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Della, Vedova Joshua. "Investor Behavior and Asset Pricing Anomalies." Thesis, The University of Sydney, 2019. https://hdl.handle.net/2123/21527.
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This dissertation investigates the behavior of investor classes and their effect on returns, liquidity, and informational efficiency around momentum-related asset pricing anomalies. Chapter 1 explores the role of household and institutional investor net buying in amplifying and suppressing the returns to momentum-related anomalies. Using trade level data from the NASDAQ OMXH (Finland), trades made by households and institutional investors are identified. Using this data, we show that households slow the integration of positive information into stock prices, resulting in an increase in long run non-mean reverting momentum. Winner stocks heavily purchased by households in the momentum formation period subsequently outperform winner stocks heavily purchased by institutions during the formation period. The enhanced momentum re-turns appear to be driven by the tendency of households to insufficiently incorporate news into prices. On the other hand, institutional buying ap-pears to drive prices closer to their fundamental value. Chapter 2 investigates the cause of volume spikes and post-event returns observed at the 52 week high (George and Hwang, 2004; Huddart et al., 2009). We argue that these effects are driven by the anchoring of individual investors to the 52 week high price, which drives disposition effect related sales. Our findings indicate that households submit uninformed limit orders to sell at and around the 52 week high price. This effect is magnified with stock- and market-level volatility and for those stocks where the 52 week high has not been recently breached; in both of these cases, anchoring is likely to be heightened. This anchoring behavior provides liquidity, which institutional investors appear to capitalize upon. Chapter 3 explores the effect of individual investor anchoring at the 52-week high on stock liquidity and informational efficiency. Using intra-day trade and quote data, we find that liquidity increases as the 52 week high approaches, peaking on the 52 week high day. Uninformed liquidity provision, as measured by a reduction in bid-ask spreads and increased depth in the limit order book, weakens informational efficiency/price impact for stocks at the 52 week high. The reduction in price impact cements the idea that momentum and 52 week high returns are driven by the dampening of price discovery by households in winner stocks (Hong and Stein, 1999).
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Kyröläinen, P. (Petri). "Essays on investor behavior and trading activity." Doctoral thesis, University of Oulu, 2007. http://urn.fi/urn:isbn:9789514284366.
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Abstract
This thesis investigates a set of equity market phenomena associated with investors' trading activity, using a comprehensive Finnish Central Securities Depository (FCSD) database that records practically all trades by Finnish investors. This database enables us to classify a large number of heterogeneous investors using both economic and institutional characteristics.
The first essay classifies investors by trading activity. It analyzes trading styles of active and passive investors during the boom in technology stocks 1997–2000. We find that the herding tendency of active investors grew monotonically, year by year. Particularly large active investors used momentum and growth strategies. Moreover, buy pressures of active investors were positively related to contemporaneous daily returns. Passive investors, on the other hand, herd very strongly and their trading exhibited a contrarian style throughout the sample period.
The second essay focuses on the relation between day trading of individual investors and intraday stock price volatility. I find a strong positive relation between the individual investors' day trades and volatility for actively day traded stocks. This finding suggests that day trading tends to increase volatility and/or day traders tend to become more active on the days of high volatility.
The third essay tests the theoretical proposition of Amihud and Mendelson (1986) that investors hold assets with higher bid-ask spreads for longer periods. We measure holding periods of individual investors directly and find that they are positively related to spreads. The models control for a variety of other stock characteristics (e.g. value vs. growth orientation) and investors' attributes (e.g. gender) affecting holding periods.
The fourth essay studies how both individual and institutional investors with different levels of capital gains and losses react to earnings announcements. I find that both sign and magnitude of capital gains affect individual investors' abnormal trading volumes. Individual investors are less prone to sell when they are carrying loses rather than gains. Furthermore, they react less to earnings announcements when capital gains or losses are large (over 20%). Taken together these findings provide support for prospect theory. Institutional investors appear to be less affected by psychological factors underlying prospect theory.
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Conlin, A. (Andrew). "Essays on personality traits and investor behavior." Doctoral thesis, Oulun yliopisto, 2017. http://urn.fi/urn:isbn:9789526216232.
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Abstract This dissertation contributes to the understanding of investor behavior by using personality traits to help explain investor decision-making. The work is novel, as personality traits have not been used much in finance research. The data used in this dissertation is also new to the field, consisting of observations on personality traits and socioeconomic variables combined with official records of investors’ stockholdings. The first essay provides evidence that personality traits significantly affect the stock market participation decision. The essay shows that subscales of traits (i.e., lower-level traits or facets) can provide a better model of behavior, with some subscales of a single higher-level trait having opposite effects on behavior. The novelty seeking subscales exploratory excitability and extravagance have positive and negative effects, respectively, and the reward dependence subscales dependence and sentimentality have positive and negative effects, respectively. The magnitudes of the effects are large, with marginal effects on the probability of being a stock market participant of up to four percentage points. The second essay explores the relationship between personality traits and risk aversion. We estimate risk aversion from equity holdings and from survey measures. The traits display a distinctive pattern of correlations with the estimates of risk aversion. Some traits are significantly related to observed portfolio characteristics such as portfolio volatility, number of stocks held, and trading frequency. The pattern of the traits’ relationships with the various measures of risk aversion indicates that personality traits should not be considered as merely drivers of risk aversion but as preference parameters distinct from risk aversion. The third essay shows that personality traits are related to an investor’s preferences for value versus growth stocks and for small capitalization stocks versus large capitalization stocks. We find more extravagant individuals favor large capitalization growth stocks; more impulsive people favor small capitalization growth stocks; more sentimental investors prefer small capitalization value stocks; and more social investors prefer small capitalization stocks with a tilt towards valueTiivistelmä Tämä tutkimus auttaa ymmärtämään sijoituskäyttäytymistä selittämällä sijoittajien päätöksentekoa heidän luonteenpiirteillään. Tutkimustuloksilla on uutuusarvoa, sillä luonteenpiirteiden merkitystä ei ole juurikaan tutkittu rahoitustutkimuksessa. Tutkimusaineisto on sekin luonteeltaan tavanomaisesta poikkeava, koostuen yksityishenkilöiden luonteenpiirteitä ja sosioekonomista asemaa kuvaavista muuttujista sekä heidän osakeomistustaan koskevista virallisista rekisteritiedoista. Tutkimuksen ensimmäinen essee osoittaa, että luonteenpiirteillä on merkittävä vaikutus yksityishenkilön päätökseen toimia osakemarkkinoilla. Tutkimustulosten mukaan osallistumispäätöstä kyetään ennustamaan paremmin käyttämällä luonteenpiirteiden pääluokkia mittaavien muuttujien sijasta luonteenpiirteiden alaluokkia mittaavia muuttujia. Tämä selittyy sillä, että alaluokkia mittaavilla muuttujilla on eräissä tapauksissa vastakkaismerkkisiä, pääluokkaa mittaavassa muuttujassa toisensa peittäviä, yhteyksiä osallistumispäätökseen. Tämä voidaan havaita muun muassa pääluokkaan ”elämyshakuisuus” kuuluvien ”kokeilunhalun” (+) ja ”tuhlaavaisuuden” (-) kohdalla, samoin kuin pääluokkaan ”palkkioriippuvuus” kuuvilla ”riippuvuudella” (+) ja ”sentimentaalisuudella” (-). Kaiken kaikkiaan luonteenpirteitä mittaavien muuttujien vaikutuksen suurusluokka on korkea, vastaten yksittäisen muuttujan kohdalla jopa neljän prosentin marginaalivaikutusta osakemarkkinoille osallistumisen todennäköisyyteen. Toinen essee tarkastelee luonteenpiirteiden ja riskinkarttamisen asteen välistä yhteyttä. Tutkimuksessa mitataan yksityishenkilön riskinkarttamisen astetta toisaalta hänen osakeomistuksensa rakenteen perusteella ja toisaalta kyselytutkimuksen avulla. Sijoittajien luonteenpiirteiden ja muodostettujen riskinkarttamisen astetta mittaavien muuttujien väliset korrelaatiot muodostavat selkeän rakenteen. Eräät luonteenpiirteet ovat merkitsevässä riippuvuussuhteessa muun muassa sijoittajan osakesalkun volatiliteettiin, salkkuun sisällytettyjen osakesarjojen määrään ja sijoittajan kaupankäyntiaktiivisuuteen. Luonteenpiirteitä kuvaavien muuttujien ja riskinkarttamisastetta kuvaavien muuttujien välisen yhteyden perusteella luonteenpiirteitä tulisi tarkastella enneminkin erillisinä sijoittajien preferenssejä kuvaavina muuttujina kuin riskinkarttamisasteen taustalla olevina perustekijöinä. Kolmas essee osoittaa, että luonteenpiirteet ovat yhteydessä siihen, suosiiko sijoittaja arvo- vs. kasvuosakkeita ja/tai alhaisen markkina-arvon vs. korkean markkina-arvon yhtiöiden osakkeita. Tutkimustulokset osoittavat, että ”tuhlaavammat” sijoittajat suosivat korkean markkina-arvon omaavia kasvuosakkeita, kun taas ”impulsiivisemmat” sijoittajat suosivat alhaisen markkina-arvon omaavia kasvuosakkeita. Vastaavasti ”sentimentaalisemmat” sijoittajat suosivat ylipäätään alhaisen markkina-arvon omaavia arvo-osakkeita, ”sosiaalisten” sijoittajien suosiessa heidänkin alhaista markkina-arvoa, suunnaten kiinnostustaan samalla arvo-osakkeisiin
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Caffrey, Andrew John. "Essays on investor and mutual fund behavior." Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2006. http://wwwlib.umi.com/cr/ucsd/fullcit?p3225996.
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Thesis (Ph. D.)--University of California, San Diego, 2006.Title from first page of PDF file (viewed October 10, 2006). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 174-178).
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Ranish, Benjamin Michael. "Essays on Stock Investing and Investor Behavior." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10848.
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Chapter one shows that US households with high unconditional and cyclical labor income risk are more leveraged and allocate a greater share of their financial assets to stocks. I use self-reported risk preferences to show that rational sorting of risk tolerant workers into risky employment is responsible for this otherwise puzzling result. With risk preferences accounted for, I find evidence that households with greater permanent income variance reduce leverage and stock allocations to an extent consistent with theory. However, household portfolios and employment selection do not respond significantly to any of the other three forms of labor income risk I measure: disaster risk, permanent income cyclicality, and permanent income variance cyclicality. Chapter two reports evidence that individual investors in Indian equities hold better performing portfolios as they become more experienced in the equity market. Experienced investors tilt their portfolios profitably towards value stocks and stocks with low turnover, but these tilts do not fully explain their performance. Experienced investors also tend to have lower turnover and disposition bias. These behaviors, as well as underdiversification, diminish when investors experience poor returns resulting from them, consistent with models of reinforcement learning. Furthermore, Indian stocks held by experienced, well diversified, low-turnover and low-disposition-bias investors deliver higher average returns even controlling for a standard set of stock-level characteristics. Chapter three shows that news reflected by industry stock returns is only gradually incorporated into stock prices in other countries. Information links between cross-border portfolios play a significant role in explaining variation in the speed of this incorporation; responses to industry news are rapid across borders where portfolios share more crosslistings, equity analyst coverage, and a greater common equity investor base. The drift in returns following cross-border industry news has halved in the past 25 years. About half of this change relates to a growth in information links and reductions in expropriations risks facing foreign investors. A simple long-short trading strategy designed to exploit gradual diffusion of industry news across borders appears profitable, but is unlikely to yield returns as high as the 8 to 9 percent annual rate the strategy has returned historically.Economics
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Arild, Elinor, and Ann Iren Haave. "Investor Behavior in the Norwegian Equity Market." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2014. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-26158.
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We examine investor behavior in the Norwegian equity market by studying two behavioral finance phenomena: The Disposition Effect and Herd behavior. Both utilize market data from Oslo Stock Exchange. This thesis will contribute to the existing literature on investor behavior by including evidence from Norway, characterized as a developed market. In the disposition effect paper, the methodology employed on the data examines the relationship between volume at a given point in time, and volume that took place in the past at different stock price levels. In the second paper focusing on herd behavior, a model that analyses the relationship between cross-sectional absolute deviations of asset returns and the corresponding market returns is used for the main part, while the final part combines the volume perspective from the disposition effect study with relevant assumptions for detecting herd behavior. The empirical analysis of the disposition effect presents scattered evidence, suggesting that the disposition effect exists to some extent in Norway. In addition, the evidence for tax-loss-selling, representing the opposite prediction of the disposition effect, is limited. Equivalently, by using the cross-sectional approach for detecting herd behavior we find no evidence of herding in the Norwegian market. In addition, no significant signs of herding are found in the investigation of herding through a volume perspective. Our results for the disposition effect and herd behavior in Norway suggests that they are not powerful factors in determining equity returns and volumes in the market, coinciding with similar empirical research on developed markets. This can partly be explained by sufficient access to diverse information and investment opportunities on individual stocks, and partly by the lack of comprehensive empirical models.
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Liu, Yi-Fang. "Investor behavior and impact on market prices." Thesis, Paris 1, 2014. http://www.theses.fr/2014PA010084.
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Comportement de l'investisseur et impact sur les prix du marchéSir Isaac Newton, who is one of the most influential physicist and mathematician of all time, after he suffered huge losses in tulip market said: “I can calculate the motions of heavenly bodies, but not the madness of people.” Financial markets are full of uncertainties. The movement and volatility in stock prices has been the focus of attention for scholars all the time. Over the last decades, financial markets gain influence both at people’s life and country’s economics as a result of technological advances, financial liberalization, and ongoing international trade. On one hand, participant’s property and investor’s market performance are impacted by price fluctuation. On the other hand, the development of national economic is closely interrelated to the stability of financial markets. In this effect, the understanding of investors’ designing making and how it affect the market price movement is of vital interest to both researchers and economic policy market. Experimental Finance has already become a well-established field, a fact that was recognized by the attribution of the Nobel Prize in Economics to Vernon Smith in 2002 who’s most significant work was concerned with market mechanisms and tests of different auction forms. However so far the major part of experimental work in Finance has considered (including Vernon Smith) human rationality and the ability of markets to find the proper price close to an equilibrium setting. [...]
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Sairafi, Kamran, Karl Selleby, and Thom Ståhl. "Behavioral Finance : The Student Investor." Thesis, Jönköping University, JIBS, Business Administration, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1500.
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Bachelor thesis within Business Administration
Title: Behavioral Finance – The Student Perspective
Authors: Kamran Sairafi, Karl Selleby, Thom Ståhl
Tutor: Urban Österlund
Date: 2008-05-30
Background: History is full of examples on how humans can create investment
bubbles through speculation; from the Dutch tulip mania to the
Dot Com bubble humans have proven to be capable of creating
economical chaos. Classical economical theories hold the assumption
that individuals act rationally regarding decisions of an
economical nature. Since the information on the stock market is
available to everyone who seeks it, the appearance of investment
bubbles should not be possible. Behavioral finance is an academic
branch which seeks to explore these phenomenons through the
psychological factors affecting humans in investment decisions.
Purpose: The purpose of the report is twofold. Firstly it is to examine the
characteristics of investment interested business students enrolled
at Jönköping International Business School. Secondly it looks into
the decision-making process and choices of the population
from the perspective of behavioral finance.
Method: This research holds an abductive approach and is based on qualitative
data. Data collection was done through an Internet-based
questionnaire containing several different questions on the areas
related to the inquiries. In some cases statistical analysis was conducted
to test for significant correlation between key characteristics.
Results: A statistically proven correlation could be discerned between
trading experience and frequency; for each additional year an individual
engaged in trading the frequency increased. Herd behavior
was detected in a majority of the sample. When faced with a
scenario in which their immediate surrounding opposed their own
analysis of a stock, the greater part of the sample would reconsider
their position. Two main sub-groups were detected. The first
was characterized by its high tolerance of risk; the second subgroup
was characterized by its inconsistency in behavior.
Conclusions: This paper found that the behavior of respondents in the chosen
population was best described as “student behavior”; a somehow
irrational behavior explained by the learning process in which
business students exist.
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Lawrence, Stephen Caleb. "Essays in empirical corporate finance." Thesis, Boston College, 2007. http://hdl.handle.net/2345/591.
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Thesis advisor: Edith HotchkissChapter one of this dissertation provides new evidence on the existence of dividend clienteles for institutional investors. We directly examine individual institutions' preferences for dividend paying stocks based on the characteristics of stocks held in their portfolio. Many institutions follow persistent investment styles, maintaining relatively high or low dividend yield portfolios over time. Institutions which hold portfolios of higher yielding stocks are significantly more likely to increase their holdings in response to a dividend increase or sell their stock in response to a decrease. For a subset of institutions, we directly observe the proportion of their portfolio managed on behalf of taxable clients. Consistent with tax-induced dividend clienteles, institutions with more taxable clients are less likely to increase their holdings in response to a dividend increase. Finally, we show that stock price reactions to announcements of dividend increases are related to characteristics of the institutions holding the stock. Our results suggest that tax status, as well as other factors are important in explaining observed clientele behavior. Chapter two explores the determinants of heterogeneity in institutional investor portfolio preferences and the relationship between institutions and the clients they serve. I find that the characteristics of an institution's clients and the characteristics of the institution itself are both important determinants of portfolio preferences and trading behavior. Specifically, I find that institutions traditionally subject to prudent investor laws are more likely to invest in high quality stocks, although, institutions sub-managing money for pension funds are less prudent than pension managers themselves. In addition, I find that institutions with taxable clients are likely to avoid unnecessary dividend taxation and turn over their portfolios less frequently. More generally, institutions exhibit systematic shifts in their exposure to common risk factors that may be explained in part by the levels and changes in client composition. While evidence for a causal link between client shifts and institutional preferences is limited to mutual funds, contemporaneous changes in clients and portfolio characteristics suggest that the dynamics of institutional investment are closely related to the nature of the clients served
Thesis (PhD) — Boston College, 2007
Submitted to: Boston College. Carroll School of Management
Discipline: Finance
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Hoffmann, Arvid Oskar Ivar. "Essays on the social dimensions of investor behavior." [S.l. : Groningen : s.n. ; University Library of Groningen] [Host], 2007. http://irs.ub.rug.nl/ppn/304988855.
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Majure, Britney Anne. "Corrections corporation of America irresponsibility and investor behavior." Thesis, University of New Hampshire, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10161876.
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Prison reformists, lawmakers, human rights activists, lobbyists, investors, government agencies, and other civil and government actors play a large role in the state of the private prison industry’s rate of growth, especially in the past 15-20 years. A 2001 Bureau of Justice Statistics study concluded that big cost savings promised by the private prison industry in the United States “have not materialized.” Corrections Corporation of America’s stock price took its largest plunge in 2000 and never bounced back to its late 90s high. However, despite successful divestment campaigns and legislation against prison privatization after reports of irresponsibility, CCA stock has issued dividends to their investors since 2012, and several analysts currently list CXW (CCA stock) as a recommended buy and hold. Although the United States federal prison population dropped in 2014 for the first time since 1980 (along with private populations), CCA’s stock price remains relatively the same today as the day Attorney General Eric Holder made the announcement. Since the fall of share prices, CCA has converted to a REIT in order to avoid corporate taxes and focused heavily on litigating and lobbying to influence voting decisions on sentencing, regulations, and law enforcement. This lobbying assists in filling prison beds and winning government contracts, with lobbying expenditures over $3.3 million in 2005. With respect to economic, social, and political indicators and by juxtaposing the theories of Adam Smith, Milton Friedman, and Karl Polanyi this study will focus on whether CXW investors can influence the re-embedding of the economy (the subordination of the markets to social relations), with a quantitative focus on the fluctuation of CXW stock prices and their relationship to reports of CCA irresponsibility in the media.
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Ul, Haq Imtiaz. "Investor behaviour in the mutual fund industry." Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/investor-behaviour-in-the-mutual-fund-industry(28b26d3a-fcf8-4010-92ca-49a802449891).html.
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This thesis is an attempt to advance our understanding of investor behaviour in one of the world’s largest markets, i.e. the mutual fund industry. It consists of three essays that answer the following questions: Does investor fund-selection ability explain the impressive growth of the U.K. mutual fund industry? Does the behaviour of U.S. mutual fund investors vary across the business cycle? And, how do investors react to U.S. mutual fund name changes? The first essay explores the role of investor fund-selection ability in explaining the growth of the mutual fund industry given that previous studies find that mutual funds underperform their benchmarks on average. I examine such ability in the context of the remarkable growth experienced by U.K. mutual funds during the decade of 2000-2010. Using three alternative measures of selection ability and two for performance measurement, I find that fund-selection ability is explained away by the momentum factor due to investors naively chasing recent winners. In addition, this essay is the first to examine the impact of fund visibility on selection ability. I find that fund visibility is an important factor in the investment decision-making process, and one that fund managers can potentially manipulate to their advantage. The second essay is motivated by recent findings that benchmark-adjusted returns to the fund industry are positive in periods of economic contractions. Previous literature is silent on investor behaviour in the face of superior average returns. This essay fills the gap in literature by examining investor’s fund-selection ability across the business cycle. I examine U.S. fund data from 1970-2011 and find that while genuine selection ability does not exist in any period, investors do behave differently across the business cycle. Specifically, investors no longer chase recent winners during contractions, despite no change in fund performance consistency. Instead, I find that investors are more concerned about controlling their risk exposure, especially to the market, during periods of economic downturn. The third essay examines investor reactions to U.S. mutual fund name changes, following the adoption of a new SEC ruling in 2001 to curtail misleading names. We uncover striking evidence that funds continue to undertake cosmetic name changes, and that such changes appear to mislead investors. I find that investors react more positively to cosmetic name changes than non-cosmetic ones. This result is not driven by marketing efforts. Instead, further examination reveals that this arises because cosmetic name changes frequently include industry ‘buzzwords’ in the new name, a tactic that is rewarded with higher flows to such funds. I also find that additional name changes by a fund continue to attract significant flows, although the magnitude of the flows decreases over each successive event. This essay provides compelling evidence in favour of investor irrationality and has implications for both practitioners and academics.
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Lehenkari, M. (Mirjam). "Essays on the effects of gains and losses on the trading behavior of individual investors in the Finnish stock market." Doctoral thesis, University of Oulu, 2009. http://urn.fi/urn:isbn:9789514290459.
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Abstract
The behavior of investors is often at odds with the assumptions of traditional finance theory. Research conducted over the past half-century or so abounds with examples in which the central axioms of traditional theory are systematically violated. One of the most well-established behavioral patterns in this context is the disproportionate tendency of investors to sell stocks that have appreciated in value since purchase (‘winners’) rather than stocks that have declined in value (‘losers’); this phenomenon is known as the disposition effect and most commonly attributed to Kahneman and Tversky’s (1979) prospect theory. The overall aim of this doctoral thesis is to investigate the robustness of this phenomenon, its underlying mechanisms, and its potential implications for individual investors.
The four independent but related essays of this thesis were designed to answer the following research questions: (1) Does the disposition effect ‘survive’ bear markets, in which investors may not be able to realize gains even if they wish to do so? (2) Is there any supporting evidence for prospect theory-based explanation of the disposition effect in the form of other observed behavior consistent with the theory? (3) Is prospect theory the most feasible explanation for the disposition effect? (4) What are the implications of the disposition effect from the point of view of individual investors?
Using comprehensive data covering virtually all trades executed in the Finnish stock market during 1995–2003, this thesis demonstrates the following: (1) As robust as the disposition effect appears to be in light of previous studies, the phenomenon is only partially detected in bear markets. (2) The relationship between prospect theoretic preferences and investor behavior is not easily generalizable to other behavioral patterns besides the disposition effect. (3) In fact, even the relationship between prospect theory and the disposition effect is not as strong as is generally believed. Our results instead suggest an explanation based on escalation of commitment, according to which the disposition effect is caused above all by self-justificatory concerns. (4) Finally, although the disposition effect is generally inconsistent with economic rationality, it does not appear to be detrimental to investment performance.
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Jank, Stephan [Verfasser], and Joachim [Akademischer Betreuer] Grammig. "Asset Pricing and Investor Behavior / Stephan Jank ; Betreuer: Joachim Grammig." Tübingen : Universitätsbibliothek Tübingen, 2012. http://d-nb.info/1162279176/34.
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Pietarinen, J. (Juhani). "Overconfidence and investor trading behavior in the Finnish stock market." Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201404241308.
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Empirical studies have analyzed how investors trade and perform in the financial markets. The studies show that rational trading needs do not explain the excessive manner of trading shown by the investors. Theoretical models offer overconfidence as one of the explanations for irrational trading behavior. Overconfidence is a psychological trait, argued to cause the investors to misinterpret useful information, which leads to an increase in trading activity and hurts their performance.
In this study we analyze over 1.5 million Finnish trading records from the beginning of 1995 to the end of 2010. We evaluate the differences in trading behavior between males and females and with investors of diverse ages. We find that men trade securities more frequently and with higher turnover than females. Consistently with our reference studies we find that the level of turnover decreases as the investors age. We also analyze the profitability effects of trading by calculating raw returns and abnormal returns. The abnormal returns are adjusted with a passive benchmark portfolio. Earlier studies show that the more active trading of males reduces their abnormal returns. Our abnormal return ratios do not support this finding. However, we find consistently that the raw returns are higher for females than males. Females also hold portfolios with lower volatility than males. Finally, we find consistently with the models of overconfidence by Odean (1998b) and Gervais and Odean (2001) that the trading skill seems to get better with experience. Older investors receive higher raw returns and trade less, resulting in lower portfolio turnover. The transition in trading behavior may be an outcome of learning.
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Witzky, Marcus. "Three essays on accounting standard setting, corporate governance and investor behavior." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17358.
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Die vorliegende kumulative Doktorarbeit umfasst drei Arbeiten aus dem Bereich der empirischen Rechnungslegungsforschung. Die erste Arbeit untersucht die Rolle persönlicher Eigenschaften von Rechnungslegungsstandardsetzern bei der Entwicklung der Internationalen Rechnungslegungsstandards IFRS. Sie dokumentiert, dass in den IFRS insgesamt ein Rückgang der Bedeutung von Prinzipien gegenüber Regeln sowie ein Anstieg der Bedeutung des beizulegenden Zeitwerts im Zeitablauf zu verzeichnen sind. Zwischen Änderungen von IFRS-Eigenschaften sowie beruflichen und kulturellen Eigenschaften von Mitgliedern des International Accounting Standards Board (IASB) wird ein Zusammenhang festgestellt. Die zweite Arbeit widmet sich Ursachen und Folgen fehlerhafter Finanzberichterstattung im Rahmen des deutschen Systems der Durchsetzung von Rechnungslegungsregeln. Sie findet systematische Unterschiede in der Unternehmensführung von Unternehmen, bei denen fehlerhafte Finanzberichte festgestellt werden, gegenüber einer Kontrollgruppe. Weitere Ergebnisse lassen die Vermutung zu, dass die Aufdeckung fehlerhafter Finanzberichte Verbesserungen in der unternehmensspezifischen Aufsicht über den Rechnungslegungsprozess auslösen könnte. Die dritte Arbeit nutzt umfangreiche Befragungsergebnisse deutscher Privatanleger zur Untersuchung der Ursachen ihres Unternehmensüberwachungsverhaltens. Demnach üben Anleger, die ein geringeres Vertrauen in andere Anspruchsgruppen eines Unternehmens haben, zugleich eine geringere Unternehmensüberwachung aus. Darüber hinaus dokumentiert die Arbeit, dass Vertrauen und Unternehmensüberwachung in einem Zusammenhang mit dem Ausmaß der Teilnahme am Aktienmarkt und dem Bildungshintergrund der Anleger stehen.This cumulative doctoral thesis consists of three papers within the field of empirical financial accounting research. The first paper examines the role of personal characteristics of accounting standard setters in the development of the International Financial Reporting Standards (IFRS). It documents that the full set of IFRS exhibited a decrease in the importance of principles relative to rules and an increase in its fair value orientation over time. Changes in IFRS properties are found to be associated with the professional and cultural background of International Accounting Standards Board (IASB) members. The second paper investigates determinants and consequences of erroneous financial reporting under the German financial reporting enforcement regime. The corporate governance of firms detected with erroneous financial reporting is found to differ systematically from that of control firms. Further results suggest that error detection might trigger improvements in firm-level accounting oversight. The third paper uses large-scale survey evidence from German individual investors to explore the determinants of their monitoring behavior. Investors who are less trusting in their fellow stakeholders are found to engage in less monitoring. Furthermore, trust and monitoring are documented to be associated with the stock market exposure and the educational background of investors.
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Wong, Tze Sun. "Characteristics of Stocks and Individual Investor Herd Behavior: A Causal-Comparative Study." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5814.
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Some individual investors follow institutional investors in trading, a phenomenon called herding, that leads to excess market volatility and mispriced stocks. Individual investors who herded suffered from inferior investment performances and monetary losses, and the impact is broader in an individual investor dominant market such as Taiwan. Behavioral finance is the theoretical base of herd behavior. The purpose of this causal-comparative study was to examine individual investor herd behavior as related to characteristics of stocks in the Taiwan stock market. The research questions addressed what differences in individual investor herd behavior, if any, existed by market capitalization, price-to-book (P/B) ratio, and industry affiliation. The target population was the individual investors who traded in Taiwan Stock Exchange (TWSE) between January and December 2016. Participants were a purposive sampling of the target population with the exclusions of individual investors who traded illiquid stocks or exchange sanctioned stocks only. Data were collected through a subscription of TWSE data. The extent of individual herding estimated with Lakonishok, Shleifer, and Vishny's measure was 0.04. The 3 characteristics of stocks were separately and as a whole related to individual herding. The findings confirmed more serious sell-herding than buy-herding. The result from the logistic regression extended the knowledge of more serious herding in low P/B ratio stock with other variables controlled and different extents of herding by industry affiliation. The findings may improve individual investor financial literacy that may result in the positive social change of the alleviation of both herding and inferior investment performance.
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Patterson, Fernando M. "The Relation of Steroid Hormones and Personality Factors to Financial Performance and Risk-Taking Behavior." FIU Digital Commons, 2014. http://digitalcommons.fiu.edu/etd/1448.
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This doctoral dissertation addresses the biological and psychological components of financial decision-making for individuals. As such, it directly examines intrinsic human traits that are related to financial performance, rather than following the standard approach of inferring said traits from aggregate market data. Specifically, this dissertation examines the relation of personality traits, testosterone levels, and cortisol levels to financial choices and outcome under short-term (trading) and long-term (investing) investment horizons.
Subjects are recruited from advanced courses in finance at Florida International University. During the course of a semester (fourteen weeks) they complete a portfolio formation and rebalancing task, and answer a personality questionnaire. Additionally, subjects complete a series of trading simulations during the early morning of a preset date, and provide saliva samples. The saliva samples are analyzed for levels of testosterone and cortisol at a University lab facility. The relation of personality scores, testosterone levels, and cortisol levels to financial choices and outcomes is analyzed via linear regressions and Student’s t-tests.
The results show that personality factors associated with detrimental life quality, such as paranoia, are related to long-term investment decisions associated with increased portfolio risk and return. Additionally, the levels of testosterone and cortisol play a significant role in initial portfolio formation decisions, but not in subsequent portfolio allocation decisions. As such, the results show that hormone levels contribute to initial long-term investment choices, but personality traits play a much greater role in portfolio maintenance. Alternatively, the results show that testosterone and cortisol levels play a significant role in many aspects of short-term investment, including the decision to buy or to sell, and timing preferences. Overall, the results show that hormone levels and personality traits play significant and distinctive roles in many aspects of financial decision-making. Therefore, this dissertation provides important implications for the practice and the study of finance, including information that could be used to make more rational financial choices, and to develop financial models with more realistic assumptions about investor behavior.
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Rickett, Laura K. "An Analysis of the Effect of Information Activism on Capital Markets: Investor Behavior and Divergent Market Conditions." Kent State University / OhioLINK, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=kent1310356084.
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Westheide, Christian [Verfasser]. "Essays on Empirical Asset Pricing and Investor Behavior / Christian Westheide. Rechts- und Staatswissenschaftliche Fakultät." Bonn : Universitäts- und Landesbibliothek Bonn, 2011. http://d-nb.info/1016153589/34.
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Meyer, Stephan [Verfasser], and C. [Akademischer Betreuer] Weinhardt. "Trading in Structured Products: Investor Behavior and Pricing Policies / Stephan Meyer. Betreuer: C. Weinhardt." Karlsruhe : KIT-Bibliothek, 2014. http://d-nb.info/1046888811/34.
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Odzak, Ajla, and Iqra Sahi. "Can factors such as gender affect my level of risk-taking in financial investments? : A study on risk-tolerance based on selected demographic factors in Sweden." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-44422.
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Background: The traditional neoclassical model of finance has assumed that all individuals act rationally and that they update their beliefs according to the information they have obtained to maximise their utility. This concept has been challenged by behavioural finance which has over the past decades become a new approach to better understand certain behaviours. Behavioural finance is a broad area which can be divided into different areas. One of them is investor behaviour, which will be the focus of this thesis. Research has shown that investors do not act rationally when deciding how much risk to take when considering an investment. Instead, it has been found that there are other factors that influence risk-taking in an investment, for instance gender, income, marital status and age. Purpose: The purpose of this thesis is to better understand if a selected group of demographic factors can affect the risk attitude investors in Sweden have with regard to their investments and to determine how well these factors explain the level of risk. The chosen demographic factors are gender, age, marital status and income. Method: This study is conducted using a deductive approach and employing a quantitative research method. A multinomial logistic regression was performed in the statistical program R. The data used is secondary data collected from financial counselling meetings of 111,265 clients during the period of 2018-01-03 to 2019-04-04. It is gathered from one of Sweden’s largest bank who measures customers’ risk tolerance by using a risk assessment tool that categorises risk tolerance into five levels where one is the lowest and five is the highest. Conclusion: Statistically significant results confirm that that the selected demographic factors have an effect on the risk level an investor takes. Males have higher risk tolerance than women, the older an individual is, the less risk the person wants to take, married people have higher risk tolerance than those that are not, and risk tolerance increases slightly with income.
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Tadesse, Amanuel Fekade. "Does the Format of Internal Control Disclosures Matter? An Experimental Investigation of Nonprofessional Investor Behavior." Scholar Commons, 2015. http://scholarcommons.usf.edu/etd/5780.
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This study investigates whether the current lack of structure of internal control weakness disclosures (a narrative about the reliability of the financial reporting system) leads nonprofessional investors to make differential investment decisions. Using the non-accelerated filer (smaller public company) setting, where nonprofessional investors are likely to consume unaudited internal control reports in their investing judgments and decisions, I examine two facets of internal control disclosure formats: presentation salience and disaggregation of material weaknesses. A 2 x 2 between-participants behavioral experiment was conducted with internal control presentation salience (bulleted vs. in-text) and disaggregation level (a single material weakness vs. a combination of multiple control deficiencies that is a material weakness). I find that nonprofessional investors reward companies that disclose internal control weaknesses more saliently. The results also indicate that disaggregation interacts with salience in that it increases the effect of salience on investing judgments such that salient (stealth) disclosure of a combination of control deficiencies is viewed more positively (negatively) than salient (stealth) disclosure of a material weakness. These findings are contrary to Rennekamp (2012) who finds that processing fluency in bad news leads to more negative investment judgements. Additional analyses indicated that the results related to management trust and credibility are consistent with prior literature. The findings contribute to academia and practice by shedding light on the importance that needs to be placed on the presentation format of internal control disclosures.
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Reancharoen, Tipprapa. "Trading strategy and behavior of various investor types between spot and futures market : evidence from Thailand." Thesis, Middlesex University, 2016. http://eprints.mdx.ac.uk/18772/.
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In rational, efficient market, returns on derivative and underlying securities should be perfectly contemporaneously correlated. Due to market imperfections, one of these two markets may reflect information faster. The thesis analyzes the lead-lag relationship between the spot market and futures market, SET50 index and its futures contract, for the Thailand market. Various econometric tools like unit root tests and the Error-Correction Model (ECM) were employed in the study. The Augmented Dickey Fuller tests employed in the study proved that both the selected markets were stationary series after first difference and the Granger Causality test proved unidirectional relationships between these markets. On the daily observations basis, the results show that there is a price discovery for the futures index. In other words, the lagged of changes in spot price has a leading effect to the changes in the futures price. Alternatively, the TDEX is used instead of the SET50 index to see any changes in the lead-lag relationship. The result proves that there is a leading effect between TDEX and SET50 index futures. The ECM, which utilizes the traditional linear model, is considered to be the best forecasting model. The trading strategy based on this model can outperform the market even after allowing for transaction costs. Moreover, this thesis studies the trading patterns of each investor type, which are foreign investors, institutional investors, and individual investors by using detailed records of trading activity, trading volume, and trading value by employing a unique data set of daily aggregated purchases and sales on the Stock Exchange of Thailand (SET) and the Thailand’s derivative market. The results show that the buying and selling investment flows of these three investor groups are ranked as follows; the majority trader in the Stock Exchange of Thailand (SET) is the individual investor, followed by the foreign investor, and the institutional investor. The corresponding ranking in the Thailand’s Derivative Market is the individual investor, then the institutional investor, and the foreign investor is the minority trader. The results provide empirical evidence that foreign investors were net buyers whereas institutional investors and individual investors were net sellers of equities in both the spot and the futures market of Thailand. For the feedback-trading pattern, the results show that in both the spot and the futures market; foreign investors are positive feedback or momentum traders. While, individual investors tend to be contrarian investors, or negative feedback traders. Institutional investors’ trading pattern in both spot and futures market is rather mixed results. Furthermore, the results show that foreign investors’ herding is positively correlated with institutional traders in spot market, while negatively correlated with institutional investors in futures market. Foreign investors’ herding is negatively correlated with individual investors in both spot and futures market. Institutional investors’ trade flow is positively correlated with individual investor in futures market whereas it is negatively correlated with individual investors in spot market. In addition, this thesis studies trading performance of various investor types, which are foreign investors, institutional investors, and individual investors on the Stock Exchange of Thailand (SET) and Thailand’s derivative market. The results reveal that different investor types can have different performance. Foreign investors who are more likely to have information advantage over other type make minor overall net trading gains in the futures market, their gains arise from the good market timing but likely to incur large losses in the spot market from negative price spreads between sell and buy prices. Individual investors in the spot market experience positive return, they have success in performance from price spread whereas they experience poor market timing return. Moreover, the results exhibit that individuals make losses on their trade in the futures market. Specifically, the results show that institutional investors make overall net trading gains from positive price spreads between sell and buy prices in both spot and futures market. The different performance might be due to mixed effect of the trading gains and losses arise from trades between investor types that have different backgrounds.
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Shahan, Amber Nicole. "Investing For Your Future: Application of the Transtheoretical Model of Change to Investing Behavior." Thesis, Virginia Tech, 2005. http://hdl.handle.net/10919/33930.
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The Transtheoretical Model of Behavior Change was used to assess change in investing behavior among Investing For Your Future home-study course participants. The goal of Investing For Your Future is to help people improve their personal finance behaviors leading to financial security in later life. On average, after course participation fourteen of the fifteen investing behaviors were identified in the desired stages of established behavior. The study was based on Prochaska's Transtheoretical Model of Change (1979), including five different stages of behavior. This study investigated at what stage of change course participants are in for certain investing behaviors since completing Investing For Your Future (O'Neill et al., 2000). The stages of behavior are: precontemplation, contemplation, preparation, action and maintenance. The desired stage was either the action or maintenance stage, which indicated that the investing behavior has been established. A person in the precontemplation stage is not thinking of future needs, not taking any actions to prepare for investing. Someone in the contemplation stage has set investing goals, but is not otherwise preparing to do the investing behavior. Someone in the preparation stage has both set goals and actively sought after information about the investing behavior. An individual in the action stage has not only done the preparatory actions, but has also engaged in the investing behavior. Finally, an individual in the maintenance stage has met the investing behavior action over an ongoing period of time. The quantitative survey design of this study was adapted from Dillman's Mail and Internet Surveys (2002). A survey questionnaire was created online using multiple choice and open-ended questions and was sent to the sample as a link in an email. The population consisted of Investing For Your Future (O'Neill et al., 2000) online course participants from April 1, 2001 through April 11, 2005. The initial sample consisted of 1,123, however at least 415 members of the sample never received the survey, reducing the sample to 708 people. Upon sending out the email, many error reports were received stating that the recipient did not receive the email. Response rates for the survey were very low, and can be attributed to multiple problems.Master of Science
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Baugh, Brian Kenneth. "Three Essays on Household Finance." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1493568459472462.
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Morrison, John Harris III. "An analysis of investor types in real estate capital markets : their behavior and performance from 2000 to 2006." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/37442.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2006.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (p. 58-59).
This thesis explores the timing and returns of eight types of real estate investors between 2000 and 2006. The investor types considered are 1) private local, 2) private national, 3) institutional, 4) public REIT (Real Estate Investment Trust), 5) foreign, 6) user/other, 7) syndicator and 8) condo converter. Observing over 41,000 transactions and using the repeat sale method to calculate investor capital appreciation returns, this thesis finds that private local investors are the largest investor type-both in absolute number and transaction volume-suggesting that real estate is still a very local business. In addition, this thesis observes that REIT, foreign and private investors each exhibited leading behavior over other investors, especially institutions, in capital flows: they each tended to start trends in buying and selling at various times from 2000 to 2006. Moreover, it finds that REIT, foreign and private investors took turns in earning the highest cumulative capital appreciation returns from 2000 to 2006, and that private local investors tended to lead all other investors, especially institutional, in return trends. These findings are significant as they increase the understanding of investor behavior and performance in capital markets and may ultimately help increase market information and efficiency.
by John Harris Morrison, III.
S.M.
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Witzky, Marcus [Verfasser], Joachim [Akademischer Betreuer] Gassen, and Ralf [Akademischer Betreuer] Maiterth. "Three essays on accounting standard setting, corporate governance and investor behavior / Marcus Witzky. Gutachter: Joachim Gassen ; Ralf Maiterth." Berlin : Humboldt Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2015. http://d-nb.info/1079585362/34.
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Robertsson, Göran. "International portfolio choice and trading behavior." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2000. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-624.
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This thesis consists of four essays on topics relating to the fields of international portfolio choice, trading behavior, and asset pricing. "Direct Foreign Ownership, Institutional Investors, and Firm Characteristics" analyzes portfolios of Swedish stocks held by foreign investors. The analysis reveals that foreigners tilt their portfolios to firms with certain attributes. It is also shown that the seemingly specific preferences of foreign investors are driven by the fact that they are large institutional investors, and are not linked to their national origin. "Foreigners' Trades in Risky Assets: An assessment of Investment Behavior and Performance" analyzes foreigners' trading activities. It is shown that foreigners trade more than domestic investors. Further, they trade as non-informed trend followers in that they buy stocks that have recently done well. Nonetheless, after the liberalization of Sweden's stock market, foreigners' purchases have led to a permanent price increase and to a reduction in the cost of equity capital. "Exchange Rate Exposure, Risk Premia, and Firm Characteristics" shows that about fifty percent of Swedish listed firms are affected by exchange rate fluctuations. The sign and magnitude of exchange rate exposure are characterized across industries as well as firm attributes. The empirical analysis suggests that exposure can be eliminated through diversification, and that exchange rate risk is not priced. "Conditioning Information in Tactical Asset Allocation" examines whether investors can exploit the predictability in time-varying expected returns on Swedish stocks and bonds. It is shown that dynamic allocation strategies, based on conditioning information, significantly outperform several benchmark portfolios. This superior performance is not only statistically significant, it is economically large.Diss. Stockholm : Handelshögsk.
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Chang, Shu Hui, and 張淑慧. "Investor Sentiment and Analyst Behavior." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/10634975533714160676.
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碩士國立政治大學
會計研究所
98
This study investigates the relation between investor sentiment and analysts' coverage decisions. Secondly, we also examine whether analysts who pay attention to investor sentiment issue longer-horizon earnings forecasts and more favorable stock recommendations during high-sentiment periods. We use the Consumer Confidence Index (CCI) survey from the National Central University to measure sentiment. We find that analysts tend to issue longer-horizon earnings forecasts and favorable stock recommendations when investor sentiment is more optimistic. Moreover, analysts tend to revise upward their stock recommendations during investor sentiment raise period. Taken together, these findings suggest that analysts are affected by investor sentiment even though they are more rational investors.
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Liu, Ting-Ya, and 劉婷雅. "Investor sentiment and trading behavior." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/65fesz.
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碩士元智大學
財務金融暨會計碩士班(財務金融學程)
107
In recent years, due to the rise of behavioral finance, investor sentiment has become a topic of extensive discussion in the field of finance. This paper analyzes the relationship between high-sentiment stock trading volume and lottery jackpot. Following the six investor sentiment indicators defined by Baker and Wurgler (2006), this study collects the data of each trading base and the date of Taiwan listed stocks from 2015 to 2016 as a sample of research. This article aims to explore in broker trading base has a lottery jackpot, will the investor order more high-sentiment stocks at the position because of the investor sentiment, so understand the influence of factors on investors. In addition to analyzing the broker trading base, further explore the relationship between the total trading volume of high sentiment stocks and the trading volume of high sentiment stocks in the lottery jackpot area. The results of the study show that both the broker trading base and the stock market, the results are all significant, indicating that investors in the lottery jackpot area are willing to order more high-sentiment stocks. Therefore, it is believed that lottery is indeed a meaningful extrinsic factor, thus indirectly affecting the trading volume of the stock market.
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Chen, Sheng-Lung, and 陳昇龍. "Investor Clientele and Stock Return Behavior." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/99968084616713265616.
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碩士元智大學
財務金融學系
96
This research examines in relation to institutional ownership the hypothesis that idiosyncratic risk measures the informativeness of a stock. Institutional holdings enhance the pricing of firm-specific information and therefore are hypothesized to increase a stock''s idiosyncratic risk. The empirical results however are mixed in that stocks exhibiting higher idiosyncratic risk tend to be those with lower institutional holdings while with higher institutional investors'' trading intensities. This study alternatively tests the hypothesis that high idiosyncratic risk implicates high firm-specific uncertainties. Stocks with greater dispersion in institutional investors'' trading indicate greater firm-specific uncertainties and are thus hypothesized to exhibit higher idiosyncratic risk. The empirical evidence is consistent with the hypothesis for idiosyncratic risk measured at its absolute level. In addition, I find that lagged idiosyncratic risk is positively related with stock returns. Investment strategies based on idiosyncratic risk are found to generate an average monthly return of 1.28% using portfolios of small and loser stocks.
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Yu-Mei, Chang, and 張玉玫. "The Repurchasing Behavior of Individual Investor." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/81383507858414599027.
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碩士輔仁大學
金融研究所
93
To know if investors learn from their trading experiences, if they tend to repeat the lucrative invests and to avoid the losing ones, I proceed with a dataset provided by a Taiwanese brokerage house with 53,680 individual investors’ transaction records. The consequence is consisted with that in the USA, the aggregate individual investors tend to repurchase stocks previously sold for a gain. In the regression models we see that the proportion of prior winners repurchased is lager in male, traditional trader and those trade without margin than of losers, moreover, the result of on-line trader is dominated by the frequent trader. Finally, the aged, traders with a longer time associated with the brokerage and the frequent trader are more likely to repurchase prior winners than losers. Furthermore, the investors tent to purchase additional shares of stocks that they still own when the stocks have lost value, However, this counterfactual effect is not applicable to the stocks investors sold before. Moreover, investors with different customer attributes exhibit the tendency to repurchase the prior winners, and there are different trading patterns in different degree of customer attribute groups. For stocks with a bigger size, a higher growing ability and a better prior one year return, they were more likely to be repurchased and no matter the investors trade in bigger or smaller group of the stock attributes, they tend to repurchase prior winner stocks.
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VASUDHA. "INVESTOR’S BEHAVIOR ANALYSIS." Thesis, 2016. http://dspace.dtu.ac.in:8080/jspui/handle/repository/17229.
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Expected utility theory views the individual investment decision as a tradeoff between immediate consumption and deferred consumption. But individuals do not always prefer according to the classical theory of economics. Recent studies on individual investor behavior have shown that they do not act in a rational manner, rather several factors influences their investment decisions in stock market. The present study considers this theory of irrationality of individual investors and investigates into their behavior relating to investment decisions. We examine whether some psychological and contextual factors affect individual investor behavior. Extrapolating from previous literature on economics, finance and psychology, we surveyed individual investors to find what and to what extent affects their investment behaviour. Our analysis is based on questionnaire regarding the behavior of investor under different circumstances in Indian Stock Market. We have identified four different factors which have various biases associated with them as Heuristics, Prospect, Market and Herding variables. The findings can be useful in profiling individual investors and designing appropriate investment strategies according to their personal characteristics, thereby enabling them optimum return on their investments. The findings will be useful for investors to understand common behaviors, from which justify their reactions for better returns and also helpful to the financial planners to device appropriate asset allocation strategies for their client
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Chang, Chia-Yun, and 張嘉耘. "Analysts’ Stock Price Forecasts and Investor Behavior." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/41072421687744569302.
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碩士亞洲大學
國際企業學系碩士在職專班
102
This study investigates whether domestic and foreign stock brokerage firms using the price forecasts published by their own analysts offer benefits to some specific informed investors. The empirical results of the study show that the price forecasts published by stock brokerage firms are more likely to be optimistic. Additionally, this study observes the trading behavior and transactions of investors at the specifically mentioned brokerage firm. It has been discovered that one month before optimistic forecasts were released by domestic brokerage firms, stocks were significantly overbought by their investors, whereas before pessimistic forecasts were released by foreign brokerage firms, stocks were continuously sold off in advance. Furthermore, brokerage firms also tended to publish optimistic price forecasts for conventional stocks that were significantly overbought in the first one or two months, and both electronics and conventional stocks were significantly oversold by investors before the pessimistic forecasts were announced. The aforementioned phenomena indicate that some particular informed investors make an early entry into the market before the announcement of stock price forecasts. As the focus of this study is to analyze analysts’ stock price forecasts against investors’ trading behavior within the same brokerage firm, consequently some specific informed investors have already made their first move and entered the market before the key information has been announced, which illustrates the leakage of information. Furthermore, observing the cumulative abnormal rate of returns, we have discovered that the optimistic price forecasts announced by domestic brokerage firms were accurate, however one or two months after optimistic price forecasts were announced by foreign brokerage firms, the cumulative abnormal rate of returns for the stocks fell significantly. To look at things from another aspect, after pessimistic forecasts were made by domestic and foreign brokerage firms, the stock prices continued to fall, indicating that the accuracy of pessimistic forecasts made by brokerage firms is reliable. Conducting investigations based on the different types of stock, we have discovered that the optimistic forecasts for electronics stocks remained accurate for one week; however after two months, the optimistic forecasts for conventional stocks had reversed. Before and after the announcement of the pessimistic forecasts, the cumulative abnormal rate of returns for both electronics and conventional stocks were significantly negative, indicating that the pessimistic forecasts made by brokerage firms can provide valuable reference material for general investors.
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HO, TE-KUANG, and 何德光. "Explore the Money Market Funds Investor Behavior." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/84078406041275395531.
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碩士佛光大學
應用經濟學系
104
Since mutual funds have low entry barrier and managed by professional expert, most of the investors would prefer to opt for this type of investment. In terms of scale, currency mutual funds would perhaps be one of the most significant funds. The purpose of this study is to investigate the relationship between investor’s cash against the influence of mutual fund purchase placement and mutual fund performance. In addition, research method uses Quantile Regression & Ordinary Least Squares. The results indicate: 1.For currency mutual funds investors, the result indicates that when investor is low in cash ratio, fund redemption would occur, whereas, when cash ratio reaches 60th the quantity for fund purchase would increase. However, on the other hand, for stock mutual funds investors, the result indicates that when investor is low in cash ratio the quantity for fund purchase would increase and vice versa. 2.In terms of the correlation between cash ratio and currency mutual funds, the result indicates that low cash ratio would have a positive correlation; however, structure change would occur after 50th (from positive to negative correlation). Whereas for stock mutual fund the correlation is negative. 3.Most of the investors prefer currency and stock mutual funds with large scale and low management fees, however, in terms of performance, large scale with high management fees are generally the ones which perform the best
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CHEN, JIAN-HONG, and 陳建宏. "News Sentiment, Return and Investor Trading Behavior." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/d3gza2.
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碩士國立中山大學
財務管理學系研究所
106
Past studies have confirmed that sentiment is one of the important factors affecting market returns. How to capture the sentiment indicator is the main subject. Traditional methods mostly involve analyzing structural data. With the popularization of social media, unstructured data such as words, sounds and videos have become significant. How to extract useful information from texts gradually become mainstream. For the first time, this study explored the time frame of news sentiment and the driving force of news polarity. First of all, financial sentiment database in Hsieh (2015) was used to calculate the proportion of emotion words in news and then focused on different frequencies to use quantitative methods to understand the interaction relationship between news sentiment and market. Furthermore, we found the reaction time of the stock price shock which good or bad news made and further understood the reason why the stock price deviated from the basic value. Finally, we used natural language processing technology-Word2Vec to express the meaning of words in different dimensions to enhance the sentiment analysis breadth and depth. The results show that: (1) News sentiment is more influential to asset pricing at weekly frequency (2) The influence of news sentiment comes from trading behavior of individual investors (3) Good news responds rapidly and continuously while bad news travels slowly (4) Word2vec technology can increase accuracy of predicting stock price trends
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Huang, I.-Hsuan, and 黃宜萱. "The effect on investor behavior under US monetary policy normalization: evidence from US investors." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/nmg45r.
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碩士國立政治大學
金融學系
107
In order to cope with the financial crisis of 2007-2008, the Federal Reserve had cut the federal funds rate, which led to zero-bound interest rate in the U.S. market. Moreover, the Fed introduced quantitative easing policy at the end of 2008 to further stimulate the market stranded in liquidity trap. Under the Fed’s unconventional easy monetary policy, the U.S. economy had been gradually stepping out of the gloomy condition and began to thrive, and therefore the Fed called a halt to the quantitative easing policy at the end of 2013 and started to lessen its intervention in the market lateron. This study aims at discussing the effect on investor behavior under U.S. monetary policy normalization by applying panel vector autoregression model, in which U.S. monetary policy shock as well as other different financial shocks are included. In addition, this study takes further step to identify whether different country characteristics would play an influential role as investors switch their portfolio holdings when facing financial shocks. The empirical result shows that from a narrow viewpoint, the impulse response of U.S. investors’ holdings of the assets from other countries reacts negatively to the shock of Fed funds rate rise. On the contrary, however, the shock of the growing U.S. economic output makes U.S. investors more willing to engage in risky invesments so that they tend to increase holdings of the assets from other countries especially from the emerging markets. In general, the empirical result demonstrates that during the taper period after the U.S. monetary policy normalization took effect, the positive response of U.S. investors to the growing U.S. economy outweighs their negative response to Fed funds rate rise, which leads to increase in U.S. investors’ holdings of the assets from other countries. Furthermore, the increase in holdings lies largely in the holdings of assets from emerging countries that are of positive economic outlook and low country risk—there is significant increase in both equity and bond holdings of Asian emerging countries, while the increase in the holdings of assets from Latin American emerging countries is only notable in bonds. On the other hand, it is found that the shock of Fed funds rate rise plays an important role in boosting the holdings of U.S. assets from other countries’ investors.
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An, Li. "Three Essays on Investor Behavior and Asset Pricing." Thesis, 2014. https://doi.org/10.7916/D8T72G1W.
Full textAbstract:
This dissertation consists of three essays on investor behavior and asset pricing.
In the first chapter, I investigate the asset pricing implications of a newly-documented refinement of the disposition effect, characterized by investors being more likely to sell a security when the magnitude of their gains or losses on it increases. Motivated by behavioral evidence found among individual traders, I focus on the pricing implications of such behavior in this chapter. I find that stocks with both large unrealized gains and large unrealized losses, aggregated across investors, outperform others in the following month (monthly alpha = 0.5-1%, Sharpe ratio = 1.6). This supports the conjecture that these stocks experience higher selling pressure, leading to lower current prices and higher future returns. This effect cannot be explained by momentum, reversal, volatility, or other known return predictors, and it also subsumes the previously-documented capital gains overhang effect. Moreover, my findings dispute the view that the disposition effect drives momentum; by isolating the disposition effect from gains versus that from losses, I find the loss side has a return prediction opposite to momentum. Overall, this study provides new evidence that investors' tendencies can aggregate to affect equilibrium price dynamics; it also challenges the current understanding of the disposition effect and sheds light on the pattern, source, and pricing implications of this behavior.
The second chapter extends the study of the V-shaped disposition effect - the tendency to sell relatively big winners and big losers - to the trading behavior of mutual fund managers. We find that a 1% increase in the magnitude of unrealized gains (losses) is associated with a 4.2% (1.6%) higher probability of selling. We link this trading behavior to equilibrium price dynamics by constructing unrealized gains and losses measures directly from mutual fund holdings. (In comparison, measures for unrealized gains and losses in chapter one are approximated by past prices and trading volumes.) We find that, consistent with the relative magnitude found in the selling behavior regressions, a 1% increase in the magnitude
of gain (loss) overhang predicts a 1.4 (.9) basis ppoints increase in future one-month returns. A trading strategy based on this effect can generate a monthly return of 0.5% controlling common return predictors, and the Sharpe ratio is around 1.4. An overhang variable capturing the V-shaped disposition effect strongly dominates the monotonic capital gains overhang measure of previous literature in predictive return regressions. Funds with higher turnover, shorter holding period, higher expense ratios, and higher management fees are significantly more likely to manifest a V-shaped disposition effect.
The third chapter studies how the recourse feature of mortgage loan has impact on borrowers' strategic default incentives and on mortgage bond market. It provides a theoretical model which builds on the structural credit risk framework by Leland (1994), and explicitly analyzes borrowers' strategic default incentives under different foreclosure laws. The key results are, while possible recourse makes the payoff in strategic default less attractive, it helps deter strategic default when house price goes down. I also examine the case when cash flow problems interact with default incentives and show that recourse can help reduce default incentives, make debt value immune to liquidity shock, and has little impact on house equity value.
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楊仁佑. "Value function in behavior of mutual fund investor." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/79065927668796328560.
Full textAbstract:
碩士長庚大學
企業管理研究所
92
According to the value function from prospect theory, investors with prior gain are risk aversive, and become risk seeking after prior loss. The aim of the research is studied the character of reference point, risk preference and loss aversion of investors by the account data from a banking institution in Taiwan. Empirical results show that whatever reference point is, investors with prior gain are more conservation than those with prior loss. Most of the investors with prior gain chose mutual funds with higher return, but the investors with prior loss don’t. Such a result is different from our common sense. This paper can conclude that not only prior outcomes but also the other factors influent the subsequent decision of the investors.
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Huang, Qian. "Do Critical Audit Matter Disclosures Impact Investor Behavior?" Thesis, 2021. https://doi.org/10.7916/d8-7dsd-m819.
Full textAbstract:
The Public Company Accounting Oversight Board (PCAOB) has recently required auditors to disclose critical audit matters (CAMs), which are financial statement matters that involve especially challenging, subjective, or complex auditor judgments. The PCAOB contends that CAMs will increase the decision usefulness of the auditor’s report and indirectly benefit investors by increasing audit and financial reporting quality.
I examine whether investors react to CAM disclosures and whether they perceive any change in adopting firms’ financial reporting quality. Using a difference-in-differences design, I find that (1) while there is no significant stock price reaction to CAMs on average, investors react negatively to CAMs disclosed by firms with high levels of short interest; (2) there is a significant increase in the quarterly earnings response coefficient for adopting firms. The effect is driven by big-N audit firms, and increases with the number of CAMs reported. Collectively, the evidence suggests that investors use CAMs to confirm their pre-existing opinions about a firm, and that they perceive an improvement in audit quality and financial reporting reliability due to the CAM disclosure requirement.
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Chang, Yi-Ting, and 張怡婷. "Investor Behavior, Trade Duration and TXO Price Volatility." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/46939057907916355983.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
99
This study uses ACD(1,1) and ACD(1,1)-GARCH(1,1) model to discuss the relatedness of duration between volume and maturity, and effect of price volatility come from investor behavior. We also discusses and compares investors’ trading volume and trading duration, and use the TXO price volatility for inverse of duration and investor behavior to interpret the existence of informed trading. We found that, the inverse correlation between volume and duration and a positive correlation between maturity and duration. Second, at-the-money and in-the-money options have informed trading. Third, institutional investors trade for informed at at-the-money and out-the-money. In addition to, individual investors not only take noise trading and market maker take liquidity trading and hedging. Forth, informed investors not only make the informed trading, and last, trade duration affect price volatility, and there are informed trading in TXO market.
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Chang, Han-Chih, and 張瀚之. "Investor Anchor and Price Behavior: Evidence from USD/JPY." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/09366058317629570813.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士在職專班
105
This study uses linear regression to analyze the impact of the 52-weeks high and historical high on subsequent USD/JPY. The data is divided into four period accord to the financial crisis. Based on the Bai and Perron (1988 and 2003) methodology, this study test for multiple structural breaks in the USD/JPY. There is a little bit different comparing with these two test results. There are three structural breaks. There exists some structural break under the impacts of some financial crisis and important events which, such as Plaza Accord, Asia Financial Crisis and Subprime Mortgage Crisis. The results show: frist of all, the long-term effects of USD/JPY is better than the short-term effects; second, the 52-week high is positive correlated with USD/JPY; third, the historical high is negative related to USDJPY; fourth, investors' concerns of the 52-week high degree had increased significantly following the financial turmoil.
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Ho, Jen-Kai, and 何仁凱. "Institutional Investor Behavior in the Exchange-Traded Fund Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/46504828050026728540.
Full textAbstract:
碩士元智大學
財務金融學系
96
This paper examines the investment behaviors of institutional investors in the context of exchange-traded funds (ETFs) by looking at a sample of 367 ETFs over the period 1993-2007 from the data sets of Center for Research in Security Prices (CRSP) and CDA/Spectrum. In particular, the study examines (1) the market timing ability, (2) the herding behavior, and (3) the utilization of feedback strategy for institutional investors in ETF markets. The empirical evidences suggest that institutional investors do not have good market timing ability, especially for banks. In addition, institutional investors tend to exhibit a higher degree of herding in ETFs, especially in the international ETFs. On the other hand, in the feedback strategy, institutional investors tend to exhibit excess demand for past losers and for smaller ETFs, especially in the context of sector and international ETFs, a result consistent with the hypothesis that institutional investors tend to exploit the exotic ETFs such as sector and international ETFs for the diversification purpose rather than being the “smart money”.
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Wei, Cheng-Hsieh, and 魏丞燮. "The Relationships between Investor Trading Behavior and Tax around." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/61711135387296338361.
Full textAbstract:
碩士國立交通大學
管理科學系所
97
Under U.S. regulations, the differential tax obligations for investors with various status and income levels give rise to investor heterogeneity. In contradiction of dividend income tax imposed on U.S. stocks, foreign tax liability is the minimums of the taxation imposed on ADR dividend income. Identical foreign tax rates enable American depositary receipt (ADR) investors to be more homogenous in taxation than U.S. stock holders. ADR investors tend to sell ADRs cum-dividends and repurchase ADRs ex-dividend. Heavy foreign tax liability is likely to cause abnormal returns and abnormal volumes on ex-dividend days (ex-days). However, previous studies have not thoroughly discussed the interactive relevance of ex-day abnormal volume and abnormal returns. Therefore, this paper employs 1424 cash dividend distributions for 299 firms from 33 countries covering the period during 2003 to 2006. This paper bases upon three-least square (3SLS) methodology to capture the abnormal trading behaviors induced by the tax factor bound to transaction costs. The results exhibit prominent abnormal returns and abnormal volume on ADR ex-days. The finding of the study supports the view that ADR ex-day abnormal returns are causally and positively related to abnormal volume using 3SLS estimations. In particular, the results also indicate that both of the ex-day abnormal returns and the ex-day abnormal volume are significantly associated with tax cost and the ratio of institutional holdings.
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Teh, Lillyn L. "Investor trading behavior and stock market returns an empirical analysis /." 1993. http://catalog.hathitrust.org/api/volumes/oclc/31255202.html.
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Niebling, Fabian [Verfasser]. "Essays on investor behavior in mutual fund investments / Fabian Niebling." 2011. http://d-nb.info/1009923692/34.
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Hsia, Ching-Tian, and 夏清田. "Investor Trading Behavior and Stock Returns in Taiwan Stock Exchange." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/56448255781832237342.
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Peng, Yu-Chen, and 彭毓珍. "The Investor Behavior of Taiwan Stock and Index Futures Markets." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/88679577247156125188.
Full textAbstract:
碩士國立成功大學
企業管理學系(EMBA)專班
91
This research used the statistic methods of Cluster and analysis of variance to analyze the differences between stock market and futures market investor behavior. The findings of this research are: 1.The main traders of futures are ages 35 and under, female, college education and under, annual family income at NT$400 thousand and below or 2 to 5 million NT. 2.Neither internal/external control characteristics nor risk preferable show distinguishable differences on market choice; yet do have obvious influence on strategy deciding. The more of internal control tendency the more they prefer long-term investment strategies, and invest larger sums long-term. Those external control tendency investors do not choose any specific strategies. 3.Process of investment evaluation: Investors with more investment experience, larger investing amount, tendency to internal control and prefer lower risk, take more consideration on hedge, value perseverance, professional fundamental and technical experience information. 4.Stock traders are those who wish to avoid risk and preserve value, and they would emphasis on the professional fundamental side. Futures traders are people who hope for quick profit and the fun of self-fulfillment, tend to care more on technical experience and transaction cost 5.Generally speaking; no distinguishable differences concerning the choose of market. However, about the execution strategies, using long-term strategies on stock investment and short-term strategies on futures investment can attain better investment return.
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Peng, Szu-Wei, and 彭思維. "The Relationship among Investor Behavior, Bid-Ask Spread and Volatility." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/01573253593387976881.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
100
This article investigates the market microstructure of the Taiwan Index Futures Market by analyzing the intraday patterns of bid-ask spreads and volatility. We examine the spread-volume and volatility-volume relation in Taiwan Index Futures Market using volume data categorized by type of investor. Using a linear regression model, we find that both bid-ask spreads and volatility have crude L-shaped patterns on a minute-by-minute basis. We also find that the negative spread-volume relation is driven by the institutional investors. However, the relation between individual investors, dealers, and foreign institutional investors with volume is positive. Moreover, institutional investors and individual investors tend to be negatively associated with volatility. But there is a direct relationship between dealers and foreign institutional investors with volatility.