past. Furthermore, I find that investor sophistication mitigates this experience effect. These results are consistent with mechanisms where investors put more weight on their own experience than on other available historical information when updating the beliefs about an industry's future return. The results are also consistent with investors learning about their stock-picking ability in an industry from their experienced outcomes. In the second chapter, I ask the question: do investors slow to incorporate return-relevant information if it reflects firms' operations abroad? Using the corresponding industry return in the foreign countries, I show that foreign operations information is slowly incorporated into stock prices. A trading strategy exploiting the foreign operations information of multinational firms generates a monthly abnormal return of approximately $0.80$ percentage points, controlling for risk-based factors. The return predictability is not driven by U.S. industry momentum, global industry momentum or foreign country-specific industry momentum. The third chapter further explores the underlying mechanism to explain the market under-reaction to foreign information identified in the second chapter. The return predictability becomes more pronounced for smaller firms and firms with less analyst coverage, lower institutional holdings, lower fraction of foreign operations and more complicated international operations structure. I also find that stock prices respond more to foreign operations information during the month of a quarterly earnings announcement or when there is more foreign news relative to domestic news appearing in the media. In addition, information about firms' operations in Asia is delayed more than information about operations in Europe and English-speaking countries. These results are consistent with the hypothesis that news about multinational firms' foreign operations diffuses gradually, indicating investors' limited attention and processing capacity for foreign information.
Book Synopsis Essays on Behavioral Finance by : Sujung Choi
Download or read book Essays on Behavioral Finance written by Sujung Choi and published by . This book was released on 2012 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays. In the first essay, "Investor misvaluation, signaling, and takeovers: Evidence from closed-end fund discounts", I investigate investor misvaluation as a motivation for closed-end fund mergers and acquisitions (M & As). Following previous studies, I view the closed-end fund discount as a proxy for investor misvaluation at the individual fund level. When a closed-end fund suffers from investor misvaluation in the stock market, closed-end fund M & As can be served to investors to signal a rosy prospect for the closed-end fund, or a synergy effect. Using comprehensive data of closed-end fund M & As from 1994 through 2009, I find that (1) both acquirer and target funds experience deep fund discounts over pre-announcement periods and (2) acquirer funds are less likely to be undervalued than target funds, and target funds are more deeply undervalued than acquirer funds when M & As occur. After M & A announcements, fund discounts shrink for targets, but go slightly deeper for acquirers. In the long run, fund discounts of the combined funds shrink even for acquirers, and the misvaluation on acquirer and target closed-end funds is corrected. Post-merger objective-adjusted performance initially improves for both acquirer and target funds because of the synergies perceived by investors, but generally worsens on average in the third year following the M & As. In the second essay, "Herding among individual investors in the Korean stock market", I investigate whether herding among local individual investors exists in the Korean stock market. I examine the hypothesis of whether a potential investor's decision, such as picking a particular stock within a given period, correlates with the decisions of neighbors living in the same area. Using a unique dataset on individual online and offline trading obtained from a brokerage firm in Korea, I analyze the buying and selling transactions of 10,000 individual accounts from February 1999 to December 2005. By employing the herding measure proposed by Lakonishok, Shleifer, and Vishny (1992), I report that individual investors herd on a given stock-month and stock-day. Offline investors in the same local area exhibit stronger herding compared to online investors. Using OLS regressions, I find that own-area effects, or correlated trades by individual investors who are geographically close, are stronger compared to other-area effects in both contemporaneous and lagged coefficients. Investors who are male, wealthy, and non-religious tend to invest more in the stock market compared to investors who are female and Protestant.
Book Synopsis Behavioral Finance by : H. Kent Baker
Download or read book Behavioral Finance written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2010-10-05 with total page 773 pages. Available in PDF, EPUB and Kindle. Book excerpt: A definitive guide to the growing field of behavioral finance This reliable resource provides a comprehensive view of behavioral finance and its psychological foundations, as well as its applications to finance. Comprising contributed chapters written by distinguished authors from some of the most influential firms and universities in the world, Behavioral Finance provides a synthesis of the most essential elements of this discipline, including psychological concepts and behavioral biases, the behavioral aspects of asset pricing, asset allocation, and market prices, as well as investor behavior, corporate managerial behavior, and social influences. Uses a structured approach to put behavioral finance in perspective Relies on recent research findings to provide guidance through the maze of theories and concepts Discusses the impact of sub-optimal financial decisions on the efficiency of capital markets, personal wealth, and the performance of corporations Behavioral finance has quickly become part of mainstream finance. If you need to gain a better understanding of this topic, look no further than this book.
Book Synopsis Essays on Market Microstructure, Behavioral Finance, and Asset Management by :
Download or read book Essays on Market Microstructure, Behavioral Finance, and Asset Management written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Behavioral Finance and Its Application to the Hong Kong Stock Markets by : 付思
Download or read book Essays on Behavioral Finance and Its Application to the Hong Kong Stock Markets written by 付思 and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Behavioral Finance by : Michael Young
Download or read book Three Essays in Behavioral Finance written by Michael Young and published by . This book was released on 2018 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades, there has been a significant increase in research related to behavioral finance. As Barberis and Thaler (2002) point out, there are two main aspect of behavioral finance: limits to arbitrage and the effects of psychology. My dissertation will focus on the second aspect, the effects of psychology on individual investor behavior. The first essay examines an important question in this behavioral finance literature: changes in aggregate risk aversion. I use changes in the level of terrorism in the United States as a shock to the aggregate mood of American investors, and examine changes in flows to mutual funds as a proxy for investor risk preferences. After examining investors vulnerable to changes in mood after attacks, and ruling out any possible effect due to changes in expect risk, and changes to expected returns, the first essay concludes that mood driven risk aversion is the likely cause of the change in behavior. In the second essay, we use the insights gained from Essay 1 regarding the change in behavior of U.S. investors following an increase in terrorist attacks. Using household level of equity market participation and individual trading data the second essay examines the array of decisions investors make. The second essay finds that households participate less in equity markets, trade less, but purchase more local stocks in response to terrorist attacks. Additionally, this change in behavior is especially apparent in households where the designated head is a male. Finally, in the third essay we turn away from terrorism, and examine the effects that local NFL team performance on equity market participation. Examining the most popular spectator sport in the U.S. the third essay shows that poor performance by local NFL teams correlates with fewer households in that state owning equity. While previous studies argue that sentiment is the driver of sports related behavior, the third essay find that gambling losses may also play a role in the drop in equity market participation following seasons with a low number of wins. Taken together, the dissertation demonstrates the importance of examining external shocks and the effect they have on the behavior of investors. From terrorism to something as seemingly benign as the NFL, the dissertation adds to the behavior finance literature by identifying new shocks that effect the investing behavior of individuals.
Book Synopsis Essays in Behavioral Finance by : Karen Vanessa Selody
Download or read book Essays in Behavioral Finance written by Karen Vanessa Selody and published by . This book was released on 2008 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Behavioral Finance by : Hedi Benamar
Download or read book Essays in Behavioral Finance written by Hedi Benamar and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is made of three distinct chapters. In the first chapter, I test whether the display format of financial information matters for the individual investor. I find that a more efficient information display allows investors to increase returns on their limit orders, because it becomes easier for them to mitigate the risk of adverse selection when trading with those orders. My findings suggest that retail investors have bounded rationality. In the second chapter I test whether liquidity provision to the market can be a profitable strategy, after fees, for active retail investors. I find that only individuals ranked in the top decile of performance can persistently beat the market using highly contrarian limit order strategies. Limits-to-arbitrage seem to explain why these top retail investors exploit trading opportunities before other more sophisticated arbitrageurs. In the third chapter, I study the retail trading strategies around stock earnings announcements. I find that round-trips started one day before an announcement are more profitable and much shorter in duration than those started during the non-announcement period. Retails reverse their winning trades on the event date, which can slow down the adjustment of prices to new information.
Book Synopsis From Capital Market Efficiency to Behavioral Finance by : Markus Bruetsch
Download or read book From Capital Market Efficiency to Behavioral Finance written by Markus Bruetsch and published by GRIN Verlag. This book was released on 2009 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2002 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,9 (B+), Oxford Brookes University (Business School), course: International Finance & Investment, 24 entries in the bibliography, language: English, abstract: Ever since in the history of stock markets, financial theorists try to understand how investors take decisions under uncertainty in order to value stocks precisely and predict their future returns. Their wish to develop a consistent model gave raise for various theoretical approaches and empirical examinations. This work tries to give a short overview on the traditional theory of asset pricing and discusses the need for a paradigm change due to the recent development in the US and UK stock markets.
Book Synopsis Rumors in Financial Markets by : Mark Schindler
Download or read book Rumors in Financial Markets written by Mark Schindler and published by John Wiley & Sons. This book was released on 2007-04-04 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: On the trading floor, all action is based on news, therefore rumors in financial markets are an everyday phenomenon. Rumors are the oldest mass medium in the world and their nature is still difficult to grasp. Scientifically, not much is known about rumors, especially in the financial markets, where their consequences can have real money consequences. Rumors in Financial Markets provides a fresh insight to the topic, combining the theory of Behavioral Finance with that of Experimental Finance--a new and innovative scientific method which observes real decision makers in a controlled, clearly structured environment. Using the results from surveys and experiments, the author argues that rumors in the context of financial markets are built on three cornerstones: Finance, Psychology and Sociology. The book provides insights into how rumors evolve, spread and are traded on and provides explanations as to why volatility rockets, strong price movements, herding behavior for example, occur for apparently no good reason.
Book Synopsis Essays on Collective Investor's Behavior by : Konstantinos Gavriilidis
Download or read book Essays on Collective Investor's Behavior written by Konstantinos Gavriilidis and published by . This book was released on 2013 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Behavioral Aspects in Financial Markets by : Hsiang Yin
Download or read book Three Essays on the Behavioral Aspects in Financial Markets written by Hsiang Yin and published by . This book was released on 2003 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays on Financial Market Behavior by : Dazhi Zheng
Download or read book Two Essays on Financial Market Behavior written by Dazhi Zheng and published by . This book was released on 2010 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Behavioural Finance by : Singh Shuchita & Bahi Shilpa
Download or read book Behavioural Finance written by Singh Shuchita & Bahi Shilpa and published by Vikas Publishing House. This book was released on with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theories and concepts of behavioural finance are not widely studied. In many countries, the acceptance level of behavioural theories is quite low. However, the increasing instances of various anomalies of financial markets have forced many researchers to look closer to this modern field of finance. Behavioural Finance seeks to bring together all the concepts and theories developed by renowned international and national researchers and practitioners in financial markets. An in-depth study has been made to explain the current economic downturn and the role of behavioural finance in it. KEY FEATURES • Interviews: Latest industry views by various asset-class experts • Facts: Important factual information in boxes titled 'Do You Know?' • Abbreviations: Important and relevant abbreviated terms • Model Test Papers: For practice • Summary: Given as 'Key Learning Points' for revision
Book Synopsis Financial Behavior by : H. Kent Baker
Download or read book Financial Behavior written by H. Kent Baker and published by Oxford University Press. This book was released on 2017-05-02 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Behavior: Players, Services, Products, and Markets provides a synthesis of the theoretical and empirical literature on the financial behavior of major stakeholders, financial services, investment products, and financial markets. The book offers a different way of looking at financial and emotional well-being and processing beliefs, emotions, and behaviors related to money. The book provides important insights about cognitive and emotional biases that influence various financial decision-makers, services, products, and markets. With diverse concepts and topics, the book brings together noted scholars and practitioners so readers can gain an in-depth understanding about this topic from experts from around the world. In today's financial setting, the discipline of behavioral finance is an ever-changing area that continues to evolve at a rapid pace. This book takes readers through the core topics and issues as well as the latest trends, cutting-edge research developments, and real-world situations. Additionally, discussion of research on various cognitive and emotional issues is covered throughout the book. Thus, this volume covers a breadth of content from theoretical to practical, while attempting to offer a useful balance of detailed and user-friendly coverage. Those interested in a broad survey will benefit as will those searching for more in-depth presentations of specific areas within this field of study. As the seventh book in the Financial Markets and Investment Series, Financial Behavior: Players, Services, Products, and Markets offers a fresh looks at the fascinating area of financial behavior.
