Essays On Behavioral Finance And Market Microstructure
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Essays On Behavioral Finance And Market Microstructure
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Author : Jie Lu
language : en
Publisher:
Release Date : 2009
Essays On Behavioral Finance And Market Microstructure written by Jie Lu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Efficient market theory categories.
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.
Essays On Market Microstructure Behavioral Finance And Asset Management
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Author :
language : en
Publisher:
Release Date : 2009
Essays On Market Microstructure Behavioral Finance And Asset Management written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Essays On The Interface Of Market Microstructure And Behavioral Finance
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Author : Juhani Linnainmaa
language : en
Publisher:
Release Date : 2003
Essays On The Interface Of Market Microstructure And Behavioral Finance written by Juhani Linnainmaa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Capital market categories.
Behavioral Aspects Of Financial Decision Making
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Author : Emanuela Trifan
language : de
Publisher: Sudwestdeutscher Verlag Fur Hochschulschriften AG
Release Date : 2009
Behavioral Aspects Of Financial Decision Making written by Emanuela Trifan and has been published by Sudwestdeutscher Verlag Fur Hochschulschriften AG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Finance categories.
The present work seeks for a deeper motivation of those financial market behaviors that remained unexplained by traditional economic theories. It is the result of some years of research in the areas of Behavioral Finance and Market Microstructure. The work undertakes the challenging task of quantifying "less-rational" aspects of financial decision-making, such as simplified trading rules, emotional reactions, and subjective perceptions and beliefs. To this purpose, not only are traditional models extended in order to account for behavioral elements, but also new models and measures are developed and tested by means of numerical simulations. Surprisingly, it appears that rational trading is not the only way to make money, and the presence of less-than-perfectly rational traders can be compatible with stable and efficient markets. Not only trading decisions but also investment decisions are highly sensitive to subjective attitudes. The work helps to identify several trading and investment strategies that ensure the success and survival of their users and maximize their risky holdings, respectively.
Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb
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Author : Cheng Few Lee
language : en
Publisher: World Scientific
Release Date : 2006-04-18
Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-18 with Business & Economics categories.
News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Three Essays On Behavioral Finance
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Author : Gabriele M. Lepori
language : en
Publisher:
Release Date : 2008
Three Essays On Behavioral Finance written by Gabriele M. Lepori and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Efficient market theory categories.
Essays In Behavioral Finance
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Author : Xing Huang
language : en
Publisher:
Release Date : 2013
Essays In Behavioral Finance written by Xing Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
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.
Essays In Behavioral Finance
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Author : Karen Vanessa Selody
language : en
Publisher:
Release Date : 2008
Essays In Behavioral Finance written by Karen Vanessa Selody and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Essays On Financial Market Microstructure
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Author : Ekaterina V. Malinova
language : en
Publisher:
Release Date : 2006
Essays On Financial Market Microstructure written by Ekaterina V. Malinova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Understanding the forces for price formation and asset trading is the backbone of modern financial economics. In the oldest of adages, people trade because they differ---either informationally or from a risk sharing perspective. My thesis focuses on the former and investigates how asymmetric information affects the behavior of financial market participants, and through it, asset prices and trading volume.
Empirical Essays On Corporate Finance And Market Microstructure
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Author : Kristine Quadflieg
language : en
Publisher:
Release Date : 2011
Empirical Essays On Corporate Finance And Market Microstructure written by Kristine Quadflieg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.